Macroeconomy and Stock Return Volatility: Pakistan vs US Market
Macroeconomic Sensitivity, Risk Returns Trade-Off & Volatility Dynamics of Stock Returns: A Comparison of PSX and NYSE
The objectives of the current study were to examine the impact of macroeconomic factors on the stock returns volatility, pricing of risk, asymmetry and leverage effect, and volatility dynamics on comparative bases of developed (NYSE) and emerging (PSX) markets. Furthermore, all these aspects were also analyzed with regard to various firm's features. The stock return volatility of all the firms from all the sectors of both NYSE and PSX are considered for the period from January 3, 2000, to December 31, 2015. Three time-series models were applied, i.e. GARCH (1, 1) for the relationship between stock returns volatility and macroeconomic factors…
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Produktdetails
Weitere Autoren: Khan, Hashim / Khan, Faisal
- ISBN: 978-620-3-02498-2
- EAN: 9786203024982
- Produktnummer: 37135953
- Verlag: LAP Lambert Academic Publishing
- Sprache: Englisch
- Erscheinungsjahr: 2020
- Seitenangabe: 428 S.
- Masse: H22.0 cm x B15.0 cm x D2.6 cm 655 g
- Abbildungen: Paperback
- Gewicht: 655
Über den Autor
The Principal author of this study has a Ph.D. degree in Finance and currently teaching at FATA University, KPK, Pakistan. He has also taught at COMSATS University Islamabad, Pakistan as a lecturer. Despite teaching experience the author has also published more than 15 research papers in national and international reputed journals.
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