Asset price bubbles with specific focus on stock prices in Pakistan

Authors

Nawaz Ahmad, Indus University, Pakistan
Rizwan Raheem Ahmed, Indus University, Pakistan
Yaseen Ahmed Meenai, Institute of Business Administration, Karachi, Pakistan

Abstract

This research paper is an attempt to investigate Asset Price Bubbles (APB) with reference to Pakistan stock market. The analysis of time series graph shows a linear trend between Consumer Price Index (CPI) and Money Supply Index (M2I) whereas a nonlinear trend with stock prices. Moreover, the graph also shows an unequal spread with the stock prices, which indicate Heteroskedasticity. Then, descriptive statistics test shows high Standard Deviations for stock prices compared with CPI and M2I, which indicate a higher volatility in stock prices. Finally, the hypothesis test for equality of variance concluded the presence of Asset Price Bubbles by rejecting null hypothesis of equal volatility against the alternative hypothesis of greater volatility in stock prices.

Keywords

Asset price bubbles, Stock prices, Consumer price index, Heteroskedasticity, Volatility

DOI

https://doi.org/10.54784/1990-6587.1314

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

Recommended Citation

Ahmad, N., Raheem Ahmed, R., & Ahmed Meenai, Y. (2015). Asset price bubbles with specific focus on stock prices in Pakistan. Business Review, 10(1), 61-71. Retrieved from https://doi.org/10.54784/1990-6587.1314