Degree
Master of Business Administration Executive
Faculty / School
Faculty of Business Administration (FBA)
Year of Award
2011
Project Type
MBA Executive Research Project
Access Type
Restricted Access
Keywords
Executive Summary
In this study an attempt has been made to model the volatility of stock returns, examination of risk reward relationship and testing of vveak-form and semi-strong form efficiency for the Karachi stock market, using daily closing prices from January 2001 through December 2011. In addition to daily closing stock values of stock prices index, monthly information on stock position of money supply and closing values of stock price index have been taken for the period of January, 2005 to December, 2011. GARCH and GARCH family models (such as TARCH and EGARCH) have been employed, the results point out that returns exhibit ARCH effect, volatility clustering and leverage effect. The estimate of volatility is negative, which again implies that negative shocks lead to higher future volatility than do positive shocks of the same magnitude, so leverage effects exist in KSE. Mean variance hypothesis does hold for Karachi stock market as strong statistical evidence is found that investors are rewarded for taking increased risk. Weakform efficiency hypothesis is rejected as it is found statistically that past information helps in predicting future prices, however, it is concluded that on the basis of findings derived from stock prices and money supply, the efficiency holds in its semi-string form.
Pages
VIII, 72
Link to Catalog Record
https://ils.iba.edu.pk/cgi-bin/koha/opac-detail.pl?biblionumber=54923
Recommended Citation
Abdus Salam, M. (2011). Modeling stock market volatility: (Unpublished graduate research project). Institute of Business Administration, Pakistan. Retrieved from https://ir.iba.edu.pk/research-projects-emba/539
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