Open AccessPosted Content
Risk and Return Relationship in Stock Market and Commodity Prices: A Comprehensive Study of Pakistani Markets
Ahmed Imran Hunjra,Ahmed Imran Hunjra,Muhammad Azam,Ghulam Shabbir Khan Niazi,Babar Zaheer Butt,Kashif Ur Rehman,Rauf I. Azam +6 more
TLDR
In this paper, the authors used univariate modeling approach to determine the risk and return relationship on the basis of univariate modelling approach, which is helpful to analyze the asymmetric nature of data including the seasonal affect and non linear properties in risk-and return relationship scenario.Abstract:
The objective of this study is to determine the risk and return relationship on the basis of univariate modeling approach. This study is helpful to analyze the asymmetric nature of data including the seasonal affect and non linear properties in risk and return relationship scenario. In this study, monthly data was used regarding gold price, cotton prices and sugar price along with KSE 100 index. The data span of all variables cover the time period from July 1998 to July 2008. The overall results indicate that asymmetric and seasonal effect is present in commodities market and stock market. But the asymmetric properties and seasonal effect is most dominant in stock market prices comparative to other commodities.read more
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Posted Content
Poverty, inflation and economic growth: empirical evidence from Pakistan
TL;DR: In this article, the authors investigated the role of economic growth and inflation in explaining the prevalence of poverty in Pakistan and found that economic growth has negative and inflation has positive impact on poverty.
Journal Article
Impact of psychological factors on investment decision making mediating by risk perception: a conceptual study
TL;DR: In this article, a study model has been developed to describe the impact of risk propensity, asymmetric information and problem framing on investor's behavior while making decisions through the mediating role of risk perception; also it determines how much weight is attached to each independent variable by the investors when they make their decisions.
How gold prices correspond to stock index: a comparative analysis of Karachi Stock Exchange and Bombay Stock Exchange
TL;DR: In this paper, the authors examined the long-run relationship between gold prices and Karachi Stock Exchange (KSE) and Bombay stock exchange (BSE) using the Granger causality test.
Journal ArticleDOI
Time Varying Correlation Between Islamic Equity and Commodity Returns: Implications for Portfolio Diversification
TL;DR: In this paper, the authors investigated the time varying relationship between Islamic equity and commodity returns in order to examine how combination of Islamic equities and commodities contribute to the benefits of portfolio investors and managers.
Dissertation
Relationship between commodities market and stock markets: Evidence from Malaysia and China
TL;DR: In this article, the authors propose a novel approach to solve the problem of homonymity in homophily, called homophyphyphanyphanymyphys.
References
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Journal ArticleDOI
Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
TL;DR: In this article, a new class of stochastic processes called autoregressive conditional heteroscedastic (ARCH) processes are introduced, which are mean zero, serially uncorrelated processes with nonconstant variances conditional on the past, but constant unconditional variances.
Journal ArticleDOI
Conditional heteroskedasticity in asset returns: a new approach
TL;DR: In this article, an exponential ARCH model is proposed to study volatility changes and the risk premium on the CRSP Value-Weighted Market Index from 1962 to 1987, which is an improvement over the widely-used GARCH model.
Journal ArticleDOI
Expected stock returns and volatility
TL;DR: In this article, the authors examined the relation between stock returns and stock market volatility and found that the expected market risk premium (the expected return on a stock portfolio minus the Treasury bill yield) is positively related to the predictable volatility of stock returns.
Journal ArticleDOI
Estimation of Time Varying Risk Premia in the Term Structure: the ARCH-M Model
TL;DR: In this paper, an extension of the ARCH model was proposed to allow the conditional variance to be a determinant of the mean and is called ARCH-M. The model explains and interprets the recent econometric failures of the expectations hypothesis of the term structure.
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Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects
TL;DR: In this paper, the authors provide empirical support for the notion that autoregressive conditional heterogeneousness (ARCH) in daily stock return data reflects time dependence in the process generating information flow to the market.
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