Economics at your fingertips  

Impact of global financial crisis on stock markets: Evidence from Pakistan and India

Rafaqet Ali and Muhammad Afzal
Additional contact information
Rafaqet Ali: Department of Economics, Gomal University, Dera Ismail Khan-Pakistan
Muhammad Afzal: Department of Management Sciences, COMMSATS Institute of Information Technology, Islamabad- Pakistan

E3 Journal of Business Management and Economics., 2012, vol. 3, issue 7, 275-282

Abstract: Recent devastating global financial crisis started from United States, spread all over the world and adversely affected real and financial sectors of developed as well as developing countries. This crisis is called the first largest crisis after the recession of 1930s. The prime aim of this study is to envisage the impact of recent global financial crisis on stock markets of Pakistan and India. For this purpose, daily data from 1st January 2003 to 31st August 2010 of KSE-100 and BSE-100 indices, representing stock markets’ indices of Pakistan and India respectively, are used. To find volatility, EGARCH model is applied. This study empirically reveals that negative shocks have more pronounced impact on the volatility than positive shocks. These stock markets also faced persistent volatility clustering. Recent global financial crisis made mild negative impact on stock returns and enhanced volatility in Pakistani and Indian stock exchanges but this impact is stronger on Indian stock market.

Keywords: Volatility; EGARCH; Financial crisis; Pakistan; India (search for similar items in EconPapers)
Date: 2012-07
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17) Track citations by RSS feed

Downloads: (external link) Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

More articles in E3 Journal of Business Management and Economics. from E3 Journals
Bibliographic data for series maintained by Andrew Godwin ().

Page updated 2020-06-02
Handle: RePEc:etr:series:v:3:y:2012:i:7:p:275-282