Anticipated Volatility, Unanticipated Volatility Shocks, Excess Monthly Returns and Stock Market Behaviour of Pakistan

Muhammad Ramzan Sheikh, Sahrish Zameer and Sulaman Hafeez Siddiqui

Journal of Accounting and Finance in Emerging Economies, 2021, vol. 7, issue 1, 77-91

Abstract: An investor considers various factors to choose the financial assets. The portfolio theory suggests that risk, return, taxes, information and liquidity are vital factors in portfolio choice. The study is based on risk premium, uncertainty, shocks and volatility of Pakistan stock exchange market. The study has used monthly time series data of returns of ten sectors of Pakistan stock market ranging from 2006 to 2014 to measure the anticipated and unanticipated factors of risk, return and uncertainty. Using CAPM, it is pointed out that volatility factor is present and high in overall stock market and the level of volatility in different sectors of the market moves in the same direction which suggest that speculative activities are widely spread in every sector and in overall market as well.

Keywords: Volatility; Shocks; Returns; Stock Market. (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:src:jafeec:v:7:y:2021:i:1:p:77-91

DOI: 10.26710/jafee.v7i1.1558

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