Stock return volatility in an emerging market: a case study of the Karachi stock exchange

Article Abstract:

A study of the Karachi Stock Exchange during and after the Pakistani government's decision to liberalize its capital markets showed that the observed variance of the weekly changes in the General Index was the result of the market's adjustment to a higher level of the General Index, rather than the market's response to economic and political events. This indicates that the returns on investments in the Karachi stock exchange can be characterized by stability, with the observed volatility presumed to be only a minor reaction.

Economic policy, Economic development, Pakistan, Capital market, Capital markets

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Some evidence on regime shifts in international stock markets

Article Abstract:

The Markov-switching model of Hamilton (1988) was employed to analyze the regimes in the aggregate stock returns in the industrialized countries of Canada, Germany, Japan, the United Kingdom, and the United States. Results do not support the hypothesis which states that the conditional mean is state-dependent but gives credence to the assumption that conditional variance is state-dependent. More robust interactions were noted between market correlations of regimes after the 1987 stock market crash.

Models, Economic aspects, Markov processes

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