Economic Factors and Stock Returns: Sectoral Analysis | An Investigation at Firm and Industry Level

Babar Zaheer Butt (u. a.)

ISBN 10: 3843390673 / ISBN 13: 9783843390675

Editore: LAP LAMBERT Academic Publishing, 2011

Economic Factors and Stock Returns: Sectoral Analysis | An Investigation at Firm and Industry Level | Babar Zaheer Butt (u. a.) | Taschenbuch | 192 S. | Englisch | 2011 | LAP LAMBERT Academic Publishing | EAN 9783843390675 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu. Codice articolo 107153440

Riassunto:

The purpose of this study is to examine the stock returns variation to specific macroeconomic and industry variables by applying multi-factor model. The model consists of macroeconomic and industry variables. The study attempts to determine which, if any, of the macroeconomic and industry variables are of use in explaining the variability of stock returns of Pakistani Industries. The firms relating to 09 different sectors are selected for this study on the basis of data availability, profitability and performance on the Karachi Stock Exchange 100 index. Descriptive statistics performed for the temporal properties of the data and Augmented Dickey Fuller (ADF) test applied to find out the data stationarity. GARCH model used to analyze the risk and returns relationship. The tests applied on the stock returns of each firm of the industry and on the data set of the entire industry as well to generalize the results. The results reveal that market return is mainly responsible for the stock returns variation, however the inclusion of other macroeconomic and industry related variables has added additional explanatory power in describing the stock returns variation.

L'autore: Dr Butt has done his Ph D in Finance. He is also Fellow member of ICMAP. He is a trainer and consultant. His work focuses on international finance, corporate finance and stock market behavior. He presented his work at various international conferences and his research work has been published in reputed international journals.

Dati bibliografici

Titolo: Economic Factors and Stock Returns: Sectoral...
Casa editrice: LAP LAMBERT Academic Publishing
Data di pubblicazione: 2011
Legatura: Taschenbuch
Condizione: Neu