Economic Factors and Stock Returns: Sectoral Analysis

Language: English

Published by LAP LAMBERT Academic Publishing Jan 2011, 2011

3843390673 / 9783843390675

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This item is printed on demand - Print on Demand Titel. Neuware -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.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 192 pp. Englisch.…

Seller Inventory # 9783843390675

Title
Economic Factors and Stock Returns: Sectoral Analysis
Author
Babar Zaheer Butt
Publisher
LAP LAMBERT Academic Publishing Jan 2011
Publication year
2011
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3843390673
ISBN 13
9783843390675
Item weight
304 grams
Dimensions
220x150x13 mm

buchversandmimpf2000

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