Economic Factors and Stock Returns: Sectoral Analysis: An Investigation at Firm and Industry Level - Image 1

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LAP Lambert Academic Publishing Economic Factors and Stock Returns: Sectoral Analysis: An Investigation at Firm and Industry Level

Name: Economic Factors and Stock Returns: Sectoral Analysis: An Investigation at Firm and Industry Level
Brand: LAP Lambert Academic Publishing
Price: 60.0 GBP
Availability: InStock

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Description

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.

Product Specifications

Brand: LAP Lambert Academic Publishing
Format: paperback
ASIN: 3843390673
Category: Books > Subjects
Domain: Amazon UK
Release Date: 04 January 2011
Listed Since: 07 January 2011

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LAP Lambert Academic Publishing Economic Factors and Stock Returns: Sectoral Analysis: An Investigation at Firm and Industry Level

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