Macroeconomy and Stock Return Volatility: Pakistan vs US Market: Macroeconomic Sensitivity, Risk Returns Trade-Off & Volatility Dynamics of Stock Returns: A Comparison of PSX and NYSE - Image 1

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LAP Lambert Academic Publishing Macroeconomy and Stock Return Volatility: Pakistan vs US Market: Macroeconomic Sensitivity, Risk Returns Trade-Off & Volatility Dynamics of Stock Returns: A Comparison of PSX and NYSE

Name: Macroeconomy and Stock Return Volatility: Pakistan vs US Market: Macroeconomic Sensitivity, Risk Returns Trade-Off & Volatility Dynamics of Stock Returns: A Comparison of PSX and NYSE
Brand: LAP Lambert Academic Publishing
Price: 88.0 GBP
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The objectives of the current study were to examine the impact of macroeconomic factors on the stock returns volatility, pricing of risk, asymmetry and leverage effect, and volatility dynamics on comparative bases of developed (NYSE) and emerging (PSX) markets. Furthermore, all these aspects were also analyzed with regard to various firm’s features. The stock return volatility of all the firms from all the sectors of both NYSE and PSX are considered for the period from January 3, 2000, to December 31, 2015. Three time-series models were applied, i.e. GARCH (1, 1) for the relationship between stock returns volatility and macroeconomic factors and volatility dynamics, EGARCH for the asymmetry and leverage effect, and GARCH-in-mean for pricing of risk. All the macroeconomic factors proved their significance in determining the stock returns volatility in both the markets with respect to various firm features.

Product Specifications

Brand: LAP Lambert Academic Publishing
Format: paperback
ASIN: 6203024988
Category: Books > Subjects > Business, Finance & Law > Management > Balanced Scorecard
Domain: Amazon UK
Release Date: 03 November 2020
Listed Since: 28 November 2020

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LAP Lambert Academic Publishing Macroeconomy and Stock Return Volatility: Pakistan vs US Market: Macroeconomic Sensitivity, Risk Returns Trade-Off & Volatility Dynamics of Stock Returns: A Comparison of PSX and NYSE

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It has never been this cheap. We have no record of a lower price.

LAP Lambert Academic Publishing Macroeconomy and Stock Return Volatility: Pakistan vs US Market: Macroeconomic Sensitivity, Risk Returns Trade-Off & Volatility Dynamics of Stock Returns: A Comparison of PSX and NYSE

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Price Distribution

Price Analysis

Description

Product Specifications

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