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Economic Factors and Stock Returns: Sectoral Analysis



Год выпуска: 2011
Автор: Dr Babar Zaheer Butt and Dr Kashif Ur Rehman
Издательство: LAP Lambert Academic Publishing
Страниц: 192
ISBN: 9783843390675
Описание
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...


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Алексей
За ту работу после вашего сопровождения кстати мне ОТЛ поставили, так что спасибо огромное))