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Risk and return relationship in stock market and commodity prices: a comprehensive study of Pakistani markets

Author

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  • Hunjra, Ahmed Imran
  • Azam, Muhammad
  • Niazi, Ghulam Shabbir Khan
  • Butt, Babar Zaheer
  • Rehman, Kashif-Ur-
  • Azam, Rauf i

Abstract

The objective of this study is to determine the risk and return relationship on the basis of univariate modeling approach. This study is helpful to analyze the asymmetric nature of data including the seasonal affect and non linear properties in risk and return relationship scenario. In this study, monthly data was used regarding gold price, cotton prices and sugar price along with KSE 100 index. The data span of all variables cover the time period from July 1998 to July 2008. The overall results indicate that asymmetric and seasonal effect is present in commodities market and stock market. But the asymmetric properties and seasonal effect is most dominant in stock market prices comparative to other commodities.

Suggested Citation

  • Hunjra, Ahmed Imran & Azam, Muhammad & Niazi, Ghulam Shabbir Khan & Butt, Babar Zaheer & Rehman, Kashif-Ur- & Azam, Rauf i, 2010. "Risk and return relationship in stock market and commodity prices: a comprehensive study of Pakistani markets," MPRA Paper 40662, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:40662
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    References listed on IDEAS

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    Cited by:

    1. Chani, Muhammad Irfan & Pervaiz, Zahid & Jan, Sajjad Ahmad & Ali, Amjad & Chaudhary, Amatul R., 2011. "Poverty, inflation and economic growth: empirical evidence from Pakistan," MPRA Paper 34290, University Library of Munich, Germany, revised 2011.
    2. SINGHAL Shelly, 2017. "Emergence Of Commodity Derivatives As Defensive Instrument In Portfolio Risk Hedging: A Case Of Indian Commodity Markets," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 12(1), pages 202-234, April.
    3. Azam, Rauf i & Batool, Iram & Imran, Rabia & Chani, Muhammad Irfan & Hunjra, Ahmed Imran & Jasra, Javed Mahmood, 2010. "Financial crises and economic growth in Pakistan: a time series analysis," MPRA Paper 40691, University Library of Munich, Germany.

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    More about this item

    Keywords

    Risk and return relationship; commodities; stock market prices; univariate modeling approach;
    All these keywords.

    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets

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