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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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    File URL: https://mpra.ub.uni-muenchen.de/40662/1/MPRA_paper_40662.pdf
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    References listed on IDEAS

    as
    1. Lamoureux, Christopher G & Lastrapes, William D, 1990. " Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects," Journal of Finance, American Finance Association, vol. 45(1), pages 221-229, March.
    2. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    3. Harvey, Campbell R., 2001. "The specification of conditional expectations," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 573-637, December.
    4. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    5. M. Kabir Hassan & Anisul M. Islam & Syed Abul Basher, 2000. "Market Efficiency, Time-Varying Volatility and Equity Returns in Bangladesh Stock Market," Working Papers 2002_6, York University, Department of Economics, revised Jun 2002.
    6. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    7. Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2005. "There is a risk-return trade-off after all," Journal of Financial Economics, Elsevier, pages 509-548.
    8. Abdul Qayyum & A. R. Kemal, 2006. "Volatility Spillover between the Stock Market and the Foreign Market in Pakistan," Finance Working Papers 22216, East Asian Bureau of Economic Research.
    9. Baillie, Richard T. & DeGennaro, Ramon P., 1990. "Stock Returns and Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(02), pages 203-214, June.
    10. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
    11. Choudhry, Taufiq, 1996. "Stock market volatility and the crash of 1987: evidence from six emerging markets," Journal of International Money and Finance, Elsevier, vol. 15(6), pages 969-981, December.
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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. repec:blg:journl:v:12:y:2017:i:1:p:202-234 is not listed on IDEAS
    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.

    More about this item

    Keywords

    Risk and return relationship; commodities; stock market prices; univariate modeling approach;

    JEL classification:

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

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