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Is Sudden News an Origin of More Systematic Risk in Common Stocks?

Author

Listed:
  • Subhani, Muhammad Imtiaz
  • Hasan, Syed Akif
  • Osman, Ms. Amber

Abstract

The existence of political risk is so common in the equity markets of the world and specifically for Pakistan. The business owners are always with their extravagant concerns in this connection while formulating business strategies and policies for their desired returns. The purpose of this research is to examine whether or not sudden news poses a more systematic risk in equity market. The findings suggest that the investors of all kinds take more risk and follow the similar patterns to invest in equity market when there is the sudden news. On the other hand, if there is no sudden news, then there is a different investment pattern of investors in equity market along with the lesser magnitude of taking risks.

Suggested Citation

  • Subhani, Muhammad Imtiaz & Hasan, Syed Akif & Osman, Ms. Amber, 2012. "Is Sudden News an Origin of More Systematic Risk in Common Stocks?," MPRA Paper 45139, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:45139
    as

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    File URL: https://mpra.ub.uni-muenchen.de/45139/1/MPRA_paper_45139.pdf
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    References listed on IDEAS

    as
    1. Farooq Malik & Bradley Ewing & James Payne, 2005. "Measuring volatility persistence in the presence of sudden changes in the variance of Canadian stock returns," Canadian Journal of Economics, Canadian Economics Association, vol. 38(3), pages 1037-1056, August.
    2. Bohm, Peter & Sonnegard, Joakim, 1999. " Political Stock Markets and Unreliable Polls," Scandinavian Journal of Economics, Wiley Blackwell, vol. 101(2), pages 205-222, June.
    3. White, Eugene N, 1990. "The Stock Market Boom and Crash of 1929 Revisited," Journal of Economic Perspectives, American Economic Association, vol. 4(2), pages 67-83, Spring.
    4. Rajesh K. Aggarwal & Guojun Wu, 2006. "Stock Market Manipulations," The Journal of Business, University of Chicago Press, vol. 79(4), pages 1915-1954, July.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Equity market; Systematic Risk; Beta; Sudden news.;

    JEL classification:

    • A1 - General Economics and Teaching - - General Economics
    • A10 - General Economics and Teaching - - General Economics - - - General

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