Vol. 11 No. 1-2 (2017)
Articles

Systematic risk factors and stock return volatility

Published June 30, 2017
Syed Kamran Ali Haider
Department of Management Sciences, CUST
Shujahat Haider Hashmi
Department of Management Sciences, CUST
Ishtiaq Ahmed
Faculty of Economics & Business, UoD
pdf

APA

Haider, S. K. A. ., Hashmi, . S. H. ., & Ahmed, I. . (2017). Systematic risk factors and stock return volatility. Applied Studies in Agribusiness and Commerce, 11(1-2), 61-70. https://doi.org/10.19041/APSTRACT/2017/1-2/8

This study analyzes the transmission of systematic risk exhaling from macroeconomic fundamentals to volatility of stock market by using auto regressive generalized auto regressive conditional heteroskedastic (AR-GARCH) and vector auto regressive (VAR) models. Systematic risk factors used in this study are industrial production, real interest rate, inflation, money supply and exchange rate from 2000-2014. Results indicate that there exists relationship among the volatility of macroeconomic factors and that of stock returns in Pakistan. The relationship among the volatility of macroeconomic variables and that of stock returns is bidirectional; both affect each other in different dynamics.

JEL code: C32, C58, G11, G12