Open AccessCOUNTRY RATING AND STOCK MARKET VOLATILITY: AN EMPIRICAL ESTIMATION FOR KARACHI STOCK EXCHANGE
Author(s) -
Muhammad Saeed,
Arshad Hassan
Publication year - 2014
Publication title -
jinnah business review
Language(s) - English
Resource type - Journals
eISSN - 2307-7921
pISSN - 2070-0296
DOI - 10.53369/aoqh9845
Subject(s) - stock exchange , volatility (finance) , stock market , economics , univariate , econometrics , autoregressive conditional heteroskedasticity , stock (firearms) , stock market bubble , financial economics , business , finance , statistics , multivariate statistics , mathematics , geography , context (archaeology) , archaeology
This study is aimed to explore the relationship between country rating and volatility of Karachi Stock Exchange for the period 1999 to 2012. This study employs daily data of country ratings and stock market returns to investigate influence of rating on volatility of market. Univariate Asymmetric GARCH model is used to explore the relationship and results reveal that country rating has a significant role in explaining volatility in Karachi Stock Exchange.