Abstract
The paper aims to explore the Karachi stock exchange volatility during
national elections for the sample period of 1997 to 2013. Four national
elections were held during the sampled period. The stock return’s
average abnormal return (AABR) and cumulative average abnormal
return (CAABR) are computed for a time window of 41 days that is 20
days prior, Election Day, and 20 days after the election. The returns of
120 days before the proposed time window are taken for the
benchmark. The results indicate both positive and negative abnormal
return in the proposed time frame for both AABR and CAABR by
employing market model and market model adjusted for GARCH.
Similarly, the cumulative average abnormal returns are tested for
different time spam and results show abnormal return for all the
national elections for stock market. The results indicate that Karachi
stock exchange exhibit inefficient behavior around these national
elections.
Noman Khan, Qaiser Aman, Muhammad Asad Khan. (2015) Market Efficiency: National Elections and Stock Market , Journal of Managerial Sciences, Volume 9, Issue 2.
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