Abstract
The study aims to explore the nexus of clustering volatility due to time
span and loaning effects of Pakistan Stock Exchange (PSX) with the
financial markets of newly industrialized countries (NIC). The daily
based time series data ranging from June3, 2003 to Dec 31, 2016 from
some NIC countries like India, Philippines, South Africa, Brazil,
Turkey, Mexico and Malaysia (Hossain, M. S., 2011) are taken for
analysis of the study. Augmented Dickey–Fuller (ADF) test is used to
check the stationarity of the data. ARCH test reveals volatility
clustering in all indices except China. ARCH and GARCH coefficients
remain significant, which indicates the inefficiency of these markets.
EGARCH and TARCH model show the presence of lever´s effect. New
information as arrived in the financial market influences the price
volatility. Negative news creates more volatility as compared to
positive in the markets that indicates asymmetrical response. Based on
AIC & SC criteria GARCH Model is better fit in India, Philippines,
South Africa, Brazil, Pakistan, Turkey and Mexico expect Malaysia,
where TARCH model is better fit. Policy makers, investors and
administrators especially of stock markets could use these findings to
predict the volatility for hedging risk in the process of global portfolio
management (Errunza, V. R., 1983).
Safdar Husain Tahir, Rikza Sarosh, Asma Shoukat, Gulzar Ahmad, Muhammad Rizwan Ullah. (2018) Time Varying Volatility of Stock Exchanges: Comparative Analysis of Pakistan with Newly Industrialized Countries, Journal of Managerial Sciences, Volume 12, Issue 3.
-
Views
801 -
Downloads
58
