Stock return volatility in an emerging market: a case study of the Karachi Stock Exchange

Stock return volatility in an emerging market: a case study of the Karachi Stock Exchange Reports concerns that the lifting of restrictions on portfolio investment by foreigners would lead to overheating or excessive volatility in the capital markets of developing countries. Describes the abrupt lifting of restrictions on the Karachi Stock Exchange in Pakistan, given six notable developments in 1991. Examines the homogeneity of variance on weekly returns on the market index from 1988 to 1993 (over the period of liberalization). Finds that stock market volatility will reflect economic variables in the long run, while the market is shown to be information‐efficient. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Managerial Finance Emerald Publishing

Stock return volatility in an emerging market: a case study of the Karachi Stock Exchange

Managerial Finance, Volume 24 (3): 18 – Mar 1, 1998

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Publisher
Emerald Publishing
Copyright
Copyright © 1998 MCB UP Ltd. All rights reserved.
ISSN
0307-4358
DOI
10.1108/03074359810765417
Publisher site
See Article on Publisher Site

Abstract

Reports concerns that the lifting of restrictions on portfolio investment by foreigners would lead to overheating or excessive volatility in the capital markets of developing countries. Describes the abrupt lifting of restrictions on the Karachi Stock Exchange in Pakistan, given six notable developments in 1991. Examines the homogeneity of variance on weekly returns on the market index from 1988 to 1993 (over the period of liberalization). Finds that stock market volatility will reflect economic variables in the long run, while the market is shown to be information‐efficient.

Journal

Managerial FinanceEmerald Publishing

Published: Mar 1, 1998

Keywords: Deregulation; Developing countries; Foreign investment; Stock markets

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