Measurement of Stock Market Crisis & its Dimensions: Evidence from Pakistan

Abstract

This study explores the history of stock market crisis in the emerging market of Pakistan from different perspectives over the period July-1997 to December-2016. To identify and measure the timing of crises occurrence and their various dimensions (magnitude of crisis, days to recovery, duration of crisis, depth of crisis, size of crisis, etc.), CMAX methodology is employed. Thus, the study adds to existing literature by studying the Pakistani market in this regard and also proposing a method to quantify the intensity of crisis (within CMAX framework). The results indicate that the two major crises of 1997-2002 and 2008-2012 are found to coincide with a number of major financial, economic and political crises in Pakistan and around the world.