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

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.

Stock Market Efficiency: Evidence from Pakistan

“…Since then, there have been a number of studies conducted on the Pakistani equity markets. Uppal (1994) extended the earlier paper by Jun and Uppal (1994) and examined the stochastic properties of stock returns. The study used the weekly general index from the period April 1998 to June 1994.…”

The Effect of Automation on Stock Market Price Volatility: A Case of Nairobi Securities Exchange

“…It would be expected that major episodes in the market history such as the use of automated platforms may exacerbate volatility due to increased intensity of trading activities [30]. Conversely, automation could increase the portfolio flows thereby raising liquidity resulting in reduced volatility.…”

Volatility of stock market and capital flow

“…During worldwide discrepancy, monetary resistance called to account all capital flows at development markets, Asia and United States (Martin & Taddei, 2013). In the recent year more than a few developing countries have boosted restriction on the portfolio investment by the foreign investors in their capital market (Uppal, 1998). (Boubakri, Cosset, Debab, & Valery, 2013) study shows that cross-border portfolio investment is susceptible to different institutional indicator such as local market regulations, disclosure of information in the host country's accounting standards.…”