Jump Diffusion Phenomenon, Realized Jumps and Stock Returns: Panel Quantile Regression Analysis of Aggregate Market and Sectors
Journal Title: Pakistan Journal of Economic Studies - Year 2021, Vol 4, Issue 2
Abstract
Financial crisis and uncertain dynamics of stock market caused the highly volatile trend of stock prices and returns. These volatility conditions may affect investors and financial managers severely. Therefore, it is necessary to find comprehensive framework to understand the dynamics of stock return volatility. This study is aimed at examination of dynamics of jump diffusion phenomenon of stock return volatility. Comparative insight of aggregate stock market and sectoral stock returns in response with diffusive risk, jump risk, return asymmetry and total volatility measures of jump diffusion are provided in this research. This research uses panel data quantile regression with fixed effect estimates for statistical results. The results indicate that non-linear events with proxy results of realized jumps have significant negative impact on aggregate stock market return. Yet, sectoral stock returns show mixed of positive and negative linkages with realized jumps. Jump diffusion components of volatility results confirmed non-linear positive and negative impact on sectoral stock returns of various sectors.
Authors and Affiliations
Rehan Bin Tariq, Muhammad Abbas, Abdul Rashid
Keywords
Related Articles
- EP ID EP735653
- DOI -
- Views 40
- Downloads 0
Does the Internal Borrowing of the Pakistani Government affect Corporate Leverage?
For the past few years, the government of Pakistan has increased its domestic borrowing to a record level. This increased government borrowing could have reduced funds for investment by the non-financial corporate sector...
An Agent Based Model for Combining the Climatic, Physical and Behavioral Response to Logging, Salinity, and Farmers Earnings in Irrigated Agriculture of Pakistan
Framers use excessive groundwater to meet surface water shortfall in irrigated agriculture of Pakistan. This water use behavior is creating inequalities in Pakistan across time and space in farmer’s profit and w...
Pakistan’s Trade Flows with Shanghai Cooperation Organization: A Gravity Approach
Pakistan has a growing economy and always seeks to integrate with different regional or free trade agreements. The study has the objective is to determine the empirical evidence of Pakistan’s Trade flow with (S...
Economic Policy Uncertainty and Cash Holdings of Non-Financial Firms: Exploring the Role of Firm Characteristics
Objective: This study sets out to empirically investigate the effects of economic policy uncertainty (ECOPU) on firms’ cash holding decisions (FCHD) in Pakistan for the period 2010-2020. It also explores whether the impa...
Child Well-being and Economic Growth: A Cross Country Analysis
This study investigates the relationship between various indicators of child well-being and economic growth. It groups indicators of child well-being into four key dimensions, namely child health,...