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
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新兴市场的股票回报波动性：卡拉奇证券交易所的案例研究
DOI：
10.1108/03074359810765417
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发表时间：
1998
影响因子：
1.6
通讯作者：
Jamshed Y. Uppal
中科院分区：
文献类型：
--
作者：
Jamshed Y. Uppal
报道担心，取消对外国人证券投资的限制将导致发展中国家资本市场过热或过度波动。描述了巴基斯坦卡拉奇证券交易所突然取消限制，考虑到 1991 年的六项显着进展。检查 1988 年至 1993 年（自由化期间）市场指数每周回报的方差同质性。发现从长远来看，股市波动将反映经济变量，而市场则显示出信息效率。
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.