STOCK MARKET VOLATILITY AND ITS DETERMINANTS IN PAKISTAN STOCK MARKET
Download| Volume 17 Issue 1 2021 | |
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| Author(s): |
Sumaira Tufail (Corresponding Author)
Dr. Sayyid Salman Rizavi
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| Abstract | Stock price volatility is considered as one of the most important areas of concern for the capital markets regulators, investors and academicians in recent years. Corporate dividend policy as a determinant of stock market volatility is a significant area of concern for the investors as well as the managers of the company due to political instability and the current economic crisis in Pakistan. This study aims at determining the effect of significant factors such as dividend yield, dividend payout ratio, foreign exchange rate and foreign direct investment on stock price fluctuation in Pakistan, which contributes to overall variation in stock price volatility. The study used a sample of 200 Pakistani listed companies by employing the regression analysis. The endogeneity issues were addressed through the generalized method of moments (GMM) estimation. The study concludes that stock price volatility has a negative association with dividend policy. The study also suggests that foreign direct investment and foreign exchange rates both negatively influence the stock price fluctuations in emerging markets. The findings of this study provide practical implications for the investors, policymakers and firm managers. |
| Keywords | Stock Market Volatility, Dividend yield, Dividend payout ratio, Foreign Exchange Rate, Foreign Direct Investment |
| Year | 2021 |
| Volume | 17 |
| Issue | 1 |
| Type | Research paper, manuscript, article |
| Recognized by | Higher Education Commission of Pakistan, HEC | Category | "Y" | Journal Name | IBT Journal of Business Studies | Publisher Name | ILMA University | Jel Classification | DOI | - | ISSN no (E, Electronic) | 2409-6520 | ISSN no (P, Print) | 2414-8393 | Country | Pakistan | City | Karachi | Institution Type | University | Journal Type | Open Access | Reviews Type | Blind Peer Reviewed | Format | Paper Link | http://ibtjbs.ilmauniversity.edu.pk/journal/jbs/17.1/4.pdf |