Risk and Return Relationship in Stock Market and Commodity Prices: A Comprehensive Study of Pakistani Markets

World Applied Sciences Journal, Vol. 13, No. 3, pp. 470-481, 2011

12 Pages Posted: 19 Jul 2011

See all articles by Ahmed Imran Hunjra

Ahmed Imran Hunjra

University of Waikato; Pir Mehr Ali Shah Arid Agriculture University Rawalpindi (PMAS)

Muhammad Azam

Quaid-i-Azam University - Pakistan Institute of Development Economics (PIDE)

Ghulam Shabbir Khan Niazi

affiliation not provided to SSRN

Babar Zaheer Butt

Foundation University

Kashif ur Rehman

affiliation not provided to SSRN

Rauf I. Azam

Pir Mehr Ali Shah Arid Agriculture University Rawalpindi (PMAS)

Date Written: June 3, 2011

Abstract

The objective of this study is to determine the risk and return relationship on the basis of univariate modeling approach. This study is helpful to analyze the asymmetric nature of data including the seasonal affect and non linear properties in risk and return relationship scenario. In this study, monthly data was used regarding gold price, cotton prices and sugar price along with KSE 100 index. The data span of all variables cover the time period from July 1998 to July 2008. The overall results indicate that asymmetric and seasonal effect is present in commodities market and stock market. But the asymmetric properties and seasonal effect is most dominant in stock market prices comparative to other commodities.

Keywords: Risk and return relationship, Commodities, Stock market prices, Univariate modeling approach

Suggested Citation

Hunjra, Ahmed Imran and Azam, Muhammad and Niazi, Ghulam Shabbir Khan and Butt, Babar Zaheer and Rehman, Kashif ur and Azam, Rauf I., Risk and Return Relationship in Stock Market and Commodity Prices: A Comprehensive Study of Pakistani Markets (June 3, 2011). World Applied Sciences Journal, Vol. 13, No. 3, pp. 470-481, 2011. Available at SSRN: https://ssrn.com/abstract=1888568

Ahmed Imran Hunjra (Contact Author)

University of Waikato ( email )

Te Raupapa
Private Bag 3105
Hamilton, 3240
New Zealand

Pir Mehr Ali Shah Arid Agriculture University Rawalpindi (PMAS) ( email )

Muree Road Rawalpindi
Shamsabad, Punjab 44000
Pakistan
00923457162527 (Phone)

Muhammad Azam

Quaid-i-Azam University - Pakistan Institute of Development Economics (PIDE) ( email )

Quaid-i-Azam University Campus
P.O.Box 1091
Islamabad, Federal Capital 44000
Pakistan

Ghulam Shabbir Khan Niazi

affiliation not provided to SSRN ( email )

Babar Zaheer Butt

Foundation University ( email )

islamabad
Pakistan

Kashif ur Rehman

affiliation not provided to SSRN ( email )

Rauf I. Azam

Pir Mehr Ali Shah Arid Agriculture University Rawalpindi (PMAS) ( email )

Muree Road Rawalpindi
Shamsabad, Punjab 44000
Pakistan

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