Asset Price Bubbles with Specific Focus on Stock Prices in Pakistan

6 Pages Posted: 6 Jun 2012

See all articles by Nawaz Ahmad

Nawaz Ahmad

RTS (Research, Trainings, and Solutions); Institute of Business Management (IoBM)

Shafi Azam

affiliation not provided to SSRN

Multiple version iconThere are 2 versions of this paper

Date Written: October 25, 2007

Abstract

This research paper is an attempt to investigate Asset Price Bubbles (APB) with reference to Pakistan stock market. The analysis of time series graph shows a linear trend in CPI and M2I whereas a nonlinear trend in stock prices. Moreover, the graph also shows an unequal spread in both the stock prices which indicate Heteroskedasticity. Then, descriptive statistics test shows high Standard Deviations for stock prices compared with CPI and M2I which indicates a higher volatility in stock prices. Finally, hypothesis test for equality of variance concluded the presence of Asset Price Bubbles by rejecting null hypothesis of equal volatility against the alternative hypothesis of greater volatility in stock prices.

Keywords: Asset Price Bubbles, Stock Prices

JEL Classification: C12, G12

Suggested Citation

Ahmad, Nawaz and Azam, Shafi, Asset Price Bubbles with Specific Focus on Stock Prices in Pakistan (October 25, 2007). Available at SSRN: https://ssrn.com/abstract=2079216 or http://dx.doi.org/10.2139/ssrn.2079216

Nawaz Ahmad (Contact Author)

RTS (Research, Trainings, and Solutions) ( email )

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Institute of Business Management (IoBM) ( email )

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HOME PAGE: http://www.faculty.iobm.edu.pk/staff/nawaz-ahmad/

Shafi Azam

affiliation not provided to SSRN

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