Asset Price Bubbles with Specific Focus on Stock Prices in Pakistan

Busines Review - Volume 10, No. 1; ISSN:1990-6587

206 Pages Posted: 17 Jul 2015

See all articles by Nawaz Ahmad

Nawaz Ahmad

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

Rizwan Ahmed

Indus University

Yaseen Meeai

University of Karachi - Institute of Business Administration (IBA), Karachi

Multiple version iconThere are 2 versions of this paper

Date Written: June 30, 2015

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 between Consumer Price Index (CPI) and Money Supply Index (M2I) whereas a nonlinear trend with stock prices. Moreover, the graph also shows an unequal spread with the stock prices, which indicate Heteroskedasticity. Then, descriptive statistics test shows high Standard Deviations for stock prices compared with CPI and M2I, which indicate a higher volatility in stock prices. Finally, the 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; Consumer Price Index; Heteroskedasticity; volatility

JEL Classification: B22, C12, C43

Suggested Citation

Ahmad, Nawaz and Raheem, Ahmed and Meeai, Yaseen, Asset Price Bubbles with Specific Focus on Stock Prices in Pakistan (June 30, 2015). Busines Review - Volume 10, No. 1; ISSN:1990-6587. Available at SSRN: https://ssrn.com/abstract=2631477

Nawaz Ahmad (Contact Author)

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

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Karachi, Sindh 75500
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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/

Ahmed Raheem

Indus University ( email )

ST-2D, Block 17, Gulshan-e-Iqbal
Gulshan-e-Iqbal
Karachi, Sindh 75300
Pakistan

Yaseen Meeai

University of Karachi - Institute of Business Administration (IBA), Karachi

University Road
Karachi, Sindh 75270
Pakistan

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