Munich Personal RePEc Archive

Risk and return relationship in stock market and commodity prices: a comprehensive study of Pakistani markets

Hunjra, Ahmed Imran and Azam, Muhammad and Niazi, Ghulam Shabbir Khan and Butt, Babar Zaheer and Rehman, Kashif-Ur- and Azam, Rauf i (2010): Risk and return relationship in stock market and commodity prices: a comprehensive study of Pakistani markets. Published in: World Applied Sciences Journal , Vol. 13, No. 3 (2011): pp. 470-481.

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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.

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