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DISTRIBUTION OF STOCK RETURNS IN AN EMERGING MARKET: THE PAKISTANI MARKET

FAZAL HUSAIN and JAMSHED UPPAL
Pakistan Economic and Social Review
Vol. 36, No. 1 (Summer 1998), pp. 47-72
Stable URL: http://www.jstor.org/stable/25825168
Page Count: 26
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
DISTRIBUTION OF STOCK RETURNS IN AN EMERGING MARKET: THE PAKISTANI MARKET
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Abstract

This paper examines the distributional characteristics of the Pakistani equity market as well as the effects of the opening of the market to international investors. Using daily data on 36 companies, 8 sector indices and the market index from January 1, 1989 to December 30, 1993, various prepositions regarding stock return behaviour are examined. The analysis shows significant positive returns in the market. These returns, however, like in other equity markets, do not follow normal distribution suggesting that theoretical models must be used with caution. An overtime analysis indicates that both the average return and stock returns volatility increased significantly when the market was opened. However, both the returns and volatility seem to have stabilized after one year.

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