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Daily Stock Market Movements: From the Lens of News and Events

Author

Listed:
  • Shahid Raza

    (Pakistan Institute of Development Economics, Islamabad)

  • M. Ali Kemal

    (Pakistan Institute of Development Economics, Islamabad)

Abstract

There are various factors that affect movements of the stock market. Month to month variations in stock market can be studied using several fundamentals such as interest rate, prices, exchange rate etc. However, daily movements can only be determined by different signals or news/events. This study analyzes the effect of daily movements in KSE-100 Index due to different policies announced as well as incidents/events happened in the country. Therefore daily data is collected on the movements in stock market and reason for major change in that day from the Sunday edition of the Daily Newspaper “The News”, It is concluded that global news and political new can effect stock market index ferociously. Investment in Blue chips is a safe haven for the investors. It is not the determinant of KSE index, instead it is the outcome of the movements in KSE index. Moreover, panic attack is always higher than the herd behaviour as far as day to day transactions are concerned. Investors react quickly to negative news than to positive news, which makes them risk averter. ARCH/GARCH model explain KSE movements better than simple OLS method.

Suggested Citation

  • Shahid Raza & M. Ali Kemal, 2017. "Daily Stock Market Movements: From the Lens of News and Events," PIDE-Working Papers 2017:146, Pakistan Institute of Development Economics.
    • Handle: RePEc:pid:wpaper:2017:146
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    References listed on IDEAS

    as
    1. Caporale, Guglielmo Maria & Hunter, John & Menla Ali, Faek, 2014. "On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007–2010," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 87-103.
    2. Abdul Qayyum & A. R. Kemal, 2006. "Volatility Spillover between the Stock Market and the Foreign Market in Pakistan," Finance Working Papers 22216, East Asian Bureau of Economic Research.
    3. Abdul Qayyum & Saba Anwa, 2010. "Impact of monetary policy on the volatility of stock market in pakistan," Economics Bulletin, AccessEcon, vol. 30(4), pages 1-28.
    4. Qayyum, Abdul & Kemal, A. R., 2006. "Volatility Spillover Between the Stock Market and the Foreign Exchange Market in Pakistan," MPRA Paper 1715, University Library of Munich, Germany.
    5. Naeem Muhammad & Abdul Rasheed, 2002. "Stock Prices and Exchange Rates: Are they Related? Evidence from South Asian Countries," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 41(4), pages 535-550.
    6. Mohammed Nishat & Rozina Shaheen, 2004. "Macroeconomic Factors and Pakistani Equity Market," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 43(4), pages 619-637.
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    Cited by:

    1. Shahid Raza & Sun Baiqing & Pwint Kay-Khine & Muhammad Ali Kemal, 2023. "Uncovering the Effect of News Signals on Daily Stock Market Performance: An Econometric Analysis," IJFS, MDPI, vol. 11(3), pages 1-25, August.
    2. Mosab I. Tabash & Musla Valappil & Uzma Iqbal & Umar Farooq & Kai-Yin Woo, 2023. "Stock market Reaction to General Election in Pakistan: An Event Study Methodology," Advances in Decision Sciences, Asia University, Taiwan, vol. 27(4), pages 90-113, December.

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    Keywords

    Stock Market; Finance; News Model; Pakistan Stock Exchange;
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