What Causes Stock Market Volatility in Pakistan? Evidence from the Field

<div>(a) Log return of KSE-100 with dormant values (RT) and without dormant values (RT_D). (b) Estimate of conditional standard deviation drive from ML estimation of <svg height="11.5564pt" id="M50" style="vertical-align:-2.26807pt" version="1.1" viewbox="-0.0498162 -9.28833 79.3708 11.5564" width="79.3708pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M517 162C503 123 484 88 467 68C445 42 417 34 341 34C291 34 256 34 237 47C219 59 213 81 213 128V317H308C395 317 402 311 415 240H444V431H415C403 364 398 356 307 356H213V584C213 613 215 616 246 616H322C394 616 421 609 435 587C448 566 458 544 467 502L496 506C493 557 488 625 488 650H42V622C120 616 128 612 128 523V125C128 43 120 35 29 28V0H511C520 31 540 125 546 158L517 162Z" id="g121-67"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="568" vert-adv-y="568"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,7.384,0)"><path d="M692 302H438V274C537 267 543 260 543 188V103C543 61 531 48 511 37C489 26 458 20 424 20C231 20 146 188 146 333C146 517 258 630 411 630C507 630 582 597 606 474L634 480C627 546 622 601 619 636C586 643 510 665 426 665C230 665 44 552 44 321C44 122 191 -15 411 -15C491 -15 573 7 635 21C629 49 628 81 628 116V202C628 261 632 266 692 274V302Z" id="g121-69"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="715" vert-adv-y="715"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,16.679,0)"><path d="M673 0V28C608 34 594 43 563 129C499 303 432 494 370 665L339 656L132 132C98 43 84 37 20 28V0H238V28C162 35 154 45 175 108C188 150 203 192 219 237H432C454 176 474 122 487 83S491 36 428 28V0H673ZM418 280H234C265 362 296 450 328 535H330L418 280Z" id="g121-63"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="691" vert-adv-y="691"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,25.662,0)"><path d="M631 18C609 24 585 35 559 65C534 91 514 117 478 169C448 214 406 281 389 313C462 346 516 399 516 485C516 545 490 590 449 616C412 641 363 650 290 650H42V622C120 615 128 612 128 527V125C128 40 120 34 38 28V0H300V28C221 34 212 40 212 125V284H244C295 284 312 272 329 244C359 195 395 133 430 84C475 19 516 -3 592 -7C603 -8 615 -8 627 -8L631 18ZM212 316V563C212 591 215 602 223 607C231 613 248 617 277 617C352 617 423 577 423 469C423 415 407 375 368 345C343 324 310 316 260 316H212Z" id="g121-80"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="621" vert-adv-y="621"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,33.761,0)"><path d="M614 175C564 76 510 21 408 21C256 21 146 149 146 336C146 488 235 629 402 629C510 629 570 586 597 480L626 488C620 541 614 582 606 638C578 643 510 665 429 665C206 665 44 527 44 316C44 157 153 -15 402 -15C474 -15 558 5 586 11C604 45 629 119 643 165L614 175Z" id="g121-65"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="665" vert-adv-y="665"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,42.406,0)"><path d="M729 650H468V622C546 615 554 610 554 527V365H213V527C213 610 221 616 297 622V650H38V622C120 616 128 611 128 527V123C128 39 120 34 40 28V0H303V28C221 34 213 40 213 123V322H554V123C554 39 546 34 460 28V0H728V28C647 34 639 39 639 123V527C639 610 647 615 729 622V650Z" id="g121-70"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="766" vert-adv-y="766"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,52.364,0)"><path d="M300 -147C201 -63 143 98 143 270S200 602 300 686L282 710C136 610 70 450 70 271V270C70 89 136 -72 282 -170L300 -147Z" id="g113-41"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="346" vert-adv-y="346"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,56.862,0)"><path d="M384 0V27C293 34 287 42 287 114V635C232 613 172 594 109 583V559L157 557C201 555 205 550 205 499V114C205 42 199 34 109 27V0H384Z" id="g113-50"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="480" vert-adv-y="480"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,63.102,0)"><path d="M95 130C70 130 46 113 46 88C46 72 54 64 59 64C93 55 121 33 121 -3C121 -41 93 -68 44 -88L55 -117C117 -98 186 -56 186 22C186 91 131 130 95 130Z" id="g113-45"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="228" vert-adv-y="228"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,68.245,0)"><path d="M384 0V27C293 34 287 42 287 114V635C232 613 172 594 109 583V559L157 557C201 555 205 550 205 499V114C205 42 199 34 109 27V0H384Z" id="g113-50"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="480" vert-adv-y="480"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,74.543,0)"><path d="M275 270C275 450 212 609 64 710L45 686C145 604 203 442 203 270S147 -63 45 -147L64 -170C213 -68 275 89 275 270Z" id="g113-42"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="346" vert-adv-y="346"></glyph.data></g></svg> model with and without dormant values.</div>

Economics Research International

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Figure 4

Figure 4: What Causes Stock Market Volatility in Pakistan? Evidence from the Field 