E3 Journal of Business Management and Economics
E3 Journal of Business Management and Economics Vol. 3 (7) pp. 275-282, July 2012; © E3 Journals; ISSN 2141-7482
Impact of global financial crisis on stock markets: Evidence from Pakistan and IndiaRafaqet Ali1 , Muhammad Afzal2
1 Department of Economics, Gomal University, Dera Ismail Khan-Pakistan
2 Department of Management Sciences, COMSATS Institute of information Technology, Islamabad
Accepted 10 May 2012
Recent devastating global financial crisis started from United States, spread all over the world and adversely affected real and financial sectors of developed as well as developing countries. This crisis is called the first largest crisis after the recession of 1930s. The prime aim of this study is to envisage the impact of recent global financial crisis on stock markets of Pakistan and India. For this purpose, daily data from 1st January 2003 to 31st August 2010 of KSE-100 and BSE-100 indices, representing stock marketsâ€™ indices of Pakistan and India respectively, are used. To find volatility, EGARCH model is applied. This study empirically reveals that negative shocks have more pronounced impact on the volatility than positive shocks. These stock markets also faced persistent volatility clustering. Recent global financial crisis made mild negative impact on stock returns and enhanced volatility in Pakistani and Indian stock exchanges but this impact is stronger on Indian stock market.
Keywords: Volatility; EGARCH;Financial crisis; Pakistan; India[Download Article - PDF]