How political risks and events have influenced Pakistan’s stock markets from 1947 to the present

Masood, Omar and Sergi, Bruno (2008) ‘How political risks and events have influenced Pakistan’s stock markets from 1947 to the present’, International Journal of Economic Policy in Emerging Economies, 1(4), pp. 427-444.

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Masood, O. Sergi, B (2008) Int J. Economic Policy in Emerging Economies 1 (4) 427 - 444.pdf - Accepted Version
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Official URL: http://dx.doi.org/10.1504/IJEPEE.2008.021285

Abstract

In this paper, we analyse Pakistan’s political risks and events that have affected the country’s stock markets since 1947. We collected data in the form of questionnaires from historians, economists, politicians, government officials, bankers and stock market analysts in Pakistan and make forecasts using Bayesian hierarchical modelling and Markov Chain Monte Carlo (MCMC) techniques. Findings show that the probability of an event in any year is relatively high with an average arrival rate of 1.5 events per year with no time trend. In addition, forecasts suggest that the level of political risk should be remaining unchanged for the foreseeable future. Finally, we find that Pakistan’s political risk carries a risk premium of between 7.5% and 12%.

Item Type: Article
Additional Information: Citation: Masood, O. Sergi, B. S. (2008) 'How political risks and events have influenced Pakistan’s stock markets from 1947 to the present' International Journal of Economic Policy in Emerging Economies 1 (4) 427-444.
Divisions: Schools > Royal Docks Business School
Depositing User: Mr Stephen Grace
Date Deposited: 26 Jun 2009 09:38
Last Modified: 27 Sep 2012 12:01
URI: http://hdl.handle.net/10552/205

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