1. Uncovering the Effect of News Signals on Daily Stock Market Performance: An Econometric Analysis
- Author
-
Shahid Raza, Sun Baiqing, Pwint Kay-Khine, and Muhammad Ali Kemal
- Subjects
stock market ,KSE-100 index ,OLS ,ARCH ,GARCH ,Pakistan Stock Exchange ,Finance ,HG1-9999 - Abstract
The stock markets in developing countries are highly responsive to breaking news and events. Our research explores the impact of economic conditions, financial policies, and politics on the KSE-100 index through daily market news signals. Utilizing simple OLS regression and ARCH/GARCH regression methods, we determine the best model for analysis. The results reveal that political and global news has a significant impact on KSE-100 index. Blue chip stocks are considered safer investments, while short-term panic responses often overshadow rational decision-making in the stock market. Investors tend to quickly react to negative news, making them risk-averse. Our findings suggest that the ARCH/GARCH models are better at predicting stock market fluctuations compared to the simple OLS method.
- Published
- 2023
- Full Text
- View/download PDF