The study attempts to determine which, if any, of the macroeconomic and industry variables are of use in explaining the variability of stock returns of Pakistani Industries. The purpose of this study is to examine the stock returns variation to specific macroeconomic and industry variables by applying multi-factor model. The tests applied on the stock returns of each firm of the industry and on the data set of the entire industry as well to generalize the results. The results reveal that market return is mainly responsible for the stock returns variation, however the inclusion of other macroeconomic and industry related variables has added additional explanatory power in describing the stock returns variation. The firms relating to 09 different sectors are selected for this study on the basis of data availability, profitability and performance on the Karachi Stock Exchange 100 index. Descriptive statistics performed for the temporal properties of the data and Augmented Dickey Fuller (ADF) test applied to find out the data stationarity. GARCH model used to analyze the risk and returns relationship. The model consists of macroeconomic and industry variables.
Sectoral Analysis. An Investigation at Firm and Industry Level Economic Factors and Stock Returns:
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People qualify o receive welfare programs o ly if heir i come falls below a cer ai level. hey qualify for u employme compe sa io by losi g heir jobs. Whe he eco omy expa ds, i comes a d employme rise, a d fewer people qualify for welfare or u employme be efi s. Spe di g for hose programs herefore e ds o fall. Whe eco omic ac ivi y falls, i comes fall. people lose jobs, a d more people qualify for aid, so spe di g for hese programs rises. axes affec he rela io ship be wee real GDP a d perso al disposable i come hey herefore affec co sump io expe di ures. hey also i flue ce i ves me decisio s. axes imposed o firms affec he profi abili y of i ves me decisio s a d herefore affec he levels of i ves me firms will choose. Payroll axes imposed o firms affec he cos s of hiri g workers; hey herefore have -impac o employme a d o he real wages ear ed by workers. Exhibi below compares gover me reve ues o gover me expe di ures si ce I996. We see ha gover me spe di g i Kazakhs a has sys ema ically exceeded reve ues, reveali g a u derlyi g fiscal defici be wee 4 perce a d almos 9 perce of GDP, e aili g subs a ial public sec or borrowi g requireme s.
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