Determinants of Conditional Volatility of Fifty Stock Returns and KSE 100 Index

In this academic research we investigated the determinants of the 50 volatility returns and the conditional volatility of the KSE 100 index from August 1998 to December 2008 and the impact of macroeconomic fluctuations on stock volatility. Macroeconomic variables included in the analysis include market yield, industrial productivity, interbank call option interest rate, interest rate structure, money supply, exchange rate, and inflation rate. To specify the relationship between the pre-economic factors and the price-earnings ratio, we use a reasonable evaluation formula (RVF) that sets the present value as a function of all expected dividends and discount rate expectations.

The KSE - 100 index is a value - weighted stock index that functions as a benchmark for comparing the price of the Karachi Stock Exchange (KSE) in time series. When deciding to calculate the index on behalf of the company, please select the company with the highest market value. However, companies that have the highest market capitalization for each sector are included to secure a complete market representation. This index began at the end of 1991 and began at a base of 1,000 points. By 2001, it has grown to 1,770. By 2005, it jumped to 9,989 points. It reached a peak of 12,285 in February 2007. The KSE - 100 index hit a record of 14,814 points on December 26, 2007, the day before the assassination of the former Prime Minster Plunge This index recovered rapidly in 2008, to about 15,500 highest level in April We have reached (mandatory). However, as of 22 November 2008, it fell to 9,187 during the 2008 global financial crisis.

In this academic research we investigated the determinants of the 50 volatility returns and the conditional volatility of the KSE 100 index from August 1998 to December 2008 and the impact of macroeconomic fluctuations on stock volatility. Macroeconomic variables included in the analysis include market yield, industrial productivity, interbank call option rate, interest rate structure, money supply, exchange rate and inflation rate. To specify the relationship between the pre-economic factors and the price-earnings ratio, we use a reasonable evaluation formula (RVF) that sets the present value as a function of all expected dividends and discount rate expectations.

The Karachi Stock Exchange monthly stock index data (KSE 100) was collected from the official KSE website from 31 January 2003 to 2009. The Karachi Stock Exchange is the largest and most active stock market in Pakistan, accounting for 65% to 70%. The value of the total stock trading in that country. Today foreign securities companies are allowed to participate in primary and secondary markets in Pakistan through a joint venture with investment bankers in Pakistan. Interest rates are the most noteworthy variable in financial markets. Their volatility is announced almost every day by news broadcasts. It has a direct influence on our daily life and has a big influence on the physical condition of the economy. The higher the interest rate, the lower the stock price because there is a negative correlation between them.