Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 2007 erstellt
Beschreibung:
This paper analyzes the differential impact of quot;nuclear newsquot; on the Pakistani and Indian stock markets using a GARCH (1,1) model. In May 1998, India carried out a series of nuclear tests; Pakistan reacted like wise in the very same month. Although it was not the first series of tests for India, it was for Pakistan. In December 2001, after the Indian parliament was attacked by a group of alleged quot;militantsquot;, missiles capable of carrying nuclear warheads were deployed along the international border by both countries. This event made the threat of a nuclear war very real, as has been agreed upon by different analysts. The econometric results show that Karachi Stock Exchange (KSE-100 index) reacted negatively based on mean level effects to nuclear newsquot; in 1998 and in 2001; whereas the Bombay Stock Exchange (BSE-100 index) reacted negatively only to the Indian nuclear tests in 1998. The GARCH variance analysis shows that the level effects are followed with high uncertainty for both the markets. Moreover, the differential immediate variance of the two markets suggests that Pakistan economy is more likely to face hardships of any nuclear fallout than the Indians. Thus not only does the nuclear news have non-symmetric effects on the two markets, Pakistan is more likely to be negatively effected than India as viewed by the stock market investors