Economic Forces and Firm Stock Returns Volatility: Role of Firm Features

Authors

  • Muhammad Saqib Bashir Butt
  • Hasniza Mohd Taib

DOI:

https://doi.org/10.52131/pjhss.2019.0703.0087

Keywords:

economic forces, firm volatility, firm features

Abstract

Stock market volatility is always been a major concern for investors, regulators, policy makers and academicians. Unfortunately, firm level volatility has not been given the due attention. The studies dealing with the firm level volatility are scarce. Moreover, a common assumption of homogenous nature of firms is used in the aggregate stock market analysis, sectoral level analysis and even in a firm level analysis. This homogenous assumption was objected by several researchers and suggested that firms are heterogeneous even in a narrowly defined sector. Furthermore, firms are different from each other because of possessing different characteristics. Based on that firm’s response to macroeconomic changes would not be the same. Hence, the hypothesis testing ignoring this fact could be spurious. This study proposes five categories in which firms can be classified, such as firm age, firm size, firm nature of business, firm trading nature and the sectoral location of the firm. This study proposes to examine the linkages between the macro economic factors and the firm level stock returns volatility considering the given firm features. It is expected from the empirical testing that the macroeconomic factors effect firm stock returns volatility belonging to different firm features differently, both in terms of magnitude and sign.

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Author Biographies

Muhammad Saqib Bashir Butt

School of Economics, Finance and Banking, College of Banking, Universiti Utara Malaysia, Sintok, 06010, Kedah State, Malaysia

Hasniza Mohd Taib

School of Economics, Finance and Banking, College of Banking, Universiti Utara Malaysia, Sintok, 06010, Kedah State, Malaysia

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Published

2019-09-30

How to Cite

Butt, M. S. B., & Taib, H. M. (2019). Economic Forces and Firm Stock Returns Volatility: Role of Firm Features. Pakistan Journal of Humanities and Social Sciences, 7(3), 281–302. https://doi.org/10.52131/pjhss.2019.0703.0087

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Section

Articles