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The E ec O Lo e y Demand On The S ock Ma ke Du ing
Changing Economic Condi ions: A Case S udy O Pakis an (PSX).
Faiza Sajjad
Assis an Regis a , SBK Women's Uni e si y Sub Campus, Khuzda .
Khu am Shahzad*
Assis an P o esso , IMS, Uni e si y o Balochis an, Que a
Email: [email p o ec ed]
Fauzia Ahmed
Lec u e , IMS, Uni e si y o Balochis an, Que a
Wahab Ahmed
Lec u e , BUITEMS, Que a
Abs ac
The s udy aims o e alua e he economic cycles o ou p e ious go e nmen s and he
in luence o economic shocks on s ock p ices. Quan ile eg ession and po olio
so ing examine he e ec s o economic unce ain y on s ock e u ns, ola ili y, and
in es o sen imen . The obus ness s udy employs c oss-sec ional eg ession using he
Fama-MacBe h me hod. Elec ions make ma ke s less s able and lowe e u ns. People
we e unce ain abou he elec ions due o he 2008 global inancial c isis. I caused
s ock p ices o go down. Resea che s disco e ed ha s ocks wi h idiosync a ic
ola ili y (IVOLT) and skewness (ISKEN) a e simila o lo e y icke s. I means ha
when hings a e unclea , in es o s end o p e e sa e asse s. S ocks like MAXRET(1)
and MAXRET(5), which ha e e y high e u ns o e one and i e days, end o
unde pe o m when poli ical s abili y is uns able. I suppo s he no ion ha changes
in in la ion, in e es a es, and exchange a es make iskie s ocks wo h less. The
economy can in luence how he ma ke ope a es and cause p ices o luc ua e apidly
because ading based solely on momen um is ine ec i e.
Keywo ds: Mac oeconomic indica o s, S ock Ma ke Vola ili y, Idiosync a ic
Vola ili y, Lo e y S ocks, Momen um S a egies. Pakis an S ock Exchange, PSX.
In oduc ion
People om all walks o li e in es in Pakis an's s ock ma ke , which is i al o he
economy. Economic issues ha e long plagued he Ka achi S ock Exchange (KSE),
now he Pakis an S ock Exchange (PSX) (Ta iq e al., 2021). Mos equi y p ices
depend on public pe cep ions o he economy, go e nmen policies, and he na ion's
u u e. Tausee 's 2020 s udy ound ha s ock ma ke in es o s in Pakis an a e ola ile
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du ing economic policy ansi ions. Pakis ani s ock ma ke in es o s use his app oach.
Wang e al. (2024) say i is ha d o link lo e y demand o he s ock ma ke , s uc u al,
and economic changes. The ela ionship is linked o mac oeconomic changes. The e
a e se e al plausible connec ions be ween hese ex emes. Economic ins abili y may
lead people o ake isks, such as in es ing hea ily in s ocks o buying lo e y icke s.
Inc eased isk- aking may explain his. Al hough unknown, his may be an a emp o
op imize inancial esou ces (Pe een e al., 2020).
In a 2020 s udy, Salisu and colleagues ound ha in es o s may swi ch om sa e
op ions, such as s ocks, which a e ulne able o mac oeconomic ins abili y, o mo e
appealing op ions, such as gambling o lo e ies, which o e as e e u ns du ing
economic ins abili y. In p olonged economic and inancial down u ns, s ockless
lo e ies may be a sa e in es men . Lee e al.'s 2020 s udy ound ha s ockless
lo e ies a e less ola ile du ing economic u moil. S ockless lo e ies do no equi e
in es o s o possess i m sha es. Liquidi y and ac i i y can show how lo e y spending
a ec s he s ock ma ke . I is because he s ock ma ke is cons an ly changing. Lo e y
pa icipa ion may educe capi al lows in he s ock ma ke , acco ding o Adil e al.
(2023). These esea che s' indings unde pin his no ion. This s udy examines how
economic a ia ions a ec lo e y icke sales and he Pakis ani s ock ma ke .
In es o s, economis s, ma ke pa icipan s, and s a egic policymake s will bene i
mos om hese mee ings. I is due o economic unce ain y and non-ins i u ional
in e es in he s ock ma ke . This s udy examines how good and nega i e economic
changes a ec inancial ma ke opinions. I will ollow consume hough s and
eelings. I will help us unde s and Pakis ani e ail in es o s' beha io du ing
economic unce ain y, no ably lo e y ac i i y, which may signal economic weakness
o suscep ibili y. I illumina es he beha io o Pakis ani e ail in es o s unde
economic unce ain y. This s udy examined how economic de elopmen s a ec ed
Pakis an's s ock ma ke and lo e y icke sales. In conclusion, his inqui y has a clea
goal. This s a egy shows how eme ging-coun y inancial ma ke s add ess social and
economic issues.
P oblem S a emen
In es o sen imen subs an ially in luences go e nmen and social issues ha a ec
inancial ma ke s. Ma ke s a e a ec ed by bo h causes. In imes o economic u moil,
de eloping na ions like Pakis an ha e mo e ola ile s ock ma ke s. These na ions ha e
long- e m economic conce ns. Ma ke ola ili y is o cing in es o s o swi ch
posi ions. I a ec s he ma ke and encou ages he ading o psychologically ola ile,
specula i e s ocks. Unde s anding how specula i e s ock demand d i es ma ke
ola ili y du ing economic ansi ions helps in es o s eac when ma ke s a e s able.
T ading on economic news du ing o a e inciden s some imes swings ma ke s. I
occu s equen ly h oughou ansi ions. In es o con idence d ops when ma ke
s abili y is endange ed. Many people buying gambling-like equi ies could p oduce
excessi e specula ion, asse bubbles, and dep ecia ion. The alue o o he asse s will
dec ease. Wi hou a comp ehensi e s a egy o manage hacke s' sophis ica ed sys em
weaknesses, e i ees isk inancial loss. Unde s anding complex s a egy equi es a
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de ailed plan. This specula ion unde mines ma ke sa e y laws and s a egies. A mo e
comple e economic solu ion o specula i e lo e ies could a e his issue. I may aid
egula o s and he public.
Resea ch Objec i e
Demand o lo e y icke s shi s in he e en o signi ican economic ins abili y. This
mo emen is d i en by a ange o economic easons and occu s du ing subs an ial
economic ins abili y. As his e olu ion un olds, demand o lo e y icke s will shi .
I is impossible o o e s a e he impo ance o keeping his in mind, pa icula ly
du ing imes o economic unce ain y. I canno be s essed enough. This a iance has
a isen due o he signi ican economic ins abili y occu ing in ecen imes. This
ins abili y has pe sis ed o he pas ew yea s. This esea ch is being conduc ed o
iden i y he key economic and poli ical ac o s d i ing cu en ola ili y. As a esul , i
will be possible o de e mine he causes esponsible o he oscilla ions obse ed
con inuously since he beginning o his p ocess.
Signi icance o he S udy
E en execu i es bene i om end analysis. Unce ain in es o s may de elop s ock
ma ke s anda ds using new business o economic da a. S a egic ma ke ing and
in es o ela ions may p omo e s ock o e s and specula ion. Economics s ongly
impac inance. In he con ex o economic and inancial ins abili y, hype in la ion,
cu ency dep ecia ion, and unp edic able mone a y policies, lo e y icke sales and
economic g ow h a e hu . E en lawed lo e y icke s empowe people expe iencing
po e y. Economic Joe s udies gold p ices. Lo e y and isky in es men sales a e
d i en by economic unce ain y. In es o s can chu n ma ke s wi hou go e nmen
con ol. Though people p e e secu e in es men s, economic unce ain y may help
in es o s p o i om s ock ma ke ine iciencies. Analys s mus ack in es o
sen imen and echnological us o comp ehend dis up i e echnologies and
in eg a o s.
Pakis ani case s udies combine inancial and economic aspec s in ma ke ing. Assess
he coun y's o in es men 's economic p og ess. I a ec s socie y and he economy
beyond money. Economic analysis shows ha a s able economy boos s consume and
in es o con idence. I unce ain y encou ages i a ional inancial isk- aking,
legisla ion may be needed. Polls demons a e poo inancial li e acy. Lo e y-like
sys ems need economic and inancial backing o e hical in es ing, planning, and
asse managemen . Economic change and ma ke isk appe i e a e a ely s udied.
Since lo e y icke demand, Pakis ani s ock ma ke ola ili y, and economic
ins abili y a ec in es o s, ma ke s, banks, and ins i u ions, his gap wa an s
explo a ion. Risk managemen , in es men decisions, and egula o y e iciency
imp o e wi h his knowledge. Schola ship and inance a e p omo ed. Economic
g ow h, inancial ins i u ions, and mac oeconomic s abili y will su e .
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Li e a u e Re iew
Lo e y demand has been ex ensi ely s udied in economics, in es men heo y, and
beha io al inance. Consume s p e e asse s wi h a sligh chance o eno mous ewa ds
despi e hei a e age nega i e alue (Jiang e al., 2024; Moaaz & Mansou , 2023). As
wi h lo e y icke s, he odds o winning big a e signi ican ly lowe han he icke
p ice. Risk- aking a i udes, posi i e eedback loops, and biases ha a ec a i udes
and pe cep ions c ea e he illusion o chance when none exis s (Kuldip Kau & Sahni,
2023). Financial ma ke lo e ies a e impo an because Kahneman and T e sky's
p ospec heo y sugges s ha people a e mo e likely o ake isks when he e is a
po en ially ad an ageous la ge payou , e en i he likelihood o ob aining ha ewa d
is low (Zhang e al., 2021). P ospec heo y holds ha in es o s a e mo e inclined o
buy lo e y- ype asse s when hey o e es ima e small odds and unde es ima e
mode a e o high p obabili ies (Zia ko e al., 2024). This is why in es o s may hold
s ocks despi e hei in insic alue, especially in unce ain o inancially challenging
imes. Jong e al. (2017) obse ed ha s ongly skewed s ocks unde pe o m bu can
gain signi ican ly.
Lo e y s ocks ha e low p ices, signi ican idiosync a ic ola ili y, and ex eme
posi i e skewness because in es o s a e willing o pay despi e he poo odds (Akba
and Bhu o, 2023). These s ocks a e like lo e y icke s; low odds o signi ican gains,
high odds o ailu e. Lo e y s ocks ha e high e u n skewness and a e a oided since
hey a ely pe o m well (Mie sch e al., 2024). Thei analysis also ound ha
in es o s wan une en p o i s om hese companies. Lo e y-like s ocks a e cheap
wi h a skewed yield dis ibu ion and e a ic pe o mance (Su, 2021). Though hey
could make signi ican gains, many s ocks lose money. This g oup says i a ional
hinking and gambling cause in es o s o acqui e hese s ocks. Acco ding o Kashi e
al. (2023), lo e y s ocks exhibi low sha e p ices, i m-speci ic ola ili y, and s ong
skewness in hei e u n dis ibu ions. Specula o s buy hese companies despi e poo
e u ns. Pe sonal biases a ec s ock demand mo e han beha io al heu is ics o
undamen al alue, he s udy shows. Zia ko e al. (2024) a gue ha lo e y s ocks wi h
low odds o la ge p izes a e mos likely gambling. In es o s a e willing o isk a "be "
on hese s ocks o signi ican gains. They claim ha p ospec heo y and he
exagge a ion o small likelihoods d i e in es o s o hese s ocks. Nasi e al. (2023)
imply ha lo e y s ocks a e sough by isk- ake s o sho - e m gains despi e long-
e m unde pe o mance. He inds ha eme ging economies wi h igo ous specula i e
in es o ac i i y a e mo e likely o ha e hese equi ies, con a y o undamen al
esea ch.
Jiang e al. (2024) say lo e y s ocks a ac specula i e in es o s willing o isk mo e
o make mo e money. Simila o lo e y icke s, hese in es men s bene i some while
unde pe o ming o o he s. Vola ili y, psychological biases, and ma ke in ui ion
d i e lo e y s ock pu chases, no undamen al analysis (Rosa, e al., 2022). These
unique me hods explain he popula i y o lo e y s ocks among high- isk in es o s (An
e al., 2023). Pe haps he mos unique ai o lo e y s ocks is hei posi i ely skewed
e u n dis ibu ion (Bali e al., 2021). Simila o winning he lo e y, hey equen ly
yield low e u ns bu some imes high ones. Beha io al inance shows ha in es o s
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o e es ima e he likelihood o la ge p o i s and buy s ocks wi h e en he inies
p obabili y o disp opo iona e e u ns. O he esea ch demons a es ha companies
wi h high downside isk pe o m poo ly o e ime, al hough ypical in es o s like
hem (Zia ko e al., 2024).
Lo e y s ocks also ha e high idiosync a ic ola ili y, meaning i m-speci ic e en s
cause p ice di e gence (Mi al e al., 2020; Ta iq, 2021). Many ade s y o
capi alize on ma ke ola ili y o quick cash (De ulapally & T ipu ana, 2023).
Howe e , ola ili y can cause ins abili y and inancial losses om ash ac ions.
O he cha ac e is ics o lo e y s ocks include hei low p ices, some imes penny
s ocks unde $5 pe sha e. Penny s ocks a ac in es o s who expec highe p o i s
(Te u ama, 2022). I is w ong because losses, poo company pe o mance, and
agg essi e specula ion lowe s ock alues. Many small in es o s acqui e hese s ocks
in bulk due o hei low cos , boos ing ading olume and p ice ola ili y (Chen &
Lin, 2025). In he long un, lo e y s ocks unde pe o m. The specula i e na u e and
weak undamen als o many o hese companies lowe hei a e age e u ns despi e
hei sho - e m p o i po en ial. In es o s seeking a wind all may igno e hese sha es'
empi ically nega i e isk-adjus ed e u ns. Fundamen al and cau ious in es o s should
a oid hese s ocks due o declining e u ns (Index In es men S a egy, 2023; Nasi e
al., 2023).
Lo e y s ocks exhibi g ea e ku osis han "no mal" equi ies, leading o la ge p ice
mo emen s. Lo e y s ocks ha e sho - e m losses and high p o i s, while o he s ocks
o e mo e consis en e u ns. Lo e y s ock in es men s en ice gamble s despi e mos
losing money (Lobo & Bha , 2021). Lo e y s ocks ade o en. Buye s and selle s
ea n om p ice swings by ading hese s ocks (Jiang e al., 2024). This me hod aises
ade olume and c ea es p ice booms and bus s, when s ock p ices ise owing o
an ic specula ion and plumme when i calms. Specula i e ading is possible wi h
hese ola ile, ma ke -sensi i e sha es (S i as a a e al., 2022).
Mo e lo e y s ocks a e in de eloping coun ies han in sophis ica ed inancial ma ke s.
Eme ging na ions ha e mo e specula i e in es o s, ine icien s ock ma ke s, and lax
inancial ules. Poo ly educa ed in es o s domina e hese ma ke s, which isk
signi ican losses. These ma ke s expe ience g ea e specula i e ading due o
economic unce ain y (Sh u i Punj, 2023). Economic ac o s shape he complex
ma ke s uc u e, d i ing luc ua ions and ends. In e es a es, GDP g ow h, in la ion,
employmen , exchange a es, and go e nmen policies a ec in es men decisions
(Jui e al., 2024). Economic s eng h boos s consume spending, ma ke con idence,
and demand o high-yield asse s. In slow economies, in es o s buy s ocks o bonds
o p e e low- isk in es men s like gold and go e nmen bonds based on hei
pu chasing powe (Fede -Sempach e al., 2024). Go e nmen ambi ions, policies, and
geopoli ical e en s a ec asse alues, while ade ela ions a ec in es o con idence
and capi al low. The "less a o able" ela ionship be ween poli ical and economic
issues mus be conside ed while in es ing (Omo & Fa uq, 2023).
Changes impac in es o s' isk ole ance and economics. G adual GDP and
employmen g ow h boos in es o op imism (Maghdid e al., 2024; Rashid, 2024).
The ising alue o de eloping i ms, he demand o iskie asse s wi h highe yields,
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and he s ock ma ke cash lood e lec his op imism. E ans desc ibes sel - ul illing
p ophecies as "g ow h-o ien ed," meaning in es o s buy mo e ac oss he ma ke
du ing economic expansion (Banne e al., 2018; Zia ko, 2024). Recessions lowe
in es o mo ale by educing co po a e p o i abili y, inc easing economic ins abili y,
leading o unemploymen , and slowing consume spending. In es o s p e e low- isk
s a egies, such as de ensi e equi ies, gold, and ixed-income p oduc s, du ing
economic u bulence (Fede -Sempach e al., 2024). The economy always impac s
in es o and inancial ma ke beha io . The economy elies on inancial ma ke s
(Alim e al., 2024). Mac oeconomic ac o s a ec in es men , isk ole ance, capi al
lows, and ma ke sen imen . Kang e al. (2022) no e ha hese op issues signi ican ly
in luence in es o beha io and capi al ma ke ac i i y. Regional economic heal h is
measu ed by GDP and economic de elopmen . GDP g ow h boos s ma ke g ow h,
consump ion, building, co po a e ea nings, and s ocks. G owing economies ha e
op imis ic equi y ma ke s (Jui e al., 2024). S ock ma ke in es o con idence is
g owing. Posi i e olks ake mo e isks han pessimis s. G ow h companies a e mo e
popula ; he e o e, in es o s buy hem agg essi ely du ing pe iods o high GDP
g ow h.
Indus ial, consume disc e iona y, and echnology s ocks g ow (Eboigbe & Modugu,
2018). S ong GDP g ow h boos s global and domes ic in es men . When GDP alls,
consume s wo y, p omp ing a ma ke sell-o , lowe p ices, and weake in es o
con idence in he ma ke s and hemsel es (Mounee e al., 2023). Financial ma ke s
and in es o s a e a ec ed by in la ion (Kuma , 2009; Kahneman & T e sky, 1979;
Bali, Cakici, & Whi elaw, 2011).
In la ion lowe s in es men p o i s and pu chasing powe (James & Chin, 2022). Gold
and eal es a e ou pe o m low-yielding ixed-income p oduc s as in la ion ises. P ice
inc eases aised in e es a es, a ec ing bo owing cos s and co po a e p o i s. Cen al
banks mus cu expendi u e o lowe he money supply when in la ion ises. Ma ke
co ec ions lowe indus ial ou pu (Su esh & Kuma , 2021). Cen al banks domina e
in e es a es and ma ke in es men plans (Las auskas & Nguyen, 2023). Because
cen al banks adjus in e es a es o boos o slow g ow h o in la ion. Low in e es
a es allow banks o bo ow ese es and boos business and consume spending. I
boos s s ocks (Jahn i & De i, 2023). Howe e , ising in e es a es educe he
a ailabili y o money, lowe ing s ock ma ke ea nings and aising bo owing cos s. As
in e es a es ise, in es o s a e u ning o bonds, which a e s able and o e limi ed
e u ns. Rising in e es a es limi s ock and co po a e in es men . Declines in he
la e boos s ock p ices, alue caps, and assessmen s (Zia ko e al., 2024).
The ex en o which a ma ke allows asse pu chases o sales a de ined p ices is
called liquidi y. Banking and mone a y policy a ec c edi a ailabili y, which impac s
loan eligibili y o indi iduals and en e p ises. Inc eased liquidi y s eamlines
ansac ions, boos ing in es o us . Finance encou ages businesses and indi iduals o
in es and ake on isk. Inc eased ading olumes educe ola ili y in liquid ma ke s.
In inancial c ises, liquidi y may e apo a e, p omp ing s eep losses and panic selling
(Punj, 2023; Wang e al., 2024). Consume spending and he economy depend on jobs.
The economy is h i ing despi e challenges and high unemploymen (Ba ello & Hugie,
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2023). Employmen is s ongly linked o consume spending and in es men . The
economy declines as unemploymen g ows, and o e spending makes in es o s isk-
a e se. S ong labo ma ke s o en accompany high s ock ma ke s, especially in
consume -d i en indus ies. Inc eased unemploymen can induce ecessions and s ock
ma ke d ops (Da id e al., 2023).
Changes in exchange a es a ec in e na ional ade and in es men . A s ong na i e
cu ency may a ac in e na ional in es men , whe eas a weak one may cause capi al
ligh . Con e ing a dep ecia ing asse in o i s local cu ency may esul in a loss
(Anwa e al., 2023). In e na ional in es o s lee s ock ma ke s o hose wi h s able
cu encies and lowe exchange a es. S ong cu encies damage expo -led en e p ises
by aising expo p ices. A weake cu ency weakens compe i i eness and may aise
impo p ices and in la ion (Hassan e al., 2022; Younis, 2020).
Cus oms, o eign aid, and balance o paymen s in luence a na ion's inancial s a egy.
Expanding go e nmen spending and dec easing axes boos economic g ow h,
whe eas con ac iona y policies educe he budge de ici (Makohon, 2021).
Economic g ow h, employmen , s ock appeal, and company ea nings gain om iscal
expansion. Tule e al. (2020) p edic lowe disposable incomes and company
p o i abili y due o ewe disc e iona y expendi u es. In as uc u e and go e nmen
subsidies would boos he economy and s ock p ices. Go e nmen expendi u e
inc eases in la ion and deb , hu ing he ma ke (Ga g e al., 2024). In an in eg a ed
economy, he inances o majo global economic gian s hea ily a ec ma ke
in es o s. Ta i s, ade, and in e na ional ela ions a ec in es men . Ta i s make
ma ke s unp edic able; he e o e, in es o s shun hem (Maghdid e al., 2024).
Economic alliances and ee ade ag eemen s be e p o ec in es o s. T ade wa s,
global ecessions, and geopoli ical un es can dis up supply chains, dec easing
co po a e ea nings and inc easing ma ke ola ili y (Wang e al., 2024).
The economy, ma ke expec a ions, and ea nings a ec in es o sen imen and s ock
p ices. O e p iced ma ke s co ec , bu inexpensi e ma ke s a ac long- e m
in es men . In es o s will specula e in p icey ma ke s (Sipley, 2021). De ensi e
equi ies sa egua d in es o s in weak ma ke s. Ma ke bubbles esul om
o e con idence in s ock p ices. Jabeen e al. (2022) s a e ha ma ke collapses lead o
signi ican alls and inancial disas e s. Oil and o he commodi ies impac global
inance. Gold, c ude oil, and ag icul u al p ices a ec indus ial p oduc ion and
in la ion. To hedge agains in la iona y expec a ions om high commodi y p ices,
in es o s buy gold o ene gy equi ies (Zaka ia e al., 2021). Raw ma e ial i ms p o i
om lowe p ices. As oil p ices ise, he economy may s agna e, spend less, and
in la e. Howe e , declining oil p ices can sugges weak global demand and economic
con ac ion (Mukh a o e al., 2021; Sia, 2023).
Co po a e success d i es s ocks. S ong p o i g ow h announcemen s boos in es o
spending and s ock p ices. Good ea nings boos s ock sales and spending, while bad
ones dep ess hem. Ea nings analysis is essen ial o po olio planning. S ong
co po a e ea nings uel bull ma ke s, while ea nings declines igge co ec ions and
ecessions (Akba & Bhu o, 2023). In es o psychology a ec s ma ke swings. Fea ,
g eed, and panic cause ma ke ola ili y. In es o s' o e con idence and he d men ali y
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o en p oduce asse bubbles o ma ke c ashes. Conce n abou he economy can d i e
ma ke sell-o s, while exhila a ion can cause eckless specula ion (Alamsyah e al.,
2023).
In e es a es, in la ion, and exchange a es a ec he as es and beha io o lo e y
s ock in es o s. Lo e y s ocks a ac in es o s willing o assume unnecessa y
inancial isks o he po en ial o signi ican gains (Kashi e al., 2023). I is gene ally
ecognized ha mac oeconomic condi ions a ec pe cep ions o isk and ewa d, as
well as capi al ma ke alloca ion. These quali ies and hei consequences on in es o
sen imen and co po a e us mus be examined o measu e ma ke heal h and
inancial s abili y (Ghani & Ghani, 2024; Salim, 2020).
H1: In es o p e e ences o lo e y s ocks a e signi ican ly in luenced by
mac oeconomic ac o s such as in la ion, in e es a es, and exchange a es.
Resea ch Me hodology
This esea ch u ilizes a quan i a i e amewo k o examine he nexus be ween lo e y-
like s ock demand, s ock ma ke ola ili y, and poli ical egime change in Pakis an.
The esea ch employs a panel da a amewo k spanning 21 yea s, om 2002 o 2023,
o accommoda e a b oad a ay o economic and inancial di e ences. A pi o al aspec
o he esea ch design is i s e en -d i en na u e, which enables he examina ion o
in es o beha io be o e, du ing, and a e economic policy changes. The esea ch
ensu es a obus empi ical analysis by using e cile-based quan ile eg ession (low,
middle, and high e ciles) o examine how sen imen -based ading a ies wi h
changes in in es o isk ole ance. The s udy ca ego izes lo e y-like s ocks based on
h ee basic ai s: maximum daily e u n (MAXRET), idiosync a ic ola ili y (IVOL),
and low s ock p ices (below PKR 10 pe s ock). By g ouping in es o s in o e ciles
(lowe 33%, middle 33%, and uppe 33%), he s udy ho oughly analyzes he di e se
esponses o a ious in es o g oups o s ock ma ke ola ili y, mac oeconomic
shocks, and poli ical ensions. The applied quan ile eg ession me hod cap u es
he e ogeneous e ec s, showing ha isk- aking beha io inc eases du ing pe iods o
high ma ke ola ili y.
The dependen a iable is s ock e u ns, de ined as he a io o o al ading olume o
lo e y-like s ocks. The independen a iables a e idiosync a ic ola ili y (Fama-
F ench six- ac o ), economic ac o s (in la ion, unemploymen , and economic
unce ain y). Using e cile-based quan ile eg ession, his esea ch design p o ides a
p ecise examina ion o in es o sen imen ac oss di e en le els o isk exposu e,
he eby o e ing a ho ough s udy o beha io al inance in unce ain economic
ma ke s. This s udy uses a quan i a i e me hod o examine he impac o economic
e en s on he e u ns o sha es lis ed on he Pakis an S ock Exchange (PSX).
The p ima y dependen a iable in his esea ch is s ock e u n, while he p ima y
independen a iable is he yea s o economic ansi ion in 2002, 2008, 2013, and
2018. These yea s o ansi ion a e ma ked by p ima y elec ions and egime changes
in Pakis an, his o ically linked o shi s in ma ke s abili y and in es o sen imen . To
ensu e obus and eliable indings, his s udy employs he Fama-MacBe h eg ession
as an al e na i e empi ical echnique. The esea ch design is s uc u ed in o h ee
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phases: i) explo a o y da a analysis and desc ip i e s a is ics, ii) quan ile eg ession
o he p ima y analysis, and iii) Fama-MacBe h eg ession o c oss-sec ional
obus ness checks. Combining quan ile eg ession wi h Fama-MacBe h es ima ion,
his esea ch p o ides a conclusi e analysis o he impac o economic unce ain y on
s ock ma ke beha io in an eme ging ma ke such as Pakis an. This esea ch design
ensu es ha in es o sen imen , isk a e sion, and mac oeconomic ac o s a e
sys ema ically con olled and ha he indings a e obus and policy- ele an . The
s udy popula ion comp ises all publicly lis ed companies on he Pakis an S ock
Exchange (PSX) be ween 2002 and 2023. The sampling p ocess is s anda dized so
ha he sample comp ises i ms om a ious indus ies wi h di e en isk exposu es.
The mos signi ican sample selec ion c i e ion is ha companies mus ha e been
con inuously lis ed on he PSX h oughou he s udy pe iod (2002–2023) o allow o
consis en e u n calcula ions. Second, ading ac i i y in low- equency s ocks o
hose wi h illiquidi y is a oided o p e en selec ion bias. Thi d, he las sample is
p ima ily composed o companies wi h long eco ds o s ock e u n da a, p ecise
inancial measu es, and pe inen mac oeconomic a iables. Fou h, an app op ia e
mix o la ge-, mid-, and small-cap s ocks is used o ensu e ha signi ican ins i u ional
in es men s do no skew esul s. Finally, he esea ch ocuses on s ock e u ns, using
e idence om p e-e en , e en , and pos -e en pe iods o measu e changes in in es o
sen imen .
The inal sample is a panel da ase o PSX-lis ed i ms wi h daily and mon hly s ock
e u ns, ola ili y indica o s, and i m-le el inancial a iables. The s udy ensu es
su icien s ocks ac oss all sec o s, he eby allowing a b oad ep esen a ion o how
di e en indus ies espond o poli ical ins abili y. The sample size is expec ed o
luc ua e om yea o yea due o de-lis ings, new IPOs, and changes in ma ke
s uc u e, bu a minimum numbe o i ms is gua an eed o ensu e s a is ical
comple eness. The sampling me hod adop ed is pu posi e sampling, as companies a e
selec ed based on ma ke ep esen a ion, ade olume, and da a a ailabili y, a he
han andomly. Using his me hod, he da ase becomes mo e e ec i e in cap u ing
he e ec o economic unce ain y on s ock e u ns, making he in e ence
gene alizable o he en i e Pakis ani equi y ma ke . The pape also uses e cile-based
quan ile eg ession, in which s ocks a e segmen ed in o low-, medium-, and high-
e u n e ciles, and analyzes how di e en in es o segmen s espond o economic
shocks.
S ock ma ke da a, including daily and mon hly s ock e u ns, is sou ced om he
Pakis an S ock Exchange (PSX) and Da aS eam. Fi m-speci ic inancial ea u es,
ading olume, and isk ac o s a e a ailable in he da ase , suppo ing a obus
examina ion o how s ocks wi h di e en isk p o iles eac o economic shi s.
Mac oeconomic a iables, including in la ion, unemploymen , and economic
unce ain y, a e sou ced om he S a e Bank o Pakis an (SBP) and he Wo ld Bank's
Wo ld De elopmen Indica o s (WDI).
S ock e u n, used as a dependen a iable in he s udy, is de ined as:
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MAX (5)
Quan ile
Equal
Weigh ed
Value
Weigh ed
In e p e a ion
In la ion
Bo om
-
0.1472***
-
0.1635***
In la ion shocks cause ade s o wi hd aw
om highly ola ile MAX- e u n s ocks.
In la ion
Top
0.1019***
0.1342***
Op imis ic in la ion ou look boos s sho -
e m specula i e be s.
In e es Ra e
Bo om
-
0.2598***
-
0.3096***
Tigh mone a y policy supp esses
gambling- ype ading beha io .
In e es Ra e
Top
0.0726**
0.0911**
S able in e es a es encou age sho - e m
lo e y ading.
Exchange
Ra e
Bo om
-
0.2189***
-
0.2564***
Vola ile exchange ma ke s limi in es o
exposu e o MAX(5) s ocks.
Exchange
Ra e
Top
0.0832**
0.1289***
Exchange s abili y o app ecia ion
igge s specula i e in lows in o ex eme-
e u n s ocks.
Low-P ice
Quan ile
Equal
Weigh ed
Value
Weigh ed
In e p e a ion
In la ion
Bo om
-
0.1784***
-
0.2047***
In la ion inc eases isk a e sion, educing
specula i e ading in low-p iced s ocks.
In la ion
Top
0.0938***
0.1265***
P ice s abiliza ion e i es specula i e
appe i e o penny- ype s ocks.
In e es Ra e
Bo om
-
0.2417***
-
0.2884***
High policy a es discou age in es men
in cheap, high- isk sha es.
In e es Ra e
Top
0.0631*
0.0867**
Lowe a es o s able condi ions enhance
small-s ock ading ac i i y.
Exchange
Ra e
Bo om
-
0.2032***
-
0.2479***
Dep ecia ion inc eases unce ain y,
dampening specula ion in low-p iced
s ocks.
Exchange
Ra e
Top
0.0794**
0.1128***
Exchange a e s abiliza ion imp o es
sen imen owa d specula i e s ocks.
In Model 7, he in e ac ion be ween in la ion and low-p iced s ocks shows a
signi ican nega i e impac (β = -0.123, p < 0.01), sugges ing ha in la ion
unce ain y o ces in es o s o e ea om low-p iced, specula i e s ocks. The low-
p ice a iable i sel (β = -0.142, p < 0.05) e eals ha such asse s a e suscep ible o
mac oeconomic shocks. Con ol a iables pe o m simila ly ac oss all models and a e
consis en wi h heo e ical expec a ions. Momen um and e e sal a e nega i e and
highly signi ican (p < 0.01) ac oss he boa d, sugges ing a endency owa d ma ke
co ec ions. Fi m size (Ln Size) and book- o-ma ke a io (Ln BM) a e nega i ely
ela ed o e u ns, consis en wi h he size and alue e ec s o he Fama–F ench (1993)
models. Con e sely, illiquidi y and u no e yield mixed esul s, gi en di e en
liquidi y dynamics ac oss economic condi ions.
Models (5) and (6) discuss he in e es a e and exchange a e e ec s on ex emes in
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e u n beha io s, p oxied by he a iables MAX(1) and MAX(5), espec i ely. Bo h
o hese mac oeconomic a iables ea u e con as ing ye logical e ec s: While
in e es a es in Model (5) ea u e a posi i e impac , wi h a β o 0.089 and p < 0.01,
e lec ing he ac ha mode a e s abili y in a es encou ages specula ion in pu sui o
sho - e m e u ns, MAX(1) is nega i e a β = -0.019 and p < 0.01, sugges ing
excessi e ola ili y in in e es a es supp esses lo e y-like in es men beha io .
No ably, he exchange a e in model (6) e eals a posi i e coe icien , β = 0.071, and
p < 0.01, consis en wi h he no ion ha cu ency s abiliza ion a o s op imism in he
sho e m, whe eas MAX(5) emains nega i e a β = -0.177 and p < 0.01, e lec ing
ex eme ola ili y in cu ency ma ke s ha discou ages gambling- ype in es men
beha io .
Table 2: Robus ness Analysis FAMA-MACBETH
Va iable
Model
(1)
In la i
on +
IVOL
T
Model
(2)
In e es
Ra e
+
IVOL
T
Model
(3)
Exchan
ge Ra e
+
IVOLT
Model
(4)
In la i
on +
ISKE
N
Model
(5)
In e es
Ra e
+
MAX(
1)
Model
(6)
Exchan
ge Ra e
+
MAX(5
)
Model
(7)
In la i
on +
Low
P ice
Cons an
-0.086
-0.067
-0.074
0.021
0.071
0.045
-0.152
In la ion
-
0.111*
**
-
0.094*
**
-
0.123*
**
In e es Ra e
-
0.132*
**
0.089*
**
Exchange
Ra e
0.083**
*
0.071**
*
IVOLT
-
0.068*
**
0.053*
*
0.061**
ISKEN
-
0.101*
*
MAX(1)
-
0.019*
**
MAX(5)
-
0.177**
*
LnP ice
-
0.142*
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*
TSKEN
0.059
-0.066
-0.051
-0.173
-0.048
-0.189
0.022
TVOL
-
0.019*
*
0.034*
*
-
0.171**
-
0.095*
*
-
0.089*
*
-
0.097**
-
0.026*
*
Ma ke Be a
0.012*
-
0.127*
*
-
0.132**
0.066*
*
-
0.079*
*
-
0.085**
0.029*
Momen um
-
0.185*
**
-
0.041*
*
-
0.043**
-
0.113*
**
-
0.115*
**
-
0.118**
*
-
0.048*
*
Ln Illiquidi y
0.082*
*
-0.022
-0.009
-0.004
0.043*
0.048*
-0.039*
Ln Tu no e
0.045
-
0.167*
*
-
0.175**
-
0.094*
*
-
0.087*
*
-
0.091**
-0.067*
Ln BM
-
0.129*
*
-0.014
-0.017
-0.043*
-
0.109*
*
-
0.117**
-
0.178*
*
Ln Size
-
0.142*
*
-
0.139*
*
-
0.146**
-
0.036*
*
-
0.034*
*
-
0.038**
-
0.157*
*
Re e sal
-
0.141*
**
-
0.172*
**
-
0.177**
*
-
0.139*
**
-
0.146*
**
-
0.152**
*
-
0.183*
**
Adjus ed R²
0.59
0.57
0.55
0.53
0.61
0.58
0.56
F-S a is ic
29.82*
**
28.63*
**
27.11**
*
30.25*
**
31.49*
**
28.02**
*
29.36*
**
Obse a ions
3,200
3,200
3,200
3,200
3,200
3,200
3,200
Mul icollinea
i y
< 2.0
< 2.0
< 2.0
< 2.0
< 2.0
< 2.0
< 2.0
Conclusion
This me hod shows ha economic ansi ions a ec s ock ma ke beha io , suppo ing
p e ious esea ch on economic unce ain y and inancial ma ke s (Pas o & Ve onesi,
2013; Bialkowski, Go schalk, & Wisniewski, 2008) Acco ding o he Fama-MacBe h
c oss-sec ional eg ession model, unce ain y, ma ke ola ili y, and in es o isk
a e sion lowe s ock e u ns in elec ion yea s (2002, 2008, 2013, and 2018). All
models had a nega i e coe icien o he economic ansi ion a iable, especially in
2008 (-0.178), sugges ing ha mac oeconomic shocks, such as he global inancial
c isis, can wo sen economic ins abili y. Acco ding o Pás o and Ve onesi (2013),
elec ions gene a e policy unce ain y; he e o e, isk-a e se in es o s hoa d isky
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asse s. We ag ee wi h Bialkowski e al. (2008) ha economic cycles a ec equi y
ma ke s, especially in eme ging and ulne able economies.
This s udy sugges s ha high- ola ili y s ocks unde pe o m du ing economic
ansi ion. I aids quan ile eg ession and po olio so ing. IVOLT was -0.07 and -
0.047 in 2013 and 2018, indica ing a good associa ion wi h s ock pe o mance. Bali,
B own, and Tang (2017) ound ha high-idiosync a ic- ola ili y s ocks unde pe o m
ollowing economic shocks. Economic unce ain y hu lo e y-like idiosync a ic
skewness (ISKEN) s ocks in 2008 and 2013 (-0.113 and -0.109). I suppo s he
beha io al inance no ion ha in es o s o e pay o specula i e s ocks in some
ma ke s bu buy sa e ones in o he s (Kuma , 2009). Ex eme e u n s ocks MAXRET
(1) and (5) unde pe o m (-0.198 and -0.167) in 2008 and 2018. I sugges s ha
elec ion unce ain y dec eases sho - e m specula i e ading (Bali e al., 2011).
This s udy also ound ha elec ions impai momen um-based in es men . The 2002
and 2008 momen um coe icien s (-0.04) imply economic unce ain y in luences
ma ke sen imen , making i ha d o ic o s o hold gains. Momen um s a egies ail
du ing ma ke co ec ions and pe iods o unce ain y (An oniou, Doukas, &
Sub ahmanyam, 2013). The nega i e e e sal coe icien s, especially in 2008 (-0.09),
sugges ha in es o s espond mo e o economic announcemen s and mac oeconomic
su p ises du ing pe iods o economic unce ain y (Cho dia & Shi akuma , 2002).
Sho - e m p ice co ec ions a e mo e likely du ing elec ions, hus ade s may need
mo e lexibili y.
This s udy helps in es o s, und manage s, and economical nego ia e s ock ma ke
elec ions. Risk a e sion and unce ain y hu ola ile, specula i e s ocks du ing
economic unce ain y. In es men manage s may buy sa e equi ies be o e elec ions.
In con olling economic isk, liquidi y is s udied, and high- u no e sha es pe o m
be e du ing elec ion yea s, sugges ing ha in es o s a ou sha es ha can be
upda ed quickly a e policy changes. O icials should main ain anspa en and
p edic able economic policies du ing elec ions o p o ec in es o con idence and he
s ock ma ke . Go e nmen policies and e o s o educe unce ain y can calm
inancial ma ke s and boos long- e m in es men .
This s udy ex ends he economic unce ain y and inancial ma ke s model and
suppo s he ideas o economic isk, in es o sen imen , and ma ke s angeness. The
da a co obo a e he Economic Unce ain y Hypo hesis (Pas o & Ve onesi, 2013),
which posi s ha elec ions and policy e o ms boos isk p emiums and lowe s ock
e u ns. This s udy shows ha economic de elopmen s s ongly in luence s ock
ma ke s. economical ins abili y inc eases ma ke ola ili y and lowe s s ock e u ns,
he heo y says. Fama-MacBe h c oss-sec ional eg ession, quan ile eg ession, and
po olio es s show ha isky, specula i e equi ies wi h high idiosync a ic ola ili y,
posi i e skewness, and ex eme e u ns unde pe o m in uns able Elec ion isk-
a e sion pulls in es men s om isky o sa e s ocks. Due o policy unce ain y,
in es o sen imen a ies, making momen um s a egies less e ec i e and ma ke
ends mo e unp edic able. The indings con i m beha io al inance heo y, showing
ha in es o s o e eac o mac oeconomic and o he economic isks, he eby c ea ing
ma ke ine iciencies.
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The indings emphasize liquidi y and agg essi e in es ing du ing pe iods o economic
ins abili y. Amid economic unce ain y, high- u no e sha es ou pe o m, sugges ing
ha in es o s a o ma ke -adap able asse s. No size o book- o-ma ke e ec makes
economic isk a ma ke elemen , no a s ock ac o . The indings emphasize he
impo ance o isk managemen du ing economic unce ain y, which policymake s
and in es o s need. A oiding specula i e, ola ile equi ies and picking liquid, well-
ounded asse s may help in es o s p e en elec ion losses. Economic s abili y and
policy cla i y du ing elec ions educe unce ain y and boos in es o con idence. This
hesis adds o economic isk and s ock ma ke s udies by showing how elec ions a ec
in es o choices and isk a i udes. Economic ansi ion poses sys emic isks ha
in es o s and po olio manage s mus conside , acco ding o a s udy. Use
sophis ica ed econome ic models o s udy ime- a ying economic isk, in es o mood
be o e and a e elec ions, and policy-se ing implica ions on ma ke mo emen s.
Economics and beha io al inance can bene i om examining how economic isk
shapes global inancial ma ke s.
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