The Lahore Journal
of Business

The Lahore Journal
of Business

Lahore Journal of Business

(HEC recognized journal in “Y” category)

The Lahore Journal of Business is aimed at providing a specialized forum for dissemination of qualitative and quantitative research in various areas of business administration. The LJB invites researchers, policy makers and analysts to submit original theoretical and empirical papers that explore and contribute to the understanding of various areas in the business domain. The Journal aims at bringing together state-of-art research findings, particularly from emerging markets, in various business disciplines including (but not limited to) accounting, banking, management, marketing, finance, investments, human resource management and organizational behavior.

Muhammad Hammad, Adil Awan and Amir Rafiq

This study considers seven different stock exchanges in order to measure the impact of demutualization announcements on stock market return volatility. This is measured based on the daily index prices of all seven indices: the Toronto Stock Exchange (TSX) in Canada, the FTSE 100 in the UK, the Straits Times Index (STI) in Singapore, the Nikkei 225 in Japan, the Kuala Lumpur Composite Index (KLCI) in Malaysia, the SENSEX in India, and the Hang Seng Index (HSI) in Hong Kong, China. A dummy variable is used to differentiate between pre- and post-event data. We use the augmented Dickey–Fuller test, the ARCH LM test and GARCH (1, 1) methodology to measure return volatility due to demutualization announcements. The results show that the decision to demutualize did not affect the UK, Singapore, and Indian stock markets, where volatility is explained by other factors. It did, however, affect the Canadian, Japanese, Hong Kong, and Malaysian stock markets. Moreover, the Canadian and Malaysian markets were negatively affected, while the Hong Kong and Japanese markets reacted positively to the demutualization announcements.