25 research outputs found
Testing overconfidence bias in Pakistani stock market
No full textAbstract: Excessive trading phenomenon is contrary to the concept of traditional finance that is based on the rational expectation theorem and efficient market hypothesis. Therefore, this study is aimed at exploring the existence of overconfidence behavior in the stock market. The market-wide panel VAR model is used to investigate the lead-lag relationship between stock returns and turnover. Our results suggest that investors are overconfident in Pakistani stock market because turnover depends directly upon stock returns. The findings have important implications for investors and brokers for developing appropriate trading strategy
Exchange Rate and Foreign Trade: A Comparative Study of Major South Asian and South-East Asian Countries
No full textAbstractThe main purpose of this study is to examine the relationship of exchange rate with exports and imports of major South-Asian and Southeast Asian Economies. The Autoregressive Distributed Lag (ARDL) approach to co-integration and error correction model is employed to investigate the long run and short run relationship between the variables in sample economies over the period of 1979-2010. The results show that the long run relationship between exchange rate and exports exists in more than half of the sample countries; however, the relationship between exchange rate and imports is found only in one sample country. Moreover, the significant short run relationship between the variables is not found in majority of the sample countries
Systematic Risk Factors and Stock Return Volatility
Get PDFThis study analyzes the transmission of systematic risk exhaling from macroeconomic fundamentals to volatility of stock market by using auto regressive generalized auto regressive conditional heteroskedastic (AR-GARCH) and vector auto regressive (VAR) models. Systematic risk factors used in this study are industrial production, real interest rate, inflation, money supply and exchange rate from 2000-2014. Results indicate that there exists relationship among the volatility of macroeconomic factors and that of stock returns in Pakistan. The relationship among the volatility of macroeconomic variables and that of stock returns is bidirectional; both affect each other in different dynamics.
JEL code: C32, C58, G11, G12</jats:p
Nexus between Political Instability and Economic Growth in Pakistan
No full textAbstractThis study has explored the effect of political unrest on economic of Pakistan and its volatility over the period of last 22 years using annual time series data, which have been further decomposed into different quarters to capture interim effects. Terrorism, election, regime and strikes have been used as political instability proxies. ARCH and GARCH models have been used to examine the outcome of political uncertainty on the economic progress, that is, GDP in Pakistan. From the outcomes of GARCH (1, 1) model through the independent variables in the mean equation, it was found that among terrorism, election, regime and strikes, only terrorism has significant negative effect on the mean equation of the dependent variable. The results of GARCH (1, 1) model with independent variables in the variance equation shows that elections and regimes have significant negative effect on volatility of GDP. The overall results imply that political instability has significant negative effect on economic growth and the government should take corrective measures to bring political stability
Testing overconfidence bias in Pakistani stock market
No full textExcessive trading phenomenon is contrary to the concept of traditional finance that is based on the rational expectation theorem and efficient market hypothesis. Therefore, this study is aimed at exploring the existence of overconfidence behavior in the stock market. The market-wide panel VAR model is used to investigate the lead-lag relationship between stock returns and turnover. Our results suggest that investors are overconfident in Pakistani stock market because turnover depends directly upon stock returns. The findings have important implications for investors and brokers for developing appropriate trading strategy
Macroeconomic factors and foreign portfolio investment volatility: A case of South Asian countries
No full textAbstractMacroeconomic factors play a pivotal role in attracting foreign investment in the country. This study investigates the relationship between macroeconomic factors and foreign portfolio investment volatility in South Asian countries. The monthly data is collected for the period ranging from 2000 to 2012 for four Asian countries i.e. China, India, Pakistan and Sri Lanka because monthly data is ideal for measuring portfolio investment volatility. For measuring volatility in foreign portfolio investment, GARCH (1,1) is used because shocks are responded quickly by this model. The results reveal that there exists significant relationship between macroeconomic factors and foreign portfolio investment volatility. Thus, less volatility in international portfolio flows is associated with high interest rate, currency depreciation, foreign direct investment, lower inflation, and higher GDP growth rate of the host country. Thus findings of this study suggest that foreign portfolio investors focus on stable macroeconomic environment of country
Testing Technical Trading Rules: Evidence from SAARC Countries
Get PDFTechnical analysis is widely accepted tool in professional place which is frequently used for investment decisions. Technical analysis beliefs that there exist patterns and trends and by capturing trends and patterns one can bless with above average profits. We test two technical strategies: Moving averages and Trading Range to question, either these techniques can yield profitable returns with the help of historical data. Representative daily indices of Four countries namely Pakistan, India, Srilanka, Bangladesh ranging from 1997 to 2011 have been examined. In case of Moving Average Rule, both simple and exponential averages have been examined to test eleven different short term and long term rules with and without band condition. Our results delivered that buy signals generate consistent above average returns for the all sub periods and sell signals generate lower returns than the normal returns. Intriguing observation is that Exponential average generates higher returns than the Simple Average. The results of Trading Range Break strategy are parallel with Moving average Method. However, Trading Range Strategy found not to give higher average higher return when compared with Moving Averages Rules and degree of volatility in returns is higher when compared with moving Average rule. In attempt to conclude, there exist patterns and trends that yield above average and below average returns which justify the validity of technical analysis
Does the Construction of a Water Ecological Civilization City Improve Green Total Factor Productivity? Evidence from a Quasi-Natural Experiment in China
No full textTaking Water Ecological City Pilot (WECP) policy as a quasi-natural experiment, this paper adopts the PSM-DID method to investigate the impact of the WECP policy on the green total factor productivity (GTFP) of China’s prefecture-level cities. The results show that the implementation of the WECP policy significantly inhibits the improvement of GTFP. Furthermore, we find the implementation of the WECP policy has squeezed out government technological expenditures to some extent and aggravated the compliance cost of enterprises, which has not caused the “innovation compensation effect”, thus failing to improve GTFP. The heterogeneity analyses show that the policy effects vary with the imbalance of China’s regional development and resource endowments. Developed regions can better overcome the possible negative impact that comes with policy implementation. Governments need to formulate different policy strategies and plans from an overall macro perspective
Impact of Institutional Ownership on Stock Liquidity: Evidence from Karachi Stock Exchange, Pakistan
No full text This study empirically investigates the impact of institutional ownership on stock liquidity; we used a sample size of 84 non-financial companies listed on Karachi Stock Exchange (KSE). Data were gathered for the period of 10 years, starting from 2005 to 2014. This study employs turnover ratio to measure stock liquidity while institutional ownership is measured by dividing number of shares kept by institutions from total number of outstanding shares. The fixed effect model shows that the degree of stock liquidity in Pakistani-listed firms tend to significantly increase for the firms where institutions hold a significant amount of share of that particular firm. This study also finds that ownership by bank and investment companies are positively associated with liquidity, while relationship between ownership by insurance companies and stock liquidity is found to be insignificant. Our evidence supports that many but not all institutional investors play a positive role to improve stock liquidity in Pakistani capital market. The results of this study are important for dealers, traders and brokers, in the sense that they can facilitate investors in efficient resource allocation. </jats:p
Relationship between Macroeconomic Factors Volatility and Stock Return Volatility: Evidence from Pakistan
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