Finance and Financial Management Commons^™

Does Momentum Matter? Modeling Stock Returns Through Fama-French And Carhart Model For Pakistan Stock Exchange, Mirza Osama Bin Shahid, Abdurrahman Aleemi, Muhammad Asadullah

Business Review

Asset pricing models are widely applied for explaining variations in stock returns. The applicability of these models is tested on different markets for assessing different stock price anomalies. In this paper, Fama and French three-factor model and Carhart Model were applied to the KSE-100 Index, over the period of 2004 to 2019. Following the FF 3 factor methodology, we create a relatively large number of portfolios based on size, value, and momentum, whereas the existence of the momentum factor was checked through the Carhart model. The results indicate that, out of 25 portfolios, 15 were able to explain the variations …

Risk Spillover From World Energy Markets To Pakistan Agricultural Commodity Markets. An Application Of Dependence Switching Copula Model, Hira Saeed, Rukhsana Bibi, Muhammad Tahir

Business Review

This study aims to examine the risk spillover from world energy markets to Pakistan’s agricultural commodities market using a time-varying copulas model. It also analyzes the dependence structure between energy and agricultural markets. The results show commodities such as wheat has less volatile behavior and weak lower tail dependence in energy-agricultural commodity pairs. The world energy volatility index is more volatile as compared to Pakistan’s agricultural commodities markets. Wheat is the least volatile commodity while palmolien is most volatile. The normal copula is best fitted for all energy and commodity pairs at 1% level of significance. Student-t copula is the …

Financial Integration And Exchange Market Pressure, Kate Phylaktis, Muhammad Aftab

CBER Conference

This study examines the role of financial integration on exchange market pressure (EMP) across a representative group of forty-two advanced and emerging markets over the period 2000-2019, which covers the global financial crisis, which has heightened monetary and economic policy uncertainty. We use a novel measure of financial integration, namely the uncovered equity return differential versus the US, which is based on the Uncovered Equity Parity and is available at a monthly frequency.

Linking Green Innovation, Corporate Environmental Performance With Financing Constraints: A Sustainable Transition Towards Environmental Protection, Syeda Fizza Abbas, Iqra Tariq, Fareeha Waseem

Business Review

Purpose: Accessing different sources of finance becomes difficult when companies fail to take action towards environmental protection. Motivated by the theoretical propositions of stakeholder theory, this research investigates the impact of green innovation (GI) and corporate environmental performance (CEP) on financing constraints (FC) in the context of the most polluting industries of an emerging economy.

Methodology: The sample is based on 33 companies from the cement, chemical and fertilizer sectors of Pakistan for the period of 2017 to 2020. For data analysis, random effects and VCE Robust regressions models have been employed to explore the link between GI, CEP and …

Behavioral Biases, Financial Literacy, And Investment Decision: A Case Of Individual Investors In Pakistan, Arslan Saleem, Muhammad Usman, Zahid Bashir

Business Review

This research dives into the interesting world of investment choices and analyses the influence that behavioural biases and financial literacy play in the process. The study uncovers the direct impact of behavioural biases such as anchoring, optimism bias, and loss aversion on investment decisions by using primary data from individual investors in the Lahore region. These individuals participated in the study. According to the findings of the study, having a solid understanding of finance can help mitigate the effects of cognitive biases and lessen the toll they take on investment choices. The study underscores the necessity for future research on …

The Financial Well-Being Of Households Through Digital Financial Inclusion: Does Age, And Gender Play Any Role? Evidence From Pakistan, Zahid Bashir, Sabeeh Iqbal, Muhammad Aamir

3rd IBA SBS International Conference 2024

Purpose: The objective of the study is to examine the impact of a system of digital payment as an indicator of financial inclusion on the financial well-being of vulnerable class of Pakistan having no bank account. Additionally, the study investigates the moderating role of age and gender with a special emphasis on the relationship between digital payment, and financial well-being.

Methodology/Design/Techniques: The study uses quantitative data obtained from users of the digital payment system (Jazz Cash, Easy paisa, U-cash, RAAST, mobile banking apps, etc.) through an online research survey across Pakistan. The study tested the hypothesis using the Smart PLS …

Islamic Banks' Decomposed Financing And Industrial Output Growth In Pakistan, Sadia Yasmin, Mohammad Ayaz Dr

Business Review

Abstract

Finance is considered as "the lifeblood of an economy" and imperative to a country's growth and stability. However, this perception has been called into two propositions, "More finance more growth "and "Does too much finance harm economic growth”? Existing literature considered only a single indicator i.e. total financing, assuming all financing has the same effect on growth. Furthermore, these studies also overlooked the nonlinear dynamics of Islamic decomposed financing and sectoral growth. As the composition of every economic sector is different, therefore financing can impact differently. This gap is covered in this study by decomposing Islamic financing into Islamic …

Ipo Waiting Period In Pakistan, Tayyeba Zanib, Muhammad Zubair Mumtaz

Business Review

This study examined the IPO waiting period from offering to the first trading day listed on the Pakistan Stock Exchange from 1995 to 2018. We find that firms that float shares to the general public have passed through multiple layers of inspection by underwriters, auditors, institutional investors, and regulatory bodies. The waiting period of the unseasoned issue is an essential predictor of uncertainty associated with a firm. To test this proposition, we first determine the endogenous and exogenous factors that influence IPO waiting period. The results confirm that the firms offer price, percentage of shares after issuance of IPO, book …

A Better Model? Testing Of Fama And French Six-Factor Model In Pakistan, Mehak Younus

Business Review

This study examines the performance of the Fama and French six factor model and the alternative six-factor model in explaining anomalous return patterns using a broad sample of the Pakistani stock market from 2000 to 2017. This study is the first to test the applicability of these models in Pakistan and their performance in explaining anomalous returns. There are 11 anomalies taken, which proved to be significant in the Pakistani market. The GRS test is used with other time-series measures to check the power of the given models in explaining one-way sorted quintile portfolios. The results reveal that both models …

Market Efficiency Of Cryptocurrency: Long Term Memory Effect In Bitcoin Trading, Zartashia Hameed, Saima Wazir

3rd IBA SBS International Conference 2024

Cryptocurrency market has attracted interest of both researchers and investors. It is a comparatively newer mode of transactions; therefore, both the agents are interested in the movement of these currencies in terms of volatility and profit. This research makes an effort to examine these phenomena with the help of long-range memory in the Bitcoin market using Generalized Hurst exponent methodology. For this purpose, the daily dataset spanning from 26^th August 2010 to 19^th April 2018 is collected, prepared and analyzed. Findings reveal interesting facts that the Hurst exponents for almost every year are above 0.5, and the long-range …

Role Of Organizational Capital At Different Phases Of Business’S Life Cycle: A Study Of Psx Companies, Zahid Bashir, Ghulam Ali Bhatti, Sobia Arshad

Business Review

The goal of this study was to examine the association between Business Life Cycle phases and organizational capital using PSX index companies. Mainly, the study investigates the relationship of organizational capital phases during different phases of the life cycle and comparison with high and low organizational capital. To fulfill this objective data has been collected of 56 companies of PSX index companies with yearly observations ranging from 2011-2020. For estimation, a multinomial logistic model was used due to categories of the dependent variable. The results indicate that organizational capital is positively significant at the maturity phase but negatively significant at …

Bonds Duration And Covid-19: A Study On United Kingdom Conventional Gilts, Riffat Abdul Latif Mughal

Business Review

This article studies whether the government bonds portfolio developed based on bonds duration produces abnormal returns in London Stock Exchange fixed income market during the phase of double-dip recession and COVID-19. The sample consists of UK conventional gilts traded from February 2004 till February 2021. The daily data is obtained from Thomson Reuters / Refinitiv Eikon. For this study, the data is divided into two subsamples July 2009-December 2018 and December 2019-February 2021. The findings reveal that all the bonds produced abnormal returns during the complete sample and sub-sample period when returns of UK gilts 1 year maturity are kept …

Investment Behavior During Covid Pandemic: An Evidence From Emerging Asian Markets, Sana Tauseef

Business Review

This study investigates the investor behavior in Asian emerging markets during the COVID pandemic period and assesses the asymmetric patterns and the influence of global and regional return dynamics on local investor behavior. It uses daily firm-level data from January 2001 to December 2020 for nine Asian emerging countries: China, India, Indonesia, Korea, Malaysia, Pakistan, Philippines, Taiwan and Thailand to estimate the impact of extreme price movements, market liquidity and US and Chinese market returns on local return dispersions using a non-linear specification. The findings indicate that rational price behavior prevailed in all markets over the COVID period. Though herding …

The Integration And Efficiency Of Brics And Pakistan Stock Markets: An Analysis Using Asymmetric Cointegration And Mf-Dfa Approaches, Rukhsana Bibi, Kalsoom Akhtar, Naveed Raza

Business Review

This study examines the asymmetric cointegration and efficiency between Pakistan and BRICS equity markets using monthly data from October 1997 to September 2018. The results reveal that the Brazilian stock market is the most efficient during the global financial crisis. Threshold and momentum threshold autoregressive models (TAR and M.TAR) confirm the presence of a long-run relationship between BRICS and Pakistan stock markets, where the speed of negative shocks is higher and significant for Pakistan Russian, Pakistan South Africa stock market pair. This infers quick adjustment of stock prices to negative shocks (bad news) as compared to positive shocks (good news). …

Volatility Spillover Between Stock Market And Currency Market Of Pakistan In The Presence Of Structural Breaks, Muhammad Jamil, Hifsa Mobeen

Business Review

This study examines the volatility transmission between the currency market and the stock market of Pakistan in the presence of structural breaks. For this purpose, daily data from the stock market and currency market is analyzed. An empirical investigation is conducted using the bivariate EGARCH model and the test for multiple structural breaks developed by Bai and Perron (2003). This study analyses these markets with the inclusion of sudden changes. Results of the EGARCH model suggest that volatility spillover is positive and bidirectional between these markets of Pakistan.

Women Who Dared: Female Entrepreneurs Defy Odds To Start Businesses During Covid-19, Kinza Tahir

MSJ Capstone Projects

With leadership roles being increasingly won by women all over the world, society benefits in all aspects especially economically when women earn incomes. In the trying times of the COVID-19 pandemic, many women usually perceived as second class citizens of Pakistan have started their own ventures amidst the pandemic.

Emerging Bond Markets: Shedding Light On Trends And Patterns, Tamara Teplova, Tatiana V. Sokolova, Qaiser Munir

Faculty Research - Books

The bond market is a key securities market and emerging economies present exciting, new investment opportunities. This timely book provides insights into these emerging bond markets through empirical models and analytical databases, i.e. Bloomberg, Eikon Refinitiv and the Russian Cbonds.

The book looks at the dynamics of the development of emerging bond markets, their competitiveness, features and patterns using macro and micro level data. It also takes into consideration various securities type i.e. government, corporate, sub-federal and municipal bonds, to identify respective challenges and risks. The book also analyses factors that may inhibit or stimulate a well-balanced financial market. It …

Gilgit-Baltistan At The Cross Road Of China-Pakistan Economic Corridor (Cpec), Zulfiqar Ali Khan

MSJ Capstone Projects

This capstone project focused on the in-depth analysis of the role and impact of this multi-billion-dollar project on the politically deprived region of Gilgit-Baltistan. This region is the gateway to CPEC as it is the only region of Pakistan that shares border with China. The geographical ties, tributary and trade relationship and even family relationships between Gilgit-Baltistan and the Xinjiang region of China dates back centuries before the creation of Pakistan and the post revolution China.

The project has been designed and implemented in a way that GB’s role is to provide the services of road and some other services …

The Economy Of Modern Sindh: Opportunities Lost And Lessons For The Future, Ishrat Husain, Aijaz A. Qureshi, Nadeem Hussain

Faculty Research - Books

The Economy of Modern Sindh delves into the different aspects of Sindh’s economy—from geography, topography, climate, administrative history, and demographics, to the political landscape, education, health, labour force and employment, poverty and inequality, agriculture and water issues, infrastructure, industries, energy resources, and public finances—each is covered in a separate chapter. The book highlights the socioeconomic problems that have beset Sindh, arresting the province’s economic potential, and proposes a multi-pronged strategy to address these challenges. It offers an incisive and objective assessment of the various policies enacted and pursued by the Sindh government over the years. It also attempts to identify …

Does Volatility Scaling Improve The Performance Of Momentum Strategies In The Pakistan Stock Exchange?, Mohsin Sadaqat, Hilal Anwar Butt

Business Review

Momentum profits are low among stocks listed on the Pakistan Stock Exchange. We explore whether this can be improved by exploiting the predicted negative relationship between returns and volatility of momentum strategies. This relationship suggests that momentum returns increase/decrease with decrease/increase in the volatility/variance of momentum returns during the previous six months. We find that scaled momentum strategies outperform the traditional strategy in terms of higher raw returns, risk-adjusted returns and Sharpe ratios. To show the superiority of scaled momentum strategies, we bootstrap the sample 100,000 times and generate the lognormal distribution of holding-period returns for all momentum strategies. We …

Impact Of Dividend Policy On Stock Prices: Evidence From Pakistan, Shahid Iqbal, Faisal Abbas, Bilal Aziz University Of Engineering And Technology, Lahore, Pakistan

Business Review

We study the impact of dividend yields and payout ratios on stock prices using an econometric model that also includes control variables such as debt leverage rates, earnings per share, total assets and asset growth. Relevant data for Pakistani companies are compiled from a variety of sources for the period 2001-2014. Econometric results show that dividend yields are negatively correlated and dividend payout ratios positively correlated with stock prices.

The Nexus Of Financial Deepening, Economic Growth, And Poverty: The Case Of Pakistan, Abdur Rehman Aleemi, Muhammad Azam

Business Review

This study investigates the nexus of financial development, economic growth, and poverty for Pakistan over a prolonged period of time, 1960- 2012. Autoregressive Distributed Lag (ARDL)-Bounds testing approach to co integration and Unrestricted Error Correction Model (UECM)along with VECM Granger causality have been applied to examine the long-run dynamic relationship among financial development, economic development and poverty. For that purpose, we have developed two models and adopted a new and relatively strong proxy for financial development. The results suggest that financial development negatively affects both long-run and short-run economic growth. However, financial development is found to be positively affecting per …

Easypaisa: Seizing The White Space And Business Model Innovation, Nasir Afghan

Business Review

EasyPaisa is a diversification case study written about two very different organizations, a Telco and Microfinance Bank, and how they merged to create a new business. This new business was providing Mobile Financial Services. Both Telenor (a Telco) and Tameer Bank (Microfinance bank) saw a business opportunity in branchless banking (business white space). They were committed to make this acquisition successful, where Telenor bought over 51%sharesof Tameer Bank. However, as per regulations, the branchless banking model is to be governed under a bank-led model. Therefore, the face of EasyPaisa has always been Tameer Bank which is expected to manage all …

Revisiting Compensating Wage Differentials: The Evidence From Employer-Provided Health Insurance, Dan Qu

Business Review

This paper uses 1996 and 2001 Survey of Income and Program Participation to examine the evidence for compensating wage differentials associated with employer-provided health insurance (EHI) in the United States. The results provide no evidence of a tradeoff between wages and EHI coverage. On the other hand, the results do suggest that employees who work in states with income taxes are more likely to receive EHI than those in states without income taxes. Fixed effects, first differencing and instrumental variable estimation are used to address the potential ability bias and endogeneity problems in wage models with EHI as an independent …

Wealth Effect Of Mergers & Acquisitions In Emerging Market: A Case Of Pakistan’S Banking Sector, Sana Tauseef, Mohammad Nishat

Business Review

This study investigates the short-term market response associated with the announcement of seven merger and acquisition deals in the banking sector of Pakistan during the period 2003 to 2008 using the event study methodology. The results indicate statistically significant investor reactions around the merger announcements. For individual target and bidder banks, the cumulative abnormal returns (CARs) range from significant positive to significant negative. The combined mean CAR for the bidder group is significant positive and for target group, the mean CAR is significant negative. The mean CAR for the combined banks in the domestic mergers is also positive but is …

An Evidence Of Profitability In Stocks Through The Test Of Logic, Muhammad Ikhlas Khan, Agha Ali Hassan

Business Review

In this world, people do one of two things with dollar, when they earn it. They either save it or consume it. Involuntarily, some of the money people consume is because they must pay tax or spending the dollar on something like food, clothing, or a car. For consumption at a later time, a person saves the dollar by putting it aside.

Determinants Of Financial Distress Evidence From Kse 100 Index, Malik Rizwan Khurshid

Business Review

Financial distress and its determinants are very important for investors as well as financial institutions; no one can deny its significance. This paper assesses the determinants of financial distress of non financial companies of Karachi Stock exchange from 2003 to 2010. Financial distress in companies was calculated from Z score model. Determinants like current ratio, profitability, efficiency, solvency and leverage were identified. Result shows current ratio, profitability, solvency and leverage are negatively correlated while efficiency is positively correlated.

An Empirical Study On Weak Market Efficiency Of Karachi Stock Exchange, Jaihan Zulqarnain, Syed Muhammad Amir Shah

Business Review

A lot of research has been conducted to check whether the Frontier and emerging markets show weak form of efficiency or follow a random walk. Karachi Stock Exchange, being a frontier market, was tested on the basis of daily closing values from 2006 to 2011. The study showed KSE to be a weak form inefficient market following non randomness. Three tests were applied on the data. KSE proved to have a unit root, the values in the series showed a strong correlation. Moreover, a Z-statistic value was far greater than 1.96 which proved KSE to be an inefficient market. Inefficient …

Interest Rate Sensitivity And Stock Returns, Mohsin R. Khan, Zahid Mahmood

Business Review

This paper investigates the sensitivity of interest rate to stock return of financial institutions traded at Karachi Stock Exchange. Two Index Model of Stone and Bernell(1974) have been used to test the proposition of the present study. Three different portfolios of financial institutions have been examined against sensitivity of actual and unanticipated interest rates. Repo rate/Policy rate instead of t-bill rate is used for the proxy of interest rate. The data is collected from twenty nine financial institutions covering the time period from 2004 to 2011. Unit root test, co integration and error correction mechanism have been checked before proceeding …

Relationship Of Single Stock Futures With The Spot Price: Evidence From Karachi Stock Exchange, Nasir Jamal, Ahmad Fraz

Business Review

The study is conducted to investigate the relationship of single stock futures with the spot price in Karachi Stock Exchange. Monthly data of twelve companies which are trading single stock futures have been examined for the period 1 January, 2005 to 31 December, 2010 with total of 72 observations for each company. Descriptive statistics, Unit Root test, Co-integration test, Granger Causality test, Vector Error Correction Model based on ARDL approach, Impulse Response and Variance Decomposition tests are used. The existence of long run relationship was found between the futures and spot prices of all the companies. The Granger Causality test …