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Full-Text Articles in Finance and Financial Management
Bonds Duration And Covid-19: A Study On United Kingdom Conventional Gilts, Riffat Abdul Latif Mughal
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
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
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
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.