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Full-Text Articles in Economics
Beta Stationarity And Estimation Period: Evidence From Pakistan's Equity Market, Sana Tauseef
Beta Stationarity And Estimation Period: Evidence From Pakistan's Equity Market, Sana Tauseef
Business Review
This study examines the stability of individual stock beta coefficients over time and its link with the length of estimation periods. Using data for 325 stocks from Pakistan for the period 1999 to 2012, I show that beta coefficients are not stable on average but become more stable as the estimation period increases. This suggests that longer estimation periods should be used for predicting future beta coefficients. JEL Classification: G12, G23
The Ex-Dividend Day Stock Price Behavior: Evidence From Pakistan, Sana Tauseef, Mohammad Nishat
The Ex-Dividend Day Stock Price Behavior: Evidence From Pakistan, Sana Tauseef, Mohammad Nishat
Business Review
The paper examines the ex-dividend day price behavior of the listed stocks in Karachi Stock Exchange for the period January 2009 to June 2010. During the examined period, there was no capital gain tax; however a 10% withholding tax applied on dividends. We use the standard event study methodology to examine the abnormal returns for days surrounding the exdividend day. The study reports a very low price drop ratios compared to their theoretical values. No significant excess returns are found on the exdividend day; however, significant positive abnormal returns are observed in the pre-event window and negative excess returns are …
The Casual Link Between Stock Returns And Trading Volume: Some Evidence From An Emerging Market, Abdul Rashid
The Casual Link Between Stock Returns And Trading Volume: Some Evidence From An Emerging Market, Abdul Rashid
Business Review
This paper investigates the dynamic association between daily stock index returns and percentage trading volume changes. To proceed with this, linear and nonlinear Granger causality tests are applied to the Karachi Stock Exchange (KSE) data. The analysis covers the span of about 5 years with 1266 daily observations. The same methodology is employed for two non-overlapping sub-periods to examine the robustness of the results. Unidirectional linear Granger causality from stock returns to trading volume is observed for the entire sample period and for both the sub-periods as well. The null hypothesis of linear Granger noncausality from percentage volume changes to …
Random Walk Tests For Kse-100 Index: Evidence And Implications, Abdul Rashid
Random Walk Tests For Kse-100 Index: Evidence And Implications, Abdul Rashid
Business Review
The variance-ratio tests are used to test the random walk hypothesis for Pakistan’s stock exchange. The evidence indicates that the stock prices generally do not follow random walk over the entire examined period. This piece of evidence is robust during the second sub-period. During the first sub-period, however, the stock prices do not behave non-randomly. The absence of a random walk is implying that profitable trading rules can be devised. The findings also show that the Karachi Stock Exchange falls back to normal after being dramatically affected by a shock.
Have We Missed The Rally?, Talib Haider
Have We Missed The Rally?, Talib Haider
Business Review
Capital Markets across the world have made many rich and many poor. Though the number of people losing money appears to be somewhat more, this notion simply becomes relative if one looks at it from stock investment perspective, where one loses one day and gains on another.
Why Is A New Index Needed?, Shama Ahmed
Why Is A New Index Needed?, Shama Ahmed
Business Review
Stock Market, Indices, Finance