This study examines the impact of terrorism on Karachi stock market returns. Daily data of KSE100 index from 1st July 1999 to 31st December 2015 is used for the empirical analysis. The objective of this paper is to examine the change in systematic risk in response to the terrorist activities. Multiscale data derived from Maximal Overlap Discrete Wavelet Transformation (MODWT) [...]
Our study investigates the linkage between frontier and emerging equity markets of Asia from January 2000 to December 2016. To deal with heterogeneous panels, we applied pooled mean group framework proposed by Pesaran, Shin, and Smith (2001). Our findings reveal both short and long run relationships among sampled markets thereby supporting the feedback hypothesis. The magnitude of relationship is strong [...]
This paper aims to study the ability of the six value-growth indicators (i.e. gross profit to total assets, earning to price, book to market, dividend to price, cashflow to price and sales to price ratio) to generate value premium in Pakistan Stock Exchange. This paper uses the methodology of Dimson, Nagel, and Quigley (2003) to construct Fama and French [...]
The study employed annual dataset for the period 1981-2014 to find the most relevant level of education in terms of its contribution to the economic growth of Pakistan. The study used three models assuming gross enrolment rates at primary, secondary and tertiary level as human capital and found secondary education as the most relevant level of education for economic growth. [...]
This study explores the hedging effectiveness of oil and gold assets in Pakistani stock market. We incorporate three multivariate GARCH models for hedging potential of oil and gold assets in stock market of Pakistan. The DCC model is found fitted among others for empirical analysis. The empirical results indicate that the asymmetric effect is positive (negative) providing that negative shocks [...]
The contribution of project teamwork is based on the project members toward project success has remained unattended in prior literature. This paper highlights the importance of project teamwork for the project success and argues that leader alone cannot successfully complete a project. This study is based upon Higher Education Commission (HEC)'s projects in Pakistan and data has been collected from [...]
Advertising in the Ramadan is at peak in Pakistan and other Muslim countries. It now resembles other festival theme based advertising. In view of the lack of the studies on the issue, this study has adopted the constructs commonly used in measuring attitude towards advertising. The adapted questionnaire was administered to a population of 320, and the valid sample size [...]
This study examines the impact of structured and efficient market factors such as fundamental analysis, transaction processing system, information processing system and risk management on Pakistan stock exchange's investor satisfaction. We used descriptive statistics, confi rmatory factor analysis, and structural equation modeling technique to test the proposed model. Our findings reveal that all the components of the structured and efficient [...]
This study explores the relationship between the Stock and the Sovereign Credit Default Swaps (SCDS) markets by using a dataset of 36 countries. Specifically, we apply Panel-Vector Autoregressive (PVAR) model, to gauge the impact of one market's shocks to the other. Our results decipher that changes in stock market returns explain the significant portion of the SCDS market spreads' changes. [...]
This study investigates the performance persistence of 78 mutual funds of Pakistan for the period 2009-2015. The sample period is divided into two sub-periods, based on movement of KSE 100 index closing value. A skilled manager is a manager who can outclass the market consistently during both sub-periods. This study first estimates outer performance, selectivity, market timing and volatility timing [...]