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1 – 10 of over 4000
Article
Publication date: 27 September 2011

Gagan Deep Sharma and B.S. Bodla

Internationalization of capital markets gives opportunities to investors to invest their money in the country of their choice, not just in their own country. The relationships…

Abstract

Purpose

Internationalization of capital markets gives opportunities to investors to invest their money in the country of their choice, not just in their own country. The relationships between international stock markets have become increasingly important in recent times. The purpose of this paper is to study the inter‐linkages between stock markets of India, Pakistan and Sri Lanka.

Design/methodology/approach

This paper studies the inter‐linkages between stock markets of India, Pakistan and Sri Lanka. Daily closing levels of the benchmark indices in the three countries are taken for a period of January 2003‐June 2010. While line charts, correlogram and unit‐root test are applied to check the stationary nature of the series; Granger's causality model, vector auto regression (VAR) model and variance decomposition analysis are performed to find out the linkages between the markets under study.

Findings

The paper concludes that while the National Stock Exchange (India) Granger causes Karachi Stock Exchange (Pakistan) and Colombo Stock Exchange (Sri Lanka), the vice versa is not true. These results of Granger's causality model are also confirmed by the VAR models.

Originality/value

Studies have been conducted in large numbers to test the linkages and integration between stock exchanges of the developed nations, namely the USA, Canada, Europe and Japan. Even the studies that have focused on the developing and under‐developed nations have studied the linkages of those with the developed nations. Little research has been conducted about the inter‐linkages between the nations from Asia. Even fewer studies have focused on stock exchanges in the South‐Asian region. This research paper focuses on the return from the benchmark stock exchanges from these three countries and also on the linkages between India, Pakistan and Sri Lanka.

Article
Publication date: 21 November 2016

Wing Him Yeung and Asad Aman

This paper compares the performance and volatility of the Toronto Stock Exchange in Canada and the Karachi Stock Exchange in Pakistan, as well as the sensitivities of the two stock

Abstract

Purpose

This paper compares the performance and volatility of the Toronto Stock Exchange in Canada and the Karachi Stock Exchange in Pakistan, as well as the sensitivities of the two stock exchanges to major global events. The purpose of this paper is to assist the Pakistani immigrants in Canada in their investment decisions.

Design/methodology/approach

This paper uses the generalized autoregressive conditional heteroskedasticity model to estimate volatility of the two stock exchanges. Moreover, the mean adjusted returns approach associated with the event study methodology is used to find out the impact of major global events on these stock exchanges.

Findings

The study finds that the Toronto Stock Exchange outperforms the Karachi Stock Exchange in the pre-September 11 attack period, while the latter outperforms the former in the post-September 11 attack period. The study also shows that there has been a significant improvement in the risk-adjusted return of the Karachi Stock Exchange in the post-September 11 attack period. Moreover, this paper finds that the impact of major global events is more significant on the Toronto Stock Exchange relative to the Karachi Stock Exchange on the event date.

Originality/value

This paper is one of the very few to analyze and compare stock performances from the perspective of immigrant communities. The paper is valuable for Pakistani immigrants living in Canada or any investors interested in Karachi Stock Exchange and its comparison with Toronto Stock Exchange. Moreover, the paper can be of value to the Pakistani Government in terms of their promotional activities.

Details

Journal of Economic and Administrative Sciences, vol. 32 no. 2
Type: Research Article
ISSN: 1026-4116

Keywords

Article
Publication date: 24 November 2020

Safi Ullah and Muhammad Tahir

The purpose of this study is to examine the effect of country- and firm-specific factors on foreign investment in Pakistan.

Abstract

Purpose

The purpose of this study is to examine the effect of country- and firm-specific factors on foreign investment in Pakistan.

Design/methodology/approach

This study uses time-series data for country-level determinants and uses panel data for 100 listed non-financial companies selected based on market capitalisation from 2005 to 2015.

Findings

Findings suggest that the stock market returns and liquidity of the country significantly positively influence the foreign portfolio investment (FPI) in Pakistan. Whereas, economic growth surprisingly is negatively related to foreign portfolio investment. In addition, findings reveal that firm size, financial leverage, dividend yield and global depositary receipts (GDR) have a positive impact on the total foreign investment at firm level. Further, foreign institutional investors prefer to invest in those firms that are large, pay high dividends and issue GDR. Furthermore, findings suggest that foreign direct investors tend to invest in firms that are financially leveraged and have low capital gain yield.

Practical implications

At the country level, this study recommends that stock market performance, economic growth and foreign reserves of the country should be maintained and improved to attract FPI. At the firm level, this study recommends issuance of global depositary receipts and high dividend payouts for those firms that are interested in institutional investment in Pakistan.

Originality/value

To the best of authors' knowledge, this study is the first that examines the effect of firm-level factors along with country-level factors on foreign investment in Pakistan.

Details

South Asian Journal of Business Studies, vol. 11 no. 1
Type: Research Article
ISSN: 2398-628X

Keywords

Article
Publication date: 4 February 2022

Zulfiqar Ali Imran and Muhammad Ahad

This study aims to compare the safe-haven properties of different asset markets such as gold, dollar, oil and disaggregated real estate sector (house, plot and residential…

Abstract

Purpose

This study aims to compare the safe-haven properties of different asset markets such as gold, dollar, oil and disaggregated real estate sector (house, plot and residential) against equity returns in Pakistan over the monthly period of January 2011–December 2020.

Design/methodology/approach

The authors use wavelet coherence to encapsulate the overall dependence and correlation of asset classes. Further, the authors also study the potential of diversification at the tail of returns distribution by applying the wavelet value-at-risk (VaR) framework.

Findings

The results of wavelet coherence show that the dependence is weaker (stronger) in the short (long)-term investment horizon. Moreover, the findings of wavelet VaR reveal that the degree of co-movement between gold and equity returns greatly affects the portfolio risk followed by residential property and oil.

Practical implications

The findings are beneficial for the individual investor, fund managers and financial advisors looking for the optimal portfolio combination that hedges the excessive negative movements in equity returns subject to the heterogeneity in the investment horizon.

Originality/value

This is a primary effort to estimate safe-haven investments opportunities at a large spectrum, including disaggregated real estate sector against stock returns in Pakistan. Moreover, this study uses wavelet coherence and wavelet VaR which have an advantage over traditional analysis for diversification.

Details

International Journal of Housing Markets and Analysis, vol. 16 no. 1
Type: Research Article
ISSN: 1753-8270

Keywords

Open Access
Article
Publication date: 19 May 2020

Aiza Shabbir, Shazia Kousar and Syeda Azra Batool

The purpose of the study is to find out the impact of gold and oil prices on the stock market.

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Abstract

Purpose

The purpose of the study is to find out the impact of gold and oil prices on the stock market.

Design/methodology/approach

This study uses the data on gold prices, stock exchange and oil prices for the period 1991–2016. This study applied descriptive statistics, augmented Dickey–Fuller test, correlation and autoregressive distributed lag test.

Findings

The data analysis results showed that gold and oil prices have a significant impact on the stock market.

Research limitations/implications

Following empirical evidence of this study, the authors recommend that investors should invest in gold because the main reason is that hike in inflation reduces the real value of money, and people seek to invest in alternative investment avenues like gold to preserve the value of their assets and earn additional returns. This suggests that investment in gold can be used as a tool to decline inflation pressure to a sustainable level. This study was restricted to use small sample data owing to the availability of data from 1991 to 2017 and could not use structural break unit root tests with two structural break and structural break cointegration approach, as these tests require high-frequency data set.

Originality/value

This study provides information to the investors who want to get the benefit of diversification by investing in gold, oil and stock market. In the current era, gold prices and oil prices are fluctuating day by day, and investors think that stock returns may or may not be affected by these fluctuations. This study is unique because it focusses on current issues and takes the current data in this research to help investment institutions or portfolio managers.

Details

Journal of Economics, Finance and Administrative Science, vol. 25 no. 50
Type: Research Article
ISSN: 2077-1886

Keywords

Open Access
Article
Publication date: 15 March 2022

Sana Tauseef and Philippe Dupuy

This paper aims to expand foreign investors' understanding of potential return enhancement and risk diversification advantages offered by equity market of Pakistan through…

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Abstract

Purpose

This paper aims to expand foreign investors' understanding of potential return enhancement and risk diversification advantages offered by equity market of Pakistan through comparing its performance to performances in other markets and investigating what matters for investing in Pakistan's market.

Design/methodology/approach

Comparative analysis of Pakistan Stock Exchange is performed using data for 22 developed and 22 emerging markets over the period 1993–2019. Cross-sectional analysis is performed using data for 130 non-financial firms from Pakistan and Carhart (1997) and Fama and French (2015) models are applied. The role of liquidity with five-factor model is analyzed using turnover rate and Amihud (2002) illiquidity cost as liquidity measures.

Findings

Pakistan's equity offers substantial diversification benefits if added to developed market portfolios. However, observed large returns come together with inverted premia for most traditional factors indicating that investors may want to invest preferably in big stocks with low book-to-market and momentum. Finally, global investors can invest in high yielding stocks with low liquidity risk owing to positive connection between liquidity and returns.

Practical implications

This study will provide investment model for foreign investors to enhance their portfolio returns. Policy makers in Pakistan must identify regulatory steps to facilitate foreign investments.

Originality/value

To the best of the authors' knowledge, this is the first study which identifies efficiency gains offered by Pakistan's equity for global investors.

Details

Journal of Economics, Finance and Administrative Science, vol. 27 no. 54
Type: Research Article
ISSN: 2218-0648

Keywords

Article
Publication date: 9 December 2020

Bisharat Hussain Chang, Niaz Ahmed Bhutto, Jamshid Ali Turi, Shabir Mohsin Hashmi and Raheel Gohar

This study examines the short-run and long-run impact of macroeconomic variables such as industrial production index, inflation, exchange rate, interest rate, foreign direct…

Abstract

Purpose

This study examines the short-run and long-run impact of macroeconomic variables such as industrial production index, inflation, exchange rate, interest rate, foreign direct investment and trade balance, on KSE 100 index and sectorial stock indices under bearish, bullish and normal states of the stock market prices. Moreover, we take into account the effect of three crises observed from 2005 to 2009.

Design/methodology/approach

This study uses quantile autoregressive distributed lag (QARDL) model for examining the short-run and long-run effect across various quantiles of the dependent variables and compare its' results standard autoregressive distributed lag (ARDL) model.

Findings

ARDL estimates indicate that, in the long-run, industrial production index, trade balance and foreign direct investment significantly affect stock prices. These findings remain same when three crises have been taken into consideration. In addition, estimates from QARDL model indicate that, in the short-run, the effect of exchange rate, interest rate, consumer price index and foreign direct investment, varies across bearish, bullish and normal states of the overall stock prices. Moreover, the short-run findings for Auto Assembler, Cement, Commercial Banks sector are consistent with overall stock indices, whereas other sectors, such as, Oil and Gas and Power Generation and distribution are asymmetrically affected by all macroeconomic variables. In the long-run, the effect of all macro-variables varies across different states of the stock markets except industrial production index for Auto Assembler sector, Oil and Gas sector and composite index of KSE 100 index.

Originality/value

We take into account the effect of three crises observed from 2005 to 2009 and also examine the macroeconomic effect across bullish, bearish and normal states of the sectorial stock indices and composite index of Pakistan stock exchange. Finally, we use novel approach, called QARDL model, which has several advantages over other techniques.

Details

South Asian Journal of Business Studies, vol. 10 no. 2
Type: Research Article
ISSN: 2398-628X

Keywords

Article
Publication date: 26 July 2021

Shagufta Parveen, Zoya Wajid Satti, Qazi Abdul Subhan, Nishat Riaz, Samreen Fahim Baber and Taqadus Bashir

This study investigates the impact of the COVID-19 pandemic on investors' sentiments, behavioral biases and investment decisions in the Pakistan Stock Exchange (PSX).

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Abstract

Purpose

This study investigates the impact of the COVID-19 pandemic on investors' sentiments, behavioral biases and investment decisions in the Pakistan Stock Exchange (PSX).

Design/methodology/approach

The authors have assessed investors' behaviors and sentiments and the stock market overreaction during COVID-19 using a questionnaire and collected data from 401 investors trading in the PSX.

Findings

Results of structural equation modeling revealed that the COVID-19 pandemic affected investors' behaviors, investment decisions and trade volume. It created feelings of fear and uncertainty among market participants. Evidence suggests that behavioral heuristics and biases, including representative heuristic, anchoring heuristic, overconfidence bias and disposition effect, negatively influenced investors' decisions at the PSX.

Research limitations/implications

This study will contribute to behavioral finance literature in the context of developing countries as it has revealed the impact of COVID-19 on the emerging stock market, and its results are generalizable to other emerging stock markets.

Practical implications

The findings of this study will help academicians, researchers and policymakers of developing countries. Academicians can formulate new behavioral models that can depict the solutions of dealing with an uncertain situation like COVID-19. Policymakers like the Securities Exchange Commission and the PSX can formulate crisis management strategies based on behavioral finance concepts to cope with situations like COVID-19 in the future and help lessen investors' losses in the stock markets. The role of the Securities Exchange Commission is crucial as it regulates the financial markets. It can arrange workshops to educate investors to manage their decisions during crisis time and focus on the best use of irrational and rational decision-making at the same time using Lo (2004) adaptive market hypothesis.

Originality/value

The novelty of the paper is that the authors have introduced overconfidence and disposition effect as mediators that create a connection between representative and anchoring heuristics and investment decisions using primary data collected from investors (institutional and retail) to demonstrate the presence of psychological biases during COVID-19, and it has been done for the first time according to authors' knowledge. It is a contribution and addition to the behavioral finance literature in the context of developing countries' stock markets and their efficiency.

Details

Journal of Economic and Administrative Sciences, vol. 39 no. 3
Type: Research Article
ISSN: 1026-4116

Keywords

Article
Publication date: 20 October 2021

Muhammad Mushafiq

The main purpose of this study is to evaluate COVID-19’s impact on the emerging stock markets.

Abstract

Purpose

The main purpose of this study is to evaluate COVID-19’s impact on the emerging stock markets.

Design/methodology/approach

To evaluate the influence of COVID-19, this study uses a novel method of event study methodology to measure the impact of COVID-19 on emerging stock markets. The research’s sample includes a total of 79 firms from 26 industries that are included in the KSE-100 Index from the Pakistan Stock Exchange. Three events were studied: (1) Announcement of the first case, (2) Start of lockdown and (3) End of lockdown.

Findings

This study establishes the findings that industries in the Pakistan Stock Exchange were overall negatively affected by the COVID-19. Commercial banks, Insurance, Real Estate and Textile were badly affected by the COVID-19. However, the Pharmaceutical, Refinery and Food and Personal Care Products industries had shown a positive response.

Practical implications

This study could bring in a new and useful insight into the literature on the impact of COVID-19 on the emerging stock markets. The results of this study provide insight to the investors in the emerging stock markets of the industries that are likely to show responses either negative or positive to news of regional or global outbreaks, lockdowns and end of lockdowns.

Originality/value

The work on COVID-19 has been mostly limited to the developed markets and the emerging markets have been overlooked. This study is a potential gateway to future works regarding pandemics in emerging markets.

Details

International Journal of Emerging Markets, vol. 18 no. 10
Type: Research Article
ISSN: 1746-8809

Keywords

Article
Publication date: 19 September 2019

Bisharat Hussain Chang, Muhammad Saeed Meo, Qasim Raza Syed and Zahida Abro

The purpose of this paper is of twofold: first, to empirically examine the short-run and long-run impact of macroeconomic variables such as industrial production, foreign direct…

Abstract

Purpose

The purpose of this paper is of twofold: first, to empirically examine the short-run and long-run impact of macroeconomic variables such as industrial production, foreign direct investment (FDI), trade balance (TB), exchange rate, interest rate (IR) and consumer price index (CPI) on stock prices (SP) of KSE-100 index; and second, to examine whether this relationship changes as a result of the financial crisis.

Design/methodology/approach

This study uses an autoregressive distributed lag model by using the full sample period data from 1997Q3 to 2018Q2 and the post-crisis period data from 2008Q3 to 2018Q2. Moreover, it uses variance decomposition analysis to examine the importance of each variable in explaining SP.

Findings

The findings of the full sample period indicate that in the long run, TB, exchange rate and IR negatively affect SP whereas CPI and industrial production positively affect SP. However, the post-crisis period data indicate that only CPI positively affects the SP in the long run. Finally, variance decomposition analysis indicates 30 percent variance in SP is explained by its own shock.

Practical implications

The study findings suggest that macroeconomic variables have a significant role and can be considered important for taking investment and/or policy decisions. Especially, Governments and other regulators may need to take measures to increase the TB since it can help to increase the performance of the Pakistani stock market. Furthermore, investors may consider that findings change when the financial crisis has been taken into consideration.

Originality/value

This study uses two additional variables, namely FDI and TB by using the robust technique in the context of emerging countries like Pakistan. Furthermore, it takes into account the impact of the financial crisis on the underlying variables.

Details

South Asian Journal of Business Studies, vol. 8 no. 3
Type: Research Article
ISSN: 2398-628X

Keywords

1 – 10 of over 4000