Javed Iqbal

Quaid-i-Azam University

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Misbah Nosheen

Hazara University

Muhammad Nadim Hanif

Mark E. Wohar

University of Nebraska at Omaha

Robert Brooks

Monash University

Mohsen Bahmani‐Óskooee

University of Wisconsin–Milwaukee

Don U. A. Galagedera

Monash University

Adnan Haider

University of Sargodha

Muhammad Abdus Salam

University of Malakand

Sara Azher

University of Karachi

Muhammad Ali Abbasi

ITMO University

Cooperative Institutions

Quaid-i-Azam University

Hazara University

University of Karachi

National University of Sciences and Technology

Abdul Wali Khan University Mardan

University of Lahore

Government of Pakistan

Abbottabad University of Science and Technology

COMSATS University Islamabad

Islamia University of Bahawalpur

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Stock Market in Pakistan: An Overview

SSRN Electronic Journal (2008)

Javed Iqbal

This paper reviews the main features of the Stock market in Pakistan focussing on post-liberalization period. The aspects of the market investigated include liberalization of the market, integration the market with the world markets, trading and settlement mechanism, regulatory environment and corporate governance issues. Finally salient features of the market are compared to a selected set of emerging and developed markets. Pakistan's stock market is smaller in size but is significantly more active than the markets of this size. In recent years the market has provided very high returns to investors. In 2002 the market was declared as the best performing stock market globally. The market is relatively segmented therefore it has an appeal to risk diversifying investors.

Primary market

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Arbitrage Pricing Theory: Evidence From An Emerging Stock Market

The Lahore journal of economics (2005)

Javed Iqbal Aziz Haider

The development of financial equilibrium asset pricing models has been the most important area of research in modern financial theory.These models are extensively tested for developed markets.This paper examines the validity of the Arbitrage Pricing Theory (APT) model on returns from 24 actively trading stocks in Karachi Stock Exchange using monthly data from January 1997 to December 2003.Explanatory factor analysis approach indicates two factors governing stock return.Pre-specified macro economic approach identifies these two factors as the anticipated and unanticipated inflation and market index and dividend yield.Some evidence of instability is found.The overall finding of two significant priced factors at least for a sub period supports APT for an emerging capital market.

Stock (firearms)

10.35536/lje.2005.v10.i1.a8

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Stock price reaction to earnings announcement: the case of an emerging market

RePEc: Research Papers in Economics (2011)

Javed Iqbal Faraz Ahmed Farooqi

In an efficient stock market stock prices instantaneously and accurately adjust to new information. This paper conducts an event study analysis on an emerging market namely the Karachi Stock Exchange (KSE) by investigating the stock price reaction to public announcement of quarterly after tax profit by listed firms. By employing 5 year data on stock prices from January 2004 to August 2008 for 114 non financial firms we found that there is no abnormal return post earnings announcement. Moreover the study provides evidence that there is a bigger element of surprise in bad news than in good news as the market reaction to bad news is stronger.

Earnings surprise

Stock (firearms)

Event study

Surprise

Primary market

Non-qualified stock option

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Measuring Standard Error of Inflation in Pakistan: A Stochastic Approach

RePEc: Research Papers in Economics (2010)

Javed Iqbal Muhammad Hanif

Stochastic approach to index number (and its change) has recently attracted renewed attention of researchers as it provides the standard error of index number (and its change). One of the most important uses of index number is in the case of measurement of the general price level in an economy (and then inflation of course). In this study we estimate standard errors of month on month and year on year inflation in Pakistan under stochastic approach, following Clement and Izan (1987). We contribute in this study by providing mechanism and estimating the standard error of period average of YoY inflation and apply this to Pakistan data.

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Forecasting Accuracy of Error Correction Models: International Evidence for Monetary Aggregate M2

Javed Iqbal

It has been argued that Error Correction Models (ECM) performs better than a simple first difference or level regression for long run forecast. This paper contributes to the literature in two important ways. Firstly empirical evidence does not exist on the relative merits of ECM arrived at using alternative co-integration techniques particularly with Autoregressive Distributed Lag (ARDL) approach of co-integration. The three popular co- integration procedures considered are the Engle-Granger (1987) two step procedure, the Johansen (1988) multivariate system based technique and the recently developed ARDL based technique of Pesaran et al. (1996, 2001). Secondly, earlier studies on the forecasting performance of the ECM employed macroeconomic data on developed economies i.e. the US, the UK and the G-7 countries. By employing data from a broader set of countries including both developed and developing countries and using demand for real money balances this paper compares the accuracy of the three alternative error correction models in forecasting the monetary aggregate (M2) for short, medium and long run forecasting horizons. We also compare the forecasting performance of ECM with other well-known univariate and multivariate forecasting techniques which do not impose co-integration restrictions such as the ARIMA and the VAR techniques. The results indicate that, in general, for short run forecasting non co-integration based techniques (i.e. unrestricted VAR and ARIMA) result in superior forecasting performance whereas for long run forecasting ECM based techniques perform better. Among the co-integration based techniques, our analysis provides evidence of comparatively superior forecasting performance of the ARDL based error correction model.

Univariate

Distributed lag

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Economic growth, financial development, and trade in nexuses of CO2 emissions for Southeast Asia

Environmental Science and Pollution Research (2019)

Misbah Nosheen Javed Iqbal Syeda Anam Hassan

Kuznets Curve

Environmental Quality

Environmental degradation

Openness to experience

Consumption

10.1007/s11356-019-06624-7

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Citations (26)

Multivariate tests of asset pricing: simulation evidence from an emerging market

Applied Financial Economics (2010)

Javed Iqbal Robert Brooks Don U. A. Galagedera

The finite sample performance of the Wald, Generalized Method of Moment (GMM) and Likelihood Ratio (LR) tests of multivariate asset pricing tests have been investigated in several studies on the US financial markets. This article extends this analysis in two important ways. Firstly, considering the fact that the Wald test is not invariant to alternative nonlinear formulation of the null hypothesis the article investigates whether alternative forms of the Wald and GMM tests result in considerable difference in size and power. Secondly, the article extends the analysis to the emerging market data. Emerging markets provide an interesting practical laboratory to test asset pricing models. The characteristics of emerging markets are different from the well-developed markets of US, Japan and Europe. It is found that the asymptotic Wald and GMM tests based on chi-square critical values result in considerable size distortions. The bootstrap tests yield the correct sizes. A multiplicative form of bootstrap GMM test appears to outperform the LR test when the returns deviate from normality and when the deviations from the asset pricing model are smaller.

Wald test

10.1080/09603100903459741

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Demand Estimation and Forecasting for DALDA Banaspati in Pakistan: An Empirical Analysis from Multan District

Journal of Marketing and Consumer Research (2015)

Muhammad Yasir Shahzad Javed Iqbal Marriyem Ali Noor Anum Choudary

The main purpose of our study is to estimate the demand equation. By using this equation, we have to forecast the future demand. To forecast demand, we have collected actual data on demand of Dalda, price of Dalda, price of Hoor and total sales from Jan 2013 – Dec 2014. By using the Multiple Regressions, we have formulated the demand equation from actual data, and then we have forecasted the values by using exponential smoothing technique for all independent variables. Forecasted demand for the Jan of 2015 is 2072.2921, Quantity demanded will increase by 272.2921 (15 percent) for Jan 2015 as compared to the Jan of 2013. We find that price elasticity is -0.825279 it means that demand of Dalda lie in inelastic portion, it means that if price increase or decrease, there is less impact on the quantity demanded. Cross price elasticity of sultan is positive, its value is 0.4964 it shows that it is substitute commodity. Cross price elasticity of Hoor should be positive, but according to our result its value is –2.718552, which means that in this specific area people are using Hoor as a complementary product .Cross price elasticity of total sales is 1.7299. Keywords: Multiple Regression Analysis, Demand Estimation and Forecasting, Elasticities, Price of Dalda, Total Sales.

Elasticity

Exponential Smoothing

Value (mathematics)

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Does gold hedge stock market, inflation and exchange rate risks? An econometric investigation

International Review of Economics & Finance (2016)

Javed Iqbal

Hedge

Safe haven

Local currency

10.1016/j.iref.2016.11.005

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Citations (130)

Third-Country Exchange Rate Volatility and Pakistan-U.S. Trade at Commodity Level

The International Trade Journal (2017)

Mohsen Bahmani‐Óskooee Misbah Nosheen Javed Iqbal

We add to the literature on the “Third-Country” effect by assessing the impact of rupee-dollar volatility on 116 U.S. industries that export to Pakistan and 53 U.S. industries that import from Pakistan. As two measures of “Third-Country” effects, we include volatility measures of rupee-yuan and dollar-yuan rates due to the increased role of China in the global economy. We find evidence of “Third-Country” effects in more than half of the industries. Among affected industries are many of the large U.S. exporting industries, but not large U.S. importing industries.

Rupee

Liberian dollar

10.1080/08853908.2016.1269701

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Citations (13)