Various empirical studies have examined the nexus between financial markets, but this study focus... more Various empirical studies have examined the nexus between financial markets, but this study focused on the comovement among prominent markets. Our study examines the interrelationship among main financial markets, i.e., stock, oil, and commodity during the recent pandemic. The interconnections among the selected markets are investigated using a battery of wavelet coherence tools and the Granger causality test. From the wavelet coherence analysis, our findings indicate strong co-movements among the VIX, oil volatility, and commodity prices during pandemic and localized in all scales and over the sample period. The dependency strength among the considered economies is noted to increase in pandemic, which implies increased short-and long-term benefits for the investors. Moreover, Our result exhibits a feedback causality between OVIX and crude oil, VIX and S&P 500, and gasoline and VIX. Interestingly, a unidirectional causality exists between VIX and crude oil, S&P 500 and crude oil, Brent and crude oil, gasoline, crude oil, and VIX and OVIX. We advocate that the findings will be helpful for portfolio managers, investors, and officials around the world.
This study examines the determinants of overconfidence bias that, in turn, influence investment p... more This study examines the determinants of overconfidence bias that, in turn, influence investment performance via risk propensity. This study also investigates the three cognitive biases that lead to overconfidence bias, influence investment performance, and establish the indirect relationship through risk propensity. The mixed methodology is applied to examine the proposed research model. The results depict that all the cognitive biases influence the risk propensity and investment performance via risk propensity. The illusion of control is the strongest predictor of risk propensity and investment performance. Furthermore, findings imply that all the cognitive biases have a positive relation with investment performance. This study provides policy implications to practitioners and individual investors.
Emergence of any pandemic raises serious concerns toward the psychological well-being of an indiv... more Emergence of any pandemic raises serious concerns toward the psychological well-being of an individual and overall society. Although, the magnitude and intensity of the novelwellb coronavirus (COVID-19) pandemic are not precisely known yet, however, this pandemic has predominantly reshaped the global scenario. Scholars have begun to unfold the reality of this traumatic situation, but empirical research that focuses on the identification of key factors that could have a notable impact on mental wellbeing of the general population is limited. To fill this gap, this research endeavors to analyze the impact of fear of getting infected and social isolation on mental well-being during the pandemic. In addition, psychological resilience is used as a moderator between social isolation and mental well-being. A total of 714 responses were received through an online survey from university students across all provinces of Pakistan. The findings demonstrate that people who fear of being infected...
Whether concentrated banking industries allow banks to exercise monopoly power through anticipati... more Whether concentrated banking industries allow banks to exercise monopoly power through anticipative pricing is a pertinent question from the perspective of antitrust policies. We explore this question in context of banking industry in Pakistan. We assess the pricing behavior of banks through three alternative measures-banks' lending rates, banks' deposit rates and banks' net interest margins. Panel data analysis techniques-i.e. fixed effect (FE) and generalized method of moments (GMM)-are applied to bank level data over the period 2000-2015. The results show that higher level of bank concentration is related to lower deposit rates, higher loan rates and higher net interest margins. These results are robust across alternative measures of concentration, estimation techniques and time horizons. These findings have important implications for antitrust policies.
Journal of Poverty, Investment and Development, 2017
The growth of mutual fund industry has shown a remarkable increase since past few years. The curr... more The growth of mutual fund industry has shown a remarkable increase since past few years. The current study reviews the performance and role of mutual funds at both micro and macro level. The study sheds light on the mutual funds and their association with market variables and macro economy. The study discusses the great work of literature in context of fund-return, fund-volatility, funds-variables-economy and predictive ability of mutual fund flows. The study further proposes to examine these relationship in context of developing and emerging markets using PVAR and GMM models. The findings of this study will benefit investors, policy makers and academicians. Key words: Mutual fund flows, Market returns, Macro economy.
This study examines time-frequency connectedness between COVID-19 pandemic and economic indicator... more This study examines time-frequency connectedness between COVID-19 pandemic and economic indicators through a continuous wavelet transformation approach in the US and China. The study also assesses the dynamic conditional correlations (DCCs) between macroeconomic indicators and domestic sectoral returns during the pandemic. The findings display higher coherencies between COVID-19 and long-term predictive economic indicators in China compared to the US. Moreover, the results indicate that the stock market spillovers are more pronounced on domestic sectoral returns than other economic indicators during the COVID-19 outburst. Besides, the findings exhibit that exchange market instability has significant negative repercussions on the domestic sectors in China, however, weaker correlations are discerned between exchange market and domestic sectors in the US. The findings offer several policy implications and endorsements for portfolio managers, policymakers, practitioners, and other market participants.
The current study reviews the gold-exchange rate association with a wider prospect in case of Pak... more The current study reviews the gold-exchange rate association with a wider prospect in case of Pakistan. Gold prices have shown a remarkable increase since past few years. Because gold is believed as exchange rate hedge, and instability of Pakistan rupee persists for long hence it is crucial to study gold-exchange rate relationship in Pakistan. The study discusses the great work of literature in context of causality, hedge and safe haven ability, predictive ability and volatility spillover effect of gold and exchange rate to stock indices of micro firms and industries. The study further proposes to examine hedge and safe haven ability of gold and identify impact of gold and exchange rate volatility on stock returns of micro sector using GARCH model. The findings of this study will benefit investors, policy makers and academicians. Key words: Gold, Exchange rate, Pakistan.
This is a PDF file of an article that has undergone enhancements after acceptance, such as the ad... more This is a PDF file of an article that has undergone enhancements after acceptance, such as the addition of a cover page and metadata, and formatting for readability, but it is not yet the definitive version of record. This version will undergo additional copyediting, typesetting and review before it is published in its final form, but we are providing this version to give early visibility of the article. Please note that, during the production process, errors may be discovered which could affect the content, and all legal disclaimers that apply to the journal pertain.
PurposeThe extant literature provides substantial evidence that various facets of national cultur... more PurposeThe extant literature provides substantial evidence that various facets of national culture play a significant role in corporate financial decision making. We systematically review the role of national culture on the various thematic domains of corporate financial decision making to outline what have been studies thus far and what needs to be studied.Design/methodology/approachKeywords such as national culture, organizational culture, power distance, uncertainty avoidance, masculinity, risk aversion and individualism for a search in the prominent academic literature databases are used. The studies related to the corporate financial decision making that is tied with these keywords are identified and selected for the systematic review.FindingsThe review of extant literature suggests strong evidence that national culture has a significant role in influencing corporate cash holding, corporate risk-taking, individual behaviour of the financial managers and initial public offering ...
In this paper, we utilize the Chicago Board Option Exchange (CBOE) implied volatility indices to ... more In this paper, we utilize the Chicago Board Option Exchange (CBOE) implied volatility indices to estimate the time-frequency information transmission among financial markets.
Objectives: This study aims to investigate the impact of mergers and acquisitions related events ... more Objectives: This study aims to investigate the impact of mergers and acquisitions related events on the shareholders' wealth in Telecom sector of Pakistan. Statistical analysis: Event study methodology has been used to achieve this objective, in which, the short term and long term performance of firms are measured. For short term performance, Abnormal Returns (AR) and Cumulative Abnormal Returns (CAR) are measured while to determine long term performance, Buy-and-Hold Abnormal Returns (BHAR) are measured. Findings: The results revealed that the occurrence of these events has negatively affected the shareholders' wealth and the financial market did not respond to these events in the telecom sector of Pakistan. Application: The study suggests that the telecom sector should choose different strategies to gain market share, to increase revenues, to gain a competitive edge and to diversify risk.
International Journal of Business and Society, 2017
We empirically examine the dynamic relationship between consumer confidence and sectoral returns ... more We empirically examine the dynamic relationship between consumer confidence and sectoral returns at diverse time periods in China using monthly data over the period of 1992-2016. Using Wavelet coherence, we find evidence of sectoral returns leading consumer confidence and the interconnection is robust across medium and long run horizons. However, there is no consistent stability in direction of this linkage. Further, the study investigates the causal connection among variables at various time spans using granger coherence. Empirical findings confirm that sectoral returns as a predictor of consumer confidence thus signaling the projective contents of changes in the consumer confidence. The causal relation is significantly stronger in the long term and is notably dominated by deviating causality sways. The results have useful implications for institutional investors, speculators and portfolio managers.
This study investigates the impact of home country macroeconomics variables on ADR price for the ... more This study investigates the impact of home country macroeconomics variables on ADR price for the period 2000-2016 for France, Germany, Greece, Italy and Spain using NARDL. The results indicate the existence of asymmetries (nonlinearity) and hidden cointegration between positive and negative partial sum of underlying variables for all countries. Money supply, in general, affects ADR prices while inflation has positive (negative) impact on ADR prices in case of France and Italy (Germany, Greece and Spain) respectively. Economic growth is only significant determinant of ADR price for France, Greece and Spain. This study opens some new insights for ADR investors.
There is only a limited amount of research that addresses questions pertaining to the relationshi... more There is only a limited amount of research that addresses questions pertaining to the relationship between the asset management sector and the economy. This paper focuses on this relationship and addresses the question of whether the asset management sector provides information about future economic conditions. The study examines the co-movement between equity mutual funds and business cycle variables in the BRICS (Brazil, Russia, India, China and South Africa) economies over the period of 2000-2019. Using daily data of 9005 active asset management firms, the study utilizes Wavelets at multiple time horizons (Multiresolution) and Granger coherence approaches. Our findings suggest that equity funds lead against key macroeconomic variables including credit default swap spread, Treasury bill and exchange rate for most of the sample countries (Russia, China, and South Africa) and that interactions among variables are diverse in nature. The Granger coherence results are important for sam...
Various empirical studies have examined the nexus between financial markets, but this study focus... more Various empirical studies have examined the nexus between financial markets, but this study focused on the comovement among prominent markets. Our study examines the interrelationship among main financial markets, i.e., stock, oil, and commodity during the recent pandemic. The interconnections among the selected markets are investigated using a battery of wavelet coherence tools and the Granger causality test. From the wavelet coherence analysis, our findings indicate strong co-movements among the VIX, oil volatility, and commodity prices during pandemic and localized in all scales and over the sample period. The dependency strength among the considered economies is noted to increase in pandemic, which implies increased short-and long-term benefits for the investors. Moreover, Our result exhibits a feedback causality between OVIX and crude oil, VIX and S&P 500, and gasoline and VIX. Interestingly, a unidirectional causality exists between VIX and crude oil, S&P 500 and crude oil, Brent and crude oil, gasoline, crude oil, and VIX and OVIX. We advocate that the findings will be helpful for portfolio managers, investors, and officials around the world.
This study examines the determinants of overconfidence bias that, in turn, influence investment p... more This study examines the determinants of overconfidence bias that, in turn, influence investment performance via risk propensity. This study also investigates the three cognitive biases that lead to overconfidence bias, influence investment performance, and establish the indirect relationship through risk propensity. The mixed methodology is applied to examine the proposed research model. The results depict that all the cognitive biases influence the risk propensity and investment performance via risk propensity. The illusion of control is the strongest predictor of risk propensity and investment performance. Furthermore, findings imply that all the cognitive biases have a positive relation with investment performance. This study provides policy implications to practitioners and individual investors.
Emergence of any pandemic raises serious concerns toward the psychological well-being of an indiv... more Emergence of any pandemic raises serious concerns toward the psychological well-being of an individual and overall society. Although, the magnitude and intensity of the novelwellb coronavirus (COVID-19) pandemic are not precisely known yet, however, this pandemic has predominantly reshaped the global scenario. Scholars have begun to unfold the reality of this traumatic situation, but empirical research that focuses on the identification of key factors that could have a notable impact on mental wellbeing of the general population is limited. To fill this gap, this research endeavors to analyze the impact of fear of getting infected and social isolation on mental well-being during the pandemic. In addition, psychological resilience is used as a moderator between social isolation and mental well-being. A total of 714 responses were received through an online survey from university students across all provinces of Pakistan. The findings demonstrate that people who fear of being infected...
Whether concentrated banking industries allow banks to exercise monopoly power through anticipati... more Whether concentrated banking industries allow banks to exercise monopoly power through anticipative pricing is a pertinent question from the perspective of antitrust policies. We explore this question in context of banking industry in Pakistan. We assess the pricing behavior of banks through three alternative measures-banks' lending rates, banks' deposit rates and banks' net interest margins. Panel data analysis techniques-i.e. fixed effect (FE) and generalized method of moments (GMM)-are applied to bank level data over the period 2000-2015. The results show that higher level of bank concentration is related to lower deposit rates, higher loan rates and higher net interest margins. These results are robust across alternative measures of concentration, estimation techniques and time horizons. These findings have important implications for antitrust policies.
Journal of Poverty, Investment and Development, 2017
The growth of mutual fund industry has shown a remarkable increase since past few years. The curr... more The growth of mutual fund industry has shown a remarkable increase since past few years. The current study reviews the performance and role of mutual funds at both micro and macro level. The study sheds light on the mutual funds and their association with market variables and macro economy. The study discusses the great work of literature in context of fund-return, fund-volatility, funds-variables-economy and predictive ability of mutual fund flows. The study further proposes to examine these relationship in context of developing and emerging markets using PVAR and GMM models. The findings of this study will benefit investors, policy makers and academicians. Key words: Mutual fund flows, Market returns, Macro economy.
This study examines time-frequency connectedness between COVID-19 pandemic and economic indicator... more This study examines time-frequency connectedness between COVID-19 pandemic and economic indicators through a continuous wavelet transformation approach in the US and China. The study also assesses the dynamic conditional correlations (DCCs) between macroeconomic indicators and domestic sectoral returns during the pandemic. The findings display higher coherencies between COVID-19 and long-term predictive economic indicators in China compared to the US. Moreover, the results indicate that the stock market spillovers are more pronounced on domestic sectoral returns than other economic indicators during the COVID-19 outburst. Besides, the findings exhibit that exchange market instability has significant negative repercussions on the domestic sectors in China, however, weaker correlations are discerned between exchange market and domestic sectors in the US. The findings offer several policy implications and endorsements for portfolio managers, policymakers, practitioners, and other market participants.
The current study reviews the gold-exchange rate association with a wider prospect in case of Pak... more The current study reviews the gold-exchange rate association with a wider prospect in case of Pakistan. Gold prices have shown a remarkable increase since past few years. Because gold is believed as exchange rate hedge, and instability of Pakistan rupee persists for long hence it is crucial to study gold-exchange rate relationship in Pakistan. The study discusses the great work of literature in context of causality, hedge and safe haven ability, predictive ability and volatility spillover effect of gold and exchange rate to stock indices of micro firms and industries. The study further proposes to examine hedge and safe haven ability of gold and identify impact of gold and exchange rate volatility on stock returns of micro sector using GARCH model. The findings of this study will benefit investors, policy makers and academicians. Key words: Gold, Exchange rate, Pakistan.
This is a PDF file of an article that has undergone enhancements after acceptance, such as the ad... more This is a PDF file of an article that has undergone enhancements after acceptance, such as the addition of a cover page and metadata, and formatting for readability, but it is not yet the definitive version of record. This version will undergo additional copyediting, typesetting and review before it is published in its final form, but we are providing this version to give early visibility of the article. Please note that, during the production process, errors may be discovered which could affect the content, and all legal disclaimers that apply to the journal pertain.
PurposeThe extant literature provides substantial evidence that various facets of national cultur... more PurposeThe extant literature provides substantial evidence that various facets of national culture play a significant role in corporate financial decision making. We systematically review the role of national culture on the various thematic domains of corporate financial decision making to outline what have been studies thus far and what needs to be studied.Design/methodology/approachKeywords such as national culture, organizational culture, power distance, uncertainty avoidance, masculinity, risk aversion and individualism for a search in the prominent academic literature databases are used. The studies related to the corporate financial decision making that is tied with these keywords are identified and selected for the systematic review.FindingsThe review of extant literature suggests strong evidence that national culture has a significant role in influencing corporate cash holding, corporate risk-taking, individual behaviour of the financial managers and initial public offering ...
In this paper, we utilize the Chicago Board Option Exchange (CBOE) implied volatility indices to ... more In this paper, we utilize the Chicago Board Option Exchange (CBOE) implied volatility indices to estimate the time-frequency information transmission among financial markets.
Objectives: This study aims to investigate the impact of mergers and acquisitions related events ... more Objectives: This study aims to investigate the impact of mergers and acquisitions related events on the shareholders' wealth in Telecom sector of Pakistan. Statistical analysis: Event study methodology has been used to achieve this objective, in which, the short term and long term performance of firms are measured. For short term performance, Abnormal Returns (AR) and Cumulative Abnormal Returns (CAR) are measured while to determine long term performance, Buy-and-Hold Abnormal Returns (BHAR) are measured. Findings: The results revealed that the occurrence of these events has negatively affected the shareholders' wealth and the financial market did not respond to these events in the telecom sector of Pakistan. Application: The study suggests that the telecom sector should choose different strategies to gain market share, to increase revenues, to gain a competitive edge and to diversify risk.
International Journal of Business and Society, 2017
We empirically examine the dynamic relationship between consumer confidence and sectoral returns ... more We empirically examine the dynamic relationship between consumer confidence and sectoral returns at diverse time periods in China using monthly data over the period of 1992-2016. Using Wavelet coherence, we find evidence of sectoral returns leading consumer confidence and the interconnection is robust across medium and long run horizons. However, there is no consistent stability in direction of this linkage. Further, the study investigates the causal connection among variables at various time spans using granger coherence. Empirical findings confirm that sectoral returns as a predictor of consumer confidence thus signaling the projective contents of changes in the consumer confidence. The causal relation is significantly stronger in the long term and is notably dominated by deviating causality sways. The results have useful implications for institutional investors, speculators and portfolio managers.
This study investigates the impact of home country macroeconomics variables on ADR price for the ... more This study investigates the impact of home country macroeconomics variables on ADR price for the period 2000-2016 for France, Germany, Greece, Italy and Spain using NARDL. The results indicate the existence of asymmetries (nonlinearity) and hidden cointegration between positive and negative partial sum of underlying variables for all countries. Money supply, in general, affects ADR prices while inflation has positive (negative) impact on ADR prices in case of France and Italy (Germany, Greece and Spain) respectively. Economic growth is only significant determinant of ADR price for France, Greece and Spain. This study opens some new insights for ADR investors.
There is only a limited amount of research that addresses questions pertaining to the relationshi... more There is only a limited amount of research that addresses questions pertaining to the relationship between the asset management sector and the economy. This paper focuses on this relationship and addresses the question of whether the asset management sector provides information about future economic conditions. The study examines the co-movement between equity mutual funds and business cycle variables in the BRICS (Brazil, Russia, India, China and South Africa) economies over the period of 2000-2019. Using daily data of 9005 active asset management firms, the study utilizes Wavelets at multiple time horizons (Multiresolution) and Granger coherence approaches. Our findings suggest that equity funds lead against key macroeconomic variables including credit default swap spread, Treasury bill and exchange rate for most of the sample countries (Russia, China, and South Africa) and that interactions among variables are diverse in nature. The Granger coherence results are important for sam...
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