Purpose The purpose of this paper is to examine whether macroeconomic variables have a symmetric or asymmetric effect on stock prices (SP) Karachi Stock Exchange 100 index in the context Pakistan. It also examines impact SP has been affected by tail events such as global financial crisis. Design/methodology/approach This study uses linear and nonlinear autoregressive distributed lag models for full sample period well pre- post-crisis periods. whole covers data from June 2004 2016 which...

This study extends previous literature by examining the effect of extremely large to small changes in exchange rate volatility on US exports developing countries such as Brazil, India, Mexico, and South Africa. We use novel approach called multiple threshold nonlinear ARDL (MTNARDL) compare its results with models. The model supports insignificant results, whereas standard indicates asymmetric Mexico only. Finally, MTNARLD that short run, does not significantly differ from all sample...

Purpose Recent literature has shifted to examining whether exchange rate volatility symmetrically or asymmetrically affects the trade flows. This study aims extend existing by effects of extremely large small changes in series on US imports from Brazil, India, Mexico and South Africa. Design/methodology/approach For extreme changes, multiple threshold nonlinear autoregressive distributed lag (MTNARDL) model is used divided into quintiles deciles. It helps examine each quintile/decile...

This paper seeks to determine whether in Pakistan gold protects investors against the risks associated with exchange rate, oil shocks, and stock returns by testing hedging safe haven properties of for period from August 1997 May 2016. The analysis has been done understand relationship between moderate (normal) extremely tumultuous conditions through least squares DCC-GARCH models. key results indicate that acts as a hedge rate risk only whereas it terms oil, market shocks—thereby indicating...

ABSTRACT This study examines the determinants of green communication, which mitigates waste, transportation emissions, and other environmental externalities. Drawing on prior literature, research identifies four key communication: cultural orientation, technological non‐facilitating conditions, change orientation. The data has been collected from 11 countries across continents, comprising a sample 999 participants ( n = 999). Theoretical frameworks, including Theories Planned Behavior,...

Recent studies have been mainly focusing on whether exchange rate changes a symmetric or asymmetric effect the trade balance. We revisit this question in context of US and further extend previous by determining relationship between these underlying variables change as result global financial crisis. use both linear autoregressive distributed lag (ARDL) non-linear ARDL models for whole sample period well pre- post-crisis periods. Findings suggest that an balance; however, behavior In short...

This study introduces a comprehensive Google search volume based Bitcoin Sentiment Index (BSI) and investigates its symmetric asymmetric association with Bitcoin's returns, volume, volatility, United States Dollar (USD) exchange rates. Our results indicate positive of BSI returns but negative relationship return volatility. Besides, optimistic sentiments have an the USD rate in short-run, price has short-run long-run. We also found 35.47% speed adjustment to long-run equilibrium.

This study aims at comparing Google Search Volume Indices (GSVIs—including market crash and bear market) VIX (Investor Fear Gauge Index) in terms of explaining the S&P 500 returns. The is found a more robust predictor stock returns than indices, it does granger cause GSVIs robustly. In addition, vector auto-regression model, has prominent effect its past values on both indices. Finally, using autoregressive distributed lag (ARDL) nonlinear ARDL models, contrary to prior literature, we find...

Financial Inclusion is an important determinant of bringing inclusive growth which promoted by the foreign bank entry as it increases market competition and brings about greater outreach. Foreign Bank Entry has been considered impediment towards domestic markets misunderstood. Banks not only bring higher assets but also provides credit to government-owned enterprises, Small Medium Enterprises, Micro Credit. Most developed countries have understood this phenomenon achieved significant...

Abstract Research in corporate finance suffers from bounded rationality due to static modeling. Adopting factor analysis, an unsupervised machine learning approach, and balance sheet information (accounts) over time, we find underlying dynamic latent decisions. Our study identifies three decisions adopted by executives Pakistan, (1) long-term capital investment, (2) short-term debt credit, (3) financial flexibility. The order of the empirical tests highlight agency problems rooted familial...

Abstract This paper develops a factor analysis–based measure for shifts in corporate financial flexibility (FFLEX) that can be observed from public accounting information. Companies experience positive FFLEX are associated with higher future investment growth opportunities. We show is robust determinant of stock returns. Firms have increased their lower returns the subsequent period. A zero‐cost return portfolio produces significant monthly premium 0.69%, which driven by covariance (risk)....

Purpose The current study aims to achieve two targets. First, examine empirically that whether corporate managers use tax avoidance influence short-term profitability? Second, investigate the impact of on value firms. accounts provide opportunity temporary/permanent profitability but empirical studies overlooking this matter, particularly in emerging economies. Design/methodology/approach authors identified unexpected fluctuations and then it impacts signal firms' value? unbalanced panel...

This study investigates the affiliation of various proxies economic sentiments and US Dollar exchange rate, mainly focusing on real effective rate USD pairing with three other major currencies (USDEUR, USDGBP, USDCAD). The has employed Google Trends data economy optimistic pessimistic index survey-based monthly basis from January 2004 to December 2018. engaged Ordinary Least Squares (OLS) Auto-Regressive Distributed Lag (ARDL) estimation techniques evaluate short-run long-run effects...

The geopolitical risk found to be a relevant factor for investors choose Islamic stock investment. This study focuses on the short-run and long-run asymmetric significance of market returns. Nonlinear Autoregressive Distributive Lag (NARDL) model has been used major countries i.e. Saudi Arabia, Malaysia, Turkey, Indonesia. dynamics suggest presence asymmetry in case Arabia However, long-run, positive negative shock is having an impact return getting response can because multiple determinants...

This study aims to find the impact of change in economic policy uncertainty (EPU) on returns and volatilities 11 CRSP Ziman value-weighted US real estate investment trusts (REITs) during 1985–2016. The results indicate that EPU has a positive relationship with volatility negative one REITs returns. Among components, news-based component major than others. Change significant all indices except hybrid, healthcare unclassified after controlling for macroeconomic variables. Whereas, is mainly...

This study investigates investors' herd behavior at market and industry level in Pakistan stock exchange (PSX). The novel contribution of this is the incorporation trading volume to explore herding laterally with daily returns. Using observations closing prices 254 firms listed on PSX for period January 2000 - December 2014. Our empirical results found more robust predictor than returns by employing ordinary least square method cross-sectional absolute deviation (CSAD). Findings under...

Purpose This paper aims to test for volatility spillovers among Islamic stock markets with the exogenous impact of geopolitical risk (GPR) check transmission Saudi Arabia, Malaysia, Indonesia and Turkey. Researchers both symmetric asymmetric transmission. Design/methodology/approach For response volatility, study uses simple generalized autoregressive conditional heteroscedastic (GARCH) GPR, exponential GARCH models have been adopted. Findings The results suggest spillover effects exist from...

This paper investigates whether exchange rate changes have symmetric or asymmetric effects on international trade integration, using quarterly time series data from 1980: Q1 till 2018: Q2. The recent innovation in cointegration techniques allows us to estimate nonlinear effects. We apply both linear autoregressive distributed lags (ARDL) and ARDL models. empirical results indicate that relationship exists between (REER) integration (ITI) the short-run as well long-run, meaning real effective...

Purpose This paper aims to investigate whether Islamic and conventional equity indices offer some alpha. These are expected no alpha being value-weighted, passive unmanaged. Design/methodology/approach used monthly data from 1996 2016 of four Dow Jones (DJ) one financial times stock exchange (FTSE) five Morgan Stanley Capital International (MSCI) indices. study a simple ordinary least square (OLS) rolling window regressions generate the alphas risk loadings when adjusting for prominent...

The ongoing hype of China Pakistan Economic Corridor (CPEC) as a game-changer for the economy has induced lot expectations among all countrymen. In this paper, we have tried to investigate whether CPEC driven economic reflect in stock market returns. We, use weekly search volume data from millions internet users across country reveal attitude. By combining Internet queries such as, “CPEC”, “CPEC Jobs”, “Tax”, route”, “Transport” and so forth, create an attitude (Expectations) revealed by...

This study investigates whether Google Search Volume Indices (GSVIs) bring shifts in the expected return of prominent pricing factors comparison to Volatility Index (VIX). The results show that compared VIX, GSVIs less significant changes premium on Fama–French’s five-factors and q-factors. Pessimistic sentiment indices (Market Crash Bear Market) predict more variation than optimistic Rally Bull Market), also have a correlation with VIX representing downside risk. Furthermore, are better predicting

Tax avoidance and evasion are major problems in Pakistan. The study attempts to provide information investors regulatory authorities of Pakistan about tax its consequences. Book Effective Rate (BETR) Cash (CETR) used measure avoidance. unbalanced panel data 189 non-financial firms for empirical analysis. results regression models show that managers manipulate the profitability signal via Managers use beat earnings targets, however, no evidence found practice just meet margin. In line with...