Showing 1 - 10 of 11
This paper empirically tests the existence and direction of causality between stock market index (KSE) and exchange rates in the post-floating exchange rate regime and vibrant stock market performance of Pakistan. The data period ranges from January 1998 to December 2009. Results of...
Persistent link: https://www.econbiz.de/10013118640
While the issue of the effect of stock index futures trading on the volatility of the underlying asset has been extensively examined in finance literature, the Single Stock Futures (SSFs) being relatively newer derivative products have not received much attention in the finance literature. Given...
Persistent link: https://www.econbiz.de/10013119127
This paper empirically examines the hypothesis that diffusion of information is not uniform across all sectors of a market. Large industries or industries where trading volume is substantially larger attract attention of a large number of investors who in turn make these industries...
Persistent link: https://www.econbiz.de/10013119535
The slow diffusion of information hypothesis has emerged as a more convincing explanation for lead-lag patterns in assets returns compared to traditional explanations such as non-synchronous or thin trading, liquidity factor, or size factor, etc. We provide further support to slow diffusion of...
Persistent link: https://www.econbiz.de/10013112645
The finance literature reports mixed results about the stock market reaction to dividend announcements. This study has tried to figure out that the heterogeneous stock market reaction to dividend announcements might be attributed to several firm-specific financial and non-financial factors. In...
Persistent link: https://www.econbiz.de/10012953942
In this paper, we examine the possibility of an impact of the resumption of trading in Single Stock Futures (SSFs) on the dynamics (positive feedback trading and price volatility) of the underlying stocks in Pakistan's market. Specifically, we test the hypothesis that trading in SSFs promotes or...
Persistent link: https://www.econbiz.de/10012904594
In this study, we examine several aspects of the momentum strategies such as profitability, risk-based explanation, and decomposition of the momentum profits. For this purpose, we use weekly and monthly data of 581 firms listed at the Pakistan Stock Exchange (PSX) for the period 2004-2014. We...
Persistent link: https://www.econbiz.de/10012944383
This paper has investigated the Efficient Market Hypothesis (EMH) through the concept of lead-lag relationship of the future market prices and spot market prices in the context of Pakistani stock market. The study has used data of randomly selected one hundred and forty firms listed on the...
Persistent link: https://www.econbiz.de/10013055921
This study analyzes the impact of analysts' recommendations on stock prices in the Karachi Stock Exchange (KSE) using the Morning Shout, a report published daily by Khadim Ali Shah Bukhari Securities Ltd (KASB) which includes buy and sale recommendations about different stocks. Using event study...
Persistent link: https://www.econbiz.de/10013059981
In this paper, we examine the possibility of an impact of the resumption of trading in Single Stock Futures (SSFs) on the dynamics (positive feedback trading and price volatility) of the underlying stocks in Pakistan's market. Specifically, we test the hypothesis that trading in SSFs promotes or...
Persistent link: https://www.econbiz.de/10012933842