Muhammad Tahir Suleman

Testing the Weak Form of Efficient Market Hypothesis: Empirical Evidence from Asia-Pacific Markets

This empirical study is conducted to test the weak-form market efficiency of the stock market returns of Pakistan, India, Sri Lanka, China, Korea, Hong Kong, Indonesia, Malaysia, Philippine, Singapore, Thailand, Taiwan, Japan and Australia. Monthly observations are taken for the period January 2004 to December 2009. Autocorrelation, Ljung-Box Q-statistic Test, Runs Test, Unit Root Test and the Variance Ratio are used to test the hypothesis that the stock market follows a random walk. Monthly returns are not normally distributed, because they are negatively skewed and leptokurtic. In aggregate we concluded that the monthly prices do not follows random walks in all the countries of the Asian-Pacific region. The investors can take the stream of benefits through arbitrage process from profitable opportunities across these markets.

Dynamics of Political Risk Rating and Stock Market Volatility

In this paper we propose a framework for predicting market returns and volatility using changes in the countrys political risk. We identify the appropriate lag to calculate changes over, and show how the changes should be included in mean and volatility equations. The appropriate level of aggregation for the political risk variable is also examined. We analyse 47 emerging and 21 developed markets. We find political risk predictive power primarily for volatility, when looking at emerging markets. Our paper recommends use of three political risk components, which suitably capture important dimensions of the political environment.

Option on Human Performance

Performance of the human play a vital role in every field of life, whether that is politics, wars, films, or sports etc. The purpose of this research paper is to test the hypothesis, whether the performance of some elite/professional individual can be treated as real option. In this paper we propose a new measure of valuing the performance of cricket players. The pricing of Cricket players is based on a performance index such as SS Index. The value of a player varies from club to club, depending on the performance points generated through SS index. We choose 5 players from different teams and then calculate their values by using the points from SS index. Then we use binomial option pricing model to calculate the actual value of the player. Our results show that the value of the player changes as the performance change.

Performance of Pakistani Business Groups During Energy Crisis

Considering the market imperfection theory, this study analyses the performance of Pakistani business groups using a data set of 253 firms from 2003-2012. We find that group affiliation plays a significant role in firm performance due to the group’s ability to better cope with inefficiencies and facilitate the member firms’ access to capital. Moreover, business groups become more integrated during industrial downturns. They are better able to absorb the negative shocks that the economy has suffered during the energy crisis, with the help of group level resources. Finally, the performance of Pakistani export-oriented firms is significantly negative during the energy crisis. Also, insignificantly lower performance by export-oriented manufacturing group affiliates during the crisis suggests that they pay more attention to their profitable local industry ventures during the energy crisis. Overall, our findings suggest that business groups perform better when market inefficiencies increase.

Risk Involved in International Debt Investment in Emerging Markets

The purpose of this research paper is to find how much risk is involved in investing emerging market debt. Emerging markets are becoming a hub for foreign investors either that is an equity or de ...