Rizwan Raheem Ahmed

Multivariate Granger causality between macro variables and KSE 100 index: evidence from Johansen cointegration and Toda & Yamamoto causality

Abstract The pursue of this article is to scrutinise the long-haul relationship between stock returns of the KSE 100 index and monetary indicators such as rate of exchange, inflation, and interest rates. Month-to-month data from the KSE 100 index and monetary variables were extracted for the period January 1992 to November 2015. We transformed the data series into a stationary form by employing the augmented Dickey–Fuller method. The Johansen cointegration approach reinforces the long-haul association between equity prices and monetary indicators, for instance the rate of exchange, inflation, and interest rates. Results of the Granger and Toda and Yamamoto causalities demonstrate the unidirectional causal relationship between interest rate and KSE 100 index; the one-way causation existed from interest rate to equity returns for the KSE100 index. The analysis of the impulse response function concludes that the changes in the KSE 100 index happened due to its own shocks. However, changes in exchange and inflation rates were experienced because of the interest rate. The outcome of variance decomposition demonstrated that most of the changes in the KSE 100 index are because of its own shocks. Thus, it is concluded that the predictability of the equity prices for the KSE 100 heavily relied on exchange rate, inflation, and interest rate variations.

An Empirical Analysis of Causal Relationship between Stock Prices and Real Sector of the Pakistani Economy

This paper determines the causal relationship between stock prices and the macroeconomic variables representing the real sector of the Pakistani economy. In order to substantiate the purpose annual data has been acquired from the websites of State Bank of Pakistan and Federal Bureau of Statistics, from the period of 1979 to 2013. Further to get the results Unit Root, Cointegration, Error correction model has been applied. Which indicate the presence of long term relation between stock prices and macroeconomic variables including gross domestic product (GDP), Consumption and Investment. Moreover, the result shows the existence of one-way causation between macroeconomic variables such as GDP, real consumption expenditure, and real investment expenditure. This one-way causation lead to the conclusion that the stock market of Pakistan is not developed to that extinct where it could influence GDP, real consumption expenditure, and real investment expenditure. Therefore, it is finally concluded that the stock market of Pakistan is not a leading indicator of any activity of economy.

Speed of mean reversion: an empirical analysis of KSE, LSE and ISE indices

The purpose of this study is to determine the presence of mean reversion in the stock markets indices of Pakistan, moreover, to measure, and compare the speed of mean reversion of the stock markets indices across Pakistan. In order to carry out the research study, the daily data of three stock indices of Pakistan such as: KSE-100, LSE-25 and ISE-10 are collected from 2003 to 2014. After the application of tests such as ARCH and GARCH, it was found that returns series of KSE-100, LSE-25 and ISE-10 indices exhibit mean reversion, indicating that the returns revert back to their historical value after reaching an extreme value. Further, the mean reversion rate shows that KSE-100 index has the slowest mean reversion, however, the ISE-10 index has the fastest mean reversion among the three indices. Therefore, the results of the study concluded that KSE-100 index, due to the slowest mean reversion rate has higher volatility over a longer period of time. On the contrary, since, ISE-10 index has exhibited the fastest mean reversion with the lowest volatility as compared to others. But due to fast mean reversion rate, it will help investors to gain profits over a shorter period of time. Thus, it can be recommended that the investor willing to bear the risk of time and looking for long-term investment should invest in KSE-100 index. However, investors looking for higher profits in a shorter period can invest in the ISE-10 index but with higher risk-returns trade-off.

Stock returns, volatility and mean reversion in emerging and developed financial markets

The objective of this research is to measure and examine volatilities between important emerging and developed stock markets and to ascertain a relationship between volatilities and stock returns. This research paper also analyses the Mean reversion phenomenon in emerging and developed stock markets. For this purpose, seven emerging markets and five developed markets were considered. Descriptive statistics showed that the emerging markets have higher returns with the higher risk-return trade-off. In contrast, developed markets have low annual returns with a low risk-return trade-off. Correlation analysis indicated the significant positive correlation among the developed markets, but emerging and developed markets have shown relatively insignificant correlation. Results of ARCH and GARCH revealed that the value of likelihood statistics ratio is large, that entails the GARCH (1,1) model is a lucrative depiction of daily return pattern, that effectively and efficiently capturing the orderly reliance of volatility. The findings of the study showed that the estimate ‘β’ coefficients given in conditional variance equation are significantly higher than the ‘α’, this state of affair entails that bigger market surprises tempt comparatively small revision in future volatility. Lastly, the diligence of the conditional variance estimated by α + β is significant and proximate to integrated GARCH (1,1) model, thus, this indicates, the existing evidence is also pertinent in order to forecast the future volatility. The results signified that the sum of GARCH (1,1) coefficients for all the equity returns’ is less than 1 that is an important condition for mean reversion, as the sum gets closer to 1, hence the Mean reversion process gets slower for all the emerging and developed stock markets.

Impact of In-Service Training on Performance of Teachers A Case of STEVTA Karachi Region

Learning which takes place in a classroom is signif icantly associated with teachers and their actions taken in the classroom. Therefore, quality of education can be improved by putting more focus on teaching methodologies and the way teachers spend time in classrooms. This study aimed at examining the impact of in-service training on the performance of the teachers. It is generally believed that with the implementation of certain in-service training programmes the performance of teachers regarding their professional skills, knowledge and experience can be signif icantly improved. The target population of the present study included the in-service teachers offering their services at Sindh Technical Education & Vocational Training Authority (STEVTA), Government of Sindh, Karaschi Region. Using close-ended questions, perception and experience of teachers (n=150, m=100, f=50), who availed the opportunity to get in-service training, were gained. Findings of the study revealed the positive impact of in-service training programmes on the performance of teachers. The study also revealed the positive perception of teachers regarding their professional growth. It recommended the in-service training programmes to be introduced in line with the subject rather than general.

Forecasting tax revenues using time series techniques – a case of Pakistan

Abstract The objective of this research was to forecast the tax revenue of Pakistan for the fiscal year 2016–17 using three different time series techniques and also to analyse the impact of indirect taxes on the working class. The study further analysed the efficiency of three different time series models such as the Autoregressive model (A.R. with seasonal dummies), Autoregressive Integrated Moving Average model (A.R.I.M.A.), and the Vector Autoregression (V.A.R.) model. In any economy, tax analysis and forecasting of revenues is of paramount importance to ensure the economic and fiscal policies. This study is important to identify significant variables affecting tax revenue specifically in Pakistan. The data used for this paper was from July 1985 to December 2016 (monthly) and focused on forecasting for 2017. For the forecasting of total tax revenue, we used components of tax revenues such as direct tax, sales tax, federal excise duty and customs duties. The results of this study revealed that among these models the A.R.I.M.A. model gives better-forecasted values for the total tax revenues of Pakistan. The results further demonstrated that major tax revenue is generated by indirect taxes, which cause more inflation that directly hits the working class of Pakistan.

Modified SERVQUAL model and effects of customer attitude and technology on customer satisfaction in banking industry: mediation, moderation and conditional process analysis

Banks are very important financial services sector, and in banking sector there is an intense competition amongst the local and foreign banks throughout the world. The objective of this research is to analyse the effects of perceived value and customer trust, and role of technology in banking service qualities and customers’ satisfaction in Pakistani context. For this purpose we employed modified SERVQUAL model with four dimensions such as empathy, competence, reliability, and online service. An adapted questionnaire was used to carry out this survey research, and collected 830 responses from the customers of Pakistani banking industry. We used factor analysis, confirmatory factor analysis, and bootstrapping methods to carry out this research. The results of the study demonstrated that our four-dimensional model of modified SERVQUAL has a significant impact on overall customer satisfaction. It is further concluded from the bootstrapping method that modified SERVQUAL dimensions and customer satisfaction are positively mediated by the perceived value and trust. Finally, it is also concluded that the implementation of technology serves as moderating variable in the banking sector. The outcomes of this research are beneficial to the senior management of banking sector in order to implement the effective and customised online banking structure to gain competitive advantages, and provide vibrant online banking services that enhance the standard and ease of services to the customers and earn their confidence. The originality and novelty of this research provide a significant contribution in the application of SERVQUAL model specifically for the banking service quality dimensions and customer satisfaction in marketing research.

Stock Returns: Comparison Among Selected Developing Countries

Developing economies behave alike; they have got communalities with reference to economic issues. This study is an attempt to gauge the performance of capital markets of selected developing economies, which include Pakistan, Bangladesh, Indonesia, Brazil and Argentina. The problem, which has been addressed here, is whether average stock returns are same for all the markets or some have potential to produce better returns. The data used in this study is the stock markets prices which are collected from Yahoo Finance website. The data comprises of five years’ daily observations starting from July 2010 to June 2015. Stock returns are obtained and checked for stationarity and all series were found integrated of order zero. The hypothesis of equality of average stock returns for all the markets is analyzed through ANOVA model. Having analyzed, null hypothesis of equality of average stock returns across the stated markets was retained and concluded that capital markets of developing economies behave alike at least with reference to returns.

Impact of Celebrity Endorsement on Consumer Buying Behavior

Today celebrity endorsement becomes the multi-million industries in the world. Marketers endorsed celebrities with their products and brands in the advertisement to increase their sales and change the perception of the viewer’s regarding their brand, which positively impacts on their buying behavior. This research study focuses on the celebrity endorsement and its impact on the customer’s buying behavior and their perception regarding the product or brand of the company. A quantitative method is used in this research in order to investigate the impact of celebrity endorsement on buying behavior. The data of 200 respondents is collected through questionnaire and results were analyzed through the SPSS. The students of different universities as respondents has been taken to know their perception regarding the celebrity and its attributes and the impact of celebrity endorsement on their buying behavior. It is concluded that celebrities endorsed advertisements are more attractive than the non-endorsed advertisements. Moreover the tested attributes of celebrity show positive relationship with the buying behavior and brand perception as well. It also proved that there is a significant impact of celebrity endorsement on the buying behavior. Finally, the results of the study further proved that there is a significant impact of celebrity endorsement on the buying behavior of customers.

Influence of Lifestyle and Cultural Values on Impulse Buying Behavior

The aim of research is to analyze the influence of life styles and cultural values on the impulse buying behavior of Pakistani university students and professionals in different organizations. For collection of data, survey technique was used from the students of different universities and organizations by adopting the convenient sampling technique. For analyzing the group differences between the variables of lifestyles and cultural values on impulse buying behavior, it was found that only gender role has the significant differences between male and female students and professionals on the impulse buying behavior. For analyzing the relationships among the variables of life style and cultural values, it was found that significant relationship exists among all the variables. The study also shows that variables of life style and cultural values such as, life satisfaction, security, financial satisfaction, gender role and in-group contact predict the influence on impulse buying behavior of the Pakistani students and professionals.