Macroeconomic Determinants of Banks’ performance in Pakistan

Almost all business operations that are now taking place in the economy may be impacted by recent changes in the macroeconomic indicators of the nation. Thus, the study' s objective was to assess the effect of particular macroeconomic factors on Pakistan' s banking performance. For a period of 13 years, the study tracked data from all active commercial banks in Pakistan (2006-2018). Results were obtained using multiple linear regression and correlation analyses on EViews. According to correlation findings, there was no connection between the exchange rate and NIM or ROE. All other factors.

Exploiting the Market Inefficiencies: the Case of Single Stock Futures Arbitrage at Pakistan Stock Exchange Limited

This study examines the pricing efficiency of the derivatives segment of Pakistan Stock Exchange (PSX), particularly the Single Stock Futures (SSF), to look for the arbitrage opportunities. Futures provide profit-making opportunities to the arbitragers if these contracts are being traded above or below their theoretical fair price. A positive mispricing helps to get a riskless profit by selling the futures and buying the underlying stock and negative mispricing yields through buying the futures and selling the underlying stock. These contracts are available for more than forty individual stocks listed on PSX that are selected biannually through uniform selection criteria. The analysis is piloted on one-year data collected from twenty-two firms, engaged in stock futures trading on PSX. Summary statistics confirmed numerous instances of deviation of these future contracts from their fair prices calculated by the cost of carry formula. Though negative deviations were greater in magnitude, positive deviations were relatively more in frequency, leading to the conclusion that SSFs are generally sold on premium in our stock market and arbitrage trading is easier in this market. Results of random effect Tobit model indicated that behavior of price deviations in SSFs can be determined by different factors. It is observed that absolute mispricing increases with the increasing time to maturity of these contracts. Increasing price bands are also associated with increasing volatility of underlying stock. Absolute mispricing behaves differently for liquidity, as measured by trading volume, of futures and their underlying stock. Lower liquidity of underlying stock and higher liquidity of SSFs increases the mispricing spreads. Open interest cannot significantly explain the behavior of mispricing.