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Home > Behavior of Stock Return, Calender Effects and Adaptive Market Hypothesis Ahm : Evidence from Pakistan by Using Historic Data With Special Focus on Gregorian and Islamic Calender

Behavior of Stock Return, Calender Effects and Adaptive Market Hypothesis Ahm : Evidence from Pakistan by Using Historic Data With Special Focus on Gregorian and Islamic Calender

Thesis Info

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Author

Shahid, Muhammad Naeem

Program

PhD

Institute

Bahria University

City

Islamabad

Province

Islamabad

Country

Pakistan

Thesis Completing Year

2019

Thesis Completion Status

Completed

Subject

Finance

Language

English

Link

http://prr.hec.gov.pk/jspui/bitstream/123456789/14665/1/Muhammad%20naeem%20shahid%20finance%202019%20bahria%20isb%20prr.pdf

Added

2021-02-17 19:49:13

Modified

2024-03-24 20:25:49

ARI ID

1676724532871

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Beyond the traditional verdict of efficiency/inefficiency of market, the current thesis aims to provide additional insights to portray the clear picture of behavior of stock market. Although the previous studies have broadly examined the classical EMH, but there exists no consensus among academicians and researchers whether markets are efficient or not. Earlier studies favor EMH and claim that it holds. However, the recent studies cast a serious doubt by showing a strong evidence against the validity of the EMH. In addition, numerous research studies used a predetermined sample-period to investigate the EMH while ignored the fact that the levels of market efficiency may change/evolve over time. Thus, testing efficiency in previous studies is confined to investigate whether the returns generating process of an asset is stochastic (market efficiency) or deterministic (market inefficiency). In this regard Lo (2004) tries to reconcile both the varying degree of market efficiency and EMH through Adaptive Market Hypothesis (AMH). This theory facilitates the efficiency of capital markets to evolve over time and allows market inefficiencies to co-exist along with market efficiency (EMH). The thesis aims to examine the behavior of stock returns and calendar effects through AMH to identify whether AMH delivers a better depiction of behavior stock return and calendar anomalies than traditional EMH. For the purpose 107 listed companies from Pakistan Stock Exchange (PSX) are selected over the period from 1996 to 2015 to contribute to limited literature available on emerging markets. Similar to the studies of (Urquhart, 2013; Urquhart & Hudson, 2013), five different types of behavior are studied. The data set is divided into 4 equal 5-yearly-subsamples to detect the evolution of market efficiency (through linear & non-linear tests) and calendar effects (through GARCH model & Kruskal-Wallis test). The simultaneous utilization of linear and non-linear methods would probably improve the prediction of market participants. The results of linear & nonlinear tests reveal that firms exhibit significant predictability of returns during certain sub-samples while insignificant in others indicating that returns go under periods of market efficiency and inefficiency thus, consistent with AMH. Similarly, the results of GARCH (1,1) and Kruskal-Wallis test show that behavior of calendar effects fluctuates and goes under periods of predictability and no predictability . Overall, results of study suggest that AMH well elucidates the behavior of stock return and calendar effects than conventional EMH. The findings of the study may helpful to investors to assess the time varying volatility to manage their portfolios, investment decisions and trading strategies at (PSX).
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نواب امیر حسن خان

نواب امیر حسن خان
افسوس ہے کہ گذشتہ مارچ میں نواب صدیق حسن خان کے پوتے اور نواب علی حسن خان کے بڑے صاحبزادے نواب امیر حسن خان نے دفعتہ انتقال کیا، اس خاندان میں کئی پشتوں تک علم و دولت کا اجتماع رہا نواب علی حسن خان خود صاحبِ علم، اہل قلم کے قدردان اور لکھنؤ کی اہم شخصیت تھے، اس لئے علامہ شبلی مرحوم سے اُن کے بڑے گہرے تعلقات تھے، اس تعلق اور علم دوستی کی بنا پر ان کو ندوہ اور دارالمصنفین سے خاص تعلق تھا، ندوہ کے وہ ابتداء سے حامی و مددگار اور ایک زمانہ تک اس کے ناظم رہے، دارالمصنفین کے بھی رکن تھے، نواب صاحب کی زندگی تک ان کا دولت کدہ اصحابِ علم وکمال کا مرجع تھا، مگر ان کی وفات کے بعد اس خاندان کی پرانی شان قائم نہ رہ سکی، تاہم نواب امیر حسن خان نے حتی الامکان قدیم روایات اور پرانے تعلقات کو نباہنے کی کوشش کی، مگر زمینداری کے خاتمہ نے اس خاندان کا بالکل خاتمہ کردیا، ایک زمانہ میں بھوپال ہاؤس کی رونق اور چہل پہل قابلِ دید تھی، اور اب وہ تلک الایام نداولہابین الناس[آل عمران:۱۴۰]کا مرقع بن گیا ہے، نواب امیر حسن خان کی عمر ساٹھ سال کے قریب رہی ہوگی، اﷲ ان کو اپنی رحمت ومغفرت سے سرفراز فرمائے۔
(شاہ معین الدین ندوی، مئی ۱۹۵۶ء)

 

تفسیر جلالین میں اسرائیلی روایات کا تجزیاتی مطالعہ

Holy Quran is the most sacred scripture bestowed by Allah Almighty upon his bellowed prophet Muhammad (PBUH). Unlike other scriptures, Allah Almighty himself took the responsibility of safety and safe custody of the Holy Quran. That is why, despite passage of more than 1400 years, the Holy Quran remained intact, wordwise as well as meaningwise and will remain intact till the end of the world. Such a unique status of the Holy Quran could not be tolerated by the enemies of Islam and Prophet of Islam. Therefore, they decided to present Holy Quran as a defective document before its readers. For this purpose, they chose to highlight and exploit the short and abbreviated incidents, described by the Holy Quran, under the term of “Muthashalihat”, by adding and narrating false, nonsense and most astonishing stories, just to divert attention of the readers from the basic learning of Holy Quran, towards un-realistic and bogus stories. Accordingly majority of the readers have shown great interest in these stories, which fall under the title of Israiliat Unfortunately, the said stories are included in dozens of Translations Tafaseer of the Holy Quran. In order to acquaint readers of the actual status of Israiliat, the undersigned has started working on the subject. Since Tafseer-e-Jalalain is included in the Syllabus of Maddaris and being taught for the last many years, therefore, I have chosen the same in the first instance, and pray Allah Almighty to help me out in completing my assignment.

Genetic Variability and Yield Components Relationships in Some Early Maturing Sugarcane Saccharum Hybrid Spp Genotypes

Eight early maturing sugarcane (Saccharum hybrid spp.) genotypes were evaluated in a four-replicated RCB designed experiment for two years each in plant and ratoon crops during 1909/00 to 2001/02 at the farms of Sugar Crops Research Institute, Mardan. The genotypes were S.87-USJ 87T S.86-US.795, S.86- US.642, S.86-US.432, Thatta-7, CP 72- . . 2086 TCP 81-1 Olncluding Mardan-93. Sixteen characters, germination %, hlicrs/70 m2, leaf stalk length, stalk diameter, intcrnodcs/slalk, stalk weight, stalks/70 m2, %, Pol %. purity %, fibre %, CCS % and sugar yield/70rn were studied in stalk yield. Brix planT''crop. Eleven characters, tillers/70 m2, stalk length, stalk diameter, stalk weight, stalks/70 m2. cane yield/70 m2, Brix %, Pol %, fibre %, CCS % and sugar yicld/70 m2 were studied in ratoon crop. Components of variability were evaluated for genotypic, phenotypic and environmental coefficients of variation, broad sense hcritability, expected genetic advances maintaining selection intensity of one genotype selection out of seven; and interrelationships of the characters through path analysis. Genotypes were significantly different in stalk diameter, intcrnodcs/slalk. single stalk weight, fibre content in plant and tillers, stalk length, stalk diameter and fibre content in ratoon (P < 0.01) crops while leaf area, stalk length and cane yield at P < 0.05 in plant crop. G x Y interaction was existed for Brix%, Pol% and CCS% in plant (P < 0.01) and fibre content in ratoon (P < 0.05). Genotypic coefficients of variation were ranged from -0.925% of Pol% to 17.477% of plant height in plant and -2.345% of sugar yield to 27.571% of tillers per 70m2 in ratoon crop. The degrees of genetic determination were ranged from -58.40% to 95.20% in plant and - 47.90% to 99.90% in ratoon crop. The genetic advances were ranged from -0.269% of CCS% to 23.276% of plant height in plant and -1.567% of CCS% to 37.616% of tillers/70m2 in ratoon crop at one genotype out of seven selection intensity. Low genetic advances of quality parameters both in plant and ratoon crops suggested that concentration should be made on cane yield component parameters maintaining quality parameters at a certain commercial acceptable levels during selection. Path analysis gave 38 positive and 42 negative correlation out of total 120 pairs of correlation while 17 positive and 19 negative correlation out of 55 in ratoon crop. Stalk weight, intemodes/stalk and fibre % showed direct positive effect on sugar yield in plant crop and stalk weight, stalk yield, Brix reading, Pol reading and CCS% in ratoon crop. Stalk length; stalk diameter, stalks yield, Brix %, Pol % and CCS% exerted indirect positive effects on sugar yield in plant crop. Genotypes, TCP 81-10, S.86-US.432, S.87-US.1873 and S.86-US642 were significantly (P <0.01) superior than Mardan-93 in cane yields.