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Conditional Volatility and Asset Pricing An Empirical Evidence from Emerging Economies

Thesis Info

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Author

Hamid, Kashif

Supervisor

Kashif Hamid

Program

PhD

Institute

International Islamic University

City

Islamabad

Province

Islamabad.

Country

Pakistan

Thesis Completing Year

2017

Thesis Completion Status

Completed

Subject

Public finance

Language

English

Link

http://prr.hec.gov.pk/jspui/bitstream/123456789/9231/1/Kashif_Hamid_Finance_HSR_2017_IIU_05.04.2018.pdf

Added

2021-02-17 19:49:13

Modified

2024-03-24 20:25:49

ARI ID

1676724568838

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This study investigates the relative performance of linear versus nonlinear methods to predict volatility and return in equity markets. The study is performed on the EAGLEs and NEST markets, including China, India, Indonesia Pakistan, Bangladesh and Malaysia by using daily data of equity markets from the period January 4, 2000 to December 30, 2010. Nonlinear and asymmetric ARCH effects have been test by Lagrange Multiplier test. A range of models from random walk model to multifaceted ARCH class models are used to predict volatility. The results reveal that MA (1) model ranks first with use of RMSE criterion in linear models. With regards to nonlinear models for predicating stock return volatility, the ARCH, GARCH-in-Mean (1, 1) model and EGARCH (1, 1) model perform well. GARCH-in- Mean model outperforms on the basis of AIC, SIC and Log Likelihood method. It is concluded that GARCH specification is best in performance to capture the volatility. GARCH in mean model is extended with the macroeconomic variables in the variance equation for SS, BSE, JCI, KSE, KLSE and DSE. The macroeconomic variables include CPI, Term Structure of interest rate, industrial production and oil prices.Data for Macroeconomic variable is on monthly basis for the period Jan 2000 to Dec 2010.For SS, BSE, JCI, DSE, KLSE and KSE markets the conditional mean is significant and models the persistency in long run scenario and suggests for an integrated process. The model indicates that oil price have positive impact on volatility for SS. For BSE change in industrial production index and interest rate change have negative coefficients which indicate that industrial growth and increase in interest rate change has negative relationship with the volatility for this economy. For JCI the model indicates that change in growth in industrial production has positive impact on volatility. For KSE, ARCH and GARCH terms are not significant but growth rate in real sector and oil price has significant impact on volatility. However DSE has no significant results. For KSE the model indicates that inflation has positive impact on volatility but change in oil price has negative effect on volatility.Bullish market effect is quite significant in explaining the volatility capturing ability for all the equity markets. The TGARCH(1,1) model isestimated for SS, BSE, JCI, DSE KLSE and KSE returns series and results indicate that asymmetric effect exists for all the equity markets which indicates the presence of leverage effect. Study concludes that TGARCH (1,1) model is a potential envoy of the asymmetric conditional volatility procedure for the daily frequency of the data regarding to equity markets of SS, BSE, JCI, DSE, KLSE, and KLSE. Further GARCH-in-mean model is extended with value at risk that indicates the variables for variance equation are statistically significant and the VaR have significant impact on all equity markets in explaining the conditional volatility. In Last GARCH-in-Mean Model is extended with the semi-variance and results indicate that the downside risk causes rise in the volatility. It has ability to capture the asymmetric behavior of equity returns and reports the fat tails of the returns. It is concluded that volatility plays a significant role in asset price determination. Keywords: Conditional volatility, linear, nonlinear, Asymmetric effect, Macroeconomic Variables, Bullish, Value at Risk, Semi-Variance.
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1۔ کہانی پڑھی جارہی ہے

 کہانی پڑھی جارہی ہے

(سید ماجد شاہ)

 چوک میں جہا ز کی ڈمی نصب کی جا چکی تھی۔لڑکی نے چوک سے یو ٹرن لینے کے لیے ،گاڑی کی رفتار آہستہ کی ۔جب گاڑی چوک سے نیم دائرہ بنا کر مڑ رہی تھی تو فرنٹ سیٹ پر بیٹھے ، لمبے بالوں والے لڑکے نے کہا،‘‘ میں ایک منتر نما ایکویشن سے یہ جہاز اڑا سکتا ہوں۔

 لڑکی نے کنکھیوں سے دیکھا جہاز آدھا پینٹ کیا جاچکا تھا۔

 لڑکی، جس کے جسم میں جاری تمام کیمیائی عمل بحالتِ اعتدال کام کر رہے تھے ،جیسے ایک بیس بائیس سال کی مائل بہ فربا خوشحال گھرانے کی لڑکی میں کام کرتے ہیں۔

 اس نے لڑکے کی کپکپاتی مخروطی انگلیوں کو غور سے دیکھا، جن پر سگریٹ کے سرمئی داغ ، تیز گندمی رنگ پر نمایاں تھے۔پھر لڑکی نے بائیں ہاتھ سے اپنی سرخ ٹی شرٹ کا بٹن کھولتے ہوئے پورے یقین سے کہا، ‘‘ میں اس پر اڑنا چاہوں گی۔’’

 گاڑی کا اے سی بند تھا ۔ شیشے تھوڑے نیچے کیے گئے تھے تاکہ سگریٹ کا دھواں خارج ہو سکے، اس عمل سے دھواں باہر ضرور نکل رہا تھا لیکن رد ِ عمل کے طور پر باہر کی شدید گرمی گاڑی میں بھر گئی تھی۔

 جب لڑکی یہ جملہ بول رہی تھی۔‘‘ میں اس پر اڑنا چاہوں گی۔’’تو اس کے لہجے میں مذاق کا عنصر رائی برابر بھی شامل نہیں تھا، کیونکہ جب وہ مذاق کے موڈ میں ہوتی تھی تو اس کی آنکھوں میں شرارت کی لہر ابھر کر بھوؤں کو کمان بنا دیتی اور کمانیں ماتھے پر لطیف شکنیں پیدا کردیتیں۔ اس پر ہونٹوں کے ابھار میں اضافہ اور گالوں کے تھوڑا اٹھ جانے سے اس کا...

فن حدیث میں مولانا عبد الرحمن مبارک پوری کی خدمات کا جائزہ

Sūnan-ul-Tirmizi is an encyclopedia of Ahādith-ul-Ahkām. Imam Tirmizi is the Mohadith who divided hadiths into Sahih and Zaeef for the first time. He accepts or rejects a hadith on the base of Taāmul-e-Ummah. He is only the Mohadith who established the terminology of “Filbāb” in which he gives the words of hadith from a Sahabi and mentions the names of all other sahabies who are rawi of the same hadith. There are many sharh of Tirmizi written by Muhadiseen. Among them Tuhfat ul Ahwazi is famously written by Molana Abdul Rahman Mubarakpuri. He explores the terminologies of Sonan-e-Tirmizi. He discussed uloom ul hadith, books of hadith, Shoroh-ul-hadith, Asma-ul-rejal and ilm ul ansab etc. He mentions tafsiri aqwal, fiqhi problems and usool-e-hadith. He also solved the Tasaholat-e-Tirmizi in validity (sihat) and unvalidity (zouf). He is the first mohadith who tried to find the words of hadith from other sahabies whose names are given in “Filbab”. He did it but could not find the words of 87 ahadith for which he used the term “Lam aqif alaih” and 417 ahadith for which he used the term “Le Yonzar man akhraja haza ul hadith”. This thing makes it distinct from other shoroh of Sūnan-e-Tirmizi. He depends on the usool-e-hadith of forefather Muhadiseen and he did not establish his own usool hadith.

Physical, Biochemical and Molecular Profiling of Guava Psidium Guajava L. Germplasm

Guava is cultivated in Bangladesh, India, Thailand, Brazil, Florida, West Indies, California and many other countries of the world. Worldwide Pakistan is the 2 nd largest producer after India. In Pakistan it ranks fifth. It is cultivated under the area of 72 thousand ha and production is 546 thousand tons. It is an allogamous crop (25-40% cross pollination) which causes the genetic divergence, on one hand it causes clonal degradation and on other hand it add new cultivars. There are different types of breeding methods to improve the crop but our focus on selection. We used 132 promising guava (Psidium guajava L.) genotypes collected from 12 areas in Pakistan. A total of 33 traits (18 qualitative and 15 quantitative) were applied to assess the genetic variability and structure of these guava germplasm. Characters including fruit acidity, fruit diameter, seed weight, non-reducing sugar, thickness of outer flesh, number of seed, fruit sweetness, longitudinal grooves, leaf twisting, fruit color of skin, fruit shape at stalk, longitudinal ridges and color of flesh were highly variable. Many of these traits in this study are of high economic importance and can be used as breeding targets on fruit yield and quality. Strong positive correlations were detected among 15 quantitative traits related to fruit yield and quality including fruit length and fruit diameter, fruit weight and fruit diameter, length of leaf blade and width of leaf blade, number of seeds and seed weight, fruit weight and diameter of cavity on fruit, seed weight and fruit weight. But there were more negative correlations among 18 qualitative traits studied. These 132 accessions involving 33 traits were categorized by principle components analysis (PCA). Results on correlation relationship among these traits were also projected in 2D plot. The morphological dendrogram generated from agglomeration hierarchical clustering (AHC) can distinguish all the 132 accessions into 3 major clusters. Images of genetic diversity and structure on these guava accessions were also presented in 2D plot. In this paper we report, for the first time, genetic variability and structure of Pakistan guava germplasm and its implications on conservation and breeding. Our results showed that morphological traits (using XLSTAT software) were very appropriate for studying genetic relationships among guava accessions and can be used for other open pollinated fruit plant germplasm management and breeding strategies as well.Retrotransposon-based DNA marker system (iPBS) and micro-satellite (SSR) markers were used to assess molecular variation and genetic structure in 51 promising Pakistani guava genotypes Psidium guajava L. together with 19 international accessions. The main objective of this research was to compare results derived from data sets for varietal identification and diversity estimation in Guava germplasm by iPBS and SSR marker systems. PCR from 5 iPBS primers (dominant markers) produced a total of 90 bands (100% polymorphic ) ranging from 100 bp to 2600 bp, and the mean PIC value for each primer ranging from 0.2339 to 0.3698. The 18 pairs of SSR primers (co-dominant markers) produced a total of 71 bands (100% polymorphic) ranging from 150 bp to 900 bp, and the mean PIC value for each primer ranging from 0.0848 to 0.9891. Molecular information generated from both iPBS and SSR methods were separately scored in a matrix for phylogenetic dendrogram construction as well as principle components analysis (PCA). Both iPBS and SSR markers can discriminate all the accessions evaluated into diversity groups. The phylogenetic dendrogram based on iPBS markers reflected not only the botanical morphologic classifications of the plants studied, but also the geographic distribution of some major international guava cultivars (Pakistan, Mexican, Hawaiian and Indian). In SplitTree results from iPBS method, 51 Pakistan accessions of Psidium guajava from 6 districts were distinguished into 6 groups according to their original locality. Results from the molecular analysis correspond strongly to that of PCA. Comparing to the SSR marker system, the iPBS PCR-based genome fingerprinting technology in this study is low-cost and provides another effective alternative in differentiation accessions in guava (Psidium guajava Linn.) and related species or genera. These results showed that iPBS marker system was very appropriate for study of genetic relationships among guava accessions and can be used for study of the genetic structure of Myrtaceae germplasm as well as other plants.