Search or add a thesis

Advanced Search (Beta)
Home > Dynamics of Returns and Conditional Volatility: Hedging Insights and Portfolio Implications of Oil and Gold Investments in Pakistani Stock Market

Dynamics of Returns and Conditional Volatility: Hedging Insights and Portfolio Implications of Oil and Gold Investments in Pakistani Stock Market

Thesis Info

Access Option

External Link

Author

Hanif, Waqas

Program

PhD

Institute

Iqra University

City

Karachi

Province

Sindh

Country

Pakistan

Thesis Completing Year

2018

Thesis Completion Status

Completed

Subject

Business Education

Language

English

Link

http://prr.hec.gov.pk/jspui/bitstream/123456789/10830/1/Waqas%20Hanif_Finace_2018_Iqra_PRR.pdf

Added

2021-02-17 19:49:13

Modified

2024-03-24 20:25:49

ARI ID

1676724638794

Similar


This thesis explores the dynamics of returns and conditional volatilities for stocks at sector level in Pakistan and commodities such as oil and gold with a view to shed light on the portfolio implications and hedging insights. We utilize DCC-GARCH, ADCC GARCH and GO-GARCH models for the sample period January 2000 to December 2014. The conditional volatility parameters extracted from multivariate GARCH models; are used to construct the optimal hedge ratios and portfolios weights between sector stocks-oil/gold pairs. The results of the study signify that long and short term volatility persistence are evident of volatility clustering in all markets under consideration. The results for asymmetric volatility dynamics indicate that negative innovations in returns for all series except for gold asset tend to increase the future volatility more than positive innovations of similar size. This pushes the investors to consider safe haven assets during turbulence time in stock market. Furthermore, the results of the study demonstrate that conditional correlations are mean reverting across all pairs during the entire period of the study. The time-varying patterns of conditional correlations between all pairs help to investigate the hedge and safe haven properties for oil and gold assets. During the economic downturns 2007-2009, a downward pattern in correlations displays that oil asset play a role of safe haven asset only for health care industrial sector stocks whereas gold maintains status of safe haven asset for all sector’s stock except telecommunication and utilities industrial sectors. The evaluation of risk diversification in stocks portfolio and hedging potential of oil and gold assets for all pairs indicate that adding oil and gold to a stock portfolio improve the overall risk-adjusted return performance. For instance, investors in Pakistan should allocate more stock than oil and gold assets in their vi portfolios. The stock market’s investment risk can be hedged by taking the short position in oil and gold markets. The time-varying pattern in hedge ratios for all sectors and alternative assets indicates that investors should update their hedge position regularly according to market conditions. Finally, the efficiency of allocation weights of oil and gold assets in risk reduction varies across industrial sector stocks. The findings of the thesis enable the policy makers, portfolio managers as well as investors in their decision related to the markets under consideration.
Loading...
Loading...

Similar Books

Loading...

Similar Chapters

Loading...

Similar News

Loading...

Similar Articles

Loading...

Similar Article Headings

Loading...

مفتی محمد کفایت اﷲ دہلوی

آہ مفتی اعظم ہند!
[ مفتی محمد کفایت اﷲ دہلوی]
واحسرتا!۳۱/دسمبر۱۹۵۲ء کو شب کے ساڑھے دس بجے یعنی ٹھیک اس وقت جبکہ ایک سال شمسی اپنی حیات ِدوازدہ ماہ کی مقررہ مدت پوری کرکے ہمیشہ کے لیے گوشۂ عدم میں آسودۂ سکون ہوجانے کی تیاری کررہاتھا علم وعمل کے آسمان کاایک آفتاب عالم تاب غروب ہوگیا۔یعنی حضرتنا الاستاذ مولانا الحاج المفتی محمد کفایت اﷲ دہلوی نے اسّی (۸۰) سال کی لگ بھگ عمر میں داعی اجل کو لبیک کہہ کرجان جان آفریں کے سپرد کی!انا ﷲ واناالیہ راجعون۔
حضرت مفتی صاحب کا وجود گرامی اپنی چند درچند علمی وعملی خوبیوں اور گوناگوں دماغی واخلاقی کمالات کے باعث صرف ہندوستان اورپاکستان کانہیں بلکہ پورے عالم اسلام کاایک متاع گرانمایہ اورسرمایہ بلند پایہ تھا کہ آج اس کے اُٹھ جانے پرجتنا بھی ماتم اوراُس پر جتنا بھی افسوس کیاجائے کم ہے۔حضرت مولانا خودجلیل القدر بزرگ اوربزرگوں کی یادگار تھے، انہیں دیکھ کر اوراُن کی صحبت میں دوچار لمحے گزار کرسلف صالحین کی یادتازہ ہوتی تھی۔قدرت نے اُن میں دل اور دماغ دونوں کی خوبیاں اوران کے فضائل وکمالات کچھ اس طرح بیک وقت جمع کردیے تھے کہ اُن کی ہستی’’اے تومجموعۂ خوبی بچہ نامت خوانم‘‘کا مصداق بن گئی تھی۔ وہ ایک طرف بہت بڑے عالم،مفسر،محدث اورفقہیہ تھے تو دوسری جانب علوم عربیہ کے جامع تھے اور ان میں بہت ٹھوس استعداد رکھتے تھے۔ پھر معاملات میں سوجھ بوجھ اورسیاسی ودنیوی امور ومسائل میں ان کی فرزانگی ودانشمندی کایہ عالم تھا کہ جس طرح علما کی بزم کے وہ صدرنشیں تھے اسی طرح ارباب سیاست وتدبیر کی محفل میں بھی اپنامقام خاص رکھتے تھے ’’جوبات کہتے تھے‘‘اورجو لفظ اُن کے قلم سے نکلتا تھاوہ اس قدرجچا تلااور نپانپایا ہوتا تھا کہ کسی بڑے سے بڑے نکتہ چیں کے لیے بھی اُس پر حرف گیری آسان نہ تھی۔ یوں تو اﷲ...

المحاسن البلاغية والأدبية في الأحاديث النبوية في كتاب الفرائض

There is no doubt that Ahadiths (sayings) of the prophet (PBUH) have the great importance in the Islamic Jurisprudence because it is the second source of Islamic law after the Holy Quran. Due to the immense importance of Ahadith, the religious and research Scholars have paid a close attention to emerge and highlight the all aspects of Ahadith regarding Islamic Jurisprudence, Arabic Literatures and Rhetorical peculiarities etc. Therefore I have tried my best in this article to discuss the Rhetorical peculiarities of the  Ahadith from Kital ul Paraidh as well as, I have analyses the definition of Rhetoric in line with different ancient modern scholars.

Evaluation of Professional Development of Novice Teachers in the Context of Transformative Learning in Punjab

Professional development is a continuous and lifelong process of enhancing human performance. The study was conducted to evaluate the professional development of novice teachers in the context of Transformative Learning in Punjab. The study focused on investigating professional development of novice teachers in the areas of teaching methodology, classroom practices and lesson planning skills in the context of Transformative Learning. Another objective of the study was to evaluate the professional development modules for novice teachers according to the views of module developers and to compare the professional development of novice teachers with respect to their designation, academic and professional qualifications. Mixed method approach and sequential exploratory research design was used for this study. In qualitative phase of the study, interviews of master trainers and module developers of professional development program were conducted to elicit their views about professional development. In the quantitative phase, data was collected from novice teachers through structured questionnaire to gain information about transformation, if any, in the areas of lesson planning, teaching methodology and classroom practices. Observations were made to find out transformations among novice teachers as manifested in classrooms. The targeted population of this study comprised of 78,092 Novice Educators, 176 master trainers and 20 module developer of the professional development program. Through multi stage sampling technique, 1,036 trained teachers from eight selected districts of Punjab province, 10 module developers and 35 master trainers were selected as sample. Research instruments comprised two structured interview schedules for master trainers and module developers and a questionnaire and an observation check list for novice teachers. The responses of master trainers and module developers were analyzed qualitatively in light of the objectives. Data obtained through checklist and questionnaire was analyzed through one way ANOVA and independent sample t-test. It was found that a positive change occurred in lesson planning skills, teaching methodology and classroom practices of novice teachers. Module developers provided activities for Transformative Learning. It was concluded that there was no significant difference in the mean scores of novice teachers regarding professional development in the areas of lesson planning skills with respect to their designation and professional qualification. It was also concluded that there was no significant difference in the mean scores of novice teachers regarding professional development in the area of teaching methodology with respect to their designation and academic qualification. Novice Elementary School Educators and bachelor degree holder teachers were performing better in the area of classroom practices. Bachelor degree holder novice teacher were also performing better than master degree holders in the area of lesson planning .The study recommends launching lesson planning improving program for existing teachers. It is recommended for School Education Department to introduce latest classroom practices to other tiers of teachers. It is recommended for Directorate of Staff Development/Quaid-e-Azam Academy for Educational Development to work on transformation of traditional teaching methodologies to innovative teaching methodologies for all other teachers at all educational levels.