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Home > Economic Forces and Stock Market Returns: A Cross Sectoral Study Testing Multifactor Model

Economic Forces and Stock Market Returns: A Cross Sectoral Study Testing Multifactor Model

Thesis Info

Access Option

External Link

Author

Butt, Babar Zaheer

Program

PhD

Institute

Foundation University

City

Islamabad

Province

Islamabad

Country

Pakistan

Thesis Completing Year

2010

Thesis Completion Status

Completed

Subject

International economics

Language

English

Link

http://prr.hec.gov.pk/jspui/handle/123456789/311

Added

2021-02-17 19:49:13

Modified

2024-03-24 20:25:49

ARI ID

1676724645265

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Stock market performance is generally considered to be the reflector of financial and economic conditions of a country. There are number of macroeconomic and industry related factors that potentially can affect the stock returns of the companies. The primary purpose of this study is to examine the stock returns variation to specific macroeconomic and industry variables by applying multi-factor model. The model consists of macroeconomic and industry variables including market return, consumer price index, risk free rate of return, exchange rate, money supply and industrial production. The study attempts to determine which, if any, of the macroeconomic and industry variables are of use in explaining the variability of stock returns of Pakistani Industries. The firms relating to 09 different sectors are selected for this study on the basis of data availability, profitability and performance on the Karachi Stock Exchange 100 index. These sectors are Banking, Cement, Fertilizer, Automobile, Ghee, Pharmaceutical, Petroleum, Tobacco and Textile. The stock prices data for the selected firms and economic variables obtained for the maximum period of 10 years. Descriptive statistics performed for the temporal properties of the data and Augmented Dickey Fuller (ADF) test applied to find out the data stationarity. GARCH model used to analyze the risk and returns relationship. The tests applied on the stock returns of each firm of the industry and on the data set of the entire industry as well to generalize the results. An attempt was therefore made to ascertain whether a multi index model was better than a single index model in explaining the variation in stock returns of Pakistani Industries. The results reveal that market return is mainly responsible for the stock returns variation, however the inclusion of other macroeconomic and industry related variables has added additional explanatory power in - xii` describing the stock returns variation. It is evident from results that stock returns volatility depicts time varying characteristics across the industries and there is some statistical relationship between risk and return. It is found that industry stock returns are more responsive to changes in economic conditions than firm level stock returns. Results also indicate that stock returns of different industries behave differently in similar economic conditions that acquaint investors about the risk diversification opportunity in the stock market. The contribution of economic variables towards stock returns can help researchers/practitioners/investors to understand the risk return relationship and pricing of economic risk and for the legislators to undertake certain measures for the improvement of economic conditions and hence stability and growth of the stock market and economy.
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آج کا طالب علم غیر ذمّہ دار ہے

آج کا طالب علم غیر ذمہ دارہے
نحمدہ ونصلی علی رسولہ الکریم امّا بعد فاعوذ بااللہ من الشیطن الرجیم
بسم اللہ الرحمن الرحیم
معزز اسا تذہ کرام اور میرے ہم مکتب ساتھیو!السلام علیکم ! آج مجھے جس موضوع پر گفتگو کرنی ہے وہ ہے:’’آج کا طالب علم غیر ذمہ دار ہے‘‘
جنابِ صدر!
آج کا طالب علم واقعی غیر ذمہ دار ہے، اس کی ہمہ وقت الیکٹرانک میڈیا کے ساتھ نشست ، پورا وقت غیر ضروری پروگرام کی سماعت، جملہ اوقات ضرور یہ کے ضیاع میں دلچسپی، یہ تمام امور اسی بات کے غماض ہیں کہ اس دور میں علم کے طالب غیر ذمہ دار ہیں۔
جنابِ والا!
تعلیم کے حصول میں چستی ،لگن اور دلچسپی انتہائی اہمیت کی حامل ہیں ، چاک وچوبند طالب علم حصول علم میں کوئی دقیقہ فروگذاشت نہیں کرتا۔ تساہل، غفلت، سستی اور کاہلی کے چیتھڑوں میں ملبوس نونہال کسی میدان میں بھی کار ہائے نمایاں سرانجام نہیں دے سکتا اور یہی خصلت ِقبیحہ اسے غیر ذمہ دار بناتی ہے۔
صدرِ ذی وقار!
آج کا طالب علم غیر ذمہ دار کیوں ہے، اس لیے کہ اسے وقت کی قدرنہیں ہے، اپنے عظیم لمحات زیست وہ لہو د لعب میں گزار دیتا ہے۔ وقت کا ضیاع اور اس عظیم نعمت کی بے قدری اس کی فطرت ثانیہ بن چکی ہے۔ وقت کی قدرنہ کرنے والانو نہال کبھی شجر سایہ دار نہیں بن سکتا اور ایسی چیز اس کے جسم و جان سے ذمہ داری کی قوت لایموت کوختم کردیتی ہے۔
محترم سامعین!
جدید سائنسی ایجاد موبائل کے غیر ضروری استعمال نے اس سے صفت ذمہ داری چھین لی ہے اور وہی ہمہ وقت اس ایجاد سے وابستہ رہنے کے باعث دیگر ضروری امور کی انجام دہی سے قاصر رہتا ہے، نیز اس میں مشغولیت کی بدولت اپنے وقت...

دینی مدارس پر انتہا پسندی اور دہشت گردی کے الزامات: ایک تجزیاتی مطالعہ

"An analysis of the allegations of extremism and terrorism against religious institutions (Madrasas)". The priceless services done by the religious scholars for the preservation and uplift of religious and Islamic values in the subcontinent are indelible and unforgettable chapter of history. They geared up progress of religious institutions and the tilt of people towards them of the increasingly charming trend. The Heathen world is afraid of the emerging strongholds of Islam. The repercussions of this trend on society are becoming more and more prominent with the march of time. They are striving for the preservation and identity of the Islamic characteristics. After 9/11 incidents, the west is unable to understand how to detach the religious institutions from the embedded Islamic social integrity. The western media and foreign funded rulers have been endeavoring hard to defame religious institutions through there venomous propaganda against them. All this is visible to everyone. There is no parallel of the religious institutions educational boards (Wafaqs) in and outside the country even no such example is present in the whole Islamic world as well as in the subcontinent. Besides other baseless allegations, religious institutions are branded as terrorists and extremists. The west and America are much worried about the Islamic educational institutions and the Holy war (Jihad). The article encompasses the opinions of the regious as well as secular apostles. In a nutshell, all the allegations of extremism and terrorism are not only baseless but just a propaganda.

Studies on the Submerged Fermentation of Invertase by Saccharomyces Cerevisiae

In the present study, eighty six strains of Saccharomyces cerevisiae were isolated from different samples of fruits and soil by serial dilution method. The strain IS-66 gave maximum extracellular invertase production (1.10 U/ml). The enzyme activity reached to 5.6 U/ml when incubation time (48 h), sucrose concentration (5 g/l) and pH 5.5 were optimized. The wild strain IS-66 was exposed to ultraviolet (UV) radiations to obtain a mutant with improved enzyme activity. UV induced mutagenesis did not produce any stable mutant and almost all of the mutants produced relatively lesser invertase than the parental strain. Strain IS-66 was further subjected to chemical mutagenesis using nitrous acid and ethyl methane sulphonate (EMS). After extensive screening, two mutants were developed with increased enzyme activity NA-45 (20.74 U/ml) and EMS-42 (34.2 U/ml) from the wild-culture (IS-66). The mutant strain EMS-42 was cultured on the medium containing 2-deoxy-D-glucose (2dg) and its stability in invertase production was determined at different concentrations of 2dg. The concentration of 0.04 mg/ml was found optimal, as at this concentration EMS-42 showed consistent enzyme activity. Six media were evaluated for the production of invertase in shake flasks. M1 medium (g/l) containing yeast extract 3, peptone 5 and sucrose 30 g/l gave better production of invertase (25.28 U/ml) after 48 h of inoculation. Different sugars such as sucrose, glucose, fructose, lactose, galactose, maltose, raffinose and molasses were investigated on the enzyme production. Of these, sucrose was found to be best (44.03 U/ml) after optimizing the concentration at 10 g/l. Incubation temperature (30oC), inoculum size (2.0 %, v/v) and volume of the medium (50 ml/250 ml Erlenmeyer flask) were optimized. The effect of different additional nitrogen sources such as organic, inorganic and agriculture byproducts were also tested. Peptone at the concentration of 6 g/l gave maximum production of invertase (50 U/ml). The addition of inorganic nitrogen sources and agricultural byproducts nitrogen were not found to have any impact on the enhancement in enzyme production rather it was decreased from the control especially in case of agricultural byproducts. In stirred fermentor (7.5 L), the scale up studies for invertase production was carried out. The enzyme production (65.12 U/ml) was obtained after 24 h of incubation. The overall increase in enzyme activity (15 U/ml) and fermentation time was shortened by 24 h while scaling up enzyme production from shake flask to fermentor. The maximum enzyme activity (80.06 U/ml) was achieved after xvioptimization of cultural conditions such as sucrose (15 %, w/v), pH (4.5), inoculum size (7.5 %, v/v), agitation intensity (240 rpm) and aeration rate (1 vvm, 10 % DO). The intracellular enzyme activity was also determined by sonication. The maximium enzyme activity (57 U/ml) was found in mutant strain of EMS-42 after 24 h fermentation in the fermentor. During sonication, the maximum specific activity of 106 U/mg of protein was obtained with 0.5 duty cycle of impulses at amplitude of 40 % and pH 5 for 60 min. The calcium alginate entrapment technique was used for immobilization of whole cells of S. cerevisiae EMS-42 to form inverted syrup. It was noticed that maximum sucrose hydrolysis (63.40 %) was achieved after 18 h of incubation time. By optimization of cultural conditions for sucrose hydrolysis, the maximum hydrolysis percentage (76.3 %) was obtained at 50oC, pH 5.5 using sucrose (60 %) as substrate. An extracellular invertase was purified to homogeneity by two step purification i.e., ammonium sulfate precipitation and DEAE-Sephadex A-50. The enzyme was present in the supernatant of 85 % saturation being glycoprotein in nature. DEAE column chromatography eluted the enzyme as single active fraction at 0.2 M NaCI. The enzyme was purified by 15 fold with recovery of 38 %. The molecular mass of 110 kDa was determined after SDS-PAGE. The carbohydrate content was found to be 48 %. The intracellular invertase contains both forms of glycosylated (large) and non-glycosylated (small). The same procedure was applied for glycosylated intracellular invertase (L- form) while three purification steps were performed for non-glycosylated invertase (S- form). The L-form was purified by 19 fold with recovery of 32 %. Like extracellular invertase, the molecular weight (110 kDa) for L-form was found. Ammonium sulfate precipitation separated the enzyme (S-form) as insoluble fraction. This form of enzyme was eluted at 0.3 M NaCl using DEAE-Sephadex. A single band of molecular weight (55 kDa) was estimated after Sephadex G-50 with purification (16 fold) and recovery of 17 %. For both purified non-glycosylated and glycosylated invertase the optimum pH (5) was same whereas optimal temperature, MnCl 2 and the values of the K m and V max were found to be as 50 and 60oC, 109 and 111 %, 1.2 and 1.8 mM, 909 and 1429 U/ml/min, respectively.