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Idiosyncratic Risk and Expected Return of Portfolio Investment Evidence from Stock and Commodity Markets of Pakistan

Thesis Info

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External Link

Author

Saleem, Kashif

Program

PhD

Institute

Qurtuba University of Science and Information Technology

City

Peshawar

Province

KPK

Country

Pakistan

Thesis Completing Year

2018

Thesis Completion Status

Completed

Subject

Management Sciences

Language

English

Link

http://prr.hec.gov.pk/jspui/bitstream/123456789/10009/1/Kashif%20Saleem_Qurtaba%20Univ.pdf

Added

2021-02-17 19:49:13

Modified

2024-03-24 20:25:49

ARI ID

1676724754823

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The central theme of this research study is related with the role of idiosyncratic risk in commodity and stock returns of Pakistan being emerging markets of the world. In the framework of asset pricing, literature suggests that idiosyncratic risk is independent to the specific assets therefore it has no role in explaining the returns. However, modern portfolio theory suggests that in under diversified portfolio, idiosyncratic risk has the positive relationship with stock returns, while the negative association of idiosyncratic risk has also been reported by different scholars. To settle this conflict through Pakistani context, the current study investigates the role of idiosyncratic risk empirically in these two financial markets. Stock market is divided into two sectors i.e. financial sector including returns of financial companies and non-financial sector comprising data of non-financial companies. The daily and monthly data are taken from January 2005 to 2016 for analysis. For commodity market of Pakistan which is totally independent from stock market, separate daily data set is taken from 2011 to 2016. As the data is of quantitative in nature therefore various statistical tools are applied for this purpose. Cross sectional regression is used for testing the association between expected conditional idiosyncratic risk and returns. Conditional idiosyncratic risk is estimated through Egarch model for both markets. The empirical results showed that conditional idiosyncratic risk and return of non-financial, financial and commodity returns has significant positive relationship after controlling the different factors such as value, momentum and size etc. whereas the lag idiosyncratic risk has no relationship with returns of stocks and commodities. The empirical evidence confirms the findings of previous studies. In the end it is suggested that investors can develop profitable portfolio after considering the idiosyncratic risk.
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غلام آیا ہے آقا مگر ہے شرمندہ

غلام آیا ہے آقاؐ مگر ہے شرمندہ
جھکی ہوئی ہیں نگاہیں ، نظر ہے شرمندہ

لبوں پہ کوئی بھی اک لفظ آ نہیں پاتا
دُعا کو ہاتھ اُٹھیں کیا اثر ہے شرمندہ

ہمارے ہاتھ بھی خالی ہیں اور دامن بھی
مدینے جاتے ہیں لیکن سفر ہے شرمندہ


بڑھا سکا نہ یہ ایمان کی حرارت کو
سو میرے دل میں دہکتا شرر ہے شرمندہ

اب ایک در پہ جُھکے بھی تو کیسے جُھک پائے
کہاں کہاں اِسے رکھا کہ سر ہے شرمندہ

مجھے یقین ہے اپنے کریم آقاؐ پر
صدا کرم کی سنوں گا، ’’کدھر ہے شرمندہ‘‘

مجھے سلیقۂ توصیف ہی نہیں عابدؔ
میں نعت لکھتا ہوں لیکن ہنر ہے شرمندہ

وکالت کی تحقیق فقہاء کرام کی نظرمیں

There has been described the meaning of Wakalat and its type. Who can be agent? What are the conditions of it? How it can be used? Where it is used? How it can be eliminated? What is the status of it in Current kinds of Cards? In which things the wakalat will be eligible. Allah has permitted for wakalat as it was mentioned in this article, because it is a necessary need of a human being without it one never can do all around his works, issues and important goods. For Wakalat it is very credible that Wakeel must has experience in the relevant subject without experience he can give countless loss for his Mowakkil, as well as be eligible, trustful, honest, sensible, aware of current affairs. Existence of wakalat has been described by all jurispru-dence and religious scholars divided Wakalat in two types (1) common Wakalat (2) special Wakalat and their command according to the holy Quraan and sunnat. What is the command of wakalat in almighty Allah’s affairs? Is it allowed or prohibited according to the Islamic point of view.  

Optimization of Engineering Parameters for Continuous Mode Biosorption

The discharge of heavy metals into aquatic ecosystems has become a matter of concern over the last few decades. They are extremely toxic elements, which can seriously affect plants and animals and have been involved in causing a large number of afflictions. Due to the high costs of commercial adsorbents, biosorption is an economically feasible way to perform the treatment of potentially toxic species-containing effluents. It is the sequestration of metals by the dead natural material called biosorbent. This research presents experimental optimization of different engineering parameters such as Biosorbent type, Immobilization method, initial solution pH, flow rate, Initial metal concentration and Desorbing agent for the removal of Cu(II). Three types of wastes namely Crop wastes (CW) including Bagasse, Rice Husk, Rice Straw, Wheat Straw, Waste leaves (WL) including Peeple Leaves, Semal Leaves and Dry fruit Waste (DW) including Almond Shell and Walnut shell were selected as they are abundantly available in local areas. First of all, each biosorbent was prepared through washing, crushing and grinding followed by size analysis through seven ASTM screens. Detailed size analysis was performed and presented for the first time in literature to link it with biosorption. This data was used to calculate different mean diameters namely volume surface mean, mass mean and length mean diameters. Size frequency curve was also plotted. For almond shell the volume surface mean diameter showed close resemblance to the median obtained from the size frequency curve while for all the remaining biosorbents, mass mean diameter came out to be representative diameter. Scanning Electron Microscopy was performed to establish different aspects (Physical and chemical) of biosorbent structure. CW showed needle like particles with complex flaky or porous structure. LW showed cylindrical particles with holes while DW showed aggregatesof small particles. FTIR analysis showed typical lignocellulosic profile for each biomass showing the presence of multiple functional groups including –OH, -COOH. XRD showed amorphous nature of the biosorbents. These characterizations showed that selected biosorbent possess structure suitable for biosorption. Selection of the optimum biosorbent was performed through typical kinetic and equilibrium experiments. In these experiments WL showed highest uptake of Cu(II) while CW and DW showed intermediate to low uptakes. Biosorption generally takes place in acidic environment. Therefore, stability of the selected biosorbents (Wheat Straw, Peeple leaves, Seemal Leaves, Almond Shell and Rice Husk) in 0.1M HNO 3 was tested. Almond Shell showed best and WL showed worst results. Thus, Almond Shell (AS) was selected as optimum Biosorbent. This approach has been applied for the first time to select an optimum biosorbent. Among different options of continuous contactors, fixed bed column is preferred due to its effective utilization of biomass bed and subsequent separation from the adsorbate solution. The most important parameter in the fixed bed operation is the nature of immobilization of the biomass. Generally, entrapment of the biosorbent is being performed to apply it in the fixed bed column. However, this process results in addition of a resistive layer of immobilizing media which hinders the mass transfer. Therefore, a novel surface immobilization mm and have complex structure. Braummer-Emmett-Teller (BET) area of beads showed a suitable adsorption area 0.8094 m 2 /g. For fixed bed experiments, optimum pH was estimated to be 4.6. It was an intermediate pH between two extremes i.e., point of zero charge (pH = 3.8) and point of precipitation (pH =5.1). Up flow arrangement was selected due to its inherent capability to avoid channelling. Bed height was selected to 20 cm to avoid axial dispersion of the Cu(II). Column experiments were performed at 19.7mL/min and 36 mL/min to determine optimum flow rate at 10 ppm Cu(II) concentration. Time required to achieve 50 % break through was greater in case of 19.7 mL/min than 36 mL/min. 19.7 mL/min flow rate corresponded to about 3 min residence time in the column and taken as optimum flow rate. In order to determine the optimum influent concentration three column experiments were performed at different initial concentration namely 10 ppm, 50 ppm and 100 ppm. As, expected very quick breakthrough took place at 50 ppm and 100 ppm. Hence, 10 ppm was selected an optimum initial concentration. HNO 3 and NaOH were selected to determine the optimum desorbent. These chemicals were selected due to the fact that H + and Na + ’ metals. Experiments showed that HNO 3 recovered much more Cu(II) ions than NaOH. Also, in case of NaOH, a notable deterioration of immobilized beads was found. Almond shell was identified as an optimum biosorbent as it showed moderate uptake and highest acid resistance amongst selected biosorbent. Kinetic modelling showed that, pseudo 2 nd order kinetic best described biosorption of Cu(II) by AS. Freundlich model enumerated the equilibrium behaviour of Cu(II) removal by AS. Application of Dubinin-Radushkevic (D- R) model suggested the physio-sorption while Boyd''s model showed liquid film diffusion as the rate controlling step in the biosorption of Cu(II) by AS. Powdered AS was immobilized on the surface of beads which showed moderate BET area. Beads showed best performance (50% break through) at lower flow rate (19.7 mL/min) and low Cu(II) concentration (10 ppm). It was possible to regenerate beads saturated with Cu(II) ions using 0.1M HNO 3 without any damage. Thomas model was applied to describe the break through curves. It isrecommended to further explore the surface immobilization of different biosorbents to test their effect on the breakthrough of different pollutants (binary and tertiary) in fixed bed column.