DINAMIKA VOLATILNOSTI U NOVIJIM GOSPODARSTVIMA: SLUČAJ BURZE U KARACHIJU

The paper aims to model and forecast the volatility in the stocks traded at the Karachi Stock Exchange before and during the recent financial crisis using the GARCH, EGARCH and GJR-GARCH models. We find the stock return volatility to be characterized by clustering and displaying asymmetries. Results point to the capability of the EGARCH(1,1) model at forecasting for both periods lending support to the use of GARCH family of models for emerging markets during crisis. We find evidence for a synthetically constructed index based on trading volume capturing the volatility structure of the market as well as that based on market capitalization which has important implications for investors.Rad ima za cilj stvoriti model i predvidjeti volatilnost dionica kojima se trgovalo na burzi u Karachiju prije i za vrijeme nedavne financijske krize koristeći GARCH, EGARCH i GJR-GARCH modele. Zaključujemo da je volatilnost zarade na burzi obilježena klasteringom te pokazuje asimetrije. Rezultati ukazuju na sposobnost EGARCH(1,1) modela da predviđa za oba perioda potvrđujući korisnost GARCH grupe modela za tržišta u nastajanju u vrijeme krize. Ima dokaza sintetički stvorenog indeksa na bazi volumena trgovine koji hvata volatilnost strukture tržišta, kao i onog baziranog na tržišnoj kapitalizaciji što ima važne implikacije za investitore

Domestic and cross-border returns to bidders in acquisitions into the E.U.

United Kingdom (U.K.) i.e., when U.K. banks acquire domestic banks and when U.K. banks acquire cross-border banks within the European Union (E.U.). The article includes 75% sample of the total population of bank to bank domestic acquisitions within the U.K. and crossborder acquisitions within the E.U. from 2006 until 2013. The article comes to the conclusion, by the means of event study methodology, that the shareholders returns of acquiring banks are negative and statistically insignificant (–2.076%) when they acquire cross-border banks. The results of U.K. banks acquiring domestic banks indicates higher and statistically significant abnormal returns of 1.628% at 5% significance level as compared to cross-border returns gained by U.K. acquiring banks. The research found an overall insignificant abnormal return of –0.448% for shareholders of the acquiring banks for the entire portfolio. It can be concluded that, on average, shareholders of the acquiring banks experience negative abnormal returns and acquisitions do create (short-term) abnormal returns for the acquiring banks’ shareholders around the acquisition announcement time

A STUDY ON THE RISK-ADJUSTED PERFORMANCE OF MUTUAL FUNDS INDUSTRY IN INDIA

Investing through mutual funds has gained interest in recent years as it offers optimal risk adjusted returns to investors. The Indian market is no exception and has witnessed a multifold growth in mutual funds over the years. As of 2016, the Indian market is crowded with over two thousand mutual fund schemes, each promising higher returns compared to their peers. This comes as a challenge for an ordinary investor to select the best portfolio to invest making it critical to analyse the performance of these funds. While understanding and analysing the historical performance of mutual funds do not guarantee future performance, however, this may give an idea of how the fund is likely to perform in different market conditions. In this research we address multiple research issues. These include measuring the performance of selected mutual schemes on the basis of risk and return and compare the performance of these selected schemes with benchmark index to see whether the scheme is outperforming or underperforming the benchmark. We also rank funds on the basis of performance and suggest strategies to invest in a mutual fund and therefore, our findings have significant relevance for investing public

Pakistan’s poverty puzzle: role of foreign aid, democracy & media

In theory, poverty reduction is associated with economic growth and equal access to opportunities for all citizens, regardless of their age, gender and income. Pakistan has reduced its poverty headcount by nearly 66% between 2002–2016, despite poor governance, weak institutions, mediocre economic growth, and poor social indicators. Using ADL/VAR and Granger causality tests, the paper empirically proves that change in political regimes, openness of media and foreign aid have contributed to alleviation of poverty in the country. The paper finds that the shift towards a stable democratic regime has facilitated the delivery of social services, regardless of the motive. Furthermore, it finds that free flow of information through the media has created an awareness among the masses about their rights; the access to information has led to a more equitable distribution of social services. Foreign aid has also contributed to alleviating poverty by focusing on targeted programs towards different groups with the help of various international organizations. These finding have important implications for interactions between the developed and underdeveloped economies as well as the economic and social benefits of democratic regimes

Conditional vs unconditional cash transfers: a study of poverty demographics in Pakistan

This paper aims to provide a detailed demographic description of poverty in Pakistan with an attempt to highlight those segments of the poor who can be aided to transition out of extreme poverty through appropriate policy measures. Data are collected from the Household Integrated Economic Survey (HIES) for the years 1985–2016 and captures falling poverty, gender-wise division of the employed and unemployed, type of employment (self-employed, unpaid workers, employers, employees) by gender, labour participation of vulnerable age groups, as well as unemployed widows. The paper discusses the effectiveness of conditional (CCT) and unconditional (UCT) cash transfer programs across the world and using data indicators, highlights the appropriate target groups in need of such intervention in Pakistan. The existing components of BISP are discussed, with policy recommendations targeted to enhance its impact by focusing UCTs on the most vulnerable segments. CCTs can be used to improve health and education outcomes; given Pakistan’s lagging performance, illiteracy among youth, infant and maternal health are of particular consideration. Cash transfers can be made conditional, subject to regular health checkups for mothers and children and mandatory school attendance to improve these outcomes. The paper further suggests an extension of the program to provide short-term financial relief to the temporarily unemployed

Capital Structure Determinants During the Sovereign Debt Crisis Period

This study investigates the speed of adjustment of capital structure of small and medium capitalised firms in Europe before and during the sovereign debt crisis period. The sample includes 306 firms from 10 European countries comprising 2,142 firm-year observations for the period 2006 to 2013. After controlling the influence of firm-level, industry-level, and macroeconomic factors on debt levels, we report that small and medium capitalised firms have adjusted their capital structure during the sovereign debt crisis period and the speed of adjustment was quicker in non-stressed countries compared to the firms in the stressed countries. Our findings also show that the quality of countries’ institutional factors has significantly influenced the speed of adjustment of leverage of small and medium capitalised firms during the crisis period. Our findings suggest that the firm-level determinants of leverage for small and medium capitalised firms in Europe are; size and asset tangibility. Furthermore, the industry-level determinant is industry median leverage and macroeconomic-level determinants are GDP growth rate and inflation rate. The policy implications of the findings indicate that improving the country’s institutional environment (such as governance, rule of law, and corruption) will ease small and medium capitalised firms’ financial difficulties, which in turn facilitate their economic performance and resilience

KAMATNI RASPON U EKONOMIJI U RAZVOJU: SLUČAJ PAKISTANSKOG KOMERCIJALNOG BANKARSKOG SEKTORA

This paper explores the determinants of interest rate spreads in Pakistan’s commercial banking sector in post transition period (2004 – 2009) using an exhaustive set of macro and firm level variables to analyse their impact on intermediary efficiency. We introduce two innovative variables of default likelihood indicator (Black Merton and Scholes option pricing framework) and proportion of public sector deposits in total deposits to explain the variation in spreads. The results suggest that intermediary efficiency is affected by bank size, operational efficiency, asset quality, liquidity, risk absorption capacity and GDP growth rate. There is evidence for deposit market share and deposit market concentration establishing the presence of an interest sensitive deposit market. We could not find support for impact of interest rate volatility and financial development indicator on banking spreads.Rad istražuje determinante kamatnih raspona u pakistanskom komercijalnom bankarskom sektoru u post tranzicijskom periodu (2004 – 2009) koristeći dug niz varijabli na makro nivou i nivou tvrtki kako bi analizirao njihov utjecaj na posredničku efikasnost. Uvodimo dvije inovativne varijable zadanih indikatora vjerojatnosti (Black Merton i Scholes okvir za određivanje cijene opcije) i udjela depozita javnog sektora u ukupnim depozitima kako bi se objasnile varijacije u rasponima. Rezultati upućuju na to da na posredničku efikasnost utječu veličina banke, operativna efikasnost, kvaliteta imovine, likvidnost, kapacitet apsorpcije rizika i stope rasta BDP-a. Ima dokaza da udio na tržištu depozita i koncentracija na tržištu depozita ustanovljuju tržište depozita osjetljivo na kamate. Nije pronađena potvrda utjecaja volatilnosti kamatnih stopa i indikatora financijskog razvoja na bankarske raspone

IMPACT OF CREDIT RATINGS ON STOCK RETURNS

This study investigates whether a change in credit ratings lead to a change in dailyexcess stock returns. The sample includes daily stock price data for US firms listedon the Standard & Poor’s 500 from January 2006 to December 2015. Firms’ excessstock returns are compared with the market in a 14-day window around credit ratingdowngrades and upgrades. Our results are asymmetric, that is, there is a significantreaction to credit ratings downgrades but not to upgrades. In addition, we report weakevidence of upgrades in credit ratings since the 2008 global credit crisis leading tosignificant changes in security prices.This study investigates whether a change in credit ratings lead to a change in dailyexcess stock returns. The sample includes daily stock price data for US firms listedon the Standard & Poor’s 500 from January 2006 to December 2015. Firms’ excessstock returns are compared with the market in a 14-day window around credit ratingdowngrades and upgrades. Our results are asymmetric, that is, there is a significantreaction to credit ratings downgrades but not to upgrades. In addition, we report weakevidence of upgrades in credit ratings since the 2008 global credit crisis leading tosignificant changes in security prices