Sensitivity of economic policy uncertainty to investor sentiment

A series of global financial crises in 21st century, steep economic decline and slow recoveries have intensified the concern of regulatory bodies for economic policy certainty. This study explores the effect of investor sentiment on economic policy uncertainty (EPU), spanning the period 1995-2015. The analysis is carried out for Asian, Developed and the European market samples by applying the method of quantile regressions. The findings document the presence of a negative impact of investor sentiment on EPU. Robustness analysis illustrates the validity of the results for the cases of Asian and Developed markets.N/

The Role of the Pakistani Government in the Efficient Management of Public Funds

This paper describes different methods and guiding principles applied to the management of public spending, gives an overview of relevant literature and the theoretical framework. Main conclusions include the important pillars of efficient public spending management: fiscal and financial discipline, joint control over expenditures compatible with macro-economic constraints (ensuring the availability of funds for expenses), efficient allocation of resources (reflecting the priorities of spending policy), efficient provision of public services, and cost reduction in budget management. The paper aims to provide help to the Pakistani government in developing proper strategies for the possibility of efficient control over public spending

Do energy prices affect U.S. investor sentiment?

The current literature has examined the effect of investor sentiment on energy prices, but no study ever has explored the validity of the reverse question. Therefore, this paper explores whether energy prices, i.e. crude oil and natural gas prices, affect U.S. investor sentiment, using the methodology of quantile regression. The empirical results document that controlling for a number of U.S. macroeconomic and financial factors, there exists a statistically significant association between oil and natural gas prices and investor sentiment. However, only natural gas prices appear to retain their statistical significance over the majority of quantiles. These findings received robust support under alternative measures of the investor sentiment index.N/

RISK OR SENTIMENT: VALUE AND SIZE PREMIUM UNDER TERRORISM

This study aims to identify the effect of terrorism on size andvalue premium using value weighted monthly returns for non-financialfirms from January 2001 to December 2010. In addition to independentsize and BE/ME (book equity to market equity) sorted portfolios, twodimensional portfolio formation methodology of Dimson, Nagel, andQuigley is used. The results reveal that market, size, value premiumand terrorism have a significant positive impact on stock returns. Thestudy further suggests that value and size premiums are dependent onthe psychological impact created by terrorist attack. Findings suggestthat the return on small stocks is higher than the returns on largestocks and the size premium occurs mainly during the months of higherterrorism activities. In contrast, value premium is more profoundduring the months of low (high) terrorist activities for portfolios sortedon one (two) dimension. This indicates that both size and BE/MEpremiums are affected by investor sentimen

PORTFOLIO DIVERSIFICATION OPPORTUNITIES WITHIN EMERGING AND FRONTIER STOCK MARKETS: EVIDENCE FROM TEN ASIAN COUNTRIES

In this paper, we take the case of Asian investors in any one out of ten emerging and frontier Asian (EFA) nations with an investment portfolio comprising of the MSCI of the home country, MSCIs of nine other Asian countries and stock market index of a developed nation. We examine their portfolio diversification opportunities for the period 2000 to 2013 after conditioning for oil price movements and global investor sentiments. Our empirical analyses imply significant opportunities to diversify within Asia. In particular, not all stock markets show a stable long run relationship. The unconditional correlations in the short run and conditioned regression linkages from VECMs are weak and mainly insignificant. Diversification opportunities for investors in some Asian nations improve after hedging for exchange rate movements. Further, we find that the portfolio examined here may lead to greater diversification gains than a portfolio without the nine other Asian countries

DIVERSIFICATION GAINS FOR A HOME BIASED TRADER IN THE EMERGING AND FRONTIER EQUITY MARKETS

We study the case of a home-biased equity trader based in Asia, Central and Eastern Europe, the Middle East and North Africa, or Latin America, who is looking at diversifying his/her investment risks internationally within his/her region and three other emerging/frontier regions. We focus on explaining the dynamic conditional correlations between equity markets from 3 January 2002 to 11 November 2016. Timevarying opportunities for diversification are found in several nations across regions. However, diversification opportunities outside a region are largely reserved for bad times, such as during the global financial crisis and the European sovereign debt crisis

Time Varying Stock Market Integration and Diversification Opportunities within Emerging and Frontier Markets

This study examines the time-varying feature of Emerging and Frontier stock markets to identify diversification opportunities. For this purpose, we sample 29 emerging and frontier countries ranging from 2000-2018 from America, Europe, Asia, Middle East, and Africa with each region consisting of a panel with one home country and other as remaining countries portfolio. Our results highlight few diversification opportunities in the post-crisis period for international investors in emerging and frontier stock markets as compared to the pre-crisis period. In the post-crisis period; Peru, Philippine, Jordan offer diversification opportunities for long run whereas Brazil, Mexico, Peru in emerging America, Philippine from Emerging Asia, Kazakhstan in frontier Europe, Kenya, Morocco in frontier Africa and Bahrain, Jordan from frontier Middle East offer short-run diversification opportunities for international investors

A részvénypiacok időben változó integrációja és diverzifikációs lehetőségek a feltörekvőés határzónapiacokon

Jelen tanulmány a feltörekvő és határzóna-részvénypiacok időbeli változékonyságát vizsgálja a diverzifikációs lehetőségek feltárása céljából. Ehhez az amerikai, európai, ázsiai, közel-keleti, valamint az afrikai régió 29 feltörekvő és határzónapiacából hoztunk létre mintát, amelyeket a 2000 és 2018 közötti időszak vonatkozásában vizsgáltunk. A mintában az egyes régiók egy 'hazai ország' panelből és egy 'összes többi ország' panelből állnak. Az eredményeinkből jól látszik, hogy a válság utáni időszakban a nemzetközi befektetők számára kevés diverzifikációs lehetőség mutatkozott a feltörekvő és határzónarészvénypiacokon a válság előtti időszakhoz képest. A válság utáni időszakban Peru, a Fülöp-szigetek és Jordánia kínál hosszú távú diverzifikációs lehetőségeket, míg a feltörekvő amerikai piacok közül Brazília, Mexikó és Peru, a feltörekvő ázsiai piacok közül a Fülöp-szigetek, a határzóna Európában Kazahsztán, a határzóna Afrikában Kenya és Marokkó, a határzóna Közel-Keleten pedig Bahrein és Jordánia nyújt rövid távú diverzifikációs lehetőségeket a nemzetközi befektetőknek

IMPACT OF CAPITAL STRUCTURE ON PERFORMANCE OF NON-FINANCIAL LISTED COMPANIES IN PAKISTAN

This study examines the relationship between capital structure andfinancial performance using a broad sample of 213 non-financial firmslisted on the Karachi Stock Exchange (KSE) over the period 1999-2015. The relationship between financial performance and capitalstructure is estimated using fixed and random effect models. Sectorwisecomparison shows that for the majority of sectors, higher shortandlong-term debt has a significant negative impact on financialperformance; however, magnitude of this effect varies across industries.The results suggest that in order to improve performance, companies’management should decrease their reliance on debt finance

Risk or Sentiment: Value and Size Premium under Terrorism

This study aims to identify the effect of terrorism on size and value premium using value weighted monthly returns for non-financial firms from January 2001 to December 2010. In addition to Independent size and BE/ME sorted portfolios, two dimensional portfolio formation methodology of Dimson, Nagel, and Quigley (2003) is also used. The results reveal that market, size, value premium and terrorism have a significant positive impact on stock returns. The study further suggests that value and size premiums are dependent on the level of psychosocial impact caused by terrorist incidents. Findings suggest that the small stocks generate higher returns than large stocks and the size premium occurs mainly during the months of higher terrorism activities. In contrast, value premium is more profound during the months of low (high) terrorist activities for portfolios sorted on one (two) dimension. This indicates that both size and BE/ME premiums are effected by investors sentiment