Forecasting Performance of Alternative Error Correction Models

It is well established that regression analysis on non-stationary time series data may yield spurious results. An earlier response to this problem was to run regression with first difference of variables. But this transformation destroys any long-run information embodied in the levels of variables. According to ‘Granger Representation Theorem’ (Engle and Granger, 1987) if variables are co-integrated, there exist an error correction mechanism which incorporates long run information in modeling changes in variables. This mechanism employs an additional lag value of the disequilibrium error as an additional variable in modeling changes in variables. It has been argued that ECM performs better for long run forecast than a simple first difference or level regression. This process contributes to the literature in two important ways. Firstly empirical evidence does not exist on the relative merits of ECM arrived at using alternative co-integration techniques. The three popular co-integration procedures considered are the Engle-Granger (1987) two step procedure, the Johansen (1988) multivariate system based technique and the recently developed Auto regressive Distributed Lag based technique of Pesaran et al. (1996, 2001). Secondly, earlier studies on the forecasting performance of the ECM employed macroeconomic data on developed economies i.e. the US and the UK. By employing data form the Asian countries and using absolute version of the purchasing power parity and money demand function this paper compares forecast accuracy of the three alternative error correction models in forecasting the nominal exchange rate and monetary aggregate (M2).Co-integration, Error Correction Models, Forecasting

Educational Exclusion in Digital Literacy - a comparitive study of British Muslim Girl Schools

Faith schools represent an important role in educating children in Britain and this has a long established history that continues to evolve with the diversity in our communities. Over more recent years there has been a growth in Muslim schools in England and this is viewed as a growing part of faith schools in Britain today. Muslim faith schools are integral to the transformation and restructuring of many in the British Muslim communities that is centered around the negotiation of new composite identities, changing family patterns and relationships, political activism and the fight against social exclusion (Hussain & O’Brien, 2000)

Stock Market in Pakistan: An Overview

This paper reviews the main features of the Stock market in Pakistan focussing on post-liberalization period. The aspects of the market investigated include liberalization of the market, integration the market with the world markets, trading and settlement mechanism, and corporate governance issues. Finally salient features of the market are compared to a selected set of emerging and developed markets. Pakistan’s stock market is smaller in size but is significantly more active than the markets of this size. In recent years the market has provided very high returns to investors. In 2002 the market was declared as the best performing stock market globally.Stock Market, Pakistan

Comparing performance of statistical models for individual’s ability index and ranking

Efficient allocation of resources is the basic problem in economics. Firms, educational institutions, universities are faces problem of estimating true abilities and ranking of individuals to be selected for job, admissions and scholarship awards etc. This study will provide a guide line what technique should to be used for estimating true ability indices and ranking that reveals ability with maximum efficiency as well as it clearly has the advantage of differentiating among individuals having equal raw score. Two major theories Classical Testing Theory and Item Response Theory have been using in the literature. We design two different Monte Carlo studies to investigate which theory is better and which model perform more efficiently. By discussing the weaknesses of CTT this study proved that IRT is superior to CTT. Different IRT models have been used in literature; we measured the performance of these models and found that Logistic P2 model is best model. By using this best model we estimate the ability indices of the students on the basis of their entry test scores and then compare with their abilities obtained from final board examination result (used as proxy of true abilities). This is a reasonable because the final exam consists of various papers and chance variation in ability Index is a minimum. With real life application this study also proved that IRT estimate the true abilities more efficiently as compared to classical methodology.Ability Index, Monte Carlo study, Logistic and Probit models, Item Response Theory, Classical Test Theory, Ranking of Students

Arbitrage pricing theory: evidence from an emerging stock market

The development of financial equilibrium asset pricing models has been the most important area of research in modern financial theory. These models are extensively tested for developed markets. This paper examines the validity of the Arbitrage Pricing Theory (APT) model on returns from 24 actively trading stocks in Karachi Stock Exchange using monthly data from January 1997 to December 2003. Explanatory factor analysis approach indicates two factors governing stock return. Pre-specified macro economic approach identifies these two factors as the anticipated and unanticipated inflation and market index and dividend yield. Some evidence of instability is found. The overall finding of two significant priced factors at least for a sub period supports APT for an emerging capital market.Asset Pricing, APT, Emerging Markets

Comparison of De Vaga Versus Ring Annuloplasty in Patients with Moderate to Severe Tricuspid Regurgitation

Background: To compare outcome of Tricuspid Regurgitation (TR) between De Vaga technique and ring annuplasty in term of achieving adequate pulmonary artery pressure (PAP) and functional outcome. Methods: In this comparative study adult patients(n=100) who underwent Mitral valve surgery with Tricuspid repair were enrolled and divided into two groups .Group A underwent MVR and TR repair using DEVAGA Technique (n=50) and group B had MVR with Tricuspid Repair Ring Annuloplasty (n=50). In the De Vega annuloplasty technique, 2 pledgeted parallel running 4-0 polypropylene stitches are placed at 3-4-mm intervals in a semicircular manner from the postero-septal to the antero-lateral commissure and tied. A valve gauge appropriate to the body surface area was used to determine the amount of anterior and posterior annular constriction. Results: Females were predominant in this study. The duration of surgery was found out to be 66.4 minutes in group A compared to 71.0 minutes in group B(statistically not significant). Stay in the ICU and overall hospital stay was also found similar in both groups (p-value, 0.68). There was no statistically significant difference in postoperative functional capacity distribution (PAP) according to the surgical technique (p-value, 0.19). Conclusion: Devaga repair is as durable as prosthetic ring annuloplasty with added benefits of simple, cost effective and time saving technique

Do local and global macroeconomic variables help forecast volatility of Pakistani stock market?

Emerging markets are characterized by higher volatility and higher associated returns as compared to developed markets. The excessive volatility in emerging markets is often considered a result of inherent instability and unpredictability of country’s political, institutional and macroeconomic environment. Increasing globalization and integration of financial markets imply that volatility of emerging markets may also be affected by global macroeconomic and business conditions. We investigate this issue for an emerging market namely Pakistan. An important objective of this research is to provide empirical evidence on whether local and global macroeconomic variables help forecast volatility of this market over and above the GARCH models which predict volatility on the basis of past shocks and past accumulated variance. Using monthly data over the post liberalization period from early 1990 to 2010 we show that global variables have higher explanatory power to affect Pakistani stock market volatility compared to the global information variables

Stock price reaction to earnings announcement: the case of an emerging market

In an efficient stock market stock prices instantaneously and accurately adjust to new information. This paper conducts an event study analysis on an emerging market namely the Karachi Stock Exchange (KSE) by investigating the stock price reaction to public announcement of quarterly after tax profit by listed firms. By employing 5 year data on stock prices from January 2004 to August 2008 for 114 non financial firms we found that there is no abnormal return post earnings announcement. Moreover the study provides evidence that there is a bigger element of surprise in bad news than in good news as the market reaction to bad news is stronger.Event Study, Earnings Announcement, Emerging Markets

Relationship between Corporate Governance Indicators and Firm Value: A Case Study of Karachi Stock Exchange

We investigated whether differences in quality of firm-level corporate governance can explain the firm-level performance in a cross-section of companies listed at Karachi Stock Exchange. Therefore, we analysed the relationship between firm-level value as measured by Tobin’s Q and total Corporate Governance Index (CGI) and three sub-indices: Board, Shareholdings and Ownership, and Disclosures and Transparency for a sample of 50 firms. The results indicate that corporate governance does matter in Pakistan. However, not all elements of governance are important. The board composition and ownership and shareholdings enhance firm performance, whereas disclosure and transparency has no significant effect on firm performance. We point out that those adequate firm-level governance standards can not replace the solidity of the firm. The low production and bad management practices can not be covered with transparent disclosures and transparency standards.Corporate Governance; Firm Performance; Tobin’s Q; Agency Problem; Board Size; Shareholdings; Disclosures; Leverage Code of Corporate Governance

The Relationship between Corporate Governance Indicators and Firm Value: A Case Study of Karachi Stock Exchange

We investigated whether differences in quality of firm-level corporate governance can explain the firm-level performance in a cross-section of companies listed at Karachi Stock Exchange. Therefore, we analysed the relationship between firm-level value as measured by Tobin’s Q and total Corporate Governance Index (CGI) and three sub-indices: Board, Shareholdings and Ownership, and Disclosures and Transparency for a sample of 50 firms. The results indicate that corporate governance does matter in Pakistan. However, not all elements of governance are important. The board composition and ownership and shareholdings enhance firm performance, whereas disclosure and transparency has no significant effect on firm performance. We point out that those adequate firm-level governance standards can not replace the solidity of the firm. The low production and bad management practicesCorporate Governance, Firm Performance, Tobin’s Q, Agency Problem, Board Size, Shareholdings, Disclosures, Leverage, Code of Corporate Governance