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Can Analysts Really Forecast? Evidence from the Karachi Stock Exchange
Haris Bin Jamil, Aisha Ghazi Aurakzai, and Muhammad Subayyal
Published:Jan - June 2014
This study examines the impact of analysts’ recommendations on stock prices listed on the Karachi Stock Exchange for the period 2006–12. The recommendations are extracted from the daily Morning Shout report published by Khadim Ali Shah Bukhari Securities Ltd (KASB), which provides buy and sell recommendations for different stocks. We use the market model to estimate the abnormal returns around the recommendation dates for these securities. The study also investigates whether the abnormal returns are due to price pressure or information content. We find that investors earn abnormal returns on the basis of analysts’ recommendations for these securities. The results are robust in considering only the sub-sample subsequent to 2008’s global financial crisis, and are also consistent with the information content hypothesis and price pressure hypothesis.
KEYWORDS:
Analysts’ recommendations,
information content,
price pressure,
abnormal returns,
market efficiency,
Pakistan.
JEL:
G14,
G24.
Terms-of-Trade Volatility and Inflation in Pakistan
Kiran Ijaz, Muhammad Zakaria, and Bashir A. Fida
Published:Jan - June 2014
This empirical study examines the effects of terms-of-trade (TOT) volatility on inflation in Pakistan, using annual data for the period 1972 to 2012. The results show that TOT volatility has a significant negative effect on inflation in Pakistan. This result is robust to alternative equation specifications and TOT volatility measures. Output growth has a negative effect on inflation while foreign export prices have a positive effect on inflation. Both the depreciation of the nominal exchange rate and money supply increase the inflation rate. The fiscal deficit and world oil prices are also found to increase domestic inflation.
KEYWORDS:
Terms of trade,
inflation,
Pakistan.
JEL:
E31,
F41.
The Efficiency of Foreign Exchange Markets in Pakistan: An Empirical Analysis
Rizwana Bashir, Rabia Shakir, Badar Ashfaq, and Atif Hassan
Published:Jan - June 2014
This study investigates the empirical relationship between spot and forward exchange rate efficiency with reference to Pakistan and the efficiency of its foreign exchange market. We use monthly data from the State Bank of Pakistan and KIBOR rates for the period July 2006 to December 2013. Our results indicate that the forward exchange rate does not fully reflect all the information available. Market players may gain the benefits of volatility speculation due to market inefficiency. Pakistan’s foreign exchange market is still small compared to those of other emerging economies, implying that substantial policy work is required.
KEYWORDS:
Foreign exchange markets,
forward exchange rate efficiency,
efficient market hypothesis,
emerging economy,
real effective exchange rate,
Pakistan.
JEL:
F31,
G10,
F30.
Published:Sept 2011
The Center for Research in Economics and Business (CREB) of the
Lahore School of Economics, hosted the Seventh Annual Conference on
the Management of the Pakistan Economy from May 4th – May 6th, 2011
and the theme of this year’s conference was ‘Financial Sector
Development and Management’. Since Pakistan has undergone
significant economic and financial changes over the last decade, the
objective of the conference was to present an overview of the Pakistan
economy and then focus on financial sector management and monetary
management issues facing Pakistan.
KEYWORDS:
Pakistan,
Lahore School,
Annual Conference,
Pakistan economy,
CREB,
seventh.
JEL:
N/A.