This document analyzes the dual beta model for stocks listed on the Karachi Stock Exchange between 1997-2007. It finds that beta, a measure of risk, varies between bull and bear markets for some stocks. Specifically, the beta was higher in bear markets than bull markets for 9 of the 15 stocks analyzed, while the reverse was true for the other 6 stocks. The analysis uses a dual beta model that estimates separate betas for bull and bear periods to test if the betas are statistically different between the two market conditions. The results provide some evidence that beta varies depending on whether the overall market is rising or falling.
A Comparison of Hsu &Wang Model and Cost of Carry Model: The case of Stock In...iosrjce
The study empirically tests and compares the pricing performance of two alternative futures pricing
models; the standard Cost of Carry Model and Hsu & Wang Model (2004) for three futures indices of National
Stock Exchange (NSE), India – CNX Nifty futures, Bank Nifty futures and CNX IT futures. It is found that, the
Hsu & Wang Model with an argument of incomplete arbitrage mechanism and real capital markets are
imperfect, provides much better pricing performance than the standard Cost of Carry Model for all the three
futures markets. On the basis of Mean Absolute Pricing Error (MAPE), CNX Nifty Futures contract with highest
trading history and trading volume is preferred, followed by Bank Nifty futures and CNX IT futures contract for
both the pricing models. This result implies that Indian futures markets are imperfect and arbitrage process
cannot complete. Degree of market imperfection might influence the pricing error. Therefore, investors should
know the degree of market imperfection of the futures markets in which they would like to participate.
Research on the Trading Strategy Based On Interest Rate Term Structure Change...inventionjournals
Bond pricing errors exist in the bond market universally, the formation of the reasons for its formation has been controversial. In this paper, in order to obtain the pricing error, the authors first estimate the term structure of interest rate of China's interbank market by using the three spline model and the Svensson model. Then, the author using the moving average model and time series model to build the bond trading strategy based on the pricing error. Through the simulation of our bond portfolio trading, the result shows that bond trading can obtain about 11 basis points of the annual excess return based on bond pricing errors, and the excess return rate is not caused by different bond liquidity or risk characteristics, instead is due to the effective economic information included in the bond pricing error.
1) The document analyzes the relationship between stock-commodity correlation and business cycles from 1991-2014 using regression analysis. It finds the stock-commodity correlation is positively related to periods of economic weakness, as evidenced by a positive relationship with default spread.
2) Regression models show stock-commodity correlation is serially correlated and has a negative relationship with default spread, indicating higher correlation during recessions. However, the effect of real GDP growth and inflation on correlation is unclear.
3) In conclusion, the findings are consistent with prior research that stock-commodity correlation increases during economic downturns, when firms adjust behaviors and investor pessimism rises.
This document provides an overview of statistical arbitrage (SA) strategies and their application to 130/30 products using synthetic equity index swaps. It begins by discussing the efficient market hypothesis and how SA circumvents some of its limitations. It then describes various SA trading strategies, including pairs trading, stochastic spread approaches, cointegration approaches, high frequency strategies, and behavioral strategies. The document applies some of these SA strategies to 130/30 products using synthetic index swaps and finds they can improve the risk-return profile of active equity management.
Dynamic Causal Relationships among the Greater China Stock marketsAM Publications,India
This document examines the dynamic causal relationships between stock markets in Greater China, specifically Mainland China, Hong Kong, and Taiwan. It finds that the Asian financial crisis was a breakpoint, so analyses return and volatility effects over three periods: the full sample period, pre-crisis period, and post-crisis period. Return changes in Mainland China were found to spill over into Hong Kong after the crisis, which then affected returns in Taiwan. Volatility spillover effects between the markets were also examined using a bivariate GARCH model, finding different patterns between the periods.
A multifractality measure of stock market efficiency in asean regionAlexander Decker
This document summarizes a study that investigated the presence of multifractality in the daily stock price indices of six ASEAN countries (Indonesia, Malaysia, Philippines, Singapore, Thailand, and Vietnam) from 2006 to 2013. The study employed multifractal detrended fluctuation analysis (MFDFA) to analyze the time series data. The results suggest that all six stock price indices exhibited properties of multifractality, as evidenced by the spectra of generalized Hurst exponents obtained rather than single point values. This implies that traditional time series models are not appropriate to capture the characteristics of the data and that a model incorporating multifractality is needed. The study also analyzed the local Hurst exponents over sliding windows to evaluate the efficiency of each
This document provides a critical review of the 1996 paper "The Conditional CAPM and the Cross-Section of Expected Returns" by Jagannathan and Wang. The review summarizes the key findings of the original paper, which showed that conditional CAPM can explain the cross-sectional variation in stock returns better than static CAPM. However, the review also notes some limitations in the assumptions around time-varying betas and use of R-squared. Overall, it evaluates the original paper as influential but also discusses subsequent research that built on its findings or identified weaknesses.
- The document summarizes a lecture on using micro data with characteristics-based choice models. It discusses two key advantages of micro data: 1) It provides information on how observed individual characteristics interact with product characteristics. 2) It includes data on individuals who did not purchase products as well as second choices, giving insight into unobserved product characteristics.
- The model specifies utility as depending on observed and unobserved individual characteristics as well as product characteristics. Micro data on first choices matches individual characteristics to chosen products, while second choice data helps account for unobserved characteristics by holding individual conditions constant.
A Comparison of Hsu &Wang Model and Cost of Carry Model: The case of Stock In...iosrjce
The study empirically tests and compares the pricing performance of two alternative futures pricing
models; the standard Cost of Carry Model and Hsu & Wang Model (2004) for three futures indices of National
Stock Exchange (NSE), India – CNX Nifty futures, Bank Nifty futures and CNX IT futures. It is found that, the
Hsu & Wang Model with an argument of incomplete arbitrage mechanism and real capital markets are
imperfect, provides much better pricing performance than the standard Cost of Carry Model for all the three
futures markets. On the basis of Mean Absolute Pricing Error (MAPE), CNX Nifty Futures contract with highest
trading history and trading volume is preferred, followed by Bank Nifty futures and CNX IT futures contract for
both the pricing models. This result implies that Indian futures markets are imperfect and arbitrage process
cannot complete. Degree of market imperfection might influence the pricing error. Therefore, investors should
know the degree of market imperfection of the futures markets in which they would like to participate.
Research on the Trading Strategy Based On Interest Rate Term Structure Change...inventionjournals
Bond pricing errors exist in the bond market universally, the formation of the reasons for its formation has been controversial. In this paper, in order to obtain the pricing error, the authors first estimate the term structure of interest rate of China's interbank market by using the three spline model and the Svensson model. Then, the author using the moving average model and time series model to build the bond trading strategy based on the pricing error. Through the simulation of our bond portfolio trading, the result shows that bond trading can obtain about 11 basis points of the annual excess return based on bond pricing errors, and the excess return rate is not caused by different bond liquidity or risk characteristics, instead is due to the effective economic information included in the bond pricing error.
1) The document analyzes the relationship between stock-commodity correlation and business cycles from 1991-2014 using regression analysis. It finds the stock-commodity correlation is positively related to periods of economic weakness, as evidenced by a positive relationship with default spread.
2) Regression models show stock-commodity correlation is serially correlated and has a negative relationship with default spread, indicating higher correlation during recessions. However, the effect of real GDP growth and inflation on correlation is unclear.
3) In conclusion, the findings are consistent with prior research that stock-commodity correlation increases during economic downturns, when firms adjust behaviors and investor pessimism rises.
This document provides an overview of statistical arbitrage (SA) strategies and their application to 130/30 products using synthetic equity index swaps. It begins by discussing the efficient market hypothesis and how SA circumvents some of its limitations. It then describes various SA trading strategies, including pairs trading, stochastic spread approaches, cointegration approaches, high frequency strategies, and behavioral strategies. The document applies some of these SA strategies to 130/30 products using synthetic index swaps and finds they can improve the risk-return profile of active equity management.
Dynamic Causal Relationships among the Greater China Stock marketsAM Publications,India
This document examines the dynamic causal relationships between stock markets in Greater China, specifically Mainland China, Hong Kong, and Taiwan. It finds that the Asian financial crisis was a breakpoint, so analyses return and volatility effects over three periods: the full sample period, pre-crisis period, and post-crisis period. Return changes in Mainland China were found to spill over into Hong Kong after the crisis, which then affected returns in Taiwan. Volatility spillover effects between the markets were also examined using a bivariate GARCH model, finding different patterns between the periods.
A multifractality measure of stock market efficiency in asean regionAlexander Decker
This document summarizes a study that investigated the presence of multifractality in the daily stock price indices of six ASEAN countries (Indonesia, Malaysia, Philippines, Singapore, Thailand, and Vietnam) from 2006 to 2013. The study employed multifractal detrended fluctuation analysis (MFDFA) to analyze the time series data. The results suggest that all six stock price indices exhibited properties of multifractality, as evidenced by the spectra of generalized Hurst exponents obtained rather than single point values. This implies that traditional time series models are not appropriate to capture the characteristics of the data and that a model incorporating multifractality is needed. The study also analyzed the local Hurst exponents over sliding windows to evaluate the efficiency of each
This document provides a critical review of the 1996 paper "The Conditional CAPM and the Cross-Section of Expected Returns" by Jagannathan and Wang. The review summarizes the key findings of the original paper, which showed that conditional CAPM can explain the cross-sectional variation in stock returns better than static CAPM. However, the review also notes some limitations in the assumptions around time-varying betas and use of R-squared. Overall, it evaluates the original paper as influential but also discusses subsequent research that built on its findings or identified weaknesses.
- The document summarizes a lecture on using micro data with characteristics-based choice models. It discusses two key advantages of micro data: 1) It provides information on how observed individual characteristics interact with product characteristics. 2) It includes data on individuals who did not purchase products as well as second choices, giving insight into unobserved product characteristics.
- The model specifies utility as depending on observed and unobserved individual characteristics as well as product characteristics. Micro data on first choices matches individual characteristics to chosen products, while second choice data helps account for unobserved characteristics by holding individual conditions constant.
Statistical arbitrage strategies attempt to profit from short-term price discrepancies between similar securities. Common statistical arbitrage strategies used by hedge funds include pairs trading, which involves buying an underperforming stock in a pair and short selling the overperforming stock, and multi-factor models that select stocks based on correlations to identified market factors. Other strategies include mean reversion trading, which bets that stock prices will revert to their average value, and cointegration, which tracks indexes and uses optimized portfolios to generate returns from spreads between enhanced and basic indexes.
This document compares the Black-Scholes model and Merton jump diffusion model for accurately estimating option prices. It estimates parameters for both models using historical stock price and option data from several large companies. The results do not conclusively show that Merton jump diffusion more accurately prices derivatives, but it may better approximate moments from the data. The document provides background on geometric Brownian motion, the Black-Scholes option pricing formula, and the maximum likelihood estimation and EM algorithm used to estimate Merton jump diffusion model parameters.
Volatility of futures contract in iran mercantile marketAlexander Decker
This study investigates volatility models for gold futures contracts traded on the Iran Mercantile Exchange using intraday price data from 2009 to 2012. The study compares four volatility models - a simple log difference model, Parkinson's model, Garman-Klass model, and Rogers-Satchell model - and finds that the Garman-Klass and Rogers-Satchell models provide more accurate estimates of volatility based on measures of error. The Iran futures market is relatively new and gold was the first futures contract launched, though some other contracts have failed.
This analysis seeks to identify the interlinkages between Glanbia Plc and FTSE and analyze their stability during times of financial distress as well as identify an economic and/or financial shock and offer insights regarding implications for the selected variables.
This document summarizes a study that examines the statistical properties and predictive factors of the VKOSPI, South Korea's implied volatility index derived from options on the KOSPI 200 stock index. The study finds that an augmented heterogeneous autoregressive (HAR) model describes the dynamics of the VKOSPI well and some domestic macroeconomic variables help explain it. Most importantly, it determines that US stock market returns and implied volatility (from S&P 500 options) play a dominant role in predicting VKOSPI levels and dynamics, more so than domestic factors. Specifically, while US stock returns significantly predict VKOSPI, Korean stock returns do not. The study thus provides evidence that global factors have substantial influence over implied volatility in emerging markets like
Testing the Weak–Form Market Efficiency on the Borsa Istanbul (BIST) Sustaina...inventionjournals
An efficient market is a concept discussed and maintained in the financial literature. This concept expressed as the instant reflection of all the information concerning the stocks defends that there shouldn’t be any stocks that are low or overvalued on the market. The purpose in this study is the weak-form efficiency of stock market in Turkey to be analyzed with the help of Runs Test. In the research, daily session closing prices of the stocks being currently traded in the Borsa Istanbul (Istanbul Stock Exchange) Sustainability Index within a 12–month period between the dates 01.12.2015 and 30.11.2016 have been employed and tested whether or not the consecutive price changes in said range of time were independent from each other. The fact that consecutive price changes were independent from each other has revealed that the Random Walk Hypothesis was not applicable in terms of the index examined. The outcome acquired contains findings that BIST stock market is not a weak–form efficient market.
This document discusses pair trading strategies using threshold co-integration models. It aims to improve trading performance by applying a Threshold Vector Error Correction Model (TVECM) pair trading strategy. The strategy examines price relationships between futures contracts and their underlying assets using Thailand stock and futures market data from 2014. It finds co-integrating relationships and estimates TVECM models to generate trading signals. Backtesting shows the TVECM pair trading strategy performs better than traditional pair trading. The document also reviews relevant theories on market efficiency, arbitrage opportunities, and pair trading strategies.
Garch Models in Value-At-Risk Estimation for REITIJERDJOURNAL
Abstract:- In this study we investigate volatility forecasting of REIT, from January 03, 2007 to November 18, 2016, using four GARCH models (GARCH, EGARCH, GARCH-GJR and APARCH). We examine the performance of these GARCH-type models respectively and backtesting procedures are also conducted to analyze the model adequacy. The empirical results display that when we take estimation of volatility in REIT into account, the EGARCH model, the GARCH-GJR model, and the APARCH model are adequate. Among all these models, GARCH-GJR model especially outperforms others.
Bid and Ask Prices Tailored to Traders' Risk Aversion and Gain Propension: a ...Waqas Tariq
Risky asset bid and ask prices “tailored” to the risk-aversion and the gain-propension of the traders are set up. They are calculated through the principle of the Extended Gini premium, a standard method used in non-life insurance. Explicit formulae for the most common stochastic distributions of risky returns, are calculated. Sufficient and necessary conditions for successful trading are also discussed.
Benchmarking The Turkish Apparel Retail Industry Through Data Envelopment Ana...ertekg
Download Link > https://ertekprojects.com/gurdal-ertek-publications/blog/benchmarking-the-turkish-apparel-retail-industry-through-data-envelopment-analysis-dea-and-data-visualization/
This paper presents a benchmarking study of the Turkish apparel retailing industry. We have applied the Data Envelopment Analysis (DEA) methodology to determine the efficiencies of the companies in the industry. In the DEA model the number of stores, number of corners, total sales area and number of employees were included as inputs and annual sales revenue was included as the output. The efficiency scores obtained through DEA were visualized for gaining insights about the industry and revealing guidelines that can aid in strategic decision making.
An application of fuzzy cognitive mapping in optimization of inventory functi...iaemedu
This document summarizes a research paper that developed a fuzzy cognitive mapping approach to optimize inventory levels in small and medium auto component manufacturing enterprises. It presents a 2D matrix model to classify inventory based on cost and consumption behavior. The model segments inventory into 9 cells of high, medium and low cost and consumption. It then uses fuzzy cognitive mapping to develop models of the key concepts and their causal relationships to optimize inventory levels in each segment. The study aims to help small businesses better control their inventory costs.
IRJET- A Comprehensive way of finding Top-K Competitors using C-Miner AlgorithmIRJET Journal
The document presents a new C-Miner algorithm for efficiently finding the top-k competitors of a given item from large datasets. It proposes a formal definition of competitiveness between two items based on the market segments they can both cover. The C-Miner algorithm uses a pyramid finder technique and dominance relationships to reduce the number of items that need to be considered during computation. It then incrementally calculates competitor scores and prunes items to identify the top-k competitors. The approach provides an effective solution for identifying competitors from large, real-world datasets across different domains.
The document discusses the benefits of exercise for mental health. Regular physical activity can help reduce anxiety and depression and improve mood and cognitive function. Exercise causes chemical changes in the brain that may help protect against mental illness and improve symptoms for those who already suffer from conditions like anxiety and depression.
This document provides a literature review on methods of corporate valuation. It discusses discounted cash flow models which value a company based on the net present value of future cash flows discounted by a rate. It also mentions the capital asset pricing model (CAPM) and arbitrage pricing models (APM) which link market risk to equity returns. Additionally, it covers investment models like Tobin's q that relate investment to value, and economic measures like economic rent and excess market value that assess growth potential. The review examines various studies on the explanatory power of different valuation methods and cash flow measures over different time periods. In summary, it surveys the theoretical underpinnings and empirical evidence regarding approaches to valuing companies.
EOQ Inventory Models for Deteriorating Item with Weibull Deterioration and Ti...ijceronline
This paper develops an EOQ inventory model for deterioratingitemswith two parameters Weibull deterioration. Shortages are permissible andpartially backlogged. In this model we consider time varying quadratic holding cost and ramp-type demand. The model is developed under two different replenishment policies: (i) Starting with no shortages (ii) Starting with shortages.The aim of this study is to find the optimal solutiontominimizing the total inventory costs for both the above mentioned strategies. To elevate the model a numerical example has been carried out and a sensitivity analysis occurred to study the result of parameters on essential variables and the entire cost of this model.
AN IMPROVED DECISION SUPPORT SYSTEM BASED ON THE BDM (BIT DECISION MAKING) ME...ijmpict
Based on the BDM (Bit Decision Making) method, the present work presents two contributions: first, the
illustration of the use of the technique known as SOP (Sum Of Products) in order to systematize the
process to obtain the correlation function for sub-system’s mathematical modelling, and second,the provision of capacity to manage a greater than binary but a finite - discrete set of possible subjective qualifications of suppliers at any criterion.
0053 dynamics of commodity forward curvesmridul_tandon
The document analyzes the factor structure of commodity forward curve dynamics using data from pulp and oil markets. Principal components analysis reveals that a three factor model explains 89% of the variation in oil forward curves and 84% of the variation in pulp curves. The factor structure is more complex for pulp than found in previous studies of other commodities, possibly due to the more complex dynamics of pulp prices.
This document summarizes research on applying a threshold cointegration pair trading strategy to pairs of assets in the Thai stock and futures markets. The research finds cointegrating relationships between 3 pairs - SET50 spot and futures, KTB spot and futures, and TRUE spot and futures. A threshold vector error correction model is used to formulate pair trading rules. Backtesting shows the threshold cointegration strategy generates higher profits than a traditional pair trading strategy based on 2 standard deviation bands. However, low futures trading volumes currently limit the attractiveness of using pair trading in Thailand.
The document analyzes the relationship between stock market returns in Pakistan (KSE 100 index) and five macroeconomic variables (inflation, GDP growth, exchange rate, money supply, interest rates) using monthly data from 1991 to 2008. It finds that in the long run, inflation, GDP growth, and exchange rate have a positive impact on stock returns, while money supply and interest rates have a negative impact. In the short run, the model shows it takes over four months for disequilibriums from the previous period to adjust. Inflation explains the most variance in forecast errors of stock returns among the macroeconomic variables.
This document discusses demand theory and the concept of elasticity in economics. It defines demand as a buyer's willingness and ability to pay for a good or service. The key factors that influence demand are outlined as price, income of consumers, availability of substitutes, and cross-prices of related goods. Elasticity measures the responsiveness of quantity demanded to changes in price or other factors. Price elasticity is computed by comparing the percentage changes in quantity and price. Demand can be inelastic, elastic, or unit elastic depending on the elasticity value. The relationship between elasticity, total revenue, and marginal revenue is also examined.
This document is a business plan for MtGox, the world's largest bitcoin exchange, to expand its operations in Europe from 2014 to 2017. MtGox offers a bitcoin trading platform and merchant solutions to facilitate greater bitcoin usage. Its goals are to establish regulated affiliates in key markets and build an ecosystem of bitcoin products and services to become the top global cryptocurrency solutions provider. The plan outlines MtGox's history and services, analyzes the bitcoin market opportunity in Europe, and provides financial projections to support the expansion.
This document provides an overview of Chapter 17 from the 15th Edition of the Intermediate Accounting textbook. It discusses investments in debt and equity securities. The chapter outlines three categories for classifying debt securities - held-to-maturity, available-for-sale, and trading - and describes the accounting treatment for each. It also discusses two methods for accounting for investments in equity securities - the equity method and fair value method - and how ownership percentage determines the appropriate treatment. The document includes learning objectives and illustrations to demonstrate the accounting entries for various investment activities.
Statistical arbitrage strategies attempt to profit from short-term price discrepancies between similar securities. Common statistical arbitrage strategies used by hedge funds include pairs trading, which involves buying an underperforming stock in a pair and short selling the overperforming stock, and multi-factor models that select stocks based on correlations to identified market factors. Other strategies include mean reversion trading, which bets that stock prices will revert to their average value, and cointegration, which tracks indexes and uses optimized portfolios to generate returns from spreads between enhanced and basic indexes.
This document compares the Black-Scholes model and Merton jump diffusion model for accurately estimating option prices. It estimates parameters for both models using historical stock price and option data from several large companies. The results do not conclusively show that Merton jump diffusion more accurately prices derivatives, but it may better approximate moments from the data. The document provides background on geometric Brownian motion, the Black-Scholes option pricing formula, and the maximum likelihood estimation and EM algorithm used to estimate Merton jump diffusion model parameters.
Volatility of futures contract in iran mercantile marketAlexander Decker
This study investigates volatility models for gold futures contracts traded on the Iran Mercantile Exchange using intraday price data from 2009 to 2012. The study compares four volatility models - a simple log difference model, Parkinson's model, Garman-Klass model, and Rogers-Satchell model - and finds that the Garman-Klass and Rogers-Satchell models provide more accurate estimates of volatility based on measures of error. The Iran futures market is relatively new and gold was the first futures contract launched, though some other contracts have failed.
This analysis seeks to identify the interlinkages between Glanbia Plc and FTSE and analyze their stability during times of financial distress as well as identify an economic and/or financial shock and offer insights regarding implications for the selected variables.
This document summarizes a study that examines the statistical properties and predictive factors of the VKOSPI, South Korea's implied volatility index derived from options on the KOSPI 200 stock index. The study finds that an augmented heterogeneous autoregressive (HAR) model describes the dynamics of the VKOSPI well and some domestic macroeconomic variables help explain it. Most importantly, it determines that US stock market returns and implied volatility (from S&P 500 options) play a dominant role in predicting VKOSPI levels and dynamics, more so than domestic factors. Specifically, while US stock returns significantly predict VKOSPI, Korean stock returns do not. The study thus provides evidence that global factors have substantial influence over implied volatility in emerging markets like
Testing the Weak–Form Market Efficiency on the Borsa Istanbul (BIST) Sustaina...inventionjournals
An efficient market is a concept discussed and maintained in the financial literature. This concept expressed as the instant reflection of all the information concerning the stocks defends that there shouldn’t be any stocks that are low or overvalued on the market. The purpose in this study is the weak-form efficiency of stock market in Turkey to be analyzed with the help of Runs Test. In the research, daily session closing prices of the stocks being currently traded in the Borsa Istanbul (Istanbul Stock Exchange) Sustainability Index within a 12–month period between the dates 01.12.2015 and 30.11.2016 have been employed and tested whether or not the consecutive price changes in said range of time were independent from each other. The fact that consecutive price changes were independent from each other has revealed that the Random Walk Hypothesis was not applicable in terms of the index examined. The outcome acquired contains findings that BIST stock market is not a weak–form efficient market.
This document discusses pair trading strategies using threshold co-integration models. It aims to improve trading performance by applying a Threshold Vector Error Correction Model (TVECM) pair trading strategy. The strategy examines price relationships between futures contracts and their underlying assets using Thailand stock and futures market data from 2014. It finds co-integrating relationships and estimates TVECM models to generate trading signals. Backtesting shows the TVECM pair trading strategy performs better than traditional pair trading. The document also reviews relevant theories on market efficiency, arbitrage opportunities, and pair trading strategies.
Garch Models in Value-At-Risk Estimation for REITIJERDJOURNAL
Abstract:- In this study we investigate volatility forecasting of REIT, from January 03, 2007 to November 18, 2016, using four GARCH models (GARCH, EGARCH, GARCH-GJR and APARCH). We examine the performance of these GARCH-type models respectively and backtesting procedures are also conducted to analyze the model adequacy. The empirical results display that when we take estimation of volatility in REIT into account, the EGARCH model, the GARCH-GJR model, and the APARCH model are adequate. Among all these models, GARCH-GJR model especially outperforms others.
Bid and Ask Prices Tailored to Traders' Risk Aversion and Gain Propension: a ...Waqas Tariq
Risky asset bid and ask prices “tailored” to the risk-aversion and the gain-propension of the traders are set up. They are calculated through the principle of the Extended Gini premium, a standard method used in non-life insurance. Explicit formulae for the most common stochastic distributions of risky returns, are calculated. Sufficient and necessary conditions for successful trading are also discussed.
Benchmarking The Turkish Apparel Retail Industry Through Data Envelopment Ana...ertekg
Download Link > https://ertekprojects.com/gurdal-ertek-publications/blog/benchmarking-the-turkish-apparel-retail-industry-through-data-envelopment-analysis-dea-and-data-visualization/
This paper presents a benchmarking study of the Turkish apparel retailing industry. We have applied the Data Envelopment Analysis (DEA) methodology to determine the efficiencies of the companies in the industry. In the DEA model the number of stores, number of corners, total sales area and number of employees were included as inputs and annual sales revenue was included as the output. The efficiency scores obtained through DEA were visualized for gaining insights about the industry and revealing guidelines that can aid in strategic decision making.
An application of fuzzy cognitive mapping in optimization of inventory functi...iaemedu
This document summarizes a research paper that developed a fuzzy cognitive mapping approach to optimize inventory levels in small and medium auto component manufacturing enterprises. It presents a 2D matrix model to classify inventory based on cost and consumption behavior. The model segments inventory into 9 cells of high, medium and low cost and consumption. It then uses fuzzy cognitive mapping to develop models of the key concepts and their causal relationships to optimize inventory levels in each segment. The study aims to help small businesses better control their inventory costs.
IRJET- A Comprehensive way of finding Top-K Competitors using C-Miner AlgorithmIRJET Journal
The document presents a new C-Miner algorithm for efficiently finding the top-k competitors of a given item from large datasets. It proposes a formal definition of competitiveness between two items based on the market segments they can both cover. The C-Miner algorithm uses a pyramid finder technique and dominance relationships to reduce the number of items that need to be considered during computation. It then incrementally calculates competitor scores and prunes items to identify the top-k competitors. The approach provides an effective solution for identifying competitors from large, real-world datasets across different domains.
The document discusses the benefits of exercise for mental health. Regular physical activity can help reduce anxiety and depression and improve mood and cognitive function. Exercise causes chemical changes in the brain that may help protect against mental illness and improve symptoms for those who already suffer from conditions like anxiety and depression.
This document provides a literature review on methods of corporate valuation. It discusses discounted cash flow models which value a company based on the net present value of future cash flows discounted by a rate. It also mentions the capital asset pricing model (CAPM) and arbitrage pricing models (APM) which link market risk to equity returns. Additionally, it covers investment models like Tobin's q that relate investment to value, and economic measures like economic rent and excess market value that assess growth potential. The review examines various studies on the explanatory power of different valuation methods and cash flow measures over different time periods. In summary, it surveys the theoretical underpinnings and empirical evidence regarding approaches to valuing companies.
EOQ Inventory Models for Deteriorating Item with Weibull Deterioration and Ti...ijceronline
This paper develops an EOQ inventory model for deterioratingitemswith two parameters Weibull deterioration. Shortages are permissible andpartially backlogged. In this model we consider time varying quadratic holding cost and ramp-type demand. The model is developed under two different replenishment policies: (i) Starting with no shortages (ii) Starting with shortages.The aim of this study is to find the optimal solutiontominimizing the total inventory costs for both the above mentioned strategies. To elevate the model a numerical example has been carried out and a sensitivity analysis occurred to study the result of parameters on essential variables and the entire cost of this model.
AN IMPROVED DECISION SUPPORT SYSTEM BASED ON THE BDM (BIT DECISION MAKING) ME...ijmpict
Based on the BDM (Bit Decision Making) method, the present work presents two contributions: first, the
illustration of the use of the technique known as SOP (Sum Of Products) in order to systematize the
process to obtain the correlation function for sub-system’s mathematical modelling, and second,the provision of capacity to manage a greater than binary but a finite - discrete set of possible subjective qualifications of suppliers at any criterion.
0053 dynamics of commodity forward curvesmridul_tandon
The document analyzes the factor structure of commodity forward curve dynamics using data from pulp and oil markets. Principal components analysis reveals that a three factor model explains 89% of the variation in oil forward curves and 84% of the variation in pulp curves. The factor structure is more complex for pulp than found in previous studies of other commodities, possibly due to the more complex dynamics of pulp prices.
This document summarizes research on applying a threshold cointegration pair trading strategy to pairs of assets in the Thai stock and futures markets. The research finds cointegrating relationships between 3 pairs - SET50 spot and futures, KTB spot and futures, and TRUE spot and futures. A threshold vector error correction model is used to formulate pair trading rules. Backtesting shows the threshold cointegration strategy generates higher profits than a traditional pair trading strategy based on 2 standard deviation bands. However, low futures trading volumes currently limit the attractiveness of using pair trading in Thailand.
The document analyzes the relationship between stock market returns in Pakistan (KSE 100 index) and five macroeconomic variables (inflation, GDP growth, exchange rate, money supply, interest rates) using monthly data from 1991 to 2008. It finds that in the long run, inflation, GDP growth, and exchange rate have a positive impact on stock returns, while money supply and interest rates have a negative impact. In the short run, the model shows it takes over four months for disequilibriums from the previous period to adjust. Inflation explains the most variance in forecast errors of stock returns among the macroeconomic variables.
This document discusses demand theory and the concept of elasticity in economics. It defines demand as a buyer's willingness and ability to pay for a good or service. The key factors that influence demand are outlined as price, income of consumers, availability of substitutes, and cross-prices of related goods. Elasticity measures the responsiveness of quantity demanded to changes in price or other factors. Price elasticity is computed by comparing the percentage changes in quantity and price. Demand can be inelastic, elastic, or unit elastic depending on the elasticity value. The relationship between elasticity, total revenue, and marginal revenue is also examined.
This document is a business plan for MtGox, the world's largest bitcoin exchange, to expand its operations in Europe from 2014 to 2017. MtGox offers a bitcoin trading platform and merchant solutions to facilitate greater bitcoin usage. Its goals are to establish regulated affiliates in key markets and build an ecosystem of bitcoin products and services to become the top global cryptocurrency solutions provider. The plan outlines MtGox's history and services, analyzes the bitcoin market opportunity in Europe, and provides financial projections to support the expansion.
This document provides an overview of Chapter 17 from the 15th Edition of the Intermediate Accounting textbook. It discusses investments in debt and equity securities. The chapter outlines three categories for classifying debt securities - held-to-maturity, available-for-sale, and trading - and describes the accounting treatment for each. It also discusses two methods for accounting for investments in equity securities - the equity method and fair value method - and how ownership percentage determines the appropriate treatment. The document includes learning objectives and illustrations to demonstrate the accounting entries for various investment activities.
A UIT is a type of investment vehicle defined by the Investment Company Act of 1940 as having a fixed portfolio of specified securities that it holds for a defined period of time, after which it terminates. A UIT is created by a sponsor who deposits securities into a trust, managed by a trustee, with units then sold to investors. Unlike actively managed funds, a UIT does not trade its portfolio during its lifetime. Main advantages are lower costs, tax efficiency, and more predictable returns due to its static portfolio, but risks include lack of active management and sales charges.
www,CandleStickForums.com
Stock Investment Profits
Are stock investment profits limited to specific occasions or are they more widely available? This has to do with long term investing versus short term investing or even day trading. Stock investment profits come from two factors, dividends and changes in stock price. There are dividend stocks that have paid dividends for decades and even more than a century. However, the stock investment profits solely from dividend stocks usually cannot compete with the investment profits with strong growth stocks. Thus it is with the change in stock prices that both investors and traders can best gain stock investment profits. So, you want to make stock investment profits. What stocks do you invest in? When do you invest? Do you buy and hold or do you buy stock at the bottom of a price curve and sell stock when its value peaks? If you are interested in trading stocks instead of adding stocks to your stock portfolio for the long term, selling short can be profitable in a falling market. Using technical analysis with tools like Candlestick analysis gives the trader or investor a clear and accurate view of market sentiment. Combine the use of Candlestick charting with fundamental analysis of stocks looking for a low price to earnings ratio, a strong margin of safety, and forwarding looking intrinsic stock value and the investor or day trader has a good recipe for stock investment profits.
The document provides a history and overview of the Karachi Stock Exchange (KSE) in Pakistan. It discusses that the KSE was established in 1947 and incorporated in 1949 with 5 initial listings. It introduces the KSE as Pakistan's largest stock exchange located in Karachi with over 700 listed companies as of 2010. The document outlines the KSE's vision, role in Pakistan's economy, listing regulations, fee schedule, major tradable instruments, and trading systems. It provides details on the KSE's trading platforms including T+3 settlement, provisionally listed counters, spot/T+1 transactions, and futures contracts.
UTI Mutual Fund provides various mutual fund investment options to help investors meet different life goals at various life stages. It offers equity, debt, balanced and specialty fund schemes. Some of its equity fund categories include banking, energy, infrastructure and tax saving funds. Popular debt fund options are bond, gilt, liquid and short term income funds. Balanced funds provide a mix of both growth and income. Specialty funds cater to needs like retirement. UTI also offers online tools for fund research, comparison and transaction along with customer support services.
MODELING THE AUTOREGRESSIVE CAPITAL ASSET PRICING MODEL FOR TOP 10 SELECTED...IAEME Publication
Systematic risk is the uncertainty inherent to the entire market or entire market segment and Unsystematic risk is the type of uncertainty that comes with the company or industry we invest. It can be reduced through diversification. The study generalized for selecting of non -linear capital asset pricing model for top securities in BSE and made an attempt to identify the marketable and non-marketable risk of investors of top companies. The analysis was conducted at different stages. They are Vector auto regression of systematic and unsystematic risk.
IOSR Journal of Business and Management (IOSR-JBM) is an open access international journal that provides rapid publication (within a month) of articles in all areas of business and managemant and its applications. The journal welcomes publications of high quality papers on theoretical developments and practical applications inbusiness and management. Original research papers, state-of-the-art reviews, and high quality technical notes are invited for publications.
The document summarizes three hypotheses about what investors consider when purchasing shares of common stock: dividends, earnings, or both dividends and earnings. It tests these hypotheses by analyzing stock price, dividend, and earnings data from four industries in 1951 and 1954. When testing a model that included both dividends and earnings as factors, the results were inconsistent and conceptually weak. A model based on the hypothesis that investors consider dividends performed better, with the dividend coefficient representing the required rate of profit and the retained earnings coefficient representing the value placed on growth. However, some of the retained earnings coefficients were unexpectedly low or negative. In conclusion, the dividend hypothesis better explained stock price variations but the results still indicated room for improvement in understanding the
Capital asset pricing model (capm) evidence from nigeriaAlexander Decker
This document summarizes a research study that tested the predictions of the Capital Asset Pricing Model (CAPM) using stock return data from the Nigerian stock exchange from 2007 to 2010. The study combined individual stocks into portfolios to enhance the precision of estimates. The results did not support CAPM's predictions that higher risk (higher beta) is associated with higher returns. The study also found that the slope of the Security Market Line did not equal the excess market return, further invalidating CAPM predictions for the Nigerian market. The document provides context on CAPM theory and reviews prior empirical studies that have also found poor support for CAPM predictions.
The document summarizes a five-factor asset pricing model that augments the Fama-French three-factor model by adding profitability and investment factors.
The five-factor model is tested using portfolios sorted on size, book-to-market equity ratio, profitability, and investment to produce spreads in average returns. The results show patterns in average returns related to size, value, profitability, and investment that the five-factor model seeks to capture. Specifically, small stocks and stocks with high book-to-market ratios, profitability, or low investment tend to have higher average returns. However, the model has difficulties explaining the low returns of some small, low-profitability stocks that invest heavily.
The document discusses the Capital Asset Pricing Model (CAPM) and its use in calculating the required rate of return for Greggs plc. It provides background on the development of the CAPM by Markowitz and Sharpe. The author then calculates the beta and required rate of return for Greggs using 5 years of stock price data and the CAPM formula. While the CAPM is widely used, the document also discusses criticisms of the model, such as its unrealistic assumptions and inability to explain all returns. Overall, the CAPM remains a commonly used model despite its limitations.
An Empirical Assessment of Capital Asset Pricing Model with Reference to Nati...ijtsrd
"This study concentrates on empirical assessment of Capital Asset Pricing Model CAPM on the National Stock Exchange NSE . CAPM assists to determine a well diversified portfolio. The main objective of this research paper is to check the applicability of Nobel laureate’s model in Indian equity market by testing the relationship between risk and return, whether there is any direct proportionality in the expected rate of return and its systematic risk. It relates its results by using the beta systematic risk as a measuring factor. The study was being conducted for a period of 260 weeks from 7 April 2013 to 25 March 2018. 45 companies from NSE were picked as a proxy for the market portfolio. This research was done by using regression analysis on stocks and portfolio to find out the final results. Research of this study nullifies that this model is applicable to the Indian market and also contradicts its expected return and systematic risk which are linearly related to each other. Miss. Yashashri Shinde | Miss. Teja Mane ""An Empirical Assessment of Capital Asset Pricing Model with Reference to National Stock Exchange"" Published in International Journal of Trend in Scientific Research and Development (ijtsrd), ISSN: 2456-6470, Special Issue | Fostering Innovation, Integration and Inclusion Through Interdisciplinary Practices in Management , March 2019, URL: https://www.ijtsrd.com/papers/ijtsrd23105.pdf
Paper URL: https://www.ijtsrd.com/management/public-sector-management/23105/an-empirical-assessment-of-capital-asset-pricing-model-with-reference-to-national-stock-exchange/miss-yashashri-shinde"
Does the capital assets pricing model (capm) predicts stock market returns in...Alexander Decker
This document examines whether the Capital Asset Pricing Model (CAPM) can predict stock returns in Ghana using data from selected stocks on the Ghana Stock Exchange from 2006-2010. The results found no statistically significant relationship between actual and predicted returns, indicating CAPM with constant beta cannot explain differences in returns. It was also found that some stocks were on average undervalued while one was overvalued over the period studied. The conclusion is that the standard CAPM model cannot statistically explain the observed differences in actual and estimated returns of the selected Ghanaian stocks.
Dividend portfolio – multi-period performance of portfolio selection based so...Bogusz Jelinski
What will happen to your investment if you ignore change of share prices while calculating both returns and risk during stocks portfolio selection? Is it profitable in long term to
sell a share when its price has started to skyrocket?
Impact of capital asset pricing model (capm) on pakistanAlexander Decker
This document summarizes a research study that applied the Capital Asset Pricing Model (CAPM) to stocks traded on the Karachi Stock Exchange in Pakistan from 2003 to 2007. The study found that CAPM was able to estimate stock returns in the Pakistani market and showed the existence of a risk premium as the only factor affecting stock returns. The study used monthly return data from 5 portfolios sorted by size and book-to-market ratios. Regression analysis found the intercept was insignificant while the risk premium was significant, showing CAPM estimates stock returns accurately in this market. However, the study notes CAPM has limitations and future research could test different models or variations to further analyze factors affecting stock returns.
The document discusses the Capital Asset Pricing Model (CAPM) and its use in evaluating securities and predicting expected returns based on systematic risk (beta). It analyzes stocks listed on the Muscat Securities Market (MSM30) index in Oman to evaluate securities based on their beta values and determine appropriate expected returns. Prior research studies on CAPM are also reviewed that test the model in various markets, with mixed results regarding CAPM's ability to fully explain returns based on beta alone.
An Empirical Investigation of the Arbitrage Pricing Theory in a Frontier Stoc...Jennifer Holmes
This document summarizes a research paper that empirically investigates the Arbitrage Pricing Theory (APT) in the Dhaka Stock Exchange of Bangladesh, which is considered a frontier stock market. The study uses principal component analysis to address issues of multi-collinearity among macroeconomic variables. The results confirm evidence of one significant macroeconomic factor influencing stock returns in the Dhaka stock market, comparable to some emerging markets. The study also reviews literature on APT and its tests in various markets, and provides a criticism of asset pricing models for not fully incorporating non-quantifiable factors like investor psychology that may affect stock prices.
The CBS Television surprise hit “Undercover Boss” has aired for six consecutive seasons and
features publicly traded firms, closely-held corporations, and in some instances not-for-profit institutions. While
there has been much analysis on the ethical dilemmas faced by the undercover CEO or other executive, no
practical analysis of a firm‟s profitability has been conducted on any of the firms featured on the show.
Conventional wisdom would suggest that financial performance of a featured firm would improve after the initial
airing date, as the show typically ends on a „feel good‟ note and most often places the executive, as well as the
firm, in a positive light. This paper analyzes the stock market price after the initial air date as well revenue and net
income for all publicly traded firms that have appears on the show through the end of the sixth season.
Effects of option characteristics and underlying stock on option beta articleDharma Bagoes Oka
Beta (β) is one of the risk management tools to capture the risk exposures of hedge-fund investments. As most of hedge funds today trade derivative securities, the research on the measurement of derivative beta is important. The aim of this paper is to examine the factors, which may have impacts on option beta in the United States market. My hypothesis is comprised into three main parts. First, I hypothesize that 5 variables (type of option, strike price, days to maturity, firm size and book to market ratio) have linear relationship with the option beta. Second, I hypothesize that the strength of linear relationship is varied by the type of the industry. Third, I hypothesize that the strength of linear relationship is also varied by these 5 types of variables itself. To begin the process, I use regression method to estimate the beta of underlying stock. Then, I estimate the option beta by multiplying the beta of underlying stock and the option elasticity. I then use regression method to test whether the 5 variables have linear relationship with option beta. I find that 3 variables (type of option, strike price and days to maturity) have the most significant linear relationship with option beta, while firm size has less significant linear relationship and book to market ratio have no significant linear relationship. Furthermore, using 2-way ANOVA, I test whether strength of linear relationship is varied by the type of the industry and the 5 types of variables. There is not enough evidence to infer that the strength of linear relationship between the 5 variables to option beta is varied by the type of the industry, instead, there is enough evidence to infer that the strength of linear relationship between the 5 variables to option beta is varied by the type of variables.
Effects of option characteristics and underlying stock on option beta articleDharma Bagoes Oka
Beta (β) is one of the risk management tools to capture the risk exposures of hedge-fund investments. As most of hedge funds today trade derivative securities, the research on the measurement of derivative beta is important. The aim of this paper is to examine the factors, which may have impacts on option beta in the United States market. My hypothesis is comprised into three main parts. First, I hypothesize that 5 variables (type of option, strike price, days to maturity, firm size and book to market ratio) have linear relationship with the option beta. Second, I hypothesize that the strength of linear relationship is varied by the type of the industry. Third, I hypothesize that the strength of linear relationship is also varied by these 5 types of variables itself. To begin the process, I use regression method to estimate the beta of underlying stock. Then, I estimate the option beta by multiplying the beta of underlying stock and the option elasticity. I then use regression method to test whether the 5 variables have linear relationship with option beta. I find that 3 variables (type of option, strike price and days to maturity) have the most significant linear relationship with option beta, while firm size has less significant linear relationship and book to market ratio have no significant linear relationship. Furthermore, using 2-way ANOVA, I test whether strength of linear relationship is varied by the type of the industry and the 5 types of variables. There is not enough evidence to infer that the strength of linear relationship between the 5 variables to option beta is varied by the type of the industry, instead, there is enough evidence to infer that the strength of linear relationship between the 5 variables to option beta is varied by the type of variables.
This document provides a summary of an undergraduate thesis on asset pricing theories and financial markets. It discusses the efficient market hypothesis (EMH) which states that markets correctly price assets based on available information. While some empirical tests support aspects of the EMH, its assumptions of rational expectations and market efficiency have been challenged. The document also summarizes Minsky's financial instability hypothesis which argues that periods of economic stability can lead to increased risk-taking and financial crises. Overall, the document examines different theories for how financial markets function and pricing of assets, with a focus on challenges to the EMH raised by financial crises.
The document summarizes a presentation on the Capital Asset Pricing Model (CAPM). It includes an introduction to CAPM, objectives to understand the relationship between risk and return and validate the CAPM model through literature review. Research questions on whether risk and return are related and if CAPM is valid. The methodology section describes using Markowitz's model, the three-factor model, and regression analysis. While some studies have found issues, the conclusion is that CAPM remains the best option for measuring expected returns though could be improved. Recommendations include using daily data for betas and carefully selecting risk-free rates and market returns.
Determinants of the implied equity risk premium in BrazilFGV Brazil
This document summarizes a research paper that proposes and tests determinants of the implied equity risk premium (ERP) in Brazil. The paper calculates the ERP using current stock prices rather than historical returns. It finds several market fundamentals are significantly related to changes in the ERP, including changes in interest rates, debt risk spreads, US market liquidity, and the S&P 500 index level. The paper also compares using implied ERP versus historical averages and finds implied ERP varies with market events while historical averages do not.
This study examines the explanatory power of various financial variables for the cross-section of realized stock returns between 1940-1963. The study finds that book-to-market equity, earnings yield, and cash flow yield have significant explanatory power for returns, and there is a strong seasonal effect in January for these variables. Regression analysis shows that book-to-market equity, earnings yield, and cash flow yield are statistically significant predictors of subsequent returns. In contrast, variables like historical beta, firm size, and sales growth have weaker or insignificant relationships with returns. The results provide evidence that certain fundamental variables can capture risk differences across stocks and help identify mispriced stocks.
Effects of Option Characteristics and Underlying Stock on Option BetaDharma Bagoes Oka
Beta (β) is one of the risk management tools to capture the risk exposures of hedge-fund investments. As most of hedge funds today trade derivative securities, the research on the measurement of derivative beta is important. The aim of this paper is to examine the factors, which may have impacts on option beta in the United States market. My hypothesis is comprised into three main parts. First, I hypothesize that 5 variables (type of option, strike price, days to maturity, firm size and book to market ratio) have linear relationship with the option beta. Second, I hypothesize that the strength of linear relationship is varied by the type of the industry. Third, I hypothesize that the strength of linear relationship is also varied by these 5 types of variables itself. To begin the process, I use regression method to estimate the beta of underlying stock. Then, I estimate the option beta by multiplying the beta of underlying stock and the option elasticity. I then use regression method to test whether the 5 variables have linear relationship with option beta. I find that 3 variables (type of option, strike price and days to maturity) have the most significant linear relationship with option beta, while firm size has less significant linear relationship and book to market ratio have no significant linear relationship. Furthermore, using 2-way ANOVA, I test whether strength of linear relationship is varied by the type of the industry and the 5 types of variables. There is not enough evidence to infer that the strength of linear relationship between the 5 variables to option beta is varied by the type of the industry, instead, there is enough evidence to infer that the strength of linear relationship between the 5 variables to option beta is varied by the type of variables.
Similar to Dual beta modeling of karachi stock exchange (20)
Abnormalities of hormones and inflammatory cytokines in women affected with p...Alexander Decker
Women with polycystic ovary syndrome (PCOS) have elevated levels of hormones like luteinizing hormone and testosterone, as well as higher levels of insulin and insulin resistance compared to healthy women. They also have increased levels of inflammatory markers like C-reactive protein, interleukin-6, and leptin. This study found these abnormalities in the hormones and inflammatory cytokines of women with PCOS ages 23-40, indicating that hormone imbalances associated with insulin resistance and elevated inflammatory markers may worsen infertility in women with PCOS.
A usability evaluation framework for b2 c e commerce websitesAlexander Decker
This document presents a framework for evaluating the usability of B2C e-commerce websites. It involves user testing methods like usability testing and interviews to identify usability problems in areas like navigation, design, purchasing processes, and customer service. The framework specifies goals for the evaluation, determines which website aspects to evaluate, and identifies target users. It then describes collecting data through user testing and analyzing the results to identify usability problems and suggest improvements.
A universal model for managing the marketing executives in nigerian banksAlexander Decker
This document discusses a study that aimed to synthesize motivation theories into a universal model for managing marketing executives in Nigerian banks. The study was guided by Maslow and McGregor's theories. A sample of 303 marketing executives was used. The results showed that managers will be most effective at motivating marketing executives if they consider individual needs and create challenging but attainable goals. The emerged model suggests managers should provide job satisfaction by tailoring assignments to abilities and monitoring performance with feedback. This addresses confusion faced by Nigerian bank managers in determining effective motivation strategies.
A unique common fixed point theorems in generalized dAlexander Decker
This document presents definitions and properties related to generalized D*-metric spaces and establishes some common fixed point theorems for contractive type mappings in these spaces. It begins by introducing D*-metric spaces and generalized D*-metric spaces, defines concepts like convergence and Cauchy sequences. It presents lemmas showing the uniqueness of limits in these spaces and the equivalence of different definitions of convergence. The goal of the paper is then stated as obtaining a unique common fixed point theorem for generalized D*-metric spaces.
A trends of salmonella and antibiotic resistanceAlexander Decker
This document provides a review of trends in Salmonella and antibiotic resistance. It begins with an introduction to Salmonella as a facultative anaerobe that causes nontyphoidal salmonellosis. The emergence of antimicrobial-resistant Salmonella is then discussed. The document proceeds to cover the historical perspective and classification of Salmonella, definitions of antimicrobials and antibiotic resistance, and mechanisms of antibiotic resistance in Salmonella including modification or destruction of antimicrobial agents, efflux pumps, modification of antibiotic targets, and decreased membrane permeability. Specific resistance mechanisms are discussed for several classes of antimicrobials.
A transformational generative approach towards understanding al-istifhamAlexander Decker
This document discusses a transformational-generative approach to understanding Al-Istifham, which refers to interrogative sentences in Arabic. It begins with an introduction to the origin and development of Arabic grammar. The paper then explains the theoretical framework of transformational-generative grammar that is used. Basic linguistic concepts and terms related to Arabic grammar are defined. The document analyzes how interrogative sentences in Arabic can be derived and transformed via tools from transformational-generative grammar, categorizing Al-Istifham into linguistic and literary questions.
A time series analysis of the determinants of savings in namibiaAlexander Decker
This document summarizes a study on the determinants of savings in Namibia from 1991 to 2012. It reviews previous literature on savings determinants in developing countries. The study uses time series analysis including unit root tests, cointegration, and error correction models to analyze the relationship between savings and variables like income, inflation, population growth, deposit rates, and financial deepening in Namibia. The results found inflation and income have a positive impact on savings, while population growth negatively impacts savings. Deposit rates and financial deepening were found to have no significant impact. The study reinforces previous work and emphasizes the importance of improving income levels to achieve higher savings rates in Namibia.
A therapy for physical and mental fitness of school childrenAlexander Decker
This document summarizes a study on the importance of exercise in maintaining physical and mental fitness for school children. It discusses how physical and mental fitness are developed through participation in regular physical exercises and cannot be achieved solely through classroom learning. The document outlines different types and components of fitness and argues that developing fitness should be a key objective of education systems. It recommends that schools ensure pupils engage in graded physical activities and exercises to support their overall development.
A theory of efficiency for managing the marketing executives in nigerian banksAlexander Decker
This document summarizes a study examining efficiency in managing marketing executives in Nigerian banks. The study was examined through the lenses of Kaizen theory (continuous improvement) and efficiency theory. A survey of 303 marketing executives from Nigerian banks found that management plays a key role in identifying and implementing efficiency improvements. The document recommends adopting a "3H grand strategy" to improve the heads, hearts, and hands of management and marketing executives by enhancing their knowledge, attitudes, and tools.
This document discusses evaluating the link budget for effective 900MHz GSM communication. It describes the basic parameters needed for a high-level link budget calculation, including transmitter power, antenna gains, path loss, and propagation models. Common propagation models for 900MHz that are described include Okumura model for urban areas and Hata model for urban, suburban, and open areas. Rain attenuation is also incorporated using the updated ITU model to improve communication during rainfall.
A synthetic review of contraceptive supplies in punjabAlexander Decker
This document discusses contraceptive use in Punjab, Pakistan. It begins by providing background on the benefits of family planning and contraceptive use for maternal and child health. It then analyzes contraceptive commodity data from Punjab, finding that use is still low despite efforts to improve access. The document concludes by emphasizing the need for strategies to bridge gaps and meet the unmet need for effective and affordable contraceptive methods and supplies in Punjab in order to improve health outcomes.
A synthesis of taylor’s and fayol’s management approaches for managing market...Alexander Decker
1) The document discusses synthesizing Taylor's scientific management approach and Fayol's process management approach to identify an effective way to manage marketing executives in Nigerian banks.
2) It reviews Taylor's emphasis on efficiency and breaking tasks into small parts, and Fayol's focus on developing general management principles.
3) The study administered a survey to 303 marketing executives in Nigerian banks to test if combining elements of Taylor and Fayol's approaches would help manage their performance through clear roles, accountability, and motivation. Statistical analysis supported combining the two approaches.
A survey paper on sequence pattern mining with incrementalAlexander Decker
This document summarizes four algorithms for sequential pattern mining: GSP, ISM, FreeSpan, and PrefixSpan. GSP is an Apriori-based algorithm that incorporates time constraints. ISM extends SPADE to incrementally update patterns after database changes. FreeSpan uses frequent items to recursively project databases and grow subsequences. PrefixSpan also uses projection but claims to not require candidate generation. It recursively projects databases based on short prefix patterns. The document concludes by stating the goal was to find an efficient scheme for extracting sequential patterns from transactional datasets.
A survey on live virtual machine migrations and its techniquesAlexander Decker
This document summarizes several techniques for live virtual machine migration in cloud computing. It discusses works that have proposed affinity-aware migration models to improve resource utilization, energy efficient migration approaches using storage migration and live VM migration, and a dynamic consolidation technique using migration control to avoid unnecessary migrations. The document also summarizes works that have designed methods to minimize migration downtime and network traffic, proposed a resource reservation framework for efficient migration of multiple VMs, and addressed real-time issues in live migration. Finally, it provides a table summarizing the techniques, tools used, and potential future work or gaps identified for each discussed work.
A survey on data mining and analysis in hadoop and mongo dbAlexander Decker
This document discusses data mining of big data using Hadoop and MongoDB. It provides an overview of Hadoop and MongoDB and their uses in big data analysis. Specifically, it proposes using Hadoop for distributed processing and MongoDB for data storage and input. The document reviews several related works that discuss big data analysis using these tools, as well as their capabilities for scalable data storage and mining. It aims to improve computational time and fault tolerance for big data analysis by mining data stored in Hadoop using MongoDB and MapReduce.
1. The document discusses several challenges for integrating media with cloud computing including media content convergence, scalability and expandability, finding appropriate applications, and reliability.
2. Media content convergence challenges include dealing with the heterogeneity of media types, services, networks, devices, and quality of service requirements as well as integrating technologies used by media providers and consumers.
3. Scalability and expandability challenges involve adapting to the increasing volume of media content and being able to support new media formats and outlets over time.
This document surveys trust architectures that leverage provenance in wireless sensor networks. It begins with background on provenance, which refers to the documented history or derivation of data. Provenance can be used to assess trust by providing metadata about how data was processed. The document then discusses challenges for using provenance to establish trust in wireless sensor networks, which have constraints on energy and computation. Finally, it provides background on trust, which is the subjective probability that a node will behave dependably. Trust architectures need to be lightweight to account for the constraints of wireless sensor networks.
This document discusses private equity investments in Kenya. It provides background on private equity and discusses trends in various regions. The objectives of the study discussed are to establish the extent of private equity adoption in Kenya, identify common forms of private equity utilized, and determine typical exit strategies. Private equity can involve venture capital, leveraged buyouts, or mezzanine financing. Exits allow recycling of capital into new opportunities. The document provides context on private equity globally and in developing markets like Africa to frame the goals of the study.
This document discusses a study that analyzes the financial health of the Indian logistics industry from 2005-2012 using Altman's Z-score model. The study finds that the average Z-score for selected logistics firms was in the healthy to very healthy range during the study period. The average Z-score increased from 2006 to 2010 when the Indian economy was hit by the global recession, indicating the overall performance of the Indian logistics industry was good. The document reviews previous literature on measuring financial performance and distress using ratios and Z-scores, and outlines the objectives and methodology used in the current study.
Unlocking WhatsApp Marketing with HubSpot: Integrating Messaging into Your Ma...Niswey
50 million companies worldwide leverage WhatsApp as a key marketing channel. You may have considered adding it to your marketing mix, or probably already driving impressive conversions with WhatsApp.
But wait. What happens when you fully integrate your WhatsApp campaigns with HubSpot?
That's exactly what we explored in this session.
We take a look at everything that you need to know in order to deploy effective WhatsApp marketing strategies, and integrate it with your buyer journey in HubSpot. From technical requirements to innovative campaign strategies, to advanced campaign reporting - we discuss all that and more, to leverage WhatsApp for maximum impact. Check out more details about the event here https://events.hubspot.com/events/details/hubspot-new-delhi-presents-unlocking-whatsapp-marketing-with-hubspot-integrating-messaging-into-your-marketing-strategy/
Tired of chasing down expiring contracts and drowning in paperwork? Mastering contract management can significantly enhance your business efficiency and productivity. This guide unveils expert secrets to streamline your contract management process. Learn how to save time, minimize risk, and achieve effortless contract management.
Adani Group's Active Interest In Increasing Its Presence in the Cement Manufa...Adani case
Time and again, the business group has taken up new business ventures, each of which has allowed it to expand its horizons further and reach new heights. Even amidst the Adani CBI Investigation, the firm has always focused on improving its cement business.
KALYAN CHART SATTA MATKA DPBOSS KALYAN MATKA RESULTS KALYAN MATKA MATKA RESULT KALYAN MATKA TIPS SATTA MATKA MATKA COM MATKA PANA JODI TODAY BATTA SATKA MATKA PATTI JODI NUMBER MATKA RESULTS MATKA CHART MATKA JODI SATTA COM INDIA SATTA MATKA MATKA TIPS MATKA WAPKA ALL MATKA RESULT LIVE ONLINE MATKA RESULT KALYAN MATKA RESULT DPBOSS MATKA 143 MAIN MATKA KALYAN MATKA RESULTS KALYAN CHART
SATTA MATKA DPBOSS KALYAN MATKA RESULTS KALYAN CHART KALYAN MATKA MATKA RESULT KALYAN MATKA TIPS SATTA MATKA MATKA COM MATKA PANA JODI TODAY BATTA SATKA MATKA PATTI JODI NUMBER MATKA RESULTS MATKA CHART MATKA JODI SATTA COM INDIA SATTA MATKA MATKA TIPS MATKA WAPKA ALL MATKA RESULT LIVE ONLINE MATKA RESULT KALYAN MATKA RESULT DPBOSS MATKA 143 MAIN MATKA KALYAN MATKA RESULTS KALYAN CHART
L'indice de performance des ports à conteneurs de l'année 2023SPATPortToamasina
Une évaluation comparable de la performance basée sur le temps d'escale des navires
L'objectif de l'ICPP est d'identifier les domaines d'amélioration qui peuvent en fin de compte bénéficier à toutes les parties concernées, des compagnies maritimes aux gouvernements nationaux en passant par les consommateurs. Il est conçu pour servir de point de référence aux principaux acteurs de l'économie mondiale, notamment les autorités et les opérateurs portuaires, les gouvernements nationaux, les organisations supranationales, les agences de développement, les divers intérêts maritimes et d'autres acteurs publics et privés du commerce, de la logistique et des services de la chaîne d'approvisionnement.
Le développement de l'ICPP repose sur le temps total passé par les porte-conteneurs dans les ports, de la manière expliquée dans les sections suivantes du rapport, et comme dans les itérations précédentes de l'ICPP. Cette quatrième itération utilise des données pour l'année civile complète 2023. Elle poursuit le changement introduit l'année dernière en n'incluant que les ports qui ont eu un minimum de 24 escales valides au cours de la période de 12 mois de l'étude. Le nombre de ports inclus dans l'ICPP 2023 est de 405.
Comme dans les éditions précédentes de l'ICPP, la production du classement fait appel à deux approches méthodologiques différentes : une approche administrative, ou technique, une méthodologie pragmatique reflétant les connaissances et le jugement des experts ; et une approche statistique, utilisant l'analyse factorielle (AF), ou plus précisément la factorisation matricielle. L'utilisation de ces deux approches vise à garantir que le classement des performances des ports à conteneurs reflète le plus fidèlement possible les performances réelles des ports, tout en étant statistiquement robuste.
The Enigmatic Gemini: Unveiling the Dual Personalitiesmy Pandit
Explore the fascinating world of the Gemini Zodiac Sign, where duality reigns supreme. Discover the personality traits, important dates, and horoscope insights that define the ever-curious and communicative Gemini.
Adani Group Requests For Additional Land For Its Dharavi Redevelopment Projec...Adani case
It will bring about growth and development not only in Maharashtra but also in our country as a whole, which will experience prosperity. The project will also give the Adani Group an opportunity to rise above the controversies that have been ongoing since the Adani CBI Investigation.
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1. Mathematical Theory and Modeling www.iiste.org
ISSN 2224-5804 (Paper) ISSN 2225-0522 (Online)
Vol.3, No.8, 2013
26
Dual Beta Modeling of Karachi Stock Exchange
M. Khalid1,3
, Mariam Sultana1
, Faheem Zaidi1,2
1: Department of Mathematical Sciences, Federal Urdu University, Karachi
University Road, Gulshan-e-Iqbal, Karachi-75300, Pakistan
2: Department of Applied Mathematics, NED University of Engineering and Technology
University Road, Gulshan-e-Iqbal, Karachi-75270, Pakistan
3: E-mail of corresponding author: khalidsiddiqui@fuuast.edu.pk
Abstract
In the past three decades, the documentation of many features of returns in equity market has been noticed. But
less attention has been paid to the feature attacks more commenting else, namely that there are extensive periods
of time when equity prices rise and fall colloquially, these periods of time referred to as bull and bear markets
respectively. The purpose of this research is to study the betas in the bull and bear market condition for a sample
of stocks in the Karachi Stock Market (KSE), major stock market in Pakistan. The data consist of daily returns of
two major sectors (Petroleum & Commercial banks) of KSE during the period of February 1997 to December
2007. The data pertains to the daily adjusted closing prices of 15 scripts that form a part of KSE index. This
paper investigates whether betas of bull and bear market are statistically different from each other? KSE does not
integrate any distribution so we use t-statistics. Analysis shows that beta is higher when the market is bearish
than that when market is bullish for nine stocks while the reverse is true for other six stocks.
Keywords: Portfolio Beta, Portfolio Returns, KSE, Dual Beta
1. Introduction
Money and property are two of the few things people sacrifice their lives for. In the presence of risk, it is a
challenging task to forecast the expected returned on investment for an ordinary investor. For this purpose,
different models and techniques are used. A basic model called the capital asset pricing model (CAPM)
developed by Markowitz (1959), which is a benchmark, for academics. Later, theorists like Sharpe (1964) and
Black (1972) introduced multiple version of CAPM that risk measure beta for a specific stock is defined as being
the covariance between stock return and market return per unit variance of market return. The basis of CAPM is
that the return, received by an investor is in proportion with the level of risk. The past fifty years have borne
witness to a proliferation of empirical studies, testing the validating CAPM and beta stability. Jones [1998]
deduced, “Beta enables us to find out the fluctuations in price of a share, along with determining the relative
movement of share portfolio to the market portfolio”
In 1974, levy proposed that beta may be variable with market condition. That is because orthodox CAPM
does not estimate well when market’s condition change. Fabozzi and Francis (1977) came up with three
alternative definitions for bull and bear market conditions and calculate the approximate stability of beta over
market conditions. They took help from a market conditions. A sample of about 700 stocks in Newyork Stock
Exchange (NYSE) was taken and calculated whether the beta were significantly different in bull and bear
conditions during 1966–1971. It concluded no significant difference exists between the three definitions. Beta
for mutual fund has been studied by Fabozzi and Francis (1979) and concluded that it generally react different to
bull and bear markets. It was pointed the fact that mutual fund managers do not grow or shrink beta during bull
and bear conditions prevails, to earn different premium.
It has been discussed by Kim and Zumwalt (1979), Chen (1983) that the unsettled risk in the market model
proves to be more suitable than the constant risk when the market condition are taken into account. Wiggins, J.B.
(1992) discovered that high beta stocks in the past trend have higher systematic risk during rising market than
during dropping market. There was no clear conclusion that was agreed upon by Chan and Lakonishok (1993)
regarding whether to credit or discredit beta’s role in explaining stock returns. In another conducted research that
tested the claim that beta is no longer useful in explaining stock returns, Grundy and Malkiel (1996) replicated
Fama and French’s techniques and used a time frame similar to their study. Grundy and Malkiel (1996)
concluded that, there is a clear relationship between beta and returns when there is a decline in a market, and for
that reason beta is a useful tool in declining markets.
A consistent and significant relationship between the two, beta and returns, for the entire sample and for
sub-periods was given by Sundaram and Mathur (1995). Another significant correlation is found by Harris and
Spirey (1990) who claim to know the percentage decline in stock prices on the crash day and historical beta
coefficients of the stocks. Chinebell et al. (1993) studied that for two out of three bulls and bears market
definition, there is vast difference between upside and downside beta. Dufee (1995) discovered that the volatility
of the market goes down when market is declining while Campbell et al.(2001) observed something entirely
contrary. Bai and Perosn (2003), another group of theorist, found that there are asymmetric betas in majority
2. Mathematical Theory and Modeling www.iiste.org
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Vol.3, No.8, 2013
27
cases.
In this paper, we emphasize on the dual nature of betas of 15 different securities of only two major sectors
i.e. Petroleum and Commercial banks, and test whether two betas are significantly different from each other or
not. This study will cover, the duration of time between Feb 1997 to Dec 2007 approximately 10 years. We
refrain from including 2008 because of global recession, in KSE-100 index was down to 3300 points from 9187
points to 5865 points in just 13 trading sessions only. Afterwards, the points jumped from 5707 points to 8345
points in just 19 trading sessions.
2. Research Methodology
The study has focuses upon the calculation of two betas of fifteen companies depend on market conditions and
test the statistical significance whether these two betas of same stock are different from each other or not? The
CAPM model claim that the average return for any asset is the function of the average market return;
imi R.R ε+β+α= (1)
Where iR is return of th
i security, mR is market return and α is the intercept representing average abnormal
return. The gradient, βrepresents the systematic risk or beta of the th
i security. iε is normally distributed error
term with the mean zero.
Classical static beta model may not be reliable because risk measure beta is constant, which is an unrealistic
assumption. The constant beta model has been criticized for several reasons, i.e. the investigating influence of
constant beta model, has been establish too low, as it depend on a single beta for decision and uses market
returns for calculation of returns. Beta has different values depending on market conditions, estimating the return
by using asymmetric beta is more reliable as compare to static beta model. (Figure 3 shows the difference
between constant and dual beta models).
3. Dual Beta Model
The dual beta model is represented by the equation,
im2m121i D.R.R.D.R ε+β+β+α+α= (2)
Where 2α is the difference between bull and bear is market alpha ( )bearbull α−α and 2β is the difference
between bull and bear market betas ( )bearbull β−β . Also 1α and 1β are the estimators.
So this equation (2) can be expressed as ;
( ) ( ) imbearbullmbearbearbullbulli D.R.R.D.R ε+β−β+β+α−α+α= (3)
Where iR and mR is same as mention above, and D is a Dummy variable whose value is one when 0R m >
otherwise zero.
The dual beta model gives the possibility to investigate 2β which represents ( )bearbull β−β is statistically
different from zero. This means that we are able to investigate if average abnormal returns and systematic risk
differ between bear and bull market conditions. We are interested in this research, whether beta is stable between
the market states; in the context of this Dual-Beta CAPM framework a additional tests can be performed to test
for the equality of the up-market and down-market betas
bearbullo :H β=β (4)
Therefore we will test 2β by a standard t-test, if 0H is rejected at a reasonable confidence level, the
security has a statistically significant bull and bear beta. The t-statistics for testing these hypotheses can be
expressed as follows
2
SE
t 2
β
β
= (5)
where 2
SEβ is the standard deviation of errors.
4. Data and Sample
Karachi Stock Exchange (KSE) is considered as a main financial market of Pakistan. An econometric analysis is
to be performed in the study which is based on the data of fifteen firms listed on KSE market for the period of
131 months, which has not been covered in any other study. These 15 firms were nominated out of the total of 66
firms. In the selecting of the firms there was a criteria consisting of following points:
1) Companied that have continuous listing on exchange for the whole period of analysis
2) Data covers two most important sectors, and
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28
3) Companies’ possess high average turnover while the analysis being conducted.
Stock and share prices for this study have been adapted from Bloomberg. The observations are branched into two
sub groups, keeping in mind whether market return is negative (market goes down) or positive (market rises).
5. Discussion of Results
The data used in this study is the daily adjusted price relatives of the 15 securities of Karachi Stock Exchange’s,
giving 2845 observations. A continuously compound percentage returns series for each industry and the market
index was calculated as the difference of the of the prices relative to initial price. The empirical finding of this
research are expressed in form of graphs, which shown below. Figure A shows the index level of KSE. The price
level are somehow stationary before 2002 but after that it is totally non-stationary. It also show that there is a
dramatic increasing trend after 2002 as Pakistan is the one of the front line supporters of war against terrorism so
western aid attracts investors to invest in security market .
Figure AThe market index of KSE for 131 months
The returns of the market, showed in figure B are stationary. Figure B also show that KSE is generally a
high volatile market. Market went into depression and in the process of early 1997. From the period of August
1997 to April 2000 is the peak period of returns and was go along with by a high level of risk as well. From 2001
it shows that market is smooth till 2007.
Figure BReturns of KSE-100 index
Some descriptive statistics for the returns data for each of the 15 securities and the KSE market index are in
Table A. In keeping with other studies of financial time series all 16 return series (15 securities + KSE itself) are
Feb-97 Feb-98 Feb-99 Feb-00 Feb-01 Feb-02 Feb-03 Feb-04 Feb-05 Feb-06 Feb-07
0
3,000
6,000
9,000
12,000
15,000
IndexValue
Feb 97 Feb 98 Feb 99 Feb 00 Feb 01 Feb 02 Feb 03 Feb 04 Feb 05 Feb 06 Feb 07
-0.1
-0.05
0
0.05
0.1
0.15
Returns
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Vol.3, No.8, 2013
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leptokurtotic and exhibit positive skewness except KSE which has negative skewness.
Over these securities The Bank of Punjab Limited (BOP) and Muslim Commercial Bank Limited (MCB)
offered the highest and the Pakistan State Oil Co. Ltd. (PSO) the lowest mean return over this period. The
standard deviation was highest for the NIB Bank Limited and lowest for Bank AL-Habib Limited, Sonari Bank
Limited and SHEL Pakistan. The constant risk market model beta estimate was highest for the BOP and lowest
for the HMB.
6. Conclusion
In this paper the relationship of average abnormal returns and systematic risk differ between bear and bull
market conditions is empirically tested. The sample of fifteen listed companies on Karachi stock Exchange was
taken. Dual Beta model was used to find out the relationship of average abnormal returns and systematic risk.
We found that nine out of fifteen stocks has significantly different betas. Results provided are somewhat mixed,
indicating a rise in the beta in some cases and a fall in other cases. In petroleum sector; all securities shows the
significance difference between bullish and bearish beta while in banking sector, three out of eight securities
reject the hypothesis.
On the basis of our empirical analysis we can conclude that there is a statistically significant relationship
between risk return and asymmetric beta. Our results are consistent with the previous studies conducted to assess
the risk return beta relationship. Future research might be conducted by segregating other sectorial
representations in the KSE-100 index.
7. Acknowledgement
Authors are thankful to Mr Azeem Zaidi for his valuable ideas and Wishaal Khalid for her help in composing this
paper.
References
Markowitz, Harry. (1959), “Effi-cient Diversification of Investments”, Cowles Foundation Monograph No. 16.
New York: John Wiley & Sons, Inc.
Sharpe, W. F. (1964), “Capital asset prices: A theory of market equilibrium under conditions of risk.”, Journal of
Finance 19(3): 425–442.
Black, Fisher, Machael C. Jensen, & Mayron S. (1972), “The Capital Asset Pricing Model: Some Empirical Test.
In Michael C. Jensen (ed.) Studies in the Theory of Capital Markets. New York: Praeger. 79–121.
Levy, R.A. (1974), “On the Short-Term Stationarity of Beta Coefficients.”, Financial Analysts Journal 27: 55-
62.
Fabozzi, F. J. & Francis, J.C. (1977), “Stability Tests for Alphas and Betas over Bull and Bear Market
Conditions.”, Journal of Finance 32( ): 1093–1099.
Fabozzi, F. J., & Francis, J.C. (1979), “Mutual fund systematic risk for bull and bear markets: An empirical
examination”, Journal of Finance 34: 1243-1250.
Chen, S. (1982), “An examination of risk return relationship in bull and bear markets using Time varying betas”,
Journal of Financial and Quantitative Analysis, 17(2): 265-285.
Kim, M.K. & Zumwalt, K.J. (1979), “An analysis of risk in bull and bear markets”, Journal of Financial and
Quantitative Analysis, 16(5): 1015-1025.
Wiggins, J.B. (1992), “Betas in up and down markets”, The Financial Review, 27(1): 107-123.
Grundy, K. & Malkiel, B.G. 1996. “Reports of beta’s death have been greatly exaggerated,” Journal of Portfolio
Management, 22, 36-44.
Chan, Louis K.C. & Josef, L. (1993), “Are The Reports of Beta's Death Premature?”, Journal of Portfolio
Management, Summer 51-62.
Clinebell, J.M., Squires, J.R. & Stevens, J.L. (1993), “Investment performance over bull and bear markets:
Fabozzi and Francis revisited”, Quarterly Journal of Business and Economics, 32(4): 14-25
Duffee, G.R. (1995), “Stock returns and volatility”, Journal of Financial Economics, 37: 399-420
Campbell, J., Lettau M. , Malkiel B. G. & Xu Y. (2001), “Have Individual Stocks Become More Volatile?” An
Empirical Exploration of Idiosyncratic Risk,”, Journal of Finance, 56: 1-44.
Bai, J. & Perron, P. (2003), “Computation and analysis of multiple structural change models”, Journal of
Applied Econometrics 18: 1–22.
Jones, C.P. (1998), “Investments: Analysis and management”, 6th edition, Wiley, New York.
5. Mathematical Theory and Modeling www.iiste.org
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Vol.3, No.8, 2013
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Table 1 Summary Statistics of Daily Stock Returns of Companies included in the sample
Name of Company Symbol Mean Variance Kurtosis Skewness
Askari Bank Ltd. AKBL 0.13% 0.09% 78.57 2.69
Attock Refinery Ltd. ATRL 0.14% 0.06% 30.46 0.77
Bank AL-Habib Limited BAHL 0.17% 0.14% 10.77 0.13
Bank Of Punjab Limited. BOP 0.10% 0.09% 12.07 0.78
Faysal Bank Limited FABL 0.15% 0.07% 26.55 0.73
Habib Metropolitan Bank Limited HMB 0.17% 0.09% 5.48 0.05
Mari Gas Company Limited MARI 0.14% 0.15% 6.04 0.68
MCB Bank Limited MCB 0.12% 0.06% 21.75 0.34
National Refinery Ltd. NRL 0.12% 0.07% 30.12 1.16
NIB Bank Limited NIB 0.12% 0.08% 38.08 2.18
Pakistan Oilfields Ltd. POL 0.15% 0.11% 98.46 4.78
Pakistan Refinery Ltd. PRL 0.15% 0.08% 23.29 2.03
Pakistan State Oil Co. Ltd. PSO 0.11% 0.10% 11.30 0.39
Shell Pakistan Limited SHEL 0.06% 0.08% 30.17 0.21
Sonari Bank Limited SNBL 0.08% 0.06% 13.29 0.08
Karachi Stock Exchange KSE 100 0.09% 0.03% 5.77 -0.18
Table 2 Estimators in constant beta model mentioned in Eq. (1)
Stocks AKBL ATRL BAHL BOP FABL HMB MARI MCB NIB NRL POL PRL PSO SHEL SNBL
α
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
(0.96) (1.64) (2.13) (1.10) (0.51) (2.41) (1.50) (1.52) (1.10) (1.49) (1.93) (1.13) (-0.81) (0.36) (1.92)
β
0.86 0.42 0.48 1.23 0.86 0.34 0.53 1.16 0.73 0.65 0.63 0.54 1.07 0.72 0.44
(30.13) (15.55) (19.02) (37.16) (29.65) (12.13) (18.45) (47.10) (18.44) (18.78) (22.47) (16.27) (45.79) (29.73) (17.52)
Table 34 Estimators of betas in dual beta model mentioned in Eq. (3)
Stocks AKBL ATRL BAHL BOP FABL HMB MARI MCB NIB NRL POL PRL PSO SHEL SNBL
1α
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
(0.74) (-0.10) (0.30) (-0.68) (0.13) (0.67) (0.80) (1.66) (-0.29) (0.06) (0.78) (-1.55) (-1.57) (0.14) (-0.50)
2α
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
(-0.27) (1.03) (0.88) (1.37) (0.09 (1.09 (-0.13) (-0.83) (1.01) (0.76) (0.19 (2.58 (0.86) -0.17 (1.94)
1β
0.84 0.31 0.38 1.10 0.82 0.38 0.44 1.20 0.64 0.53 0.54 0.45 0.93 0.64 0.40
(19.94) (7.81) (10.13) (22.67) (18.98 (9.19 (10.45) (32.91) (10.98) (10.37) (13.01 (9.13) (27.07) 17.99 (10.76)
2β
0.04 0.20 0.19 0.22 0.09 -0.08 0.16 -0.06 0.16 0.22 0.17 0.16 0.26 0.15 0.07
(0.67) (3.64) (3.71) (3.34) (1.50 (-1.44 (2.83) (-1.28) (1.96) (3.16) (3.02) (2.34) (5.51) (3.00) (1.33)
bullβ 0.88 0.51 0.57 1.32 0.90 0.30 0.61 1.13 0.80 0.75 0.71 0.61 1.19 0.79 0.47
bearβ 0.84 0.31 0.38 1.10 0.82 0.38 0.44 1.20 0.64 0.53 0.54 0.45 0.93 0.64 0.40
99% 0 1 1 1 0 0 1 0 0 1 1 1 1 1 0
Note: Where “0” represent there is no significance difference between bull and bear betas
“1” shows that there is a difference in bull and bear betas
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