For emerging market returns there is strong evidence that the departure from normality is primarily driven by kurtosis and not skewness. This paper investigates the empirical validity of a return generating process that includes quadratic and cubic market returns as factors of pricing for an...

This paper tests and compares the CAPM of Black (1972) and the Mean Lower Partial Moment (MLPM) Capital Asset Pricing Model of Bawa and Lindenberg (1977) and Harlow and Rao (1989) in the context of emerging markets. It is well known that returns in emerging markets are non-normal and have...

Using quarterly data on commercial banks operating in Pakistan over a period of 2002-2014, this study finds that banking sector in Pakistan takes more risk during ease and infection ratio increases with a rise in policy rate. In addition, with lower return on asset and small capital base, banks...

Using quarterly data on commercial banks operating in Pakistan over a period of 2002-2014, this study finds that banking sector in Pakistan takes more risk during ease and infection ratio increases with a rise in policy rate. In addition, with lower return on asset and small capital base, banks...

Value-at-risk (VaR) is a useful risk measure broadly used by financial institutions all over the world. VaR is popular among researchers, practitioners and regulators of financial institutions. VaR has been extensively used for to measure systematic risk exposure in developed markets like of the...

This paper examines the determinants of aggregate import demand for Pakistan for the period 1972-1999. The Johansen (1988) co-integration analysis is used for establishing a long run relationship between real imports and its determinants namely real GDP, relative prices and exchange rate...

In this paper we analyze the impact of trade liberalization policy on GDP growth of Pakistan for the period ranging from 1972 to 2002. We found that there is long run negative relationship between trade growth and GDP growth. When we separate the total trade volume in export and import we find...

Forecasting is an important tool for management, planning and administration in various fields. In this paper forecasting performance of different methods is considered using time series data of Pakistan's export to United Sates and money supply. It is found that, like other studies of this...

This paper investigates the linkages between trade policy openness and economic growth for Pakistan for the period 1973 to 2008. The paper tests the hypothesis that trade policy does not affect economic growth directly rather it affects through some growth determining economic variables, which...

It is well established that regression analysis on non-stationary time series data may yield spurious results. An earlier response to this problem was to run regression with first difference of variables. But this transformation destroys any long-run information embodied in the levels of...