tag:blogger.com,1999:blog-82393612919886469312024-03-05T19:37:39.174-08:00www.OpenDoors.Pk Blogging AreaDr. Attaullah Shah http://www.blogger.com/profile/17969668653375888998noreply@blogger.comBlogger5125tag:blogger.com,1999:blog-8239361291988646931.post-25170555190192738092014-06-14T03:52:00.001-07:002014-06-14T03:52:12.897-07:00Stock Market Updates May-June 2014<div dir="ltr" style="text-align: left;" trbidi="on">
<br />
<h3 style="text-align: left;">
<b>Conventional Insurance Companies Can Now Launch Takaful Window</b></h3>
<div>
SECP has allowed both general and life insurance companies launch Takaful window. The conventional companies could begin to underwrite Takaful products after attaining authorisation as “Window Takaful Operator” from the SECP under the Takaful Rules 2012.</div>
<div>
<br /></div>
<div>
<br /></div>
<div>
<h3>
<b>Privatization of UBL: Book Building Process</b></h3>
<div>
Book building process for UBL was started on June 11, 2014. It is expected that local institutional and foregin investors will take key interest in the process, though the price in the book building seems to be at discount to the prevailing market price. This refers to the classic 'equity under-pricing' problem. The size of the issue (241.9 millions shares) is huge, and is expected to increase supply substantially. </div>
<div>
<br /></div>
<div>
<br /></div>
<div>
<h3>
<b>Pakistan Weight Increases from 3.88 to 7.02% in MSCI Frontier Market Index</b></h3>
</div>
<div>
The additional weight improved the image of the Exchange which helped it in attracting net foreign portfolio investment of US$70mn during the month. </div>
</div>
<div>
<br /></div>
<div>
<h3>
<b>Cement Sector Witnesses Growth in May</b></h3>
</div>
<div>
The cement industry reported a healthy growth of 10% in the month of May, 2014, primarily because of rise in demand for cement from the public sector as the financial years comes to the end. The industry expects additional demand in the coming year as the government has increased the budgetary allocation for PSDP by 24%. </div>
<div>
<br /></div>
<div>
<br /></div>
<div>
<br /></div>
<div>
<br /></div>
<div>
<br /></div>
</div>
Dr. Attaullah Shah http://www.blogger.com/profile/17969668653375888998noreply@blogger.com1tag:blogger.com,1999:blog-8239361291988646931.post-68672991475663262232014-01-26T06:00:00.002-08:002014-01-26T06:00:33.054-08:00The Drivers of KSE Spectacular Returns in 2013<div dir="ltr" style="text-align: left;" trbidi="on">
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgwCOgx5zDiNL2KKNTvsdE_Sb6Oi0e9KHzzr_zZknibGActwvr3EvIfzBonili7W_Z4zsh8eXJlELfs95kfBdCOk56MUjdHKgcmHqFkvL7kJPWerivN6qRpNX-HyGMBczaOHjJlkFV0TMg/s1600/kse_logo.gif" imageanchor="1" style="clear: left; float: left; margin-bottom: 1em; margin-right: 1em;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgwCOgx5zDiNL2KKNTvsdE_Sb6Oi0e9KHzzr_zZknibGActwvr3EvIfzBonili7W_Z4zsh8eXJlELfs95kfBdCOk56MUjdHKgcmHqFkvL7kJPWerivN6qRpNX-HyGMBczaOHjJlkFV0TMg/s1600/kse_logo.gif" height="64" width="320" /></a></div>
<br />
<br />
<br />
<br />
<br />
The year 2013 witnessed a spectacular increase in the Karachi Stock Exchange (KSE) 100-Index. The index increased by 49.4% in the year 2013, which made the KSE as one of the top performers among global stock indices.<br />
<br />
KSE has traditionally been regarded as one of the undervalued market based upon price-earning multiples. However, the recent increase in the Index is not solely attributable to the undervaluation of the market. Rather, the economic reforms rolled out by the Nawaz Sharif government have significantly boosted the confidence of the investors, especially the foreign investors. The foreign portfolio investors injected around $404 millions in the KSE in the year 2013, according to National Clearing Company of Pakistan (NCCPL). There are several reasons why foreign investors are interested to invest in KSE.<br />
<br />
First, KSE offers good diversification potential for international investors alongside excellent price-earning multiples. Pakistan is not the only market where foreign money managers have been heading to. They have been actively targeting what they term as 'frontier markets' as these markets have high-risk, high-return characteristics. However, from a portfolio perspective, these markets provide better risk-adjusted returns when combined with more developed markets in a portfolio.<br />
<br />
Second, money managers have optimistic view points regarding future profit potential of Pakistani firms given that Pakistan population is sixth largest in the world and that this population still has many demands to fulfill. Demands for consumer goods and durables, better health care, education, and luxury goods, are ever increasing in this part of the world. Also, companies in Pakistan have shown good resistance to the ongoing security and unstable economic conditions. These companies can prove to be good investment opportunities.<br />
<br />
Third, the present government has shown keen interest in several key areas of the economy to bring improvements in them. First of all, it paid off around $5 billion circular debt of the energy and power sectors which helped in reducing power outages and freeing up funds for fuel import. Second, it has shown interest in privatizing ailing organizations such as PIA, Pak Steel Mills, and the likes to avoid further burden on the national exchequer. Third, the government has been successful in getting bail-out loan from the IMF and financial assistance from USA for war on terror.<br />
<br />
Despite the phenomenal growth in the KSE-100 Index in 2013, there still exist many concerns regarding the future direction of the Index. Since 2008, the index has grown by 330%, which might have an element of bubble and investors' overreaction , given the riskiness of the country. Historical research show that when a market rises substantially above its historical levels, the chances of further increase become less and less. Moreover, as fickle as foreign capital can be (as one can refer to the Asian Crisis of 1997), capital flight poses a serious threat to the future performance of KSE. Furthermore, it is expected that State Bank of Pakistan will have to increase its discount rate to curb the rising inflation rate. Another factor that can pose risk for the KSE is the foreign exchange rate, which the SBP has to leave untouched in accordance with the IMF conditionalaties. Despite all these, stock analysts are still optimistic that the KSE-100 Index can reach 30,000 points by the end of 2014.<br />
<br />
<br />
<br /></div>
Dr. Attaullah Shah http://www.blogger.com/profile/17969668653375888998noreply@blogger.com8tag:blogger.com,1999:blog-8239361291988646931.post-67019442491923606922013-02-28T01:23:00.002-08:002013-02-28T01:23:18.100-08:00Triangulation in Social Sciences Research<div dir="ltr" style="text-align: left;" trbidi="on">
<h3 style="text-align: left;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjs8eIBodEJ0S0BZrvej4tsdJAcuPAaOm46CRulBHeLBVjSr4qbIyKlW5KKcMIsecAB-L2jYncrWOgmQFitLqtWdzHcpleBQ-KA_nFA6xiH_cQUB-xTbJTQAQlvBU-Epp4IPhGsMascFPc/s1600/Triangulation.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="200" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjs8eIBodEJ0S0BZrvej4tsdJAcuPAaOm46CRulBHeLBVjSr4qbIyKlW5KKcMIsecAB-L2jYncrWOgmQFitLqtWdzHcpleBQ-KA_nFA6xiH_cQUB-xTbJTQAQlvBU-Epp4IPhGsMascFPc/s200/Triangulation.png" width="190" /></a></h3>
<h3 style="text-align: left;">
<span style="color: #b45f06;">By Mariya Razzaghian*</span></h3>
<div class="separator" style="clear: both; text-align: left;">
<br /></div>
<h2 style="text-align: left;">
<span style="color: #0b5394; font-family: Verdana, sans-serif;">1. What is triangulation in research?</span></h2>
<div>
<span style="font-family: Verdana, sans-serif;">Triangulation is the combination of two or more theoretical perspective, methodological approaches, analytical methods, data sources, or investigators within the same study. Denzin (1970) has called mixing methods as a 'triangulation perspective'. </span></div>
<div>
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div>
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<h2 style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><span style="color: #0b5394;">2. Why we need triangulation?</span></span></h2>
<div>
<span style="font-family: Verdana, sans-serif;">Researchers use </span><span style="font-family: Verdana, sans-serif;">triangulation</span><span style="font-family: Verdana, sans-serif;"> for two reasons mainly:</span></div>
<div>
<ol style="text-align: left;">
<li><span style="font-family: Verdana, sans-serif;">The use of a single method may not allow the researcher to address all aspects of the research questions.</span></li>
<li><span style="font-family: Verdana, sans-serif;">Combining research methods increases the validity of the research findings because using a variety of methods means that one serves as a check on the other.</span></li>
</ol>
<div>
<span style="font-family: Verdana, sans-serif;">Since many researchers now recognize that there are differences in social science and natural science and that the interpretations that human beings have of their social behavior and the external world are important factors that need to be kept in mind, they now appreciate that both quantitative and qualitative methods have a role to play in social science. </span></div>
</div>
<div>
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div>
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<h2 style="text-align: left;">
<span style="color: #0b5394; font-family: Verdana, sans-serif;">3. Types of Triangulation</span></h2>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;">There can be many types of triangulations. However, for the sake of parsimony we shall focus on the four widely recognized types of </span><span style="font-family: Verdana, sans-serif;">triangulations here, i.e. </span></div>
<div style="text-align: left;">
</div>
<ol style="text-align: left;">
<li><span style="font-family: Verdana, sans-serif;">methodological </span><span style="font-family: Verdana, sans-serif;">triangulation</span><span style="font-family: Verdana, sans-serif;"> </span></li>
<li><span style="font-family: Verdana, sans-serif;">investigator </span><span style="font-family: Verdana, sans-serif;">triangulation, </span></li>
<li><span style="font-family: Verdana, sans-serif;">theoretical </span><span style="font-family: Verdana, sans-serif;">triangulation, </span></li>
<li><span style="font-family: Verdana, sans-serif;">data analysis </span><span style="font-family: Verdana, sans-serif;">triangulation.</span></li>
</ol>
<br />
<div style="text-align: left;">
<br /></div>
<h3 style="text-align: left;">
<span style="color: #0b5394;"><span style="font-family: Verdana, sans-serif;">3.1. Methodological T</span><span style="font-family: Verdana, sans-serif;">riangulation</span></span></h3>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;">This type of triangulation has also been called as mixed methods, multi-methods, and methods triangulation. By using multiple methods, the research strives to decrease the deficiencies and biases that stem from any single method creating the potential for counterbalancing the flaws or weaknesses of one method with the the strength of the other. Methodological triangulation can be further divided into two types, i.e. withing method and between methods </span><span style="font-family: Verdana, sans-serif;">triangulation.</span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<h4 style="text-align: left;">
<span style="color: #0b5394;"><span style="font-family: Verdana, sans-serif;">3.1.1 With-in-method </span><span style="font-family: Verdana, sans-serif;">triangulation</span><span style="font-family: Verdana, sans-serif;"> </span></span></h4>
<div>
<span style="font-family: Verdana, sans-serif;">This is done at the data level and uses two different tools for collecting data. While, this type of triangulation has narrow scope, it provides alternative ways for measuring a variable.</span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
</div>
<h4>
<span style="color: #0b5394;"><span style="font-family: Verdana, sans-serif;">3.1.2 Between methods </span><span style="font-family: Verdana, sans-serif;">triangulation</span><span style="font-family: Verdana, sans-serif;"> </span></span></h4>
<br />
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;">we, may also call this across methods </span><span style="font-family: Verdana, sans-serif;">triangulation. It is done at the design level and uses both quantitative as well as qualitative methods. The approaches are merged at the level of interpretation.</span><span style="font-family: Verdana, sans-serif;"> </span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<h3 style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><span style="color: #0b5394;">3.2 Investigator Triangulation</span></span></h3>
<div>
<span style="font-family: Verdana, sans-serif;"><span style="color: #0b5394;"><br /></span></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;">It involves using more than one observer, interviewer, coder or data analyst in the study. Confirmation of data among investigators without prior decision or collaboration with one another lends greater credibility to the observation. The purpose of multiple investigator is to reduce the potential of bias in selecting, analyzing, coding, or gathering of data, as well as to increase the internal validity of the findings. Having more than one investigator also has the potential for keeping the team honest which increase the credibility of findings. Analysis of data (particularly quantitative data) by multiple analysts serves not only to amplify the results and increase validity but it also adds to the reliability.</span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;">Verification of the the interpretation of data (quantitative and qualitative by more than one research can increase the value of the findings. Also, if the research is conducted by investigators who are equally skilled in their respective approaches can enhance the value of the study by contributing to the study from different view points.</span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;">Investigators equally apt in their respective research approaches can conduct the different phases of research allowing for both the investigators and methodological triangulation.</span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
</div>
<h3>
<span style="color: #0b5394;"><span style="font-family: Verdana, sans-serif;">3.3 Theoretical Triangulation</span></span></h3>
<br />
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;">This type involves using multiple theories and hypotheses to study a phenomenon. The use of multiple theories and hypotheses is done with the intention that the study can be conducted with multiple lenses and questions in mind in order to lend support to or refute the findings. </span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;">The theoretical perspectives or hypotheses used in the study may be related to or they may have opposing views points, depending on what the researcher hopes to accomplish. The use of multiple theories provides the advantage that alternative explanation for a phenomenon can be decreased. Multiple theories also help to rule out competing hypotheses, prevent premature acceptance of plausible explanations, and increase confidence in constructing concepts in theory development.</span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<br /></div>
<div style="text-align: left;">
</div>
<h3>
<span style="color: #0b5394;"><span style="font-family: Verdana, sans-serif;">3.4 Data Analysis Triangulation</span></span></h3>
<br />
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;">Data analysis triangulation is the combination of two or more methods of analytical tools. These techniques can include different families of statistical tools such t-test, regression, anova, structural equation modelling in order to validate the data or determine similarities. </span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
</div>
<div style="text-align: left;">
<span style="color: #0b5394;">*Mariya Razzaghian is a PhD student at the Institute of Management Sciences, Peshawar. Her area of specialization is HRM, with special focus on work place bullying and workaholism. </span></div>
<br />
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div style="text-align: left;">
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
<div>
<span style="font-family: Verdana, sans-serif;"><br /></span></div>
</div>
Dr. Attaullah Shah http://www.blogger.com/profile/17969668653375888998noreply@blogger.com0tag:blogger.com,1999:blog-8239361291988646931.post-87065289114839193062013-02-25T21:55:00.001-08:002013-02-26T01:35:21.084-08:00Hypothesis Development: Lead-Lag in Stock Returns<div dir="ltr" style="text-align: left;" trbidi="on">
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhFPTzcWRAqChomPjVG9dP0nbHZ5SBFsWypSNiAkl3-v-YCNqctglRlkkeEIAEzsQP3dVdBepLGsfFDT992j0VNKQfuawzeres_UU_Q0TcOqYl4FS1n9L8_-s4VR_5bk2O83UxO2ouzx9Y/s1600/hypothsis.jpg" imageanchor="1" style="clear: left; float: left; margin-bottom: 1em; margin-right: 1em;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhFPTzcWRAqChomPjVG9dP0nbHZ5SBFsWypSNiAkl3-v-YCNqctglRlkkeEIAEzsQP3dVdBepLGsfFDT992j0VNKQfuawzeres_UU_Q0TcOqYl4FS1n9L8_-s4VR_5bk2O83UxO2ouzx9Y/s1600/hypothsis.jpg" /></a></div>
<span style="font-family: Verdana, sans-serif;">The following hypotheses were developed during class discussion on the topic of whether some groups of stock lead others in their response to news shocks. The discussion took place in the Seminar in Finance Class, MS (Management) 2013. The paper for discussion was "Do Industries Lead Stock Market" [<a href="https://sites.google.com/site/imspeshawar/home/seminar-in-finance/papers/Do%20industries%20lead%20stock%20markets.pdf?attredirects=0">Download</a>]</span><br />
<span style="font-family: Verdana, sans-serif;"><br /></span>
<br />
<b>Hypotheses derived keeping in view slow diffusion of information and behavioral biases</b><br />
<h1 style="text-align: center;">
<o:p></o:p></h1>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<br /></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<i><span style="color: #0070c0; font-family: "Verdana","sans-serif";">H<sub>1</sub>: Firms with dispersed ownership will lead firms
with concentrated ownership<o:p></o:p></span></i></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<span style="font-family: "Verdana","sans-serif";">Rationale: It is assumed that firms
with concentrated ownership will have more information asymmetry as these firms
will not share much information with the market [For literature review on this
topic, you may read <a href="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1983438">this paper</a>]. In comparison,
firms with dispersed ownership will have more information available. As news
shocks hit the market, price discovery for firms with concentrated ownership
will be difficult and hence they will react to the news with delay (similar
rationale is available for non-synchronous trading hypothesis]<o:p></o:p></span><br />
<span style="font-family: "Verdana","sans-serif";"><br /></span>
<span style="font-family: "Verdana","sans-serif";"><br /></span></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<i><span style="color: #0070c0; font-family: "Verdana","sans-serif";">H<sub>2</sub>: Firms with less managerial ownership will lead
firms with more managerial ownership<o:p></o:p></span></i></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<span style="font-family: "Verdana","sans-serif";">Rationale: Similar rationale can be
developed for managerial ownership as for concentrated ownership. If managers
have intention of expropriating wealth from minority shareholders, they will
try to hide information from the market. With less information, share price
discovery becomes difficult and hence such firms will react with delay to new
information. <o:p></o:p></span></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<br /></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<i><span style="color: #0070c0; font-family: "Verdana","sans-serif";">H<sub>3</sub>: Firms with higher trading volume will lead firms
with lower trading volume.<o:p></o:p></span></i><br />
<span style="font-family: Verdana, sans-serif;">Rationale: Firms with higher trading
volume are more liquid and easy to price as they have more information
available about them compared to firms with low trading volume. For more
details, you can see paper Chordia and Swaminathan (2000) <a href="http://www.cis.upenn.edu/~mkearns/finread/Chordia_lead_lag.pdf">Download</a></span></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<br /></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<br /></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<i><span style="color: #0070c0; font-family: "Verdana","sans-serif";">H<sub>4</sub>: Firms with high beta stocks will lead firms with
low beta stocks<o:p></o:p></span></i></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<span style="font-family: "Verdana","sans-serif";">Rationale: Since investors give more
weight to loss than to a similar gain, stock with higher betas are expected to
be affected by this behavioral bias. Hence in down markets investors are
expected to sell these stocks quickly whereas lower beta stocks are expected to
react with delay. For up market conditions, the theoretical predictions are not
much clear about the two types of stocks.<o:p></o:p></span></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<br /></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<i><span style="color: #0070c0; font-family: "Verdana","sans-serif";">H<sub>5</sub>: Small firms will lead large firms in down market
trend.<o:p></o:p></span></i></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<span style="font-family: "Verdana","sans-serif";">Rationale: Though the above
hypothesis seems to be in contradiction to the general finding of large stocks
leading the small stocks, but based on the rational which we developed for the
high beta stock it is plausible to expect that small firms will show quicker
reaction to economic news in down markets (not because of information
hypothesis but because of loss aversion hypothesis)<o:p></o:p></span></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<br /></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<i><span style="color: #0070c0; font-family: "Verdana","sans-serif";">H<sub>6</sub>: Commodity market will lead stock market <o:p></o:p></span></i></div>
<div class="MsoNormal" style="margin-bottom: 0.0001pt; text-align: justify;">
<span style="font-family: "Verdana","sans-serif";">Rationale:
Since economic activity is primarily originated from commodity market,
information from here will reach to the stock market with delay assuming
limited cognitive ability (Kahneman, 1973; Nisbett and Ross, 1980) and limited participation
Merton (1987) and Hong and Stein (1999) <o:p></o:p></span><br />
<span style="font-family: "Verdana","sans-serif";"><br /></span></div>
<div class="MsoNormal" style="margin-bottom: 0.0001pt;">
<br /></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<i><span style="color: #0070c0; font-family: "Verdana","sans-serif";">H<sub>7</sub>: Firms in start of the supply chain will lead
firms that are towards the end of the supply chain.<o:p></o:p></span></i></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<span style="font-family: "Verdana","sans-serif";">Rationale: Again the rationale is
the slow diffusion of information. For details on this, you may read Menzly and
Ozbas (2004)<o:p></o:p></span></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<br />
<br /></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<i><span style="color: #0070c0; font-family: "Verdana","sans-serif";">H<sub>8</sub>: Mature firms will lead young firms.<o:p></o:p></span></i></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<span style="font-family: "Verdana","sans-serif";">Rationale: Again the rationale is
the slow diffusion of information. Mature firms have more information about
them compared to young firms. <i><span style="color: #0070c0;"><o:p></o:p></span></i></span></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<br /></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<i><span style="color: #0070c0; font-family: "Verdana","sans-serif";">H<sub>9</sub>: Stocks being followed by more analysts tend to
lead stocks with no or less analysts.<o:p></o:p></span></i></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<span style="font-family: "Verdana","sans-serif";">Rationale: Institutional investors
and analysts generate more analaysis and information about the firms in which
they invest. Such firms are expected to have easier price discovery compared to
other firms.<o:p></o:p></span></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<br /></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<span style="font-family: "Verdana","sans-serif";"><b>References:</b><o:p></o:p></span></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<span style="font-family: "Verdana","sans-serif";">Chordia, Tarun, and Bhaskaran
Swaminathan. "Trading volume and cross‐autocorrelations in stock
returns." The Journal of Finance<span style="text-align: start;"> 55.2 (2002): 913-935.</span><o:p></o:p></span></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<span style="font-family: "Verdana","sans-serif";">Hong, H., Lim, T., Stein, J., 2000.
Bad news travels slowly: Size, analyst coverage, and the profitability of momentum
strategies. Journal of Finance 55, 265–295.<o:p></o:p></span></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<span style="font-family: "Verdana","sans-serif";">Hong, H., Stein, J., 1999. A unified
theory of underreaction, momentum trading and overreaction in asset markets.
Journal of Finance 54, 2143–2184.<o:p></o:p></span></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<span style="font-family: "Verdana","sans-serif";">Hong, H., Torous, W., Valkanov, R.,
2002. Do industries lead the stock market? Gradual diffusion of information and
cross-asset return predictability. FEN Working Paper /http://papers.ssrn.com/sol3/papers.cfm?abstract_id=326422S.<o:p></o:p></span></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<span style="font-family: "Verdana","sans-serif";">Merton, R., 1987. A simple model of
capital market equilibrium with incomplete information. Journal of Finance 42,
483–510.<o:p></o:p></span></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<span style="font-family: "Verdana","sans-serif";">Nisbett, R., Ross, L., 1980. Human
Inference: Strategies and Shortcomings of Social Judgment. Prentice-Hall,New
Jersey.<o:p></o:p></span></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<span style="font-family: "Verdana","sans-serif";">Kahneman, D., 1973. Attention and
Effort. Prenctice-Hall, Englewood Cliffs, New Jersey.<o:p></o:p></span></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<span style="font-family: "Verdana","sans-serif";">Menzly, L., Ozbas, O., 2004.
Cross-industry momentum. USC Working Paper.<o:p></o:p></span></div>
<div class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph;">
<br /></div>
</div>
Dr. Attaullah Shah http://www.blogger.com/profile/17969668653375888998noreply@blogger.com3tag:blogger.com,1999:blog-8239361291988646931.post-82149671117561131382013-02-21T10:09:00.005-08:002013-02-25T22:59:15.549-08:00Welcome to OpenDoorsPK Blogging Area<div dir="ltr" style="text-align: left;" trbidi="on">
<div class="separator" style="clear: both; text-align: center;">
</div>
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgYNrJWERK0_SFKa-440lsG4mSrhYbtwhFjwtnI7mMcj6N8GVWqM5FXRyAFQNJ_rmnJxhf5Ya-Ndfz4w8Xpk7nU77n3pjuQtzi5L9dPlsVymVGSP98nWugplWX9mrZlC2MfpBoa4mqJQtM/s1600/wlcome.jpg" imageanchor="1" style="clear: left; float: left; margin-bottom: 1em; margin-right: 1em;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgYNrJWERK0_SFKa-440lsG4mSrhYbtwhFjwtnI7mMcj6N8GVWqM5FXRyAFQNJ_rmnJxhf5Ya-Ndfz4w8Xpk7nU77n3pjuQtzi5L9dPlsVymVGSP98nWugplWX9mrZlC2MfpBoa4mqJQtM/s1600/wlcome.jpg" /></a></div>
<span style="color: #073763;"><span style="font-size: small;"><span style="font-family: Arial,Helvetica,sans-serif;">I though several times to either follow or drop the idea of writing blogs. But ultimately I am here. The readers enthusiasm and response rate have always given me new spirit to delve into uncharted waters. </span></span></span><span style="color: #073763; font-family: Arial, Helvetica, sans-serif;">In my busy schedules, I have to prioritize things. I would like to do the same for this blog as well. I would not waste my and your time in positing good-for-nothing material. </span><span style="color: #073763; font-family: Arial, Helvetica, sans-serif; font-size: small;">Perhaps</span><span style="color: #073763; font-family: Arial, Helvetica, sans-serif;"> it would be more </span><span style="color: #073763; font-family: Arial, Helvetica, sans-serif; font-size: small;">fruitful</span><span style="color: #073763; font-family: Arial, Helvetica, sans-serif;"> if you suggest topics of interest that can touch upon issues in my areas of expertise and at the same time are of interest to readers. </span><span style="color: #073763; font-family: Arial, Helvetica, sans-serif;">Wish you happy reading.s</span><br />
<span style="color: #073763;"><span style="font-size: small;"><span style="font-family: Arial,Helvetica,sans-serif;"><br /></span></span></span>
<span style="color: #073763;"><span style="font-size: small;"><span style="font-family: Arial,Helvetica,sans-serif;">Attaullah Shah</span></span></span></div>
Dr. Attaullah Shah http://www.blogger.com/profile/17969668653375888998noreply@blogger.com9