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- 저자 : Tanzeela YAQOOB (검색결과 2 건)
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Determinants of Pakistan Stock Exchange (PSX) Index Under Optimal Conditions
Tanzeela YAQOOB,Rahat BIBI 한국유통과학회 2021 The Journal of Asian Finance, Economics and Busine Vol.8 No.6
Macroeconomic variables play a significant role in the progress of the emerging economy. In this context this study attempts to obtain the optimal solution of Pakistan Stock Exchange (PSX) by utilizing M2, Gold Prices (per troy ounce) in US dollars, Real Effective Exchange Rate Index, 6 Month Treasury bill, Call Money Rate, Foreign Exchange, Net Foreign Assets, Food Price Inflation, Manufacturing Production and Balance of Trade as principal macroeconomic indicators. To achieve the optimal solution monthly data from June 2006 till November 2016 has been deployed. Exploratory factor analysis (EFA) has been used to extract the factors and these extracted factors were then used in a bi-objective goal programming model to obtain the optimal solution. Additionally, multiple regression analysis has been done to find the relationship of the extracted factors with PSX, and model reliability has been accessed through the coefficient of determination. Results retrieved from EFA suggest two significant factors at a threshold of 0.4. The multiple regression models formed from extracted factors explain more than 90% variation of the factors showing a reliable model. At the last stage, Bi-objective goal programming has been employed to get the optimal solution. It has been observed that extracted factors have successfully achieved the required goals and obtained satisfactory optimal solutions.
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Tanzeela YAQOOB,Javed IQBAL 한국유통과학회 2021 The Journal of Asian Finance, Economics and Busine Vol.8 No.1
This paper investigates the long run hedging ability of precious metals against the risks associated with adverse conditions of economic and financial variables for Pakistan, the USA, China, and India. Monthly data of gold, silver, platinum, stock returns, exchange rate, industrial production, and inflation was collected for the selected economies. Saikkonen and Lutkepohl (2002) unit root test was employed to access the unit root properties of the data series and identify the break dates. Furthermore, this study used the Johansen cointegration test with and without structural breaks to identify the long-run relationship between metals prices and different financial and economic variables. The findings suggest that the time series under study have unit root problem at level with and without structural breaks. Without considering structural breaks, the Johansen trace test indicates that in Pakistan and China, gold, silver, and platinum hold a cointegrating relationship with macroeconomic and financial variables. For the US, gold indicates cointegration which supports the hedging ability of gold against inflation, stock, and industrial production in the long run. The results of the cointegration test after incorporating the structural breaks provide even stronger evidence of the long-run relationship of precious metals and consumer prices, exchange rate, and stock prices.
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