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No.4

The Determinants of Stock Prices in Pakistan


Pages: 276-291
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The Determinants of Stock Prices in Pakistan

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Mehr-un-Nisa,  Mohammad Nishat
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Mehr-un-Nisa,  Mohammad Nishat (2011). The Determinants of Stock Prices in Pakistan. Asian Economic and Financial Review, 1(4): 276-291. DOI:
Stock Investment is always a risky proposition and investors are reluctant to invest in Stock Market. If they came to know about the exact factors influencing the stock prices, they will invest in stocks confidently. This study examines the empirical relationship between the stock prices, financial fundamentals and macroeconomic factors in Karachi Stock Exchange. By applying the dynamic panel Generalized Method of Moments (GMM) technique on the data of 221 firms during 1995-2006, the analysis attempts to obtain efficient parameter estimates and to check the consistency of the link between stock price behavior, company fundamentals and macroeconomic factors. Several studies have been conducted to identify the factors of stock prices for a variety of countries, and the results have been mixed. It is found that previous behavior of stock prices, company size, previous earnings per share are the most important factors. In addition, macroeconomic indicators like, GDP growth, rate of interest and financial depth have significant relationship with the stock prices. Market to book value, share turnover ratio and inflation can also influence the stock price behavior. The corporate reforms of 2002 are responsible of increase in stock prices from 2002 to 2006. Investors in Pakistan have to decide which stock should be purchased. The results of this study will provide guideline to the investors in stock selection. While taking decisions they should take into account company informations as well as macroeconomic situation of the country simultaneously. The companies can set their policies and strategies in the light of relatively important factors, for business survival and success. The possible impact of macroeconomic factors may help the policy makers while setting monetary and fiscal policies.

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Insurance Market Activity and Economic Growth: Evidence from Nigeria


Pages: 245-253
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Insurance Market Activity and Economic Growth: Evidence from Nigeria

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Philip Chimobi Omoke
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Philip Chimobi Omoke(2011). Insurance Market Activity and Economic Growth: Evidence from Nigeria. Asian Economic and Financial Review, 1(4): 245-253. DOI:

The focus of this study is to empirically assess insurance market activities in Nigeria with the view to determining its impact on economic growth. The period of study was 1970- 2008, the study made use of insurance density measures (premium per capita) as a measure for insurance market activity and real GDP for economic growth. It also employed control variables such as inflation and savings rate as other determinants of growth. The Johansen cointegration and vector error correction approach was used to estimate the relationship between the variables. All the variables used were stationary at first difference and the result showed a long term relationship existing among the variables. The hallmark finding of this study is that the insurance sector did not reveal any positively and significant affect on economic growth in Nigeria within the period of study. The result shows a low insurance market activity in Nigeria and that Nigerians have not fully embrace the insurance industry despite its importance to the growth of the economy.


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Vulnerability of Southern Mediterranean Countries to Exogenous Shocks: Structural VAR Approach


Pages: 254-275
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Vulnerability of Southern Mediterranean Countries to Exogenous Shocks: Structural VAR Approach

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Sarra BEN SLIMANE, Moez BEN TAHAR, Zied ZSSID
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Sarra BEN SLIMANE, Moez BEN TAHAR, Zied ZSSID (2011). Vulnerability of Southern Mediterranean Countries to Exogenous Shocks: Structural VAR Approach. Asian Economic and Financial Review, 1(4): 254-275. DOI:

All statistics and empirical studies relating to the Mediterranean region show the irregular fluctuation of the main macroeconomic aggregates.  It is appear that the vulnerability of these countries is largely the result of different range of shocks. Regarding their economic structures, the prospects of growth for Southern Mediterranean countries are largely driven by changes in their external environment. Among the external shocks affecting these countries, we include oil price shocks, terms of trade, the trend of global growth, turmoil in the international financial system, and the crises of international policies (2nd and 3rd war Gulf, event of September 11 ...) and obviously the current global financial crisis. The interest of this work is to determine the various domestic and external shocks affecting the level of economic activity and prices and to identify, later, the main exogenous sources of economic fluctuations in the Southern Mediterranean countries. The sources of fluctuations are determined using a Structural VAR model.


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The Relative Effectiveness of Monetary and Fiscal Policies in Economic Growth: A Case Study of Pakistan


Pages: 236-244
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The Relative Effectiveness of Monetary and Fiscal Policies in Economic Growth: A Case Study of Pakistan

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Tariq Mahmood, Maqbool Hussain Sial
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Tariq Mahmood, Maqbool Hussain Sial (2011). The Relative Effectiveness of Monetary and Fiscal Policies in Economic Growth: A Case Study of Pakistan. Asian Economic and Financial Review, 1(4): 236-244. DOI:

In this study the role of monetary and fiscal policies in economic growth of Pakistan is studied using time series data for the period 1973-2008. The objective of this study is to discover the ways by which fiscal and monetary policies can be established to boost economic growth, highlight present Pakistan fiscal and monetary challenges to discover regions which may yield upgrading to the fiscal and monetary framework and consequently increase employment opportunities and the budget revenues in Pakistan. The augmented Dickey Fuller unit root procedure is used to check the time series properties. The Autoregressive Distributed Lag Model technique is used to find the long-run relationship between fiscal /monetary policy and economic growth. The results show that monetary and fiscal policies both play a significant role in the economic growth of Pakistan. The relationship between GDP and Government Current Expenditure (GCE) is found to be negative while, Currency in Circulation (CIR) and Government Development Expenditure (GDE) affect GDP positively in case of Pakistan.


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Tax Structure and Economic Growth in Cote dIvoire: Are Some Taxes Better Than Others?


Pages: 226-235
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Tax Structure and Economic Growth in Cote dIvoire: Are Some Taxes Better Than Others?

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Yaya KEHO
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Yaya KEHO(2011). Tax Structure and Economic Growth in Cote dIvoire: Are Some Taxes Better Than Others?. Asian Economic and Financial Review, 1(4): 226-235. DOI:

This paper examines the relationships between taxation and output in Côte d’Ivoire during the period 1960-2006. The bounds testing approach to cointegration devised by Pesaran et al. (2001) showed that tax variables, except direct tax, and real GDP are cointegrated and positively related in the long-run. The results of Granger causality tests indicated bidirectional causality between tax revenues and output in the long-run, implying a virtuous circle of tax and GDP. Direct taxes, however, did not cause GDP both in the short and long-run. These findings suggest that i) the tax revenues and, therefore, budget deficit, depend upon the economic activity, and ii) switching the tax burden from direct to indirect taxes is likely to have a positive effect on the economic output.


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An ARDL Analysis Of The Exchange Rates Principal Determinants: ASEAN-5 Aligned with The Yen


Pages: 206-225
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An ARDL Analysis Of The Exchange Rates Principal Determinants: ASEAN-5 Aligned with The Yen

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Abdalrahman AbuDalu, Elsadig Musa Ahmed
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Abdalrahman AbuDalu, Elsadig Musa Ahmed (2011). An ARDL Analysis Of The Exchange Rates Principal Determinants: ASEAN-5 Aligned with The Yen. Asian Economic and Financial Review, 1(4): 206-225. DOI:

This study examines an empirical analysis of long-run and short-run forcing variables of purchasing power parity (PPP) for ASEAN-5 currencies: Malaysian Ringgit, Indonesian Rupiah, the Philippines Peso, Thailand Bath, and Singapore Dollar, against the Japanese Yen, i.e., their real exchange rate (RER). This study uses a recently developed autoregressive distributed lag (ARDL) approach to co-integration (Pesaran et al., 2001) over the period 1991:Q1 – 2006:Q2.  Our empirical results point out that the domestic money supply (M1) is the significant long run forcing variable of PPP for ASEAN-5 RER’s for the study periods.  However, in the short- run the impact of variables have different impact during the sub-periods and full period for ASEAN-5 countries, the results suggest that the domestic money supply (M1) for Malaysia, Indonesia, Philippines ,and Singapore respectively, , have the highest significant short run forcing variable of PPP for countries RER’s. However, foreign interest rates followed by domestic money supply are the short-run forcing variables for Thailand’s RER. This may be due to the peculiarity of Thailand government’s management of the Asian Financial Crisis (AFC).


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The Arabo-Mediterranean momentum strategies


Pages: 198-205
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The Arabo-Mediterranean momentum strategies

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Faten Zoghlami
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Faten Zoghlami(2011). The Arabo-Mediterranean momentum strategies. Asian Economic and Financial Review, 1(4): 198-205. DOI:

This paper documents strong evidence for the robust profitability of the momentum strategies inter and intra five Arabo-Mediterranean stocks’ markets. Between 1998 and 2007 we find that the related stocks’ returns exhibit a strong continuation pattern during a period of about one year. Even after controlling for the country effect, the neutral-country momentum strategies still yield significantly positive payoffs of about 1.88 percent per month. Nevertheless and although the paper gives evidences that the market and the SMB factors account for the profitability of neutral-country momentum strategies’ payoffs, still some significant parts of the excess returns persist puzzling to the conventional asset pricing models.


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