Macroeconomic
Uncertainty of the 1990s and Volatility at Karachi Stock
Exchange --Dawood
Mamoon and Eatzaz Ahmad
This
paper examines the short- to medium-term trends and volatility
in Karachi Stock Exchange (KSE) and further explores the
nature of relationship between stock market activities
and a set of macroeconomic variables in the 1990s. The
analysis is based on daily and monthly data on general
stock price index and trading volume and monthly data
on interbank call rate, wholesale price index, quantum
index of manufacturing sector's output and monetary aggregate
M2, and it covers the period from January 1992 to June
1999. This paper finds that in the 1990s, the stock market
of Karachi had become more volatile both on short-term
(daily) and medium-term (monthly) basis. Furthermore,
strong volatility inertia was present in stock price index,
trading volume, wholesale price index, manufacturing output
and money supply. It also finds that there is no systematic
relation between stock price volatility and real or nominal
macroeconomic volatility. Likewise, for the sample period,
a volatile trading volume was neither due to a volatile
stock price nor due to the fluctuations and shocks taking
place in the economy.
©
2008 The Icfai University Press. All Rights Reserved.
Trends,
Behavioral Patterns and Growth Implications of Foreign
Private Capital Flows in Nigeria --Risikat
Oladoyin S Dauda
This
paper is a contribution to the often-debated role of foreign
capital flows into economies of developing countries.
This paper examines the magnitude and impact of foreign
private capital flows on economic performance in Nigeria.
Previous theoretical and empirical studies on this issue
provided conflicting results. Secondary data on some relevant
financial and macroeconomic indicators were collected
from 1986 to 2006. Descriptive statistics, Pairwise Granger-Causality
test and Ordinary Least Squares (OLS) regressions were
used to analyze the interaction between indices like the
degree of openness, domestic investment, portfolio equity
investment, Foreign Direct Investment (FDI), and economic
growth. The study found out that the economy is largely
driven by domestic investment. Also, there is a positive
relationship between index of openness, foreign private
capital flow, proxied by FDI and equity or portfolio investment
and GDP during the period under review. The major policy
recommendation that emerges from this study is the need
to put in place the policies that would promote stable
and conducive macroeconomic environment, which would encourage
foreign capital inflows into the economy of Nigeria.
©
2008 The Icfai University Press. All Rights Reserved.
Return
Distributions: Evidence from Emerging African Stock Exchanges
--Subadar
Agathee Ushad, Sooraj Fowdar, Sannassee Raja Vinesh and
Moushumi Jowaheer
This
paper provides an analysis of return distribution properties
in the presence of non-normality of returns. Using secondary
data, the study examines the behavior of returns in the
emerging African Stock Exchanges, such as Botswana, Ghana,
Mauritius, Nigeria and South Africa for the period 1998
to 2003. The statistical results show non-normality in
the return series for African markets. Also, the findings
show that mean returns from all the five emerging African
markets are higher than the returns for the developed
markets. Nearly all markets have positive excess kurtosis,
which is consistent with the stylized fact of `fat tails'
in equity returns. Furthermore, while the return series
of African markets follow a non-normal distribution, developed
markets closely approximate the normal distribution.
©
2008 The Icfai University Press. All Rights Reserved.
Association
Between Stock Market Liquidity and Some Selected Macroeconomic
Variables: A Case Study on Indian Stock Market --Som
Sankar Sen and Santanu Kumar Ghosh
This
paper attempts to empirically study the relationship between
Index of Industrial Production, Consumer Price Index,
Exchange Rate of Indian Rupee against the US Dollar, Gold
price and Money Supply with the Stock Market Liquidity.
Using two widely used proxies to liquidity that is Turnover
Ratio and Amivest Liquidity Ratio and applying long-run
static model and Error Correction Model, the paper establishes
significant relationship between Stock Market Liquidity
and the selected macroeconomic variables. Moreover, the
joint positive effect of macroeconomic variables has also
been established with the help of the Principal Component
Analysis.
©
2008 The Icfai University Press. All Rights Reserved.
Long
Memory of the Indian Stock Market --Ashutosh
Verma
The
weak form of efficient market hypothesis states that the
share prices neither have a long memory nor a short memory.
Long memory is characterized by non-periodic dependence
in a financial time series over a long span of time. This
paper examines the long memory of the Indian stock market
by examining the daily returns of 60 companies with around
62% of the total market capitalization over a period of
five years. The test applied to examine the long memory
is Lo's modified rescaled long range (R/S) test, which
is able to derive variance of the time series with a consistent
estimate. This test is an improvement over the classical
rescaled long range test and is not sensitive to short-term
dependence. The results of the study indicate that the
returns of only three companies exhibit long-range dependence.
The computed test statistics for all other companies were
found to be insignificant and showed the absence of long
memory, supporting the weak form efficiency of the market.
©
2008 The Icfai University Press. All Rights Reserved.
Position
of Foreign Direct Investment in India --Komal
Narang and Ravi Inder Singh
In
the era of globalization, Foreign Direct Investment (FDI)
plays an important role in the development of both developing
as well as underdeveloped economies. Foreign Direct Investment
(FDI) provides a number of benefits like introduction
of new products, new skills, easy approachable markets
and modern technology to the host countries. India is
playing a very important role in the encouragement of
foreign and overseas investors and their investments.
India is being ranked as the second most favored destination
for foreign investments after China by showing a growth
of 184% in the year 2006-07. This paper examines the position
of FDI in India. The importance of examining the position
of FDI in India at this stage is perhaps more urgent in
view of the shooting up of the stock exchange index over
the last one and half years.
©
2008 The Icfai University Press. all Rights reserved.
