Pakistan Journal of Applied Economics

Number 2, 2014

121-142
Investors’ Behavior and Futures Markets: A Dynamic CAPM Augmented GJR-GARCH Process Approach with Non-Normal Distribution

Authors: Imran Riaz MALIK* and Attaullah SHAH*

Abstract

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During the market turmoil, and later in the year 2008, the Securities and Exchange Commission of Pakistan (SECP) decided to discontinue the trading in single stock futures (SSFs) at the Karachi Stock Exchange (KSE). On 27th July 2009, trading in SSFs were re-launched in those stocks which passed the stringent criteria set by the SECP. While the overall market is in a transitional stage, there is a need to assess this new situation in order to improve and regulate the available futures contracts, as well as, the upcoming options contracts. In this vein, this study attempts to investigate the impact of parallel SSFs markets on the underlying spot market by examining whether the introduction of futures has played a role in destabilizing the market. The results suggest an insignificant change in coefficients used to gauge the market inefficiencies, feedback trading, trading volume, and volatility. This may imply that stringent contract specifications have helped to mitigate the potential destabilizing ability of SSFs.

143-157
Poverty Reduction in Pakistan: the Role of Agricultural and Industrial Subsector’s Growth

Authors: Sadia ABBAS,* M. Masood AZEEM,** Khuda BAKHSH,* Alvina FATIMA* and Abdus SAMIE*

Abstract

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Number of views: 423

The purpose of this study is to estimate poverty reducing impacts of growth on agricultural and industrial subsectors of Pakistan. Autoregressive Distributed Lag (ARDL) approach, to co-integration and Error Correction model (ECM) are applied to estimate the long-and short-run impacts on poverty reduction. The study uses the time series data from 1950 to 2010. The findings indicate that growth in minor crops leads to poverty reduction, both in short-and long-run. However, growth in major crops and livestock subsectors does not reduce poverty in the long-run. In the industrial sector, Mining and Quarrying (MQ) and the manufacturing subsectors reduce poverty, both in short-run and long-run. It is recommended that anti-poverty interventions should be prioritized for subsectors where poverty can be reduced, both in short-and long–run, such as, minor-crops subsector.

159-177
Some Price and Non-Price Factors Affecting Imports in Pakistan

Authors: Muhammad Shahid HASSAN,* Ayesha WAJID,* Qazi Muhammad IRFAN,* Muhammad Naveed TAHIR,* and Noman ARSHED* READ MORE

Abstract

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Number of views: 379

This study explores the price and non-price factors which affect the real imports in Pakistan. It considers the Bounds Testing Approach to investigate co-integration between the real imports and its factors in the long-run; and the Error Correction Model based on Bounds Testing Approach in order to find the impact of price and non-price factors on imports in the short-run, respectively. The findings reveal that real exchange rate per capita GDP, rural population, urban population, and money supply are among important factors which significantly accelerate the real imports in Pakistan, whereas, the domestic inflation have found to be depressing force for real imports. Moreover; the coefficients of factors of real imports were to be structurally stable for the selected sample period. Finally, the study suggests that it may not be appropriate to use the exchange rate policy from the perspective of imports to improve trade balance in Pakistan.

179-194
An Aggregate Model of Social Capital and Household Welfare in Pakistan

Authors: Nuzhat AHMAD,* Mahpara SADAQAT** and Nighat Bilgrami-JAFFERY**

Abstract

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Number of views: 359

The research has been undertaken on social capital with reference to developing countries context like Pakistan, and focuses on how the existence of social capital can lead to welfare of the households and their development. A social capital index is developed which is based on household level data collected across socioeconomic clusters, in and around the cities of Karachi, Lahore and Quetta. The relationship between the Social Capital Index and household welfare are analyzed in detail. The major results indicate that social capital together as in an additive sense represented by the social capital index has impact on welfare of the households. Heterogeneity of social capital as measured by the Heterogeneity Index (showing differences in income, ethnicity, kin and religion) shows that the households do not benefit much from being members of associations or organizations which are homogeneous in terms of their own characteristics. The study also highlights the urban rural differences. The results also indicate that social capital does not impact through human capital as represented by education but significantly impacts household welfare separately. The results of the study point to some useful policy implications. They throw light on how households can improve their welfare through associations and interactions with others. The results of the research may be useful in highlighting how the government can better target programs for development of social capital in the country.