IDEAS home Printed from https://ideas.repec.org/e/c/piq10.html
   My authors  Follow this author

Javed Iqbal

Not to be confused with: Javed Iqbal

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Iqbal, Javed & Farooqi, Faraz Ahmed, 2011. "Stock price reaction to earnings announcement: the case of an emerging market," MPRA Paper 30865, University Library of Munich, Germany, revised 10 May 2011.

    Cited by:

    1. Shabir A A Saleem & Peter N Smith & Abdullah Yalaman, 2021. "Analysis of systematic risk around firm-specific news in an emerging market using high frequency data," CAMA Working Papers 2021-35, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    2. Mustafa K. Yılmaz & Mine Aksoy & Tankut T. Çelik, 2020. "Market reaction to regulatory policy changes in financial statements filings: evidence from Turkey," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 10(4), pages 567-605, December.

  2. Iqbal, Javed, 2011. "Forecasting Performance of Alternative Error Correction Models," MPRA Paper 29826, University Library of Munich, Germany, revised 19 Mar 2011.

    Cited by:

    1. Guo, Zi-Yi, 2017. "Comparison of Error Correction Models and First-Difference Models in CCAR Deposits Modeling," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 17(4).
    2. Nahid Pourrostami & Farhad Taghizadeh-Hesary & Fatemeh Zarezadeh Mehrizi, 2023. "Population aging and working hour impacts on occupational accidents: evidence from Japan," Economic Change and Restructuring, Springer, vol. 56(4), pages 2621-2644, August.

  3. Javed Iqbal & Sara Azher & Ayesha Ijaz, 2010. "Predictive Ability of Value-at-Risk Methods: Evidence from the Karachi Stock Exchange-100 Index," EERI Research Paper Series EERI_RP_2010_18, Economics and Econometrics Research Institute (EERI), Brussels.

    Cited by:

    1. Syed Adeel Hussain, 2013. "Differentiation of Market Risk Characteristics among Sharia Compliant and Conventional Equities listed on the Pakistani Capital Market - KSE 100 Index over a selective time period," 2013 Papers phu395, Job Market Papers.
    2. Sara Azher & Javed Iqbal, 2018. "Testing Conditional Asset Pricing in Pakistan: The Role of Value-at-risk and Illiquidity Factors," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2_suppl), pages 259-281, August.
    3. Amira Akl Ahmed & Doaa Akl Ahmed, 2016. "Modelling Conditional Volatility and Downside Risk for Istanbul Stock Exchange," Working Papers 1028, Economic Research Forum, revised Jul 2016.
    4. Javed Iqbal & Sara Azher, 2014. "Value-at-Risk and Expected Stock Returns: Evidence from Pakistan," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 19(2), pages 71-100, July-Dec.
    5. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, June.
    6. Mirjana Miletić & Siniša Miletić, 2016. "Performance of VaR in Developed and CEE Countries during the Global Financial Crisis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 54-75, March.

  4. Javed Iqbal & Robert Brooks & Don U.A. Galagedera, 2008. "Multivariate tests of asset pricing: Simulation evidence from an emerging market," Monash Econometrics and Business Statistics Working Papers 2/08, Monash University, Department of Econometrics and Business Statistics.

    Cited by:

    1. Ayub, Usman & Shah, Syed Zulfiqar Ali & Abbas, Qaisar, 2015. "Robust analysis for downside risk in portfolio management for a volatile stock market," Economic Modelling, Elsevier, vol. 44(C), pages 86-96.
    2. Tanya Araujo & João Dias & Samuel Eleutério & Francisco Louçã, 2012. "How Fama Went Wrong: Measures of Multivariate Kurtosis for the Identification of the Dynamics of a N-Dimensional Market," Working Papers Department of Economics 2012/21, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    3. Tanya Ara'ujo & Jo~ao Dias & Samuel Eleut'erio & Francisco Louc{c}~a, 2012. "How Fama Went Wrong: Measures of Multivariate Kurtosis for the Identification of the Dynamics of a N-Dimensional Market," Papers 1207.1202, arXiv.org.
    4. Araújo, Tanya & Dias, João & Eleutério, Samuel & Louçã, Francisco, 2013. "A measure of multivariate kurtosis for the identification of the dynamics of a N-dimensional market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(17), pages 3708-3714.
    5. Iqbal, Javed & Brooks, Robert & Galagedera, Don U.A., 2010. "Testing conditional asset pricing models: An emerging market perspective," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 897-918, September.

  5. Javed Iqbal & Robert Brooks & Don U.A. Galagedera, 2008. "Testing Conditional Asset Pricing Models: An Emerging Market Perspective," Monash Econometrics and Business Statistics Working Papers 3/08, Monash University, Department of Econometrics and Business Statistics.

    Cited by:

    1. Wolfgang Bessler & Julian Holler & Philipp Kurmann, 2012. "Hedge funds and optimal asset allocation: Bayesian expectations and spanning tests," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 109-141, March.
    2. Wolff, Dominik & Bessler, Wolfgang & Opfer, Heiko, 2012. "Multi-Asset Portfolio Optimization and Out-of-Sample Performance: An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification Approaches," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62020, Verein für Socialpolitik / German Economic Association.
    3. Tamara Teplova & Evgeniya Shutova, 2011. "A Higher Moment Downside Framework for Conditional and Unconditional Capm in the Russian Stock Market," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 1(2), pages 157-178, December.
    4. Sara Azher & Javed Iqbal, 2018. "Testing Conditional Asset Pricing in Pakistan: The Role of Value-at-risk and Illiquidity Factors," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2_suppl), pages 259-281, August.
    5. Javid, Attiya Yasmin, 2008. "Time Varying Risk Return Relationship: Evidence from Listed Pakistani Firms," MPRA Paper 37561, University Library of Munich, Germany.
    6. Seema REHMAN & Saqib SHARIF & Wali ULLAH, 2021. "Higher Realized Moments and Stock Return Predictability," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 48-70, December.
    7. Varvara Nazarova, 2013. "An Empirical Study of Unsystematic Risk Factors in the Capital Asset Pricing Model: the Case of Russian Forestry Sector," Entrepreneurial Business and Economics Review, Centre for Strategic and International Entrepreneurship at the Cracow University of Economics., vol. 1(4), pages 37-56.
    8. Javid, Attiya Yasmin, 2008. "Forecasting performance of capital asset pricing models in case of Pakistani market," MPRA Paper 37562, University Library of Munich, Germany.
    9. Harris, Richard D.F. & Nguyen, Linh H. & Stoja, Evarist, 2019. "Systematic extreme downside risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 128-142.
    10. Javid, Attiya Yasmin & Ahmad, Eatzaz, 2008. "Testing multifactor capital asset pricing model in case of Pakistani market," MPRA Paper 37341, University Library of Munich, Germany.
    11. Balvers, Ronald J. & Klein, Alina F., 2014. "Currency risk premia and uncovered interest parity in the International CAPM," Journal of International Money and Finance, Elsevier, vol. 41(C), pages 214-230.
    12. Bai, Ye & Green, Christopher J., 2020. "Country and industry factors in tests of Capital Asset Pricing Models for partially integrated emerging markets," Economic Modelling, Elsevier, vol. 92(C), pages 180-194.
    13. Grandes, Martin & Panigo, Demian T. & Pasquini, Ricardo A., 2010. "On the estimation of the cost of equity in Latin America," Emerging Markets Review, Elsevier, vol. 11(4), pages 373-389, December.
    14. González-Sánchez, Mariano, 2022. "Asset pricing models in emerging markets: Factorial approaches vs. information stochastic discount factor," Finance Research Letters, Elsevier, vol. 46(PB).
    15. Seema REHMAN & Saqib SHARIF & Wali ULLAH, 2023. "Relative Signed Jump and Future Stock Returns," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 25-45, March.
    16. Kodongo, Odongo & Ojah, Kalu, 2014. "The conditional pricing of currency and inflation risks in Africa's equity markets," MPRA Paper 56100, University Library of Munich, Germany.
    17. Balakumar, Suganya & Dash, Saumya Ranjan & Maitra, Debasish & Kang, Sang Hoon, 2022. "Do oil price shocks have any implications for stock return momentum?," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 637-663.
    18. Javid, Attiya Yasmin, 2009. "Test of Higher Moment Capital Asset Pricing Model in Case of Pakistani Equity Market," MPRA Paper 38059, University Library of Munich, Germany.
    19. Das, Sudipta, 2015. "Empirical evidence of conditional asset pricing in the Indian stock market," Economic Systems, Elsevier, vol. 39(2), pages 225-239.
    20. Attiya Y. Javid & Eatzaz Ahmad, 2008. "The Conditional Capital Asset Pricing Model: Evidence from Karachi Stock Exchange," PIDE-Working Papers 2008:48, Pakistan Institute of Development Economics.
    21. Kodongo, Odongo & Ojah, Kalu, 2014. "Conditional pricing of currency risk in Africa's equity markets," Emerging Markets Review, Elsevier, vol. 21(C), pages 133-155.
    22. Iqbal, Javed & Brooks, Robert & Galagedera, Don U.A., 2010. "Testing conditional asset pricing models: An emerging market perspective," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 897-918, September.

  6. Iqbal, Javed, 2008. "Stock Market in Pakistan: An Overview," MPRA Paper 11868, University Library of Munich, Germany.

    Cited by:

    1. Azher, Sara & Iqbal, Javed, 2016. "Pricing of foreign exchange risk and market segmentation: Evidence from Pakistan's equity market," Journal of Asian Economics, Elsevier, vol. 43(C), pages 37-48.
    2. Sharif Ullah Jan & Hashim Khan, 2018. "Return Volatility and Macroeconomic Factors: A Comparison of US and Pakistani Firms," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 10(2), pages 1-28, June.
    3. Sara Azher & Javed Iqbal, 2018. "Testing Conditional Asset Pricing in Pakistan: The Role of Value-at-risk and Illiquidity Factors," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2_suppl), pages 259-281, August.
    4. Zohaib Aziz & Javed Iqbal, 2017. "Testing the Dynamic Linkages of the Pakistani Stock Market with Regional and Global Markets," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 22(2), pages 89-116, July-Dec.
    5. Rudra P. Pradhan, 2018. "Development of stock market and economic growth: the G-20 evidence," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 8(2), pages 161-181, August.
    6. Iqbal, Javed & Farooqi, Faraz Ahmed, 2011. "Stock price reaction to earnings announcement: the case of an emerging market," MPRA Paper 30865, University Library of Munich, Germany, revised 10 May 2011.
    7. Javed Iqbal & Sara Azher, 2014. "Value-at-Risk and Expected Stock Returns: Evidence from Pakistan," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 19(2), pages 71-100, July-Dec.
    8. Seema REHMAN & Saqib SHARIF & Wali ULLAH, 2021. "Higher Realized Moments and Stock Return Predictability," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 48-70, December.
    9. Ahmed, Tehseen & Malik, Saif Ullah, 2012. "Determinants of Inflow of Foreign Direct Investment (FDI) into Pakistan," MPRA Paper 54737, University Library of Munich, Germany.
    10. Sohail Ahmad Javeed & Tze San Ong & Rashid Latief & Haslinah Muhamad & Wei Ni Soh, 2021. "Conceptualizing the Moderating Role of CEO Power and Ownership Concentration in the Relationship between Audit Committee and Firm Performance: Empirical Evidence from Pakistan," Sustainability, MDPI, vol. 13(11), pages 1-26, June.
    11. Mohsin Sadaqat & Hilal Anwar Butt, 2017. "Role of Liquidity in Explaining Anomalous Returns: Evidence from Emerging Market," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 9(3), pages 1-35, September.
    12. Halari, Anwar & Tantisantiwong, Nongnuch & Power, David. M. & Helliar, Christine, 2015. "Islamic calendar anomalies: Evidence from Pakistani firm-level data," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 64-73.
    13. Muhammad Kashif & Rana Palwishah & Rizwan Raheem Ahmed & Jolita Vveinhardt & Dalia Streimikiene, 2021. "Do investors herd? An examination of Pakistan stock exchange," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2090-2105, April.

  7. Iqbal, Javed & Brooks, Robert & Galagedera, Don UA, 2007. "Testing Asset Pricing Models in Emerging Markets: An Examination of Higher Order Co-Moments and Alternative Factor Models," MPRA Paper 25020, University Library of Munich, Germany, revised Oct 2007.

    Cited by:

    1. Akbar, Muhammad & Nguyen, Thuy Thu, 2016. "The explanatory power of higher moment capital asset pricing model in the Karachi stock exchange," Research in International Business and Finance, Elsevier, vol. 36(C), pages 241-253.

  8. Iqbal, Javed & Nadeem, Khurram, 2006. "Exploring the causal relationship among social, real, monetary and infrastructure development in Pakistan," MPRA Paper 3267, University Library of Munich, Germany.

    Cited by:

    1. Rudra P. Pradhan & Mak B. Arvin & Neville R. Norman & John H. Hall, 2014. "The dynamics of banking sector and stock market maturity and the performance of Asian economies," Journal of Economic and Administrative Sciences, Emerald Group Publishing Limited, vol. 30(1), pages 16-44, May.
    2. Muhammad Javid, 2019. "Public and Private Infrastructure Investment and Economic Growth in Pakistan: An Aggregate and Disaggregate Analysis," Sustainability, MDPI, vol. 11(12), pages 1-22, June.
    3. P.K. Mishra (b), S.K. Mishra (b) and M.K. Sarangi (b), 2020. "Social Sector Development and Economic Growth in India, 1990-1991 to 2017-2018," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 45(4), pages 49-68, December.

  9. Siddiqui, Amir Hussain & Iqbal, Javed, 2005. "Impact of trade openness on output growth for Pakistan: an empirical investigation," MPRA Paper 23757, University Library of Munich, Germany.

    Cited by:

    1. Shairil Izwan Taasim & Saizal Pinjaman & Aliashim Albani, 2021. "Does Energy Consumption and Trade Openness Contribute to Economic Growth in the East Asian Growth Area?," International Journal of Energy Economics and Policy, Econjournals, vol. 11(2), pages 23-29.
    2. Gulzar Ali & Zhaohua Li, 2017. "An Empirical Investigation on the Role of exports, imports and its Determinants in Foreign Trade of Pakistan," Information Management and Business Review, AMH International, vol. 8(6), pages 39-58.
    3. Faridoon Khan & Amena Urooj & Farman Ullah Khan, 2020. "Factors Affecting Economic Growth: A Comparative Analysis of Democratic and Non-Democratic Eras of Pakistan," iRASD Journal of Economics, International Research Alliance for Sustainable Development (iRASD), vol. 2(2), pages 61-71, December.
    4. Shahbaz, Muhammad, 2012. "Does trade openness affect long run growth? Cointegration, causality and forecast error variance decomposition tests for Pakistan," Economic Modelling, Elsevier, vol. 29(6), pages 2325-2339.
    5. Asma Arif & Hasnat Ahmad, 2012. "Impact of Trade Openness on Output Growth: Co integration and Error Correction Model Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 2(4), pages 379-385.
    6. Amina Shahid, 2019. "Openness, Financial Development and Economic Growth in South Asia," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 8(3), pages 132-139, September.
    7. Siddiqui, Aamir Hussain & Iqbal, Javed, 2010. "Trade Openness and Growth: An Analysis of Transmission Mechanism in Pakistan," MPRA Paper 24534, University Library of Munich, Germany, revised 20 Aug 2010.
    8. Maryiam Haroon, 2017. "Free Trade: Does Myopic Policy Overlook Long-Term Gains?," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 22(2), pages 65-88, July-Dec.
    9. Khan, Rana Ejaz Ali & Sattar, Rashid, 2010. "Trade, Growth and Povety: A Case of Pakistan," MPRA Paper 20904, University Library of Munich, Germany.
    10. Udi Joshua & Oladimeji M. Salami & Andrew A. Alola, 2020. "Toward the path of Economic Expansion in Nigeria: The Role of Trade Globalization," Working Papers of the African Governance and Development Institute. 20/009, African Governance and Development Institute..

  10. Iqbal, Javed & Haider, Aziz, 2005. "Arbitrage pricing theory: evidence from an emerging stock market," MPRA Paper 8699, University Library of Munich, Germany.

    Cited by:

    1. Grace Ofori-Abebrese & Samuel Tawiah Baidoo & Peter Yaw Osei, 2019. "The Effect of Exchange Rate and Interest Rate Volatilities on Stock Prices: Further Empirical Evidence from Ghana," Economics Literature, WERI-World Economic Research Institute, vol. 1(2), pages 117-132, December.

  11. Iqbal, Javed & Tahir, Muhammad & Baig, Mirza Aqeel, 2001. "Aggregate import demand function for Pakistan: a co-integration approach," MPRA Paper 23756, University Library of Munich, Germany.

    Cited by:

    1. Asma Arif & Hasnat Ahmad, 2012. "Impact of Trade Openness on Output Growth: Co integration and Error Correction Model Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 2(4), pages 379-385.

Articles

  1. Sara Azher & Javed Iqbal, 2018. "Testing Conditional Asset Pricing in Pakistan: The Role of Value-at-risk and Illiquidity Factors," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2_suppl), pages 259-281, August.

    Cited by:

    1. Seema REHMAN & Saqib SHARIF & Wali ULLAH, 2021. "Higher Realized Moments and Stock Return Predictability," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 48-70, December.

  2. Zohaib Aziz & Javed Iqbal, 2017. "Testing the Dynamic Linkages of the Pakistani Stock Market with Regional and Global Markets," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 22(2), pages 89-116, July-Dec.

    Cited by:

    1. Ghulam Ghouse & Saud Ahmed Khan & Muhammad Arshad, 2019. "Volatility Modelling and Dynamic Linkages between Pakistani and Leading Foreign Stock Markets: A Multivariate GARCH Analysis," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 58(3), pages 265-282.

  3. Iqbal, Javed, 2017. "Does gold hedge stock market, inflation and exchange rate risks? An econometric investigation," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 1-17.

    Cited by:

    1. Wu, Shan & Tong, Mu & Yang, Zhongyi & Derbali, Abdelkader, 2019. "Does gold or Bitcoin hedge economic policy uncertainty?," Finance Research Letters, Elsevier, vol. 31(C), pages 171-178.
    2. Dimitrios Panagiotou, 2021. "Re-examining the leverage effect and gold’s safe haven properties with the utilization of the implied volatility of gold: a non-parametric quantile regression approach," SN Business & Economics, Springer, vol. 1(7), pages 1-18, July.
    3. Ihsan Erdem Kayral & Ahmed Jeribi & Sahar Loukil, 2023. "Are Bitcoin and Gold a Safe Haven during COVID-19 and the 2022 Russia–Ukraine War?," JRFM, MDPI, vol. 16(4), pages 1-22, April.
    4. Das, Debojyoti & Bhatia, Vaneet & Kumar, Surya Bhushan & Basu, Sankarshan, 2022. "Do precious metals hedge crude oil volatility jumps?," International Review of Financial Analysis, Elsevier, vol. 83(C).
    5. Spyros Papathanasiou & Dimitris Kenourgios & Drosos Koutsokostas & Georgios Pergeris, 2023. "Can treasury inflation-protected securities safeguard investors from outward risk spillovers? A portfolio hedging strategy through the prism of COVID-19," Journal of Asset Management, Palgrave Macmillan, vol. 24(3), pages 198-211, May.
    6. Kang, Sang Hoon & Arreola Hernandez, Jose & Rehman, Mobeen Ur & Shahzad, Syed Jawad Hussain & Yoon, Seong-Min, 2023. "Spillovers and hedging between US equity sectors and gold, oil, islamic stocks and implied volatilities," Resources Policy, Elsevier, vol. 81(C).
    7. Alqaralleh, Huthaifa & Canepa, Alessandra, 2022. "The role of precious metals in portfolio diversification during the Covid19 pandemic: A wavelet-based quantile approach," Resources Policy, Elsevier, vol. 75(C).
    8. Youssef, Manel & Mokni, Khaled, 2021. "Oil-gold nexus: Evidence from regime switching-quantile regression approach," Resources Policy, Elsevier, vol. 73(C).
    9. Adekoya, Oluwasegun B. & Oliyide, Johnson A. & Oduyemi, Gabriel O., 2021. "How COVID-19 upturns the hedging potentials of gold against oil and stock markets risks: Nonlinear evidences through threshold regression and markov-regime switching models," Resources Policy, Elsevier, vol. 70(C).
    10. Tweneboah, George & Owusu Junior, Peterson & Kumah, Seyram Pearl, 2020. "Modelling the asymmetric linkages between spot gold prices and African stocks," Research in International Business and Finance, Elsevier, vol. 54(C).
    11. Yahya, Muhammad & Ghosh, Sajal & Kanjilal, Kakali & Dutta, Anupam & Uddin, Gazi Salah, 2020. "Evaluation of cross-quantile dependence and causality between non-ferrous metals and clean energy indexes," Energy, Elsevier, vol. 202(C).
    12. Jitmaneeroj, Boonlert, 2018. "The effect of the rebalancing horizon on the tradeoff between hedging effectiveness and transaction costs," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 282-298.
    13. Ali, Sajid & Bouri, Elie & Czudaj, Robert Lukas & Shahzad, Syed Jawad Hussain, 2020. "Revisiting the valuable roles of commodities for international stock markets," Resources Policy, Elsevier, vol. 66(C).
    14. Lei Ming & Yao Shen & Shenggang Yang & Sangzhi Zhu & Hong Zhu, 2020. "Does Gold Serve as a Hedge for the Stock Market in China? Evidence from a Time-Frequency Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 56(3), pages 659-672, February.
    15. Sui, Meng & Rengifo, Erick W. & Court, Eduardo, 2021. "Gold, inflation and exchange rate in dollarized economies – A comparative study of Turkey, Peru and the United States," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 82-99.
    16. Syed Jawad Hussain Shahzad & Naveed Raza & David Roubaud & Jose Arreola Hernandez & Stelios Bekiros, 2019. "Gold as Safe Haven for G-7 Stocks and Bonds: A Revisit," Post-Print hal-02352004, HAL.
    17. Alkhazali, Osamah M. & Zoubi, Taisier A., 2020. "Gold and portfolio diversification: A stochastic dominance analysis of the Dow Jones Islamic indices," Pacific-Basin Finance Journal, Elsevier, vol. 60(C).
    18. Perry Sadorsky, 2021. "Predicting Gold and Silver Price Direction Using Tree-Based Classifiers," JRFM, MDPI, vol. 14(5), pages 1-21, April.
    19. Mighri, Zouheir & Ragoubi, Hanen & Sarwar, Suleman & Wang, Yihan, 2022. "Quantile Granger causality between US stock market indices and precious metal prices," Resources Policy, Elsevier, vol. 76(C).
    20. Bisharat Hussain Chang & Suresh Kumar Oad Rajput & Pervez Ahmed & Zafar Hayat, 2020. "Does Gold Act as a Hedge or a Safe Haven? Evidence from Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 59(1), pages 69-80.
    21. Inzamam Ul Haq & Paulo Ferreira & Apichit Maneengam & Worakamol Wisetsri, 2022. "Rare Earth Market, Electric Vehicles and Future Mobility Index: A Time-Frequency Analysis with Portfolio Implications," Risks, MDPI, vol. 10(7), pages 1-20, July.
    22. Dimitriou, Dimitrios & Kenourgios, Dimitris & Simos, Theodore, 2020. "Are there any other safe haven assets? Evidence for “exotic” and alternative assets," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 614-628.
    23. Naveed Raza & Syed Jawad Hussain Shahzad & Muhammad Shahbaz & Aviral kumar Tiwari, 2017. "Modeling the nexus between oil shocks, inflation and commodity prices: Do Asymmetries really matter?," Economics Bulletin, AccessEcon, vol. 37(4), pages 2374-2383.
    24. Ke Chen & Meng Wang, 2017. "Does Gold Act as a Hedge and a Safe Haven for China’s Stock Market?," IJFS, MDPI, vol. 5(3), pages 1-18, August.
    25. Dibooglu, Sel & Cevik, Emrah I. & Gillman, Max, 2022. "Gold, silver, and the US dollar as harbingers of financial calm and distress," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 200-210.
    26. Hussain Shahzad, Syed Jawad & Raza, Naveed & Shahbaz, Muhammad & Ali, Azwadi, 2017. "Dependence of stock markets with gold and bonds under bullish and bearish market states," Resources Policy, Elsevier, vol. 52(C), pages 308-319.
    27. Wang, Kuan-Min & Lee, Yuan-Ming, 2022. "Is gold a safe haven for exchange rate risks? An empirical study of major currency countries," Journal of Multinational Financial Management, Elsevier, vol. 63(C).
    28. Yingying Xu & Zhi‐Xin Liu & Chi‐Wei Su & Jaime Ortiz, 2019. "Gold and inflation: Expected inflation effect or carrying cost effect?," International Finance, Wiley Blackwell, vol. 22(3), pages 380-398, December.
    29. Na Fu & Liyan Geng & Junhai Ma & Xue Ding, 2023. "Price, Complexity, and Mathematical Model," Mathematics, MDPI, vol. 11(13), pages 1-30, June.
    30. Jiang, Yonghong & Fu, Yuyuan & Ruan, Weihua, 2019. "Risk spillovers and portfolio management between precious metal and BRICS stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    31. Elie, Bouri & Naji, Jalkh & Dutta, Anupam & Uddin, Gazi Salah, 2019. "Gold and crude oil as safe-haven assets for clean energy stock indices: Blended copulas approach," Energy, Elsevier, vol. 178(C), pages 544-553.
    32. Abuzayed, Bana & Al-Fayoumi, Nedal & Bouri, Elie, 2020. "Co-movement across european stock and real estate markets," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 189-208.
    33. Umar Aliyu Shuabiu & Mohammed A. M. Usman & Behiye Çavuşoğlu, 2021. "The Nexus among Competitively Valued Exchange Rates, Price Level, and Growth Performance in the Turkish Economy; New Insight from the Global Value Chains," JRFM, MDPI, vol. 14(11), pages 1-19, November.
    34. Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Precious metals, oil, and ASEAN stock markets: From global financial crisis to global health crisis," Resources Policy, Elsevier, vol. 73(C).
    35. Adewuyi, Adeolu O. & Awodumi, Olabanji B. & Abodunde, Temitope T., 2019. "Analysing the gold-stock nexus using VARMA-BEKK-AGARCH and Quantile regression models: New evidence from South Africa and Nigeria," Resources Policy, Elsevier, vol. 61(C), pages 348-362.
    36. Golitsis, Petros & Gkasis, Pavlos & Bellos, Sotirios K., 2022. "Dynamic spillovers and linkages between gold, crude oil, S&P 500, and other economic and financial variables. Evidence from the USA," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    37. Rizwan Ali & Inayat Ullah Mangla & Ramiz Ur Rehman & Wuzhao Xue & Muhammad Akram Naseem & Muhammad Ishfaq Ahmad, 2020. "Exchange Rate, Gold Price, and Stock Market Nexus: A Quantile Regression Approach," Risks, MDPI, vol. 8(3), pages 1-16, August.
    38. Mensi, Walid & Ali, Syed Riaz Mahmood & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Multiscale dependence, spillovers, and connectedness between precious metals and currency markets: A hedge and safe-haven analysis," Resources Policy, Elsevier, vol. 77(C).
    39. Lei Ming & Xinran Zhang & Qianqiu Liu & Shenggang Yang, 2020. "A revisit to the hedge and safe haven properties of gold: New evidence from China," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(9), pages 1442-1456, September.
    40. Huang, Xiaoyong & Jia, Fei & Xu, Xiangyun & Yu shi,, 2019. "The threshold effect of market sentiment and inflation expectations on gold price," Resources Policy, Elsevier, vol. 62(C), pages 77-83.
    41. Das, Debojyoti & Le Roux, Corlise Liesl & Jana, R.K. & Dutta, Anupam, 2020. "Does Bitcoin hedge crude oil implied volatility and structural shocks? A comparison with gold, commodity and the US Dollar," Finance Research Letters, Elsevier, vol. 36(C).
    42. Mohamed Arbi Madani & Zied Ftiti, 2019. "The Generalisation of the DMCA Coefficient to Serve Distinguishing Between Hedge and Safe Haven Capabilities of the Gold," Papers 1912.12590, arXiv.org.
    43. Raheem, Ibrahim D., 2021. "COVID-19 pandemic and the safe haven property of Bitcoin," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 370-375.
    44. Mohammad Enamul Hoque & Sourav Batabyal, 2022. "Carbon Futures and Clean Energy Stocks: Do They Hedge or Safe Haven against the Climate Policy Uncertainty?," JRFM, MDPI, vol. 15(9), pages 1-11, September.
    45. Syed Abul, Basher & Perry, Sadorsky, 2022. "Forecasting Bitcoin price direction with random forests: How important are interest rates, inflation, and market volatility?," MPRA Paper 113293, University Library of Munich, Germany.
    46. Mohamed Arbi Madani & Zied Ftiti, 2022. "Is gold a hedge or safe haven against oil and currency market movements? A revisit using multifractal approach," Annals of Operations Research, Springer, vol. 313(1), pages 367-400, June.
    47. Zhang, Yulian & Hamori, Shigeyuki, 2022. "A connectedness analysis among BRICS’s geopolitical risks and the US macroeconomy," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 182-203.
    48. Văn, Lê & Bảo, Nguyễn Khắc Quốc, 2022. "The relationship between global stock and precious metals under Covid-19 and happiness perspectives," Resources Policy, Elsevier, vol. 77(C).
    49. Rupel Nargunam & William W. S. Wei & N. Anuradha, 2021. "Investigating seasonality, policy intervention and forecasting in the Indian gold futures market: a comparison based on modeling non-constant variance using two different methods," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-15, December.
    50. Awatef Ourir & Elie Bouri & Essahbi Essaadi, 2021. "Hedging the Risks of MENA Stock Markets with Gold: Evidence from the Spectral Approach," Working Papers 1511, Economic Research Forum, revised 20 Nov 2021.
    51. Beatriz de la Flor & Javier Ojea-Ferreiro & Eva Ferreira, 2022. "The Hedging Cost of Forgetting the Exchange Rate," Documentos de Trabajo del ICAE 2022-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    52. Al-Yahyaee, Khamis Hamed & Mensi, Walid & Maitra, Debasish & Al-Jarrah, Idries Mohammad Wanas, 2019. "Portfolio management and dependencies among precious metal markets: Evidence from a Copula quantile-on-quantile approach," Resources Policy, Elsevier, vol. 64(C).
    53. Naeem, Muhammad Abubakr & Qureshi, Fiza & Arif, Muhammad & Balli, Faruk, 2021. "Asymmetric relationship between gold and Islamic stocks in bearish, normal and bullish market conditions," Resources Policy, Elsevier, vol. 72(C).
    54. Qin, Meng & Su, Chi-Wei & Tao, Ran & Umar, Muhammad, 2020. "Is factionalism a push for gold price?," Resources Policy, Elsevier, vol. 67(C).
    55. Kuan-Min Wang & Thanh-Binh Nguyen Thi & Yuan-Ming Lee, 2021. "Is gold a safe haven for the dynamic risk of foreign exchange?," Future Business Journal, Springer, vol. 7(1), pages 1-17, December.
    56. Salisu, Afees & Raheem, Ibrahim & Vo, Xuan, 2021. "Assessing the safe haven property of the gold market during COVID-19 pandemic," MPRA Paper 105353, University Library of Munich, Germany.
    57. Belma Öztürkkal & Aslı Togan-Eğrican, 2020. "Art investment: hedging or safe haven through financial crises," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 44(3), pages 481-529, September.
    58. Valadkhani, Abbas & Nguyen, Jeremy & Chiah, Mardy, 2022. "When is gold an effective hedge against inflation?," Resources Policy, Elsevier, vol. 79(C).
    59. Hassan Heidari & Arash Refah Kahriz & Yousef Mohammadzadeh, 2019. "Stock market behavior of pharmaceutical industry in Iran and macroeconomic factors," Economic Change and Restructuring, Springer, vol. 52(3), pages 255-277, August.
    60. Ahmad, Wasim & Sadorsky, Perry & Sharma, Amit, 2018. "Optimal hedge ratios for clean energy equities," Economic Modelling, Elsevier, vol. 72(C), pages 278-295.
    61. Liu, Min & Lee, Chien-Chiang, 2022. "Is gold a long-run hedge, diversifier, or safe haven for oil? Empirical evidence based on DCC-MIDAS," Resources Policy, Elsevier, vol. 76(C).

  4. Javed Iqbal & Sara Azher, 2014. "Value-at-Risk and Expected Stock Returns: Evidence from Pakistan," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 19(2), pages 71-100, July-Dec.

    Cited by:

    1. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, June.
    2. Davallou , Maryam & Sadrynia , Mostafa, 2016. "The Impact of Asymmetric Risk on Expected Return," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 11(1), pages 1-13, January.
    3. Muhammad Adnan Arshad & Saira Munir & Bashir Ahmad & Muhammad Waseem, 2019. "Do factors matter for predicting high-risk stock returns? Comparison of single-, three- and five-factor CAPM," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 1-16, June.

  5. Javed Iqbal, 2012. "Stock Market in Pakistan," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 11(1), pages 61-91, April.

    Cited by:

    1. Azher, Sara & Iqbal, Javed, 2016. "Pricing of foreign exchange risk and market segmentation: Evidence from Pakistan's equity market," Journal of Asian Economics, Elsevier, vol. 43(C), pages 37-48.
    2. Liu, Kun & Gao, Feng, 2017. "Scenario adjustable scheduling model with robust constraints for energy intensive corporate microgrid with wind power," Renewable Energy, Elsevier, vol. 113(C), pages 1-10.
    3. Huang, Lu & Liu, Yizao, 2014. "The Dynamics of Brand Value in the Carbonated Soft Drinks Industry," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 172389, Agricultural and Applied Economics Association.
    4. Sharif Ullah Jan & Hashim Khan, 2018. "Return Volatility and Macroeconomic Factors: A Comparison of US and Pakistani Firms," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 10(2), pages 1-28, June.
    5. Sara Azher & Javed Iqbal, 2018. "Testing Conditional Asset Pricing in Pakistan: The Role of Value-at-risk and Illiquidity Factors," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2_suppl), pages 259-281, August.
    6. Zohaib Aziz & Javed Iqbal, 2017. "Testing the Dynamic Linkages of the Pakistani Stock Market with Regional and Global Markets," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 22(2), pages 89-116, July-Dec.
    7. Filzen, Joshua J. & Schutte, Maria Gabriela, 2017. "Comovement, financial reporting complexity, and information markets: Evidence from the effect of changes in 10-Q lengths on internet search volumes and peer correlations," The North American Journal of Economics and Finance, Elsevier, vol. 39(C), pages 19-37.
    8. Rudra P. Pradhan, 2018. "Development of stock market and economic growth: the G-20 evidence," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 8(2), pages 161-181, August.
    9. Yusuf, Fatima & Yousaf, Amna & Saeed, Abubakr, 2018. "Rethinking agency theory in developing countries: A case study of Pakistan," Accounting forum, Elsevier, vol. 42(4), pages 281-292.
    10. Javed Iqbal & Sara Azher, 2014. "Value-at-Risk and Expected Stock Returns: Evidence from Pakistan," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 19(2), pages 71-100, July-Dec.
    11. Cline, Brandon N. & Garner, Jacqueline L. & Yore, Adam S., 2014. "Exploitation of the internal capital market and the avoidance of outside monitoring," Journal of Corporate Finance, Elsevier, vol. 25(C), pages 234-250.
    12. Iqbal, Javed, 2017. "Does gold hedge stock market, inflation and exchange rate risks? An econometric investigation," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 1-17.
    13. Tariq, Yasir Bin & Abbas, Zaheer, 2013. "Compliance and multidimensional firm performance: Evaluating the efficacy of rule-based code of corporate governance," Economic Modelling, Elsevier, vol. 35(C), pages 565-575.
    14. Seema REHMAN & Saqib SHARIF & Wali ULLAH, 2021. "Higher Realized Moments and Stock Return Predictability," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 48-70, December.
    15. Ahmed, Tehseen & Malik, Saif Ullah, 2012. "Determinants of Inflow of Foreign Direct Investment (FDI) into Pakistan," MPRA Paper 54737, University Library of Munich, Germany.
    16. Ahmed Imran Hunjra & Tahar Tayachi & Muhammad Irfan Chani & Peter Verhoeven & Asad Mehmood, 2020. "The Moderating Effect of Institutional Quality on the Financial Development and Environmental Quality Nexus," Sustainability, MDPI, vol. 12(9), pages 1-13, May.
    17. Raza, Syed Ali & Jawaid, Syed Tehseen & Afshan, Sahar, 2013. "Is Stock Market Sensitive to Foreign Capital Inflows and Economic Growth? Evidence from Pakistan," MPRA Paper 48399, University Library of Munich, Germany.
    18. Sohail Ahmad Javeed & Tze San Ong & Rashid Latief & Haslinah Muhamad & Wei Ni Soh, 2021. "Conceptualizing the Moderating Role of CEO Power and Ownership Concentration in the Relationship between Audit Committee and Firm Performance: Empirical Evidence from Pakistan," Sustainability, MDPI, vol. 13(11), pages 1-26, June.
    19. Henry Lam & Zhenming Liu, 2014. "From Black-Scholes to Online Learning: Dynamic Hedging under Adversarial Environments," Papers 1406.6084, arXiv.org.
    20. GIRI A. K. & JOSHI Pooja, 2017. "The Impact Of Macroeconomic Indicators On Indian Stock Prices: An Empirical Analysis," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 12(1), pages 61-78, April.
    21. Liu, Kun & Guan, Xiaohong & Gao, Feng & Zhai, Qiaozhu & Wu, Jiang, 2015. "Self-balancing robust scheduling with flexible batch loads for energy intensive corporate microgrid," Applied Energy, Elsevier, vol. 159(C), pages 391-400.
    22. Mohsin Sadaqat & Hilal Anwar Butt, 2017. "Role of Liquidity in Explaining Anomalous Returns: Evidence from Emerging Market," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 9(3), pages 1-35, September.
    23. Ali Fayyaz Munir & Mohd Edil Abd. Sukor & Shahrin Saaid Shaharuddin, 2022. "Adaptive Market Hypothesis and Time-varying Contrarian Effect: Evidence From Emerging Stock Markets of South Asia," SAGE Open, , vol. 12(1), pages 21582440211, January.
    24. Bekhet, Hussain Ali & Al-Smadi, Raed Walid, 2015. "Determinants of Jordanian foreign direct investment inflows: Bounds testing approach," Economic Modelling, Elsevier, vol. 46(C), pages 27-35.
    25. David Umoru & Gladys A. Nwokoye, 2018. "FAVAR Analysis of Foreign Investment with Capital Market Predictors: Evidence on Nigerian and Selected African Stock Exchanges," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 4(1), pages 12-20, March.
    26. Muhammad Saeed & Ijaz Ahmad & Muhammad Ahmad Usman, 2021. "Do the stocks' returns and volatility matter under the COVID-19 pandemic? A Case Study of Pakistan Stock Exchange," iRASD Journal of Economics, International Research Alliance for Sustainable Development (iRASD), vol. 3(1), pages 13-26, june.
    27. Halari, Anwar & Tantisantiwong, Nongnuch & Power, David. M. & Helliar, Christine, 2015. "Islamic calendar anomalies: Evidence from Pakistani firm-level data," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 64-73.
    28. Muhammad Kashif & Rana Palwishah & Rizwan Raheem Ahmed & Jolita Vveinhardt & Dalia Streimikiene, 2021. "Do investors herd? An examination of Pakistan stock exchange," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2090-2105, April.
    29. Gbenga Festus Babarinde, 2020. "The Role of Foreign Direct Investment in Stock Market Development in Nigeria: A Test of Complementarity," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 12(2), pages 175-187, December.
    30. Aastha Khera & Neelam Dhanda, 2020. "Empirical Relationship between Macroeconomic Variables and Stock Prices of Indian Banking Sector: A Vector Error Correction Model Approach," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 12(2), pages 189-198, December.

  6. Iqbal, Javed & Brooks, Robert & Galagedera, Don U.A., 2010. "Testing conditional asset pricing models: An emerging market perspective," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 897-918, September.
    See citations under working paper version above.
  7. Iqbal, Javed & Brooks, Robert, 2007. "Alternative beta risk estimators and asset pricing tests in emerging markets: The case of Pakistan," Journal of Multinational Financial Management, Elsevier, vol. 17(1), pages 75-93, February.

    Cited by:

    1. Hearn, Bruce, 2010. "Time varying size and liquidity effects in South Asian equity markets: A study of blue-chip industry stocks," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 242-257, September.
    2. Akbar, Muhammad & Nguyen, Thuy Thu, 2016. "The explanatory power of higher moment capital asset pricing model in the Karachi stock exchange," Research in International Business and Finance, Elsevier, vol. 36(C), pages 241-253.
    3. Fahad Ali & RongRong He & YueXiang Jiang, 2018. "Size, Value and Business Cycle Variables. The Three-Factor Model and Future Economic Growth: Evidence from an Emerging Market," Economies, MDPI, vol. 6(1), pages 1-24, February.
    4. Sara Azher & Javed Iqbal, 2018. "Testing Conditional Asset Pricing in Pakistan: The Role of Value-at-risk and Illiquidity Factors," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2_suppl), pages 259-281, August.
    5. Javid, Attiya Yasmin, 2008. "Time Varying Risk Return Relationship: Evidence from Listed Pakistani Firms," MPRA Paper 37561, University Library of Munich, Germany.
    6. Nadia Loukil & Mohamed Bechir Zayani & Abdelwahed Omri, 2010. "Impact of liquidity on stock returns: an empirical investigation of the Tunisian stock market," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 3(2), pages 261-283.
    7. Hafiz Muhammad Zia ul haq & Muhammad Sohail Shafiq & Muhammad Kashif & Saba Ameer, 2020. "Determining Force behind Value Premium: The Case of Financial Leverage and Operating Leverage," JRFM, MDPI, vol. 13(9), pages 1-15, September.
    8. Alper, C. Emre & Ardic, Oya Pinar & Fendoglu, Salih, 2007. "The Economics of Uncovered Interest Parity Condition for Emerging Markets: A Survey," MPRA Paper 4079, University Library of Munich, Germany.
    9. Habib Hasnaoui, 2014. "Alternative Beta Risk Estimators in Emerging Markets: The Case of Tunisia," International Journal of Empirical Finance, Research Academy of Social Sciences, vol. 2(2), pages 96-105.
    10. Iqbal, Javed & Brooks, Robert & Galagedera, Don UA, 2007. "Testing Asset Pricing Models in Emerging Markets: An Examination of Higher Order Co-Moments and Alternative Factor Models," MPRA Paper 25020, University Library of Munich, Germany, revised Oct 2007.
    11. Iqbal, Javed & Brooks, Robert & Galagedera, Don UA, 2007. "Robust Tests of the Lower Partial Moment Asset Pricing Model in Emerging Markets," MPRA Paper 25349, University Library of Munich, Germany, revised May 2007.
    12. Syed Aziz Rasool & Adiqa Kausar Kiani & Noor Jehan, 2018. "The Myth of Downside Risk Based Capital Asset Pricing Model: Empirical Evidence from South Asian Countries," Global Social Sciences Review, Humanity Only, vol. 3(3), pages 265-280, September.
    13. Attiya Y. Javid & Eatzaz Ahmad, 2008. "The Conditional Capital Asset Pricing Model: Evidence from Karachi Stock Exchange," PIDE-Working Papers 2008:48, Pakistan Institute of Development Economics.
    14. Mohamed Ahmed Shaker & Khairy Elgiziry, 2014. "Comparisons of Asset Pricing Models in the Egyptian Stock Market," Accounting and Finance Research, Sciedu Press, vol. 3(4), pages 1-24, August.

  8. Javed Iqbal & Aziz Haider, 2005. "Arbitrage Pricing Theory: Evidence From An Emerging Stock Market," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 10(1), pages 123-139, Jan-Jun.
    See citations under working paper version above.

Chapters

    Sorry, no citations of chapters recorded.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.