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Javed Iqbal

Personal Details

First Name:Javed
Middle Name:
Last Name:Iqbal
Suffix:
RePEc Short-ID:piq10
Department of Statistics, University of Karachi, University Road, Karachi
Terminal Degree:2008 Department of Econometrics and Business Statistics; Monash Business School; Monash University (from RePEc Genealogy)

Affiliation

Department of Statistics, University of Karachi (Department of Statistics, University of Karachi)

http://uok.edu.pk/faculties/statistics/index.php
Pakistan, Karachi

Research output

as
Jump to: Working papers Articles

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.
  2. Iqbal, Javed, 2011. "Forecasting Performance of Alternative Error Correction Models," MPRA Paper 29826, University Library of Munich, Germany, revised 19 Mar 2011.
  3. Iqbal, Javed & Azher, Sara & Ijza, Ayesha, 2010. "Predictive ability of Value-at-Risk methods: evidence from the Karachi Stock Exchange-100 Index," MPRA Paper 23752, University Library of Munich, Germany.
  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.
  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.
  6. Iqbal, Javed, 2008. "Stock Market in Pakistan: An Overview," MPRA Paper 11868, University Library of Munich, Germany.
  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.
  8. Iqbal, Javed & Rawish, Abbas, 2007. "Market for statisticians in developing economies: The case study of Pakistan’s corporate sector," MPRA Paper 3266, University Library of Munich, Germany, revised 2006.
  9. 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.
  10. 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.
  11. 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.
  12. Iqbal, Javed & Haider, Aziz, 2005. "Arbitrage pricing theory: evidence from an emerging stock market," MPRA Paper 8699, University Library of Munich, Germany.
  13. Iqbal, Javed, 2001. "Forecasting methods: a comparative analysis," MPRA Paper 23856, University Library of Munich, Germany, revised 2001.
  14. 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.

Articles

  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. Javed Iqbal & Robert Brooks & Don Galagedera, 2010. "Multivariate tests of asset pricing: simulation evidence from an emerging market," Applied Financial Economics, Taylor & Francis Journals, vol. 20(5), pages 381-395.
  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.
  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.
  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.

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, 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, ZBW - German National Library of Economics.

  2. Iqbal, Javed & Azher, Sara & Ijza, Ayesha, 2010. "Predictive ability of Value-at-Risk methods: evidence from the Karachi Stock Exchange-100 Index," MPRA Paper 23752, University Library of Munich, Germany.

    Cited by:

    1. 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.
    2. 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.
    3. 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.

  3. 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.

  4. 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," 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. Javid, Attiya Yasmin, 2008. "Time Varying Risk Return Relationship: Evidence from Listed Pakistani Firms," MPRA Paper 37561, University Library of Munich, Germany.
    5. 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 of the Faculty of Economics and International Relations at the Cracow University of Economics., vol. 1(4), pages 37-56.
    6. Javid, Attiya Yasmin, 2008. "Forecasting performance of capital asset pricing models in case of Pakistani market," MPRA Paper 37562, University Library of Munich, Germany.
    7. 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.
    8. 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.
    9. 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.
    10. 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.
    11. 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.
    12. Das, Sudipta, 2015. "Empirical evidence of conditional asset pricing in the Indian stock market," Economic Systems, Elsevier, vol. 39(2), pages 225-239.
    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. 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.
    15. 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. Iqbal, Javed, 2008. "Stock Market in Pakistan: An Overview," MPRA Paper 11868, University Library of Munich, Germany.

    Cited by:

    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.
    2. 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.
    3. Ahmed, Tehseen & Malik, Saif Ullah, 2012. "Determinants of Inflow of Foreign Direct Investment (FDI) into Pakistan," MPRA Paper 54737, University Library of Munich, Germany.

  6. 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.

  7. 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: Time series evidence," Journal of Economic and Administrative Sciences, Emerald Group Publishing, vol. 30(1), pages 16-44, May.

  8. 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. 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.
    2. 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.
    3. 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.
    4. Khan, Rana Ejaz Ali & Sattar, Rashid, 2010. "Trade, Growth and Povety: A Case of Pakistan," MPRA Paper 20904, University Library of Munich, Germany.

  9. 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. 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. 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.
    2. Ke Chen & Meng Wang, 2017. "Does Gold Act as a Hedge and a Safe Haven for China’s Stock Market?," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 5(3), pages 1-18, August.
    3. 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.

  2. 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. 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.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    6. Francis, Bill B. & Hasan, Iftekhar & Kostova, Gergana L., 2016. "When do peers matter?: A cross-country perspective," Journal of International Money and Finance, Elsevier, vol. 69(C), pages 364-389.
    7. Henry Lam & Zhenming Liu, 2014. "From Black-Scholes to Online Learning: Dynamic Hedging under Adversarial Environments," Papers 1406.6084, arXiv.org.
    8. 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.

  3. Javed Iqbal & Robert Brooks & Don Galagedera, 2010. "Multivariate tests of asset pricing: simulation evidence from an emerging market," Applied Financial Economics, Taylor & Francis Journals, vol. 20(5), pages 381-395.
    See citations under working paper version above.
  4. 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.
  5. 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, Open Access Journal, vol. 6(1), pages 1-24, February.
    4. Javid, Attiya Yasmin, 2008. "Time Varying Risk Return Relationship: Evidence from Listed Pakistani Firms," MPRA Paper 37561, University Library of Munich, Germany.
    5. 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.
    6. 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.
    7. 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.
    8. 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.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 9 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CWA: Central & Western Asia (2) 2007-05-19 2008-12-07
  2. NEP-FMK: Financial Markets (2) 2008-12-07 2010-09-03
  3. NEP-RMG: Risk Management (2) 2010-07-17 2010-09-03
  4. NEP-BAN: Banking (1) 2010-09-03
  5. NEP-CFN: Corporate Finance (1) 2008-05-10
  6. NEP-ECM: Econometrics (1) 2008-05-10
  7. NEP-ETS: Econometric Time Series (1) 2011-04-09
  8. NEP-FDG: Financial Development & Growth (1) 2007-05-19
  9. NEP-FOR: Forecasting (1) 2011-04-09
  10. NEP-ORE: Operations Research (1) 2008-05-10
  11. NEP-SOG: Sociology of Economics (1) 2007-05-19

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