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Financial Analysis of Industrial Portfolios in Pakistan: A Comparative Analysis of Pre 9/11 and Post 9/11Period

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  • Chang, Bisharat
  • Iqbal, Javed

Abstract

This study is intended to measure and compare the Pakistani industries performance as well to measure the impact of September 11, 2001 terrorist attack on Pakistani industries. The performance measures such as Sharpe ratio (1966), Treynor ratio (1965), Idiosyncratic risk, market risk, beta and Jensen’s alpha have been used as a tool for financial analysis of industries as well to measure the response of these industries to 9/11 event. Results indicate insurance industry as the best performing industry; Food Beverages and Tobacco and Sugar as second best performing industry; and Household/Personal Goods Paper and Board as third best performing industry, whereas, Textile and related; Telecommunication and Travel and Leisure; and other financials are found worst performing industries. The results also indicate that 9/11 event have significant and positive impact on Pakistani firms.

Suggested Citation

  • Chang, Bisharat & Iqbal, Javed, 2014. "Financial Analysis of Industrial Portfolios in Pakistan: A Comparative Analysis of Pre 9/11 and Post 9/11Period," MPRA Paper 55433, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:55433
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    References listed on IDEAS

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    1. Nikkinen, Jussi & Omran, Mohammad M. & Sahlstrom, Petri & Aijo, Janne, 2008. "Stock returns and volatility following the September 11 attacks: Evidence from 53 equity markets," International Review of Financial Analysis, Elsevier, vol. 17(1), pages 27-46.
    2. Charles, Amelie & Darne, Olivier, 2006. "Large shocks and the September 11th terrorist attacks on international stock markets," Economic Modelling, Elsevier, vol. 23(4), pages 683-698, July.
    3. Naim Sipra, 2006. "Mutual Fund Performance in Pakistan, 1995-2004," Finance Working Papers 22281, East Asian Bureau of Economic Research.
    4. Glaeser, Edward L. & Shapiro, Jesse M., 2002. "Cities and Warfare: The Impact of Terrorism on Urban Form," Journal of Urban Economics, Elsevier, vol. 51(2), pages 205-224, March.
    5. Chan, Yue-cheong & John Wei, K. C., 1996. "Political risk and stock price volatility: The case of Hong Kong," Pacific-Basin Finance Journal, Elsevier, vol. 4(2-3), pages 259-275, July.
    6. Ramiah, Vikash & Cam, Marie-Anne & Calabro, Michael & Maher, David & Ghafouri, Shahab, 2010. "Changes in equity returns and volatility across different Australian industries following the recent terrorist attacks," Pacific-Basin Finance Journal, Elsevier, vol. 18(1), pages 64-76, January.
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    More about this item

    Keywords

    Pakistani Industries; 9/11 terrorist attack; Treynor ratio; Sharpe ratio; idiosyncratic risk; performance measures;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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