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Mr. Muhammad Arif
Lincoln University, New Zealand

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Profile ImageFarhad Taghizadeh-Hesary Tokai University
Profile ImageSafwan Mohd Nor University of Malaysia Teren...
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Profile ImageMudassar Hasan Lahore Business School, The ...
Profile ImageMuhammad Abubakr Naeem Massey University
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Profile ImageMuhammad Haris Jiangsu University
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Journal article
Published: 09 June 2021 in Global Finance Journal
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Against the backdrop of the exponentially growing trend in green finance investments and the calls for green recovery in the post-COVID world, this study presents the time-frequency connectedness between green and conventional financial markets by using the spillover models of Diebold and Yilmaz (2012) and Baruník and Křehlík (2018). Covering a sample period from January 01, 2008, to July 31, 2020, we aim to explore the dynamics of connectedness between conventional and green investments in fixed income, equity, and energy markets. Additionally, we determine the role of market-wide uncertainty in altering the connectedness structure by performing a subsample analysis for the ongoing COVID-19 pandemic crisis period. Our results show that competing energy investments are not connected, and there is only one-way spillovers from the conventional bonds in the fixed-income investments. Additionally, we observe a low (high) intergroup connectedness for conventional (green) investments. Moreover, the frequency-based analysis shows that connectedness between these competing markets is more pronounced during the short-run. The subsample analysis for the pandemic crisis period shows similar results except for the disconnection between bond markets in the short-run frequency. Our time-varying analysis shows peaks and troughs in the connectedness between climate-friendly and conventional investments that suggest different global events such as the Eurozone Debt Crisis and Shale Oil Revolution drives the association between alternate investments. Similarly, we observe an enhanced connectedness during the recent COVID-19 period, suggesting that financial stability would be a significant factor in determining the smooth transition to green investments.

ACS Style

Muhammad Arif; Mudassar Hasan; Suha M. Alawi; Muhammad Abubakr Naeem. COVID-19 and time-frequency connectedness between green and conventional financial markets. Global Finance Journal 2021, 49, 100650 .

AMA Style

Muhammad Arif, Mudassar Hasan, Suha M. Alawi, Muhammad Abubakr Naeem. COVID-19 and time-frequency connectedness between green and conventional financial markets. Global Finance Journal. 2021; 49 ():100650.

Chicago/Turabian Style

Muhammad Arif; Mudassar Hasan; Suha M. Alawi; Muhammad Abubakr Naeem. 2021. "COVID-19 and time-frequency connectedness between green and conventional financial markets." Global Finance Journal 49, no. : 100650.

Research article
Published: 15 April 2021 in Economic Research-Ekonomska Istraživanja
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This study draws a comparison between the Global Financial Crisis (GFC) and the COVID-19 pandemic crisis to assess the safe-haven potential of Islamic stocks for G7 stock markets. We employ the cross-quantilogram framework of Han et al., which considers the non-linearity in the relationship, and thus captures the correlation between the Islamic and G7 stock markets across various quantiles reflecting different market conditions. The analysis also includes the time-varying cross-quantile correlation to observe the evolution of Islamic stocks' safe-haven potential. Our full sample analysis shows that Islamic stocks do not exhibit safe-haven properties for G7 stock markets. During the GFC period, Islamic stocks show some diversification benefits for the G7 stock markets. Notably, Islamic stocks emerged as a robust safe-haven asset for the G7 stock markets during the pandemic crisis. The study carries essential insights for equity investors and regulators of G7 and other countries to implement diversification/hedging strategies that would involve Islamic stocks to protect equity investments and the overall financial system amid the financial downturns.

ACS Style

Muhammad Arif; Muhammad Abubakr Naeem; Mudassar Hasan; Suha M Alawi; Farhad Taghizadeh-Hesary. Pandemic crisis versus global financial crisis: Are Islamic stocks a safe-haven for G7 markets? Economic Research-Ekonomska Istraživanja 2021, 1 -21.

AMA Style

Muhammad Arif, Muhammad Abubakr Naeem, Mudassar Hasan, Suha M Alawi, Farhad Taghizadeh-Hesary. Pandemic crisis versus global financial crisis: Are Islamic stocks a safe-haven for G7 markets? Economic Research-Ekonomska Istraživanja. 2021; ():1-21.

Chicago/Turabian Style

Muhammad Arif; Muhammad Abubakr Naeem; Mudassar Hasan; Suha M Alawi; Farhad Taghizadeh-Hesary. 2021. "Pandemic crisis versus global financial crisis: Are Islamic stocks a safe-haven for G7 markets?" Economic Research-Ekonomska Istraživanja , no. : 1-21.

Journal article
Published: 21 March 2021 in Resources Policy
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We investigate the interdependence between the returns of gold and Dow Jones world Islamic index along with ten Islamic sectoral indices using quantile based methodologies that ascertain the interdependence under various market conditions. Our quantile-on-quantile (QQR) regression results confirm the asymmetric relationship between gold and Islamic indices returns. Additionally, we find gold to be a diversifier for the overall Islamic equity index and most of the Islamic stock sectors during normal market conditions. Moreover, using a cross-quantilogram (CQ) approach, we ascertain the lead-lag relationship between gold and Islamic indices, finding gold to offer limited safe-haven potential only for non-cyclical industries. Notably, using Islamic sectoral indices, our study contributes to the extant literature by reconciling the contradicting evidence on gold's ability to provide safe-haven avenues for Islamic equity investors as we identify the sectors where gold possesses the notable safe-haven potential and otherwise.

ACS Style

Muhammad Abubakr Naeem; Fiza Qureshi; Muhammad Arif; Faruk Balli. Asymmetric relationship between gold and Islamic stocks in bearish, normal and bullish market conditions. Resources Policy 2021, 72, 102067 .

AMA Style

Muhammad Abubakr Naeem, Fiza Qureshi, Muhammad Arif, Faruk Balli. Asymmetric relationship between gold and Islamic stocks in bearish, normal and bullish market conditions. Resources Policy. 2021; 72 ():102067.

Chicago/Turabian Style

Muhammad Abubakr Naeem; Fiza Qureshi; Muhammad Arif; Faruk Balli. 2021. "Asymmetric relationship between gold and Islamic stocks in bearish, normal and bullish market conditions." Resources Policy 72, no. : 102067.

Journal article
Published: 10 March 2021 in Journal of Cleaner Production
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Recently there has been an increasing concern about plastic mulch film pollution from agricultural production in China. Given the knowledge of plastic mulch film is information-intensive, the lack of information might be the primary constraint for farmers to adopt recycling practices. Additionally, the potential self-selection bias in the information acquisition process raises an empirical challenge in accurately estimating the impact of information acquisition and information intensity on farmers’ adoption behaviors. To this end, this study first creates a propensity-weighted sample and subsequently employs the multi-valued treatment effects model to analyze how information acquisition influences farmers’ recycling choices, using the sample data from Yunnan province China. The results indicate that information acquisition exerts a positive and significant impact on farmers’ recycling choices, where higher information intensity increases the likelihood of recycling plastic film residues. Understanding the role of information acquisition could assist policymakers in focusing on knowledge diffusion when designing programs to facilitate better management of plastic residues and other sustainable agricultural production practices.

ACS Style

Wei Yang; Jianling Qi; Muhammad Arif; Mengran Liu; Yao Lu. Impact of information acquisition on farmers’ willingness to recycle plastic mulch film residues in China. Journal of Cleaner Production 2021, 297, 126656 .

AMA Style

Wei Yang, Jianling Qi, Muhammad Arif, Mengran Liu, Yao Lu. Impact of information acquisition on farmers’ willingness to recycle plastic mulch film residues in China. Journal of Cleaner Production. 2021; 297 ():126656.

Chicago/Turabian Style

Wei Yang; Jianling Qi; Muhammad Arif; Mengran Liu; Yao Lu. 2021. "Impact of information acquisition on farmers’ willingness to recycle plastic mulch film residues in China." Journal of Cleaner Production 297, no. : 126656.

Short communication
Published: 02 February 2021 in The Quarterly Review of Economics and Finance
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We examine the hedge and safe-haven properties of conventional currencies for four cryptocurrencies — Bitcoin, Ethereum, Ripple, and Litecoin. We extend the Baur and McDermott (2010) framework, where the safe-haven role is examined against reverse explosiveness in cryptocurrency prices. Our results suggest that the Japanese yen is the most consistent hedger for cryptocurrencies, followed by the British pound, Chinese yuan, and the Euro. All currencies, except the Euro, perform a safe-haven role for Bitcoin and its fork, Litecoin. The safe-haven potential of the Euro, Japanese Yen, and Chinese Yuan is also confirmed during the negative explosiveness periods of the cryptocurrency market.

ACS Style

Syed Jawad Hussain Shahzad; Faruk Balli; Muhammad Abubakr Naeem; Mudassar Hasan; Muhammad Arif. Do conventional currencies hedge cryptocurrencies? The Quarterly Review of Economics and Finance 2021, 1 .

AMA Style

Syed Jawad Hussain Shahzad, Faruk Balli, Muhammad Abubakr Naeem, Mudassar Hasan, Muhammad Arif. Do conventional currencies hedge cryptocurrencies? The Quarterly Review of Economics and Finance. 2021; ():1.

Chicago/Turabian Style

Syed Jawad Hussain Shahzad; Faruk Balli; Muhammad Abubakr Naeem; Mudassar Hasan; Muhammad Arif. 2021. "Do conventional currencies hedge cryptocurrencies?" The Quarterly Review of Economics and Finance , no. : 1.

Journal article
Published: 10 December 2020 in Resources Policy
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In this study, we examine the asymmetric short- and long-run spillover among commodities using realized variances and realized semivariances calculated through 5-min trading data of commodity futures. In doing so, we apply time and frequency domain generalized error variance decomposition approaches and build a network of commodity connectedness. Our findings indicate low inter-group connectedness, distinct group clustering, and high intragroup network-based connectedness in realized volatilities of sample commodities. We find more pronounced inter- and intra-group volatility connectedness for negative realized volatilities than positive ones. Besides, we show that volatility connectedness is a long-run phenomenon. Additionally, the time-varying net directional spillover connectedness reveals that the bad volatility connectedness dictates the good volatility connectedness for the total sample as well as for various frequency domains, both in terms of magnitude and length of time. The implications for investors and policymakers are discussed.

ACS Style

Massimiliano Caporin; Muhammad Abubakr Naeem; Muhammad Arif; Mudassar Hasan; Xuan Vinh Vo; Syed Jawad Hussain Shahzad. Asymmetric and time-frequency spillovers among commodities using high-frequency data. Resources Policy 2020, 70, 101958 .

AMA Style

Massimiliano Caporin, Muhammad Abubakr Naeem, Muhammad Arif, Mudassar Hasan, Xuan Vinh Vo, Syed Jawad Hussain Shahzad. Asymmetric and time-frequency spillovers among commodities using high-frequency data. Resources Policy. 2020; 70 ():101958.

Chicago/Turabian Style

Massimiliano Caporin; Muhammad Abubakr Naeem; Muhammad Arif; Mudassar Hasan; Xuan Vinh Vo; Syed Jawad Hussain Shahzad. 2020. "Asymmetric and time-frequency spillovers among commodities using high-frequency data." Resources Policy 70, no. : 101958.

Journal article
Published: 09 December 2020 in Economic Analysis and Policy
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This study examines the connectedness of the electricity sector in Asia by employing the connectedness models of Diebold and Yilmaz (2012) and Barunik and Krehlik (2018). Our sample includes the following Asian countries: China, Hong Kong, India, Japan, Malaysia, Pakistan, Philippines, South Korea, Thailand, and Vietnam. Our full sample analysis reveals a strongly connected electricity sector in the sample Asian countries, signifying a substantial influence of Asia’s electric utilities on each other. Moreover, our frequency-based analysis exhibits that the connectedness between electricity sectors in Asia is more pronounced in the short-run compared to the long-run horizon. Further, we explore the time-varying connectedness by employing a rolling window analysis that shows the dynamic nature of connectedness and reveals the significant effect of important events like the Chinese financial crisis and the ongoing pandemic crisis. We also explore the connectedness between Asian electricity utility sectors during turbulent times by employing subsample analyses covering the Chinese financial crisis and Pandemic crisis periods. The subsample analyses show that market-wide uncertainty drives up the connectedness, and it is relatively more pronounced for short-run frequencies and during the pandemic crisis period. The network connectedness analysis suggests that regulators could identify countries that most threaten system stability in the Asian electricity sector.

ACS Style

Mudassar Hasan; Muhammad Arif; Muhammad Abubakr Naeem; Quang-Thanh Ngo; Farhad Taghizadeh–Hesary. Time-frequency connectedness between Asian electricity sectors. Economic Analysis and Policy 2020, 69, 208 -224.

AMA Style

Mudassar Hasan, Muhammad Arif, Muhammad Abubakr Naeem, Quang-Thanh Ngo, Farhad Taghizadeh–Hesary. Time-frequency connectedness between Asian electricity sectors. Economic Analysis and Policy. 2020; 69 ():208-224.

Chicago/Turabian Style

Mudassar Hasan; Muhammad Arif; Muhammad Abubakr Naeem; Quang-Thanh Ngo; Farhad Taghizadeh–Hesary. 2020. "Time-frequency connectedness between Asian electricity sectors." Economic Analysis and Policy 69, no. : 208-224.

Earlycite article
Published: 07 December 2020 in Corporate Governance: The International Journal of Business in Society
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Purpose The purpose of this research is to ascertain the impact of audit committee (AC) activism and independence on the quality and quantity of environmental, social and governance (ESG) disclosures for energy sector firms in Australia. This paper aims to understand how AC attributes such as meeting frequency, and the number of independent directors influence the compliance with the global reporting initiative (GRI) guidelines and quantity of ESG disclosures. Design/methodology/approach Bloomberg ESG disclosure scores and company reported AC attributes are collected and analysed using the pooled ordinary least square (OLS) regression framework with Petersen’s (2009) technique by using a two-dimensional cluster at the firm and year level. Further, this paper uses a lagged independent variable and two-stage least square approach to address endogeneity concerns. Findings The results show a significant positive effect of AC activism and independence on the level of compliance with the GRI guidelines, indicating the favourable effect of AC attributes on ESG reporting quality. Likewise, AC attributes positively affect the quantity of ESG disclosures. Notably, the impact of AC attributes is more pronounced on environmental disclosures. Originality/value This paper validates the significance of the management control mechanism in improving the quality and quantity of ESG disclosures for an environmentally sensitive sector, hence offering a potential answer to reduce agency and legitimacy issues for the sensitive industry firms.

ACS Style

Muhammad Arif; Aymen Sajjad; Sanaullah Farooq; Maira Abrar; Ahmed Shafique Joyo. The impact of audit committee attributes on the quality and quantity of environmental, social and governance (ESG) disclosures. Corporate Governance: The International Journal of Business in Society 2020, 21, 497 -514.

AMA Style

Muhammad Arif, Aymen Sajjad, Sanaullah Farooq, Maira Abrar, Ahmed Shafique Joyo. The impact of audit committee attributes on the quality and quantity of environmental, social and governance (ESG) disclosures. Corporate Governance: The International Journal of Business in Society. 2020; 21 (3):497-514.

Chicago/Turabian Style

Muhammad Arif; Aymen Sajjad; Sanaullah Farooq; Maira Abrar; Ahmed Shafique Joyo. 2020. "The impact of audit committee attributes on the quality and quantity of environmental, social and governance (ESG) disclosures." Corporate Governance: The International Journal of Business in Society 21, no. 3: 497-514.

Journal article
Published: 07 November 2020 in Sustainability
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A bulk of literature suggests that geopolitical events such as terrorist attacks dampen tourism demand. However, there is little research on whether this effect helps predict the return of the tourism equity sector. We provide country-level evidence on whether local and global geopolitical risk (GPR) predicts the first and second moments of tourism stocks in emerging economies. This objective was achieved by employing the non-parametric causality-in-quantiles (CiQ) model and a cross-quantilogram (CQ) test, which allowed us to uncover the predictive potential of GPR for the tourism sector equities. Our findings, obtained through the CiQ model, suggest that while both local and global GPRs carry significant potential for predicting the returns and volatility of tourism stocks of most emerging economies under normal market conditions, they seem to play no such role in certain countries. These countries include South Korea, for which only a limited number of tourism stocks trade on the domestic stock market compared to other sectors, and Colombia, for which both the domestic stock market and tourism sectors are at an emerging stage. Further, it turns out that, compared to its local counterpart, global GPR has a more pronounced predictive power for the tourism stocks of emerging economies. Finally, with some exceptions, the results are qualitatively similar, and hence reasonably robust, to those when a directional predictability model is applied. Given that geopolitical shocks are largely unanticipated, our findings underscore the importance of a robust tourism sector that can help the market recover to stability as well as an open economy that allows local investors to diversify country-specific risks in their portfolios. Implications and directions for future research are discussed.

ACS Style

Mudassar Hasan; Muhammad Naeem; Muhammad Arif; Syed Shahzad; Safwan Nor. Geopolitical Risk and Tourism Stocks of Emerging Economies. Sustainability 2020, 12, 9261 .

AMA Style

Mudassar Hasan, Muhammad Naeem, Muhammad Arif, Syed Shahzad, Safwan Nor. Geopolitical Risk and Tourism Stocks of Emerging Economies. Sustainability. 2020; 12 (21):9261.

Chicago/Turabian Style

Mudassar Hasan; Muhammad Naeem; Muhammad Arif; Syed Shahzad; Safwan Nor. 2020. "Geopolitical Risk and Tourism Stocks of Emerging Economies." Sustainability 12, no. 21: 9261.

Journal article
Published: 31 October 2020 in Mathematics
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The implied volatility index is a forward-looking indicator of fear among stock market participants. We examine the extent to which the connectedness of fear among global stock markets is driven by the cross-country connectedness of economic policy uncertainty (EPU). We use data on stock market fear and EPU indices for 13 countries, which spans from January 2011 to December 2018. To measure the connectedness among stock market fear and EPU of our sample countries, we employ two connectedness models. A cross-sectional regression model is further employed to ascertain the extent to which EPU connectedness between two countries explains the connectedness of fear between their stock markets, while controlling for bilateral linkage and country-specific factors. We find that EPU connectedness between any two partner countries significantly drives the connectedness of fear between their stock markets. The driving potential not only holds for short- and long-term connectedness, but also after controlling for bilateral linkages (bilateral trade, geographical distance, common language) and country-specific (trade and financial openness of the transmitter country) factors indicating robustness in our results.

ACS Style

Mudassar Hasan; Muhammad Naeem; Muhammad Arif; Syed Shahzad; Safwan Nor. Role of Economic Policy Uncertainty in the Connectedness of Cross-Country Stock Market Volatilities. Mathematics 2020, 8, 1904 .

AMA Style

Mudassar Hasan, Muhammad Naeem, Muhammad Arif, Syed Shahzad, Safwan Nor. Role of Economic Policy Uncertainty in the Connectedness of Cross-Country Stock Market Volatilities. Mathematics. 2020; 8 (11):1904.

Chicago/Turabian Style

Mudassar Hasan; Muhammad Naeem; Muhammad Arif; Syed Shahzad; Safwan Nor. 2020. "Role of Economic Policy Uncertainty in the Connectedness of Cross-Country Stock Market Volatilities." Mathematics 8, no. 11: 1904.

Journal article
Published: 23 September 2020 in Journal of Risk and Financial Management
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This paper provides evidence on the likelihood of formal finance usage among innovative small and medium enterprises (SMEs) operating in ASEAN countries. To this end, the SMEs are classified into four categories, namely non-innovators and product, process, and product-and-process innovator SMEs. Subsequently, a propensity score weighting (PSW) analysis is performed to adjust for diversity existing across innovative SMEs. The resulting propensity scores are further used to perform the causal effect analysis based on the average treatment effect (ATE) approach, which measures the likelihood of formal finance usage among different types of innovative SMEs. Our ATE results reveal that SMEs simultaneously engaged in product and process innovation show a higher likelihood of using formal finance than non-innovators. However, formal finance usage of SMEs perusing only product/service or process innovation is not any different from non-innovators. Furthermore, our pairwise analysis shows that product and process innovators also exhibit a higher likelihood of formal finance usage than product/service or process innovators. Besides, younger and medium-size product and process innovating SMEs are more likely to use formal finance. These results are robust for different subsamples and firm- and country-level controls.

ACS Style

Muhammad Arif; Mudassar Hasan; Ahmed Shafique Joyo; Christopher Gan; Sazali Abidin. Formal Finance Usage and Innovative SMEs: Evidence from ASEAN Countries. Journal of Risk and Financial Management 2020, 13, 222 .

AMA Style

Muhammad Arif, Mudassar Hasan, Ahmed Shafique Joyo, Christopher Gan, Sazali Abidin. Formal Finance Usage and Innovative SMEs: Evidence from ASEAN Countries. Journal of Risk and Financial Management. 2020; 13 (10):222.

Chicago/Turabian Style

Muhammad Arif; Mudassar Hasan; Ahmed Shafique Joyo; Christopher Gan; Sazali Abidin. 2020. "Formal Finance Usage and Innovative SMEs: Evidence from ASEAN Countries." Journal of Risk and Financial Management 13, no. 10: 222.

Research article
Published: 01 April 2020 in SAGE Open
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We compare the hedging, safe-haven, and diversification potential of gold and Bitcoin for different investment styles and industry portfolios in the United States. We find that gold is at least a weak hedge for the style and industry portfolios except for utilities, energy, and telecom. The hedging potential of gold is comparatively higher for large-cap portfolios, whereas Bitcoin offers minimal hedging effectiveness. However, Bitcoin shows hedging potential for the noncyclical industries. Although investors need a higher amount of investment to hedge the downside risk using gold, it still is a superior hedging instrument compared with Bitcoin. Finally, the analysis using the conditional diversification approach shows that gold is a superior and stable diversifier for style and industry portfolios. Overall, our findings provide evidence of superior safe-haven and hedging potential of gold over Bitcoin.

ACS Style

Muhammad Abubakr Naeem; Mudassar Hasan; Muhammad Arif; Syed Jawad Hussain Shahzad. Can Bitcoin Glitter More Than Gold for Investment Styles? SAGE Open 2020, 10, 1 .

AMA Style

Muhammad Abubakr Naeem, Mudassar Hasan, Muhammad Arif, Syed Jawad Hussain Shahzad. Can Bitcoin Glitter More Than Gold for Investment Styles? SAGE Open. 2020; 10 (2):1.

Chicago/Turabian Style

Muhammad Abubakr Naeem; Mudassar Hasan; Muhammad Arif; Syed Jawad Hussain Shahzad. 2020. "Can Bitcoin Glitter More Than Gold for Investment Styles?" SAGE Open 10, no. 2: 1.

Journal article
Published: 29 February 2020 in Journal of Business Strategies
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This study examines the profitability of Moving Averages (MA) timing strategy over the buy and hold strategy for individual stocks listed at Pakistan Stock Exchange (PSX). We applied Han, Yang, and Zhou (2013), methodology to individual stock returns and found inconclusive evidence of MA timing strategy’s predictive ability to earn higher returns over buy and hold strategy. We also report market risk-adjusted returns to remove any market movement effects and apply alternative moving averages lag lengths to check the robustness of our results. We observe individual stock returns are noisier than portfolio returns and the simple technical trading rule of moving average lack the ability to predict individual stock returns. We propose the use of more complex trading rules in future studies to ascertain the profitability of technical trading rules in individual stocks.

ACS Style

Muhammad Arif; Abdul Rauf Laghari; Avinash Advani. Profitability of the Moving Averages Technical Trading Rules in an Emerging Stock Market: A Study of Stocks Listed in Pakistan Stock Exchange. Journal of Business Strategies 2020, 12, 165 -176.

AMA Style

Muhammad Arif, Abdul Rauf Laghari, Avinash Advani. Profitability of the Moving Averages Technical Trading Rules in an Emerging Stock Market: A Study of Stocks Listed in Pakistan Stock Exchange. Journal of Business Strategies. 2020; 12 (2):165-176.

Chicago/Turabian Style

Muhammad Arif; Abdul Rauf Laghari; Avinash Advani. 2020. "Profitability of the Moving Averages Technical Trading Rules in an Emerging Stock Market: A Study of Stocks Listed in Pakistan Stock Exchange." Journal of Business Strategies 12, no. 2: 165-176.

Journal article
Published: 21 January 2020 in Physica A: Statistical Mechanics and its Applications
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We investigate whether the global financial crisis (GFC) changed the tail and frequency interdependence between BRICS stock markets and two strategic commodities (oil and gold). To that end, we employ two novel approaches namely the quantile on quantile (QQR) regression and the quantile coherency (QC). The QQR approach reveals that while the positive lower tail interdependence between gold and BRICS equity markets strengthens after GFC, the lower tail interdependence of oil and BRICS equity returns shifts from neutral to positive with the incidence of the GFC. The QC approach also shows no interdependence between oil (gold) and most of the BRICS equity markets over the short-term horizon in the pre-GFC era. However, with the occurrence of the GFC, the interdependence shifts to moderately positive across all the return quantiles with some exceptions of negative interdependence in extremely divergent return quantiles. Similarly, in the long-term, already positive interdependence of the pre-GFC period in parallel return quantiles of oil (gold) further strengthens with the incidence of the GFC. Our findings provide useful insights to the investors who operate at different time horizons amid various market conditions.

ACS Style

Muhammad Abubakr Naeem; Mudassar Hasan; Muhammad Arif; Faruk Balli; Syed Jawad Hussain Shahzad. Time and frequency domain quantile coherence of emerging stock markets with gold and oil prices. Physica A: Statistical Mechanics and its Applications 2020, 553, 124235 .

AMA Style

Muhammad Abubakr Naeem, Mudassar Hasan, Muhammad Arif, Faruk Balli, Syed Jawad Hussain Shahzad. Time and frequency domain quantile coherence of emerging stock markets with gold and oil prices. Physica A: Statistical Mechanics and its Applications. 2020; 553 ():124235.

Chicago/Turabian Style

Muhammad Abubakr Naeem; Mudassar Hasan; Muhammad Arif; Faruk Balli; Syed Jawad Hussain Shahzad. 2020. "Time and frequency domain quantile coherence of emerging stock markets with gold and oil prices." Physica A: Statistical Mechanics and its Applications 553, no. : 124235.