No abstract

Sustainable economic growth and development of stock market plays an important role in diversifying the investment opportunities that can be assessed accordingly. However, a true diversification in portfolio is impossible without inclusion of higher-order moments, skewness and kurtosis. However, the risk-taking behavior of investors is modelled with the help of higher-order moments of risk. Therefore, this study is intended to construct optimal portfolios and efficient frontiers with the inclusion of higher-order moments of risk. The findings show that optimized portfolios with inclusion of skewness and kurtosis are sustainable and significantly different than those from mean-variance optimized portfolios which show asymmetric and fat-tail risk. Results further confirm its significance in balancing the additional risk dimensions and returns in Asian emerging stock markets for sustainable returns. The results also endorse that induction of skewness and kurtosis affects portfolio allocation weights and expected returns. Therefore, this study strongly recommends the inclusion of higher moments of risk for optimization to curtail their effect and sub-optimal decisions.

Sustainable asymmetric market conditions’ development and volatility in stock returns play a vital role in investment decisions during a global financial crisis. Rational investment decisions and portfolio diversification can have the optimum returns. However, portfolio diversification through Islamic stock returns is perceived as a model of safer flight than that of conventional stocks. In the present study, the GARCH (1,1) - (Mean and Variance equations) has been employed to predict the impact of asymmetric market conditions on returns and volatility of Islamic stock markets (Dow Jones Islamic Market Malaysia (DJIM), Dow Jones Islamic Market Indonesia (JKII) and Dow Jones World Islamic Index (DJWI) Benchmark), and Conventional stock markets (Shanghai Stock Exchange (SSE-China), Bombay Stock Exchange (BSE-India) and Pakistan Stock Exchange (PSE-Pakistan), during the global financial crisis. The analysis reveals that the bullish effect was higher in all stock markets. Overall results suggested that Islamic stock markets have a sustainable impact of asymmetric market conditions on returns and volatility of Islamic stock markets & conventional stock markets during the global financial crisis. The asymmetric market conditions in stock markets are strongly recommended for economic globalisation during a global financial crisis.

The specific purpose of the Developing-8 economies is to integrate the endeavours of each member countries to excel economic cooperation and facilitation among the Islamic countries to enhance the investment opportunities and not to put pressure on the geopolitical environment of the world. The purpose of this study is to visualize the market efficiency, financial integration, and shock transmission process in the D-8 Economies for the period from Jan 2011 to Dec 2016. Daily market data is taken for KSE, DSE, TSE, JCI, KLCI, ISE, EGX, and NSE equity markets. Unit Root Test, Serial Correlation Test, Runs Test, and Variance Ratio Test are used to test the market efficiency whereas Johansen Cointegration Test, Granger Causality Test, Vector Error Correction Model, and Impulse Response Test are used to test the financial integration and shock transmission. The performance of the Tehran stock market remained excellent during this study period. Mixed evidence is concluded regarding the market efficiency of D-8 equity markets. It is concluded that there exists a long-run relationship between KSE and DSE. Short-run relationship indicates that KSE has a significant positive short-run relationship with JCI and have a negative relationship with KLCI. Negative asymmetric behaviour is more influential in the negatively skewed markets and negative shocks have a greater effect than the positive shocks. Hence it is concluded that investors can get benefit from the arbitrage process due to market inefficiencies and through the short selling process. There is a need to establish economic equilibrium through the arbitrage process where investors may enjoy the opportunities to excel more economic stream of benefits by noise and market reverting behaviour. The economic integration will increase the cooperation among these economies to establish more growth opportunities in the trade and corporate investments. The implication of the studies suggests and directs to enhance mutual interface and co-operation including Banking and Finance, Human and Social Development, Energy Sector, Development of Rural Population, Science and Technology, Health and Environment, and Agriculture Sector. Moreover, there is a dire need for restructuring the economic and financial bylaws that may ease the financial liberalization and to enhance the dynamics of trading actives among the D-8 economies.

Purpose: This empirical study investigates the anomalous behaviour and volatility in stock return of PSX-100 index of Pakistan Stock Exchange (PSX). Design/Methodology/Approach: The data is taken from January, 2006 to December, 2018 to detect variability and predictability of stock returns. ARCH and GARCH models are applied to check the volatility in stock returns using dummy variable. Findings: It is found that there exists positive and significant September effect in Pakistani equity market. The returns are high in the month of September than other months. The constant returns do not exist during the whole year so the efficient market hypothesis contradicts. Implications/Originality/Value: The Efficient Market Hypothesis is question mark due to volatility for mispricing the securities. The mispricing may have implications for undervalue or overvalue the securities and overall economic activity of equity – stock returns.