ORIGINAL_ARTICLE
Lagged Economic Exposure of Stock Returns: Role of Firm Nature of Business Effect
This study examines the role of firm nature of business effect (financial vs. non-financial) in determining the lagged effect of economic factors on stock returns. Study applied generalized autoregressive conditional heteroskedasticity model GARCH (1, 1). The results of the study indicate that with the increase in lags from lag one to lag five, the significant impact of exchange rate on stock returns of financial firms becomes more and more negative while for the non-financial firms, it becomes more and more positive (from lag one to lag four). Results further indicated that the negative significant relation of risk free rate with stock returns of both financial and non-financial firms is maximized at one lag. However, the negative significant relation of inflation with stock returns of financial firms is maximized at lag two while in the case of non-financial firms, it is maximized at lag one. In this vein, it is also found that with the increase in lags from lag one to lag four, for both the financial and non-financial firms, the significant impact of inflation on stock returns shifts from negative to positive. Moreover, the statistically significant and positive influence of real activity on stock returns is maximized at one lag, while in the case of non-financial firms; it is maximized at two lags. Further, results also reported that the maximization of significant positive influence of money supply on stock returns exists at fifth lag for both financial and non-financial firms. In addition, the significant impact of money supply on stock returns becomes more and more positive with the increases in lags from lag one to lag five. Focusing on oil prices, the results further established that two lags is the most common lag for the statistically significant and positive impact of oil prices on stock returns; while, three lags is the most common lag for negative and significant impact of oil prices on stock returns. Finally, we reveal that macroeconomic indicators have lagged effect that varies with respect to firm nature of business, representing the role of nature of business effect.
https://www.ijmae.com/article_115004_d83723482482461b2fd57e3821ad7ed8.pdf
2020-03-01
123
133
Lagged effect
economic exposure
Pakistani stock market and firm nature of business effect
Faisal
Khan
f.khan@cuca.ae
1
Department of Finance and Accounting, City University College of Ajman, UAE
LEAD_AUTHOR
ADB Report. (2008). In A. D. B. A. Report) (Ed.), Private Sector Assessment, Pakistan: Asian Development Bank Report 2008.
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Allen, F. and Santomero, A. M. (1997). The Theory of Financial Intermediation. Journal of Banking and Finance, 21, 1461–1485.
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Arnold, I. and Vrugt, E. (2006). Stock Market Volatility and Macroeconomic Uncertainty: Evidence from Survey Data. BRG Working Paper No: 06-08.
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Barberis, N., Shleifer, A. and Vishny, R. (1998). A Model of Investor Sentiment. Journal of Financial Economics, 49, 307–343.
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Beirne, J., Caporale, G. M. and Spagnolo, N. (2009). Market, Interest Rate and Exchange Rate Risk Effects on Financial Stock Returns: A GARCH-M Approach. Quantitative and Qualitative Analysis in Social Sciences, 3(2 ), 44-68.
5
Chinzara, Z. (2011). Macroeconomic Uncertanity and Conditional Stock Market Volatility in South Africa. South African Journal of Economics, 79(1), 27-49.
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Daniel, K., Hirshleifer, D. and Subrahmanyam, A. (1998). Investor Psychology and Security Market Under and Over Reactions. The Journal of Finance, 53, 1839–1885.
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Edwards, W. (1968). In: Kleinmutz Conservatism in human information processing. New York: John Wiley and Sons
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Elyasiani, E. and Mansur, I. (1998). Sensitivity Of Bank Stock Returns Distribution to Changes in the Level and Volatility of Interest Rate: A Garch-M Model. Journal of Banking & Finance, 22 535-563.
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Elyasiani, E., Mansur, I. and Odusami, B. (2011). Oil Price Shocks and Industry Stock Returns. Energy Economics, 33, 966-974.
10
Elyasiani, E., Mansur, I. and Pagano, M. S. (2007). Convergence and Risk-Return Linkages Across Financial Service Firms. Journal of Banking & Finance 31 (2007), 1167–1190.
11
Hameed, S. A., Tariq, Y. B. and Jadoon, I. A. (2013). Corporate Governance in Financial Sector Companies of Pakistan: Current State and Room for Improvement. World Applied Sciences Journal 21(1), 79-92.
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Hong, H. and Stein, J. C. (1999). A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets. The Journal of Finance 54 2143–2184.
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IMF Country Report No. 10/183. (2010) Pakistan: Poverty Reduction Strategy Paper (PRSP) - II Washington, D.C: International Monetary Fund (Country Report).
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Khan, F., Anuar, M. A., Choo, L. G. and Bokhari, S. A. M. (2014). Economic Exposure of Stock Returns on Karachi Stock Exchange: Substantiation From Both Aggregate and Disaggregate Data. International Journal of Information Processing and Management, 5(2), 25-39.
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Mandimika, N. Z. and Chinzara, Z. (2012). Risk- Returns Trade-Off And Behaviour of Volatility on the South African Stock Market: Evidence from both Aggregate and Disaggregate Data. South African Journal of Economics, 80(3), 345-366.
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Mustafa, M., Rizvanolli, A. and Hashi, I. (2009) Improving Corporate Governance and Transparency in Banks and Insurance Companies in Kosova. Washington D.C.: Center for International Private Enterprise (Cipe): Washington D.C.
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Patra, T. and Poshekwale, S. (2006). Economic Variables and Stock Market Returns: Evidence from the Athens Stock Exchange. Applied Financial Economics, 16(13), 993-1005
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Poteshman, A. M. (2001). Underreaction, Overreaction, and Increasing Misreaction to Information in the Options Market. The Journal of Finance 6, 851-876
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Saunders, A. and Cornett, M. (2006). Financial Institution Management: A risk Management Approach: fifth ed. McGraw Hill.
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SBP Report. (2010; 2012) SBP Report. Islamabad: State Bank of Pakistan.
25
Singh, D. (2010). Causal Relationship Between Macro-Economic Variables and Stock Market: A Case Study for India Pakistan Journal of Social Sciences, 30 (2), 263-274.
26
ORIGINAL_ARTICLE
A Qualitative Exploration of Work-Life Balance: Experiences of Millennial Married Women Workers
This qualitative study examined Work-Life Balance (WLB) experiences of millennial married women workers in Bekasi area using a phenomenological study. Purposive Sampling techniques and semi-structured in-depth interview were used to gain depth into workers’ understandings of work-life balance experiences. This study analyzed responses from 10 millennial married women workers in Bekasi area. Findings of this study identified 9 themes from the respondents’ responses. Findings revealed that Focus, Time management and Communication and Company/Supervisor and Family Support themes have become dominant strategies for the respondents to manage their WLB and WLB conflict experience. These themes gleaned from this study are expected to be important and become a significant contribution to further research and practical knowledge for decision maker.
https://www.ijmae.com/article_115005_1b090a14bb4b949d60e6ef57f200078e.pdf
2020-03-01
134
148
Millennial
work-life balance
Work-Life Conflict
themes
L
Liswandi
liwan_72@yahoo.com
1
Faculty of Business, President University, Cikarang, Indonesia
LEAD_AUTHOR
Acker, S., & Armenti, C. (2004). Sleepless in Academia. Gender and Education, Vol. 16, No. 1, pp. 3-24.
1
Batt, R., & Valcour, P.M. (2003). Human resources practices as predictors of work–family outcomes and employee turnover. Industrial Relations, 42(2), 189−220.
2
Beauregard, T. A., & Henry, L. C. (2009). Making the link between work-life balance practices and organisational performance. Human Resource Management Review, 19, 9-22.
3
Creswell, J. (2003) Research Design. London: Sage.
4
Denzin, N.K., & Lincoln, Y.S. (2003). The landscape of qualitative research: Theories and issues. (2nd edn.). London: Sage Publications.
5
Grzywacz, J., & Carlson, D. (2007) “Conceptualizing Work-Family Balance: Implications for Practice and Research,” Advances in Developing Human Resources, Vol. 455, No. 9, pp. 455-471.
6
Halpern, D.F. (2005) Psychology at the intersection of work and family: Recommendations for employer, working families, and policymakers. American psychologist, 60, 397-409.
7
Handayani, A., Maulia, D., & Yulianti, P.D. (2012). Kinerja dosen berdasarkan konflik keja keluarga dan motivasi berprestasi. Dalam Suwarno Widodo, Nur Hidayat, Suyoto, Arisul U. (Eds.), Prosiding Seminar Hasil-hasil Penelitian (hal 111-116). Semarang:Lembaga Penelitian dan Pengabdian Kepada Masyarakat. IKIP PGRI Semarang.
8
Hauptfleisch, S., & Uys, J.S., (2006). The experience of work in a call-centre environment. South African Journal of Industrial Psychology, 32(2), 23–30.
9
Iyer, N., S. (2017) A Study On Impact of Work-Life Balance of Married Women on Human Resource Development. International Journal of Scientific & Engineering Research, Vol. 8, (1). 1246-1251.
10
Keene, J.R., & Quadagno, J. (2004). Predictors of perceived work-family balance: Gender difference or gender similarity. Sociological Perspectives, 47,1-23
11
Kilber, J., Barclay, A., & Ohmer, D. (2014). Seven Tips for Managing Generation Y. Journal of Management Policy and Practice, 15, 4-9.
12
Kultalahti, S., & Vitala, R. (2014). Sufficient Challenges and A Weekend Ahead- Generation Y Describing Motivation at Work. Journal of Organizational Change Management, 27, 569-582.
13
Langton, N., & Robbins, S. P. (2014). Fundamental of Organizational Behavior. Ontario: Pearson Education Canada.
14
Larasati, D.P., Hasanati, N., & Istiqomah (2019) The Effects of Work-Life Balance towards Employee Engagement in Millennial Generation. ASEAN Conference on Psychology, Counselling, and Humanities (ACPCH 2018). Advances in Social Science, Education and Humanities Research (ASSEHR), volume 304.
15
Lee, G.J., & Steele, C.L. (2009). Boundary management of employees’ non-work lives: Effects on South African workers’ commitment. South African Journal of Economic and Management Sciences, 12(1), 63−80.
16
Lewis, R.A. (2016). Work-life balance in academia: Experiences of lecturers in Switzerland. International Journal of Business and Management, Vol. IV(1), pp. 69-84., 10.20472/BM.2016.4.1.004
17
Lockwood, N. (2003). Work Life Balance: Challenges and Solutions, Society for Human Resource Management. Research Quarterly, 2, 1-12.
18
Lyons, S. (2004). An Exploration of generational Values In Life and At Work. ProQuest Dissertations and Theses, 411-441.
19
Marcinkus, W.C., Berry, K.S.W., & Gordon, J.R. (2006) The Relationship of social support to the work family balance and work outcomes of midlife women. Women in Management Review, 22(2), 9425-9464.
20
Meenakshi, S. P., C. V, V. S., & Ravichandran, K. (2013). The Importance of Work-Life-Balance. IOSR Journal of Business and Managemnt, 14, 31-35.
21
Nanjiani, S.,T., &. Dahlstrom, N. (2017) A review of the concept of Work Life Balance and its applicability to issues faced by Emirati working women. Conference: First International Conference on Emerging Paradigms in Business and Social Sciences,, At Dubai
22
Potgieter, S.C.B., & Barnard, A. (2010). The construction of work–life balance: The experience of Black employees in a call-centre environment. SA Journal of Industrial Psychology/SA Tydskrif vir Bedryfsielkunde, 36(1), Art. #892, 8 pages. DOI:10.4102/ sajip.v36i1.892
23
Prerna. (2012). Work-life balance in corporate sector. IJMT. 2(1). 136-147.
24
Robbins, S.P.; Coulter, M.; Sidani, Y. & Jamali, D. (2011). Managing Human Resources Management. Pearson Education Limited: Arab World Edition.
25
Shah, R. (2017). Work Engagement Among Millennials. International Research. Journal of Human Resources and Social Sciences, 4, 276-286.
26
Simard, M. (2011). Employees’ Perception of Work Life Balance. Thesis. the University of Waterloo, Waterloo, Ontario, Canada.
27
Snith, J.A., Flowers, P., & Larkin, M. (2009). Interpretative Phenomenological Analysis: Theory, Method and Research. Thousand Oaks, CA: SAGE.
28
Society for Human Resource Management (SHRM) (2003) “Work/Life Balance: Challenges and Solutions,” SHRM Research Quarterly, January
29
Van Aarde, A., & Mostert, K. (2008). Work-home interaction of working females: What is the role of job and home characteristics? South African Journal for Industrial Psychology, 34(3), 1−10.
30
Watts, J.H. (2009). Allowed into man’s world: meaning of work life balance: Perspectives of women civil engineers as minority workers in institutions.
31
ORIGINAL_ARTICLE
Variation in General Price Level in Pakistan: A Recent Evidence by Using ARDL Approach (1974-2016)
The main purpose of this study to investigate the impact of the bank rate, budget deficit, FDI and money supply M2 on inflation in the case of Pakistan applying the ARDL model using yearly data from 1974-2016. The Experimental evidence highlight that there is a unique and stable relationship among dependent variable inflation and other different explanatory variables, bank rate, budget deficit, Foreign investment, GDP, Exchange rate and trade openness. After analysis, the result of ARDL indicates that bank rate, exchange rate, and GDP have a negative impact on inflation in the long-run co-efficient. On the other hand, budget deficit, FDI, Money supply M2 and trade openness have a positive impact on inflation. These two tests CUSUM and CUSUMSQ shed light on validates and stability of coefficients in this approach.
https://www.ijmae.com/article_115006_1567a2dd60e9a178b5d12ba100231ce8.pdf
2020-03-01
149
166
Inflation
Bank rate
Foreign Investment
Budget deficit
M2
GDP
Exchange rate
Trade openness
ARDL
Sadam
Hussain
sadam_2iqbal@yahoo.com
1
Center for Industrial and Business Organization, Dongbei University of Finance and Economics, Dalian, Liaoning Province, China
LEAD_AUTHOR
Adegbite, T. A. (2019). An Evaluation Of The Effect Of Taxation Policy On Inflation In Nigeria. Copernican Journal of Finance & Accounting, 8(2), 7-23.
1
Afridi, U., & Qadir, A. (1983). Dual sector inflation in Pakistan. The Pakistan Development Review, 22(3), 191-210.
2
Afridi, U., Qadir, A., Zaki, J., & Khan, S. R. (1984). Effects of Dual Sector Inflation Across Income Levels in Pakistan [with Comments]. The Pakistan Development Review, 23(2/3), 381-392.
3
Ahmad, E., & Ali, S. A. (1999). Exchange rate and inflation dynamics. Pakistan Development Review, 38(3), 235-252.
4
Ahmed, I. (2002). The 1947 partition of India: A paradigm for pathological politics in India and Pakistan. Asian ethnicity, 3(1), 9-28.
5
Ambedkar, B. R., & Pritchett, F. W. (1946). Pakistan or partition of India. Thacker.
6
Baxter, C. (1971). Pakistan Votes--1970. Asian Survey, 11(3), 197-218.
7
Baxter, C. (2018). Bangladesh: From a nation to a state. Routledge.
8
Bokil, M., & Schimmelpfennig, A. (2006). Three attempts at inflation forecasting in Pakistan. The Pakistan Development Review, 341-368.
9
Burki, S. J. (1988). Pakistan under Bhutto, 1971–1977. Springer.
10
Chawla, S. (2001). Pakistan's military spending: Socio‐economic dimensions. Strategic Analysis, 25(5), 703-716.
11
Culbertson Jr, W. P. (1975). Purchasing power parity and black‐market exchange rates. Economic Inquiry, 13(2), 287-296.
12
Emmanuel, U., Udoh, B. E., Prince, A. I., Okoh, J., & Ndu, O. M. (2019). Money Supply and Inflation Rate in Nigeria: The Missing Link. Humanities, 7(3), 156-166.
13
Gartenstein-Ross, D. (2010). religious militancy in Pakistan’s military and Inter-services Intelligence Agency. The Afghanistan-Pakistan Theater, 29.
14
Haqqani, H. (2004). The role of Islam in Pakistan's future. The Washington Quarterly, 28(1), 83-96.
15
Hussain, S., Ahmad, W., Qamar, Y., & Akram, M. S. (2019). Impact of Inflation, CO2 Emissions and Foreign Investment on Economic Growth: A Case of Pakistan. Asian Development Policy Review, 7(4), 307-317.
16
Hussain, S., Akram, M. S., Ghaffar, A., Qamar, Y., & Ahmad, W. (2019). Impact of Foreign Investment, Labor Force and Interest Rate on Economic Growth: A Case of Pakistan (Under CPEC Project Contribution Countries). Asian Development Policy Review, 7(4), 369-377.
17
Ijaz, K., Zakaria, M., & Bashir, A. (2014). Terms-of-trade volatility and inflation in Pakistan.
18
Jorda, O., Marti, C., Nechio, F., & Tallman, E. (2019). Why Is Inflation Low Globally?. FRBSF Economic Letter, 2019, 19.
19
Karras, G. (1993). Money, inflation, and output growth: Does the aggregate demand-aggregate supply model explain the international evidence?. Review of World Economics, 129(4), 662-674.
20
Khan, M. M. S., & Schimmelpfennig, M. A. (2006). Inflation in Pakistan: Money or wheat? (No. 6-60). International Monetary Fund.
21
Khan, R. E. A., & Gill, A. R. (2010). Determinants of inflation: A case of Pakistan (1970-2007). Journal of economics, 1(1), 45-51.
22
Khan, S. U., & Saqib, O. F. (2011). Political instability and inflation in Pakistan. Journal of Asian economics, 22(6), 540-549.
23
Khan, Z. (1970). Karachi. An urban profile, Karachi Geographers Association, 5, 2.
24
Khanna, S. (2002). The crisis in the Pakistan economy. The World Wide Web. http://www. revolutionarydemocracy. org/rdv8n1/pakistan. htm (accessed April 19, 2014).
25
Malik, I. H. (1996). The state and civil society in Pakistan: From crisis to crisis. Asian Survey, 36(7), 673-690.
26
McNown, R., & Wallace, M. S. (1989). National price levels, purchasing power parity, and cointegration: a test of four high inflation economies. Journal of international money and finance, 8(4), 533-545.
27
Ribeiro, R., D'amato, S., & Pereira, W. (2019). The inflation-distribution nexus: a theoretical and empirical approach (No. 596). Cedeplar, Universidade Federal de Minas Gerais.
28
Rizvi, S. B. U. H., Mohsin, A. Q., & Zakaria, M. (2012). Factors of Inflation on Pakistan Economy: An Empirical Investigation. Stud, 1(1).
29
Rizvi, S. F. A., & Khan, A. H. (2001). Post-liberalisation Efficiency and Productivity of the Banking Sector in Pakistan [with Comments]. The Pakistan Development Review, 605-632.
30
Saleem, S., & Ahmad, K. (2015). Crude Oil Price and Inflation in Pakistan. Bulletin of Business and Economics (BBE), 4(1), 10-18.
31
Sengupta, A. (2014). Breaking up: Dividing assets between India and Pakistan in times of Partition. The Indian Economic & Social History Review, 51(4), 529-548.
32
Stern, J. (2000). Pakistan's jihad culture. Foreign Aff., 79, 115.
33
Stern, R. W. (2001). Democracy and dictatorship in South Asia: dominant classes and political outcomes in India, Pakistan, and Bangladesh. Greenwood Publishing Group.
34
Titman, S. (1982). The effects of anticipated inflation on housing market equilibrium. The Journal of Finance, 37(3), 827-842.
35
Ullah, A., Khilji, B. A., & Hussain, S. W. (2013). Monetary Variability, Output and Inflation in Pakistan: A Simple Statistical Approach. Journal of Managerial Sciences, 7(2).
36
Wallace, P. (1986). The Sikhs as a" Minority" in a Sikh Majority State in India. Asian Survey, 26(3), 363-377.
37
Yasmin, F., & Waqar, R. (2013). Money supply, government borrowing and inflation nexus: Case of Pakistan. Middle East Journal of Scientific Research, 18(8), 1184-1191.
38
ORIGINAL_ARTICLE
The Decision Whether to Hire Managers in a Mixed Duopoly with State-Owned and Labor-Managed Firms
This paper considers a mixed duopoly model in which a state-owned firm competes with a labor-managed firm. The timing of this game is as follows. In the first stage, each firm decides whether or not to hire a manager. In the second stage, the firms that hired managers select incentive parameters for them. In the third stage, firms compete in Cournot fashion. The paper presents the subgame perfect equilibrium of this model.
https://www.ijmae.com/article_115007_db253affc8fac586efa3b38212cefb41.pdf
2020-03-01
167
172
Cournot model
managerial delegation
mixed duopoly
labor-managed firm
state-owned firm
Kazuhiro
Ohnishi
ohnishi@e.people.or.jp
1
Institute for Basic Economic Science, Osaka, Japan
LEAD_AUTHOR
Bárcena-Ruiz, J. C. (2009). The decision to hire managers in mixed markets under Bertrand competition. Japanese Economic Review, 60, 376-388.
1
Basu, K. (1995). Stackelberg equilibrium in oligopoly: an explanation based on managerial incentives. Economics Letters, 49, 459-464.
2
Fernández-Ruiz, J. (2009). Managerial delegation in a mixed duopoly with a foreign competitor. Economics Bulletin, 29, 90-99.
3
Fumas, V. S. (1992). Relative performance evaluation of management: the effects on industrial competition and risk sharing. International Journal of Industrial Organization, 10, 473-489.
4
George, K., & La Manna, M. (1996). Mixed duopoly, inefficiency, and public ownership. Review of Industrial Organization, 11, 853-860.
5
Gunderson, M. (1979). Earnings differentials between the public and private sectors. Canadian Journal of Economics, 12, 228-242.
6
Kräkel, M. (2002). Delegation and strategic incentives for managers in contests. Managerial and Decision Economics, 23, 461-470.
7
Mujumdar, S., & Pal, D. (1998). Effects of indirect taxation in a mixed oligopoly. Economics Letters, 58, 199-204.
8
Nett, L. (1993). Mixed oligopoly with homogeneous goods. Annals of Public and Cooperative Economics, 64, 367-393.
9
Nett, L. (1994). Why private firms are more innovative than public firms. European Journal of Political Economy, 10, 639-653.
10
Ohnishi, K. (2008). International mixed duopoly and strategic commitments. International Economics and Economic Policy, 4, 421-432.
11
Ohnishi, K. (2018). Managerial delegation in an international mixed duopoly with price competition. In K. Ohnishi, Firms' Strategic Decisions: Theoretical and Empirical Findings, Volume 3 (pp. 144-153). Sharjah, UAE: Bentham Science Publishers.
12
Pal, D. (1998). Endogenous timing in a mixed oligopoly. Economics Letters, 61, 181-185.
13
Sklivas, S. (1987). The strategic choice of managerial incentives. Rand Journal of Economics, 18, 452-458.
14
White, M. D. (2001). Managerial incentives and the decision to hire managers in markets with public and private firms. European Journal of Political Economy, 17, 887-896.
15