Journal of Quantitative Methods https://ojs.umt.edu.pk/index.php/jqm <p><em>Journal of Quantitative Methods&nbsp;</em>(<em>JQM</em>) is a multidisciplinary bi-annual journal launched in 2017 by the Department of Quantitative Methods, School of Business and Economics (SBE), University of Management and Technology (UMT), Lahore, Pakistan.&nbsp;<em>JQM</em>&nbsp;provides new insights and fosters critical debate about the role of data analysis in business and economics.&nbsp;<em>JQM</em>&nbsp;is a double blind peer-reviewed publication dedicated to the exchange of the latest academic research and practical information on all the aspects of quantitative methods in business and social sciences. The journal publishes original research papers, reviews and case studies by academicians and professionals.</p> Department of Quantitative Methods, School of Business and Economics, University of Management and Technology, Lahore Pakistan en-US Journal of Quantitative Methods 2522-2252 <p><em>JQM</em>&nbsp;follow an open-access publishing policy and full text of all published articles is available free, immediately upon publication of an issue. The journal’s contents are published and distributed under the terms of the <a href="https://creativecommons.org/licenses/by/4.0/">Creative Commons Attribution 4.0 International</a> (<a href="https://creativecommons.org/licenses/by/4.0/">CC-BY 4.0</a>) license. Thus, the work submitted to the journal implies that it is original, unpublished work of the authors (neither published previously nor accepted/under consideration for publication elsewhere). On acceptance of a manuscript for publication, a corresponding author on the behalf of all co-authors of the manuscript will sign and submit a completed&nbsp;the <a href="https://ojs.umt.edu.pk/index.php/jqm/libraryFiles/downloadPublic/44" target="_blank" rel="noopener">Copyright and Author Consent Form.</a></p> An Analysis of the Relationships among Exports, Imports, Physical Capital and Economic Growth in Pakistan https://ojs.umt.edu.pk/index.php/jqm/article/view/339 <p style="text-align: justify;"><em>This review emphasized the relationship among capital formation, economic growth, exports and imports in case of Pakistan scenario using time series data from 1976 to 2015. Augmented Dickey Fuller Test, Johansen Co-integration, Vector error correction model and Granger Causality techniques have been used to check the relationships among exports, imports and economic growth. The results from this study show that the exports, imports, real GDP and gross fixed capital formation have a long run relationship and are co-integrated. This study uses the data of Pakistan and concludes that GDP doesn’t granger cause with the export and import while export and imports do granger cause with the GDP in the long run. Finding of the study also displays that physical capital formation has no impression over GDP. Previous study shows the positive relation among exports, imports, capital formation and economic growth while this study shows that in the long run capital formation and economic growth has no effect. Government subsidizes the exports and also increases the duty bills on imports that help boost the domestic industries manufacture the goods and motivate to produce the best quality of g</em>oods.</p> <p><em><strong>JEL codes: </strong></em>F2, O47</p> Syed Asfand Yar Shah Naeem Ahmad Wasim Aslam Bilal Haider Subhani ##submission.copyrightStatement## http://creativecommons.org/licenses/by/4.0 2020-03-02 2020-03-02 4 1 1 1 10.29145/10.29145/2020/jqm/040105 Investment, Poverty and Growth Nexus in Pakistan: Empirical Evidence from ARDL Modeling Approach to Co-Integration https://ojs.umt.edu.pk/index.php/jqm/article/view/344 <p style="text-align: justify;"><em>This study analyzes the nexus of investment, poverty and growth in Pakistan. It will develop comprehensive macro economic model of Pakistan economy with the desire of amplification and provided that a long-term result for the determined investment-poverty-growth discrepancy veterans. The significant level of investment and sustained economic growth may be the major driving forces for poverty decrease in Pakistan. The level of investment also assists the poor through a direct allocation influence as well as tortuous growth effect, in both the long run and short run. To detect the long term and short term effects of economic development, poverty and investment, an ARDL modeling approach to co- integration is functional, which is the suitable technique &nbsp;in excess of method of integration after examining the stationary level of the data through ADF Test. The bound testing approach is exploited for cointegration to analyze the presence of long term association amid variables and ECM models are verbalized for short term analysis. The model is predictable with time-series data from 1972 to 2013 confine mutually the long-run and short-run forceful goods of the economy. The model is subjected to a sequence of strategy situation &nbsp;that assesses a mixture of options for government to recover the prolific ability of the economy, thus attain continued hasten growth and a decrease in &nbsp;Pakistan`s poverty.</em></p> <p style="text-align: justify;"><em><strong>JEL Classification Codes:</strong> G12, G 14</em></p> Hina Ali Imran Sharif ##submission.copyrightStatement## http://creativecommons.org/licenses/by/4.0 2020-03-02 2020-03-02 4 1 1 1 10.29145/10.29145/2020/jqm/040107 Panel Data Analysis of Press Freedom and Women Empowerment https://ojs.umt.edu.pk/index.php/jqm/article/view/343 <p style="text-align: justify;"><em>More equal economic, social and political rights for women have long been part of civil and political right movements. It is widely believed that women’s rights are important for greater economic prosperity, good governance and social equality. However, women are still being discriminated in many parts of the world. How women’s rights can be protected? To answer this question, the literature has highlighted the importance of free media in promoting women’s rights. The extant literature on media and women rights, however, is largely limited to descriptive analysis and theoretical arguments. Moreover, the available evidence is confined to few case studies and anecdotal stories, which cannot be generalized globally. This study contributes in the literature by empirically investigating the relationship of press freedom with women empowerment using a large panel of 160 countries from 1996 to 2011. For empirical analysis, the ordered logit method is used. The empirical finding confirms that press freedom is an effective tool to empower women’s economic, political and social rights. Findings of the study are shown to be robust to different specifications, sub-samples, regional controls and different forms of women empowerment.</em></p> <p><strong><em>JEL Classifications Codes: </em></strong>C23, J16, Z10</p> Tariq Majeed Amna Malik ##submission.copyrightStatement## http://creativecommons.org/licenses/by/4.0 2020-03-02 2020-03-02 4 1 1 1 10.29145/10.29145/2020/jqm/040106 Contagion in Futures FOREX Markets for the Post- Global Financial Crisis: A Multivariate FIGARCHcDCC Approach https://ojs.umt.edu.pk/index.php/jqm/article/view/73 <p style="text-align: justify;"><em>This paper seeks to investigate the time-varying conditional correlations to&nbsp;</em><em>the futures FOREX market returns. We employ a dynamic conditional&nbsp;</em><em>correlation (DCC) Generalized ARCH (GARCH) model to find potential&nbsp;</em><em>contagion effects among the markets. The under investigation period is&nbsp;</em><em>2014-2019. We focus on four major futures FOREX markets namely&nbsp;</em><em>JPY/USD, KRW/USD, EUR/USD and INR/USD. The empirical results&nbsp;</em><em>show an increase in conditional correlation or contagion for all the pairs</em><em>of future FOREX markets. Based on the dynamic conditional correlations,&nbsp;</em><em>KRW/USD seems to be the safest futures FOREX market. The results are&nbsp;</em><em>of interest to policymakers who provide regulations for the futures FOREX&nbsp;</em><em>markets.</em></p> <p style="text-align: justify;"><em><strong>JEL Classification Codes:</strong> C58, C61, G11, G15</em></p> Konstantinos Tsiaras ##submission.copyrightStatement## http://creativecommons.org/licenses/by/4.0 2020-02-28 2020-02-28 4 1 1 1 10.29145/2020/jqm/040102 Event Study and Impulse Indicator Saturation Analysis to Assess Reaction of Terrorist and Political Events: Evidence from Oil and Gas Sector of Pakistan https://ojs.umt.edu.pk/index.php/jqm/article/view/300 <p><em>The objective of this study is twofold, first, to assess the impact of<br>terrorist attacks and political events on returns and volatility oil and gas<br>sector of Karachi Stock Exchange from the period of 2004 to 2014.<br>Second, to compare the results of these events applying event study<br>methodology, event dummy analysis and impulse indicator saturation.<br>Results indicate that the oil and gas sector reacts on the occurrence of<br>terrorism and political events and the results of two methodologies<br>event study and event dummy analysis are almost similar. However,<br>impulse indicator saturation is able to provide better results in<br>comparison to event study and event dummy analysis because as it<br>captures all breaks and co-breaks within a sample period,<br>moreover it clearly helps in defining rebounding period of the market.</em></p> <p><em><strong>JEL Classification Codes:</strong> G12, G14</em></p> Attiya Yasmin Javid Bilal Ahmad ##submission.copyrightStatement## http://creativecommons.org/licenses/by/4.0 2020-02-28 2020-02-28 4 1 1 1 10.29145/2020/jqm/040104 The Impact of Fiscal Policy on Aggregate Economic Activity: A Regime Dependent Impulse Response Analysis https://ojs.umt.edu.pk/index.php/jqm/article/view/292 <p style="text-align: justify;"><em>Asymmetries in fiscal policies cannot be captured by linear time series models. In order to examine the asymmetry responses of output in different phases of the business cycle, Markov Regime Switching (MRS) model is an alternative technique that is used to achieve the objective.&nbsp; The main objective of this study is to empirically explore the effects of fiscal shocks (spending and taxes) on Pakistan’s overall economic activity GDP while utilizing Markov Switching MS-VAR model. The model is characterized to allow for the variation in mean, coefficients and in error variances. The study results show that the effect of shocks and the size of multiplier varies across regimes confirming the asymmetric behavior of fiscal policy transmission mechanism. Moreover, the impact of positive spending shock has a stronger effect on output in the recession as compared to boom. One surprising result of the study is that the tax shock increases the output both in recession and boom. Lastly, spending and revenue behave a-cyclically.</em></p> <p style="text-align: justify;"><em><strong>JEL Classification Codes:</strong> C11; C32; E62</em></p> Wajid Ali Iftikhar Ahmad ##submission.copyrightStatement## http://creativecommons.org/licenses/by/4.0 2020-02-28 2020-02-28 4 1 1 1 10.29145/2020/jqm/040101 The Role of Trading Frequency and Transaction Cost on Asset Pricing: Evidence from Pakistan Stock Exchange https://ojs.umt.edu.pk/index.php/jqm/article/view/299 <p>This paper compares price impact ratio (Amihud, 2002) and new price<br>impact ratio (Florackis, Gregoriou, &amp; Kostakis, 2011) by taking daily<br>data from Pakistani market for a period of 14 years ranging from<br>January 2000 to December 2013. The first part of the paper covers the<br>comparison of deciles portfolios and the second part covers risk<br>adjusted deciles portfolios. Results suggest that new price impact model<br>gives better results as compared to extensively applied price impact<br>model and confirms that costs of transaction and trading frequency<br>jointly effect asset pricing. Therefore, both the aspects should be studied<br>mutually rather than in isolation.</p> <p><em><strong>JEL Classification Codes:</strong>&nbsp;G10; G12; G14</em></p> Saira Gul Sabeeh Ullah ##submission.copyrightStatement## http://creativecommons.org/licenses/by/4.0 2020-02-28 2020-02-28 4 1 1 1 10.29145/2020/jqm/040103 The 2008 Crisis: An International Finance (Over)view https://ojs.umt.edu.pk/index.php/jqm/article/view/98 <p><em>The aim of this paper is to present an international finance view of the 2008 crisis. By relying on four traditional international finance classes of models (the intertemporal current account approach, two exchange rate risk premium models and open-economy economic policy models), we addresed, theoretically, the importance of macro-finance aspects of the episode such as portfolio reallocation and its aggregate effects, using data for supporting the claims. Moreover, by telling the story of the crisis, divided in three periods (Great Moderation, Great Recession and Euro Crisis) we provided an overview of the deployments as well as an understanding of the development from a slightly point of view. </em></p> João Costa-Filho ##submission.copyrightStatement## http://creativecommons.org/licenses/by/4.0 2019-08-31 2019-08-31 4 1 90 109 10.29145/2019/jqm/030201 Statistical Analysis of Location Parameter of Inverse Gaussian Distribution Under Noninformative Priors https://ojs.umt.edu.pk/index.php/jqm/article/view/101 <p><em>Bayesian estimation for location parameter of the inverse Gaussian distribution is presented in this paper. Noninformative priors (Uniform and Jeffreys) are assumed to be the prior distributions for the location parameter as the shape parameter of the distribution is considered to be known. Four loss functions: Squared error, Trigonometric, Squared logarithmic and Linex are used for estimation. Bayes risks are obtained to find the best Bayes estimator through simulation study and real life data</em></p> Nida Khan Muhammad Aslam ##submission.copyrightStatement## http://creativecommons.org/licenses/by/4.0 2019-08-31 2019-08-31 4 1 62 76 10.29145/2019/jqm/030204 Threshold Effects of Institutional Quality in the Infrastructure-Growth Nexux https://ojs.umt.edu.pk/index.php/jqm/article/view/100 <p><em>This study estimates the threshold level of institutional quality that will ensure the efficient use of infrastructure in stimulating growth in Sub-Saharan Africa based on panel data from 41 countries in the region between 1996 and 2015. It employs a dynamic panel threshold regression model which is derived from the New Institutional Economics theory and this is estimated using the first-differenced Generalized Method of Moments estimator. Results reveal that the relationship between infrastructure and growth is non-linear which provides support for the use of a threshold regression model, with institutional quality serving as the threshold variable. In terms of the threshold level, the findings show that the index of institutional quality that will ensure the efficient use of infrastructure in stimulating growth is 0.410. The study also finds that, on average, countries in the region operate below this threshold level, hence their poor growth. The conclusion that is drawn from the analysis is that poor or low institutional quality is one of the factors hampering the growth of countries in the SSA region. A major limitation of the study is that the estimator employed for the threshold analysis is developed for models with single threshold value only and so does not allow for multiple threshold values. Thus, it is recommended that governments in the region need to formulate and implement policies targeted at improving the level of institutional quality in their countries.</em></p> Eyitayo O. Ogbaro ##submission.copyrightStatement## http://creativecommons.org/licenses/by/4.0 2019-08-31 2019-08-31 4 1 45 61 10.29145/2019/jqm/030203