Fahim Paracha | Hanyang University (original) (raw)
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Papers by Fahim Paracha
Sarhad Journal of Agriculture, 2019
Two of the most common comments I receive through emails are: 'If only Pakistan imposes true ... more Two of the most common comments I receive through emails are: 'If only Pakistan imposes true Islamic system, we'll be able to get rid of the hypocrisies committed in its name.' Of course, most of such suggestions are purposed by my fellow Pakistanis. The other comment in this regard is usually from Dawn readers living in India or the West. It's a simple question: 'Why are Pakistanis always so engrossed about religion?' I am no scholar (religious or otherwise), but rather a student of history with a keen interest in understanding it through the lens of cultural anthropology. You see, most of us living in Pakistan have always been advised to look at cultural studies with suspicion. It has been embedded in us that this sort of an enquiry leads one to question the very foundations of the country's ideology.But, the problem is, the less equipped or inclined we are to questioning what we've been told, the more one-dimensional remains our understanding of th...
Eurasian Economic Review
With the spread of Covid-19, investors' expectations changed during 2020, as well as financial ma... more With the spread of Covid-19, investors' expectations changed during 2020, as well as financial markets' policy responses and the structure of global financial intermediation itself. These dynamics are studied in this paper, which analyzes quarterly changes in herding behavior by quantifying the self-similarity intensity of six stock markets in Asia and Europe. A multifractal detrended fluctuation analysis (MFDFA) is applied, using intraday trade prices with a 15-min frequency from Jan-2020 to Dec-2020. The empirical results confirm that Covid-19 had a significant impact on the efficiency of the stock markets under study, although with a quarterly varying impact. During the first quarter of the year, European stock markets remained efficient compared to Asian markets; in the subsequent two quarters, the Chinese stock market showed significant improvement in its efficiency and became the least inefficient market, with a decline in the market efficiency of the UK and Japan. Furthermore, European markets are more sensitive to asset losses than Asian markets, so investors are more likely to show herding in the former. Herding was at its peak during the 2nd quarter of 2020. These findings could be related to possible market inefficiencies and herding behavior, implying the possibility of investors forming profitable trading strategies.
Symmetry
The use of multifractal approaches has been growing because of the capacity of these tools to ana... more The use of multifractal approaches has been growing because of the capacity of these tools to analyze complex properties and possible nonlinear structures such as those in financial time series. This paper analyzes the presence of long-range dependence and multifractal parameters in the stock indices of nine MSCI emerging Asian economies. Multifractal Detrended Fluctuation Analysis (MFDFA) is used, with prior application of the Seasonal and Trend Decomposition using the Loess (STL) method for more reliable results, as STL separates different components of the time series and removes seasonal oscillations. We find a varying degree of multifractality in all the markets considered, implying that they exhibit long-range correlations, which could be related to verification of the fractal market hypothesis. The evidence of multifractality reveals symmetry in the variation trends of the multifractal spectrum parameters of financial time series, which could be useful to develop portfolio ma...
Sarhad Journal of Agriculture, 2019
Two of the most common comments I receive through emails are: 'If only Pakistan imposes true ... more Two of the most common comments I receive through emails are: 'If only Pakistan imposes true Islamic system, we'll be able to get rid of the hypocrisies committed in its name.' Of course, most of such suggestions are purposed by my fellow Pakistanis. The other comment in this regard is usually from Dawn readers living in India or the West. It's a simple question: 'Why are Pakistanis always so engrossed about religion?' I am no scholar (religious or otherwise), but rather a student of history with a keen interest in understanding it through the lens of cultural anthropology. You see, most of us living in Pakistan have always been advised to look at cultural studies with suspicion. It has been embedded in us that this sort of an enquiry leads one to question the very foundations of the country's ideology.But, the problem is, the less equipped or inclined we are to questioning what we've been told, the more one-dimensional remains our understanding of th...
Eurasian Economic Review
With the spread of Covid-19, investors' expectations changed during 2020, as well as financial ma... more With the spread of Covid-19, investors' expectations changed during 2020, as well as financial markets' policy responses and the structure of global financial intermediation itself. These dynamics are studied in this paper, which analyzes quarterly changes in herding behavior by quantifying the self-similarity intensity of six stock markets in Asia and Europe. A multifractal detrended fluctuation analysis (MFDFA) is applied, using intraday trade prices with a 15-min frequency from Jan-2020 to Dec-2020. The empirical results confirm that Covid-19 had a significant impact on the efficiency of the stock markets under study, although with a quarterly varying impact. During the first quarter of the year, European stock markets remained efficient compared to Asian markets; in the subsequent two quarters, the Chinese stock market showed significant improvement in its efficiency and became the least inefficient market, with a decline in the market efficiency of the UK and Japan. Furthermore, European markets are more sensitive to asset losses than Asian markets, so investors are more likely to show herding in the former. Herding was at its peak during the 2nd quarter of 2020. These findings could be related to possible market inefficiencies and herding behavior, implying the possibility of investors forming profitable trading strategies.
Symmetry
The use of multifractal approaches has been growing because of the capacity of these tools to ana... more The use of multifractal approaches has been growing because of the capacity of these tools to analyze complex properties and possible nonlinear structures such as those in financial time series. This paper analyzes the presence of long-range dependence and multifractal parameters in the stock indices of nine MSCI emerging Asian economies. Multifractal Detrended Fluctuation Analysis (MFDFA) is used, with prior application of the Seasonal and Trend Decomposition using the Loess (STL) method for more reliable results, as STL separates different components of the time series and removes seasonal oscillations. We find a varying degree of multifractality in all the markets considered, implying that they exhibit long-range correlations, which could be related to verification of the fractal market hypothesis. The evidence of multifractality reveals symmetry in the variation trends of the multifractal spectrum parameters of financial time series, which could be useful to develop portfolio ma...