Naveed Khan | International Islamic University Islamabad (original) (raw)

Papers by Naveed Khan

In recent years, the issue of worldwide uncertainty has gained more attention in academic literat... more In recent years, the issue of worldwide uncertainty has gained more attention in academic literature. Therefore, the current study examines how the United States (U.S.) economic policy uncertainty (EPU) affects various stock indices, commodities and cryptocurrencies. This study takes data on stock indices and commodities from February 2005 to December 2023 and data on cryptocurrency from October 2017 to December 2023. For estimations, we employ the Quantile-on-Quantile regression (QQR) approach to investigate the impact and to understand how changes in EPU affect stock indices, commodities, and cryptocurrency returns at different levels of quantiles. The findings reveal that EPU has a negative impact on the stock indices and cryptocurrencies. For stocks, high uncertainty leads to more volatility, while EPU exhibits higher volatility for cryptocurrencies, indicating sensitivity to policy changes. Similarly, commodities react differently to the U.S. EPU, while gold tends to appreciate in uncertain times. Furthermore, we employ quantile regression for robustness check, and the findings validate the outcome of QQR at various levels of quantiles from lower to higher. Moreover, the findings of this study are helpful for investors, portfolio managers, and policymakers to develop better investment strategies and effectively manage risks across different asset classes

Asia Pacific Financial Markets, 2024

In this paper, we examine the effects of return and volatility shocks captured from Bitcoin to ot... more In this paper, we examine the effects of return and volatility shocks captured from Bitcoin to other seven types of major cryptocurrencies by employing the daily data spanning from June 2011 to June 2020. We examine return and volatility transmission from Bitcoin to other cryptocurrencies using ARMA-GARCH model and extension of the asymmetric model of ARMA-TGARCH and ARMA-EGARCH. Moreover, we apply Dynamic Conditional Correlation and Asymmetric Dynamic Conditional Correlation (DCC and ADCC) models to measure the time-varying nature of conditional correlation. The results of the study show strong evidence of shocks transmission from Bitcoin to other cryptocurrencies in terms of both returns and volatility spillover, except for some less inefficient cryptocurrencies. In addition, the majority of the cryptocurrencies also reflect strong evidence about time-varying dynamic conditional correlation with asymmetric effects that adds ups the significant novelty in the existing literature from the methodological perspective as well.

NICE Research Journal, 2024

Purpose - The current study examines the impact of E, S, and G factors separately on firm perform... more Purpose - The current study examines the impact of E, S, and G factors separately on firm performance and value of developed and emerging markets, a perspective overlooked in current literature. Study Design/Methodology/Approach - The study uses a large international sample comprising 614 non-financial firms with 8,484unbalanced observations, segregated between emerging and developed markets. The study estimates the output using the Generalized Least Square (GLS) technique. Findings - Our study presents two novel findings in these markets. In the case of developed markets, we find that E, S, and G positively affect firm financial performance and firm value. However, in emerging markets we find that E, S, and G have mixed (that is, negative and positive, and significant and insignificant) effects on firm performance and firm value. Practical Implications- Our findings show that the positive impact of ESG pillars on firm value and performance in developed markets must incentivize senior management to enhance their sustainability commitment, a model that should be replicated in emerging markets as well. Additionally, from the perspective of regulatory bodies, specifically considering emerging markets, our findings can help in understanding the causes of the unfavorable association between ESG practices, investor expectations, and firm performance. Originality/Novelty- Previous literature mainly focuses on the overall ESG score when evaluating its impact on firm-specific variables. Additionally, the institutional settings and market dynamics of developed and emerging markets are significantly different and must be considered when interpreting results or developing empirical models.

In this paper, we examine the Moderating Role of Governance on the Relationships between social i... more In this paper, we examine the Moderating Role of Governance on the Relationships between social inclusion (SI), Information and communication technology infrastructure (ICT), and financial inclusion (FI) in 46 countries representing a global sample span from 2010 to 2020. We collect the data from the IMF's financial access survey and construct a multidimensional FI index. Based on the FI index, we divide the sample into two sub-samples (med-high level and low-level FI countries). For the empirics, we employed panel-corrected standard errors, fully modified ordinary least squares and dynamic ordinary least squares techniques. We find that SI is negatively related to FI. ICT infrastructure positively influences FI. Further, we find that governance with sound ICT infrastructure and socially inclusive communities enhances FI. The findings of subsamples are similar to the full sample results except for a promoting effect of SI and governance in the case of med-high financially inclusive economies. Moreover, the Interaction term of governance and ICT infrastructure is insignificant in med-high financially inclusive economies and negatively significant in low financially inclusive economies. Our study reports novel findings which have significant implications for policymakers and financial institutions to effectively develop and implement new policies which strengthen the institutional base, develop digital banking infrastructure, enhance SI to boost up FI and ensure sustainable economic growth.

Advances in Business and Commerce (ABC) , 2023

The performance and evaluation of firms has always been a matter of concern for market participan... more The performance and evaluation of firms has always been a matter of concern for market participants. Therefore, we examine the potential impact of different performance and evaluation measures including earnings and cash flows to determine the measure that best apprehends the firm performance in stock returns. Moreover, we also examine the role of accruals in this regard. For the empirics we take sample comprised of actively traded companies of the textile sector of Pakistan and employed panel data regression models to test the hypothesis of the study. After the analysis, we find that earnings possess supremacy over cash flows in explaining the stock returns. Further, we document that the finding is specifically true in the case of profit-making firms. Where in case of loss-making firms, neither earnings nor cash flows better reflect the firms' performance. Similarly, we find that when the size of accruals is increased, the earnings undoubtedly gain potential to disclose the firm performance, thus weakening the capability of cash flows in this connection.

Asian Academy of Management Journal of Accounting and Finance, 2023

The discovery of the golden ratio and the development and the theory for the golden ratio in mode... more The discovery of the golden ratio and the development and the theory for the golden ratio in modern science have witnessed the use of the ratio across many fields, including business, economics and finance. However, the ratio has rarely been used in solving corporate problems, such as fundamental analysis and capital structure decisions. To bridge the gap in the literature, in this paper, we examine the role of the golden ratio in deciding the capital structure and its effect on the firm's financial performance and market acceptance for the manufacturing and services sector listed on the Pakistan Stock Exchange for the period from 2010 to 2019. In our analysis, we find a significant association between the deviation from the capital structure and the variation of the firm's financial performance and market acceptance by using the golden ratio. The empirical findings of this study suggest that the golden ratio is an efficient tool for measuring capital

Economic Annals, 2023

The body of literature on the nexus concerning innovation, the development of financial systems, ... more The body of literature on the nexus concerning innovation, the development of financial systems, and economic growth has gained increasing attention in recent times. However, it is observed that the majority of studies are conducted in developed and emerging economies. This study is unique in its own right by exploring the effect of innovation and financial development on economic growth using panel data for 30 sub-Saharan Africa (SSA) countries from 2001-2018. The study employed symmetric panel ARDL, common correlated effect ARDL, and asymmetric panel ARDL. Our empirical findings revealed a long-run effect of innovation and financial development on the economic growth of SSA. This means that expansion of the financial sector and better innovation activities in SSA stimulate long-term economic growth. Robustness tests provided consistent results with the baseline findings. The study therefore recommends that to promote sustained economic growth and development in the region, policy makers must collectively work in close collaboration with relevant stakeholders in enhancing regional financial reforms and innovative activities.

Heliyon-Elsevier , 2023

This study aims to extend the Fama-French three-factor model by including human capital as a four... more This study aims to extend the Fama-French three-factor model by including human capital as a fourth factor. For this purpose, we have collected data from 164 non-financial firms from July 2010 to June 2020. To evaluate the validity and applicability of our augmented human capitalbased four-factor model, we apply the two-pass time series regression proposed by Fama-Macbeth (1973). We find that small firms outperform big firms, value stocks firms outperform growth stocks firms, and low-labor-income firms outperform high-labor-income firms. The augmented human capital-based four-factor model is valid and applicable in the context of the Pakistan equity market. The empirical results motivate academia and all investors to consider human capital in investment decisions.

MDPI, 2023

In recent years, the rapid and significant development of emerging markets has globally led to in... more In recent years, the rapid and significant development of emerging markets has globally led to insight from potential investors and academicians seeking to assess these markets in terms of risk inheritance. Therefore, this study aims to explore the validity and applicability of the capital asset pricing model (henceforth CAPM) and multi-factor models, namely Fama–French models, in Pakistan’s stock market for the period of June 2010–June 2020. This study collects data on 173 non-financial firms listed on the Pakistan stock exchange, namely the KSE-100 index, and follows Fama-MacBeth’s regression methodology for empirical estimation. The empirical findings of this study conclude that small portfolios (small-size companies) earn considerably higher returns than big portfolios (large-size companies). Ultimately, the risk associated with portfolio returns is reported to be higher for small portfolios (small-size companies) than for big portfolios (large-size companies). According to the regression output, the CAPM was found to be valid for explaining the market risk premium above the risk-free rate. Similarly, the FF three-factor model was found to be valid for explaining time-series variation in excess portfolio returns. Later, we added human capital into FF three- and five-factor models. This study found that the human capital base six-factor model outperformed the other competing asset pricing models. The findings of this study indicate that small portfolios (small-size companies) earn more returns than big portfolios (large-size companies) to reward the investor for taking extra risks. Investors may benefit by timing their investments to maximize stock returns. Company investment in human capital adds reliable information, replicates the value of the company and, in the long term, helps investors make rational decisions.

Annals of Financial Economics, 2022

The objective of this study is to explore Roy and Shijin [(2018). A six factor assets pricing mod... more The objective of this study is to explore Roy and Shijin [(2018). A six factor assets pricing model. Borsa Istanbul Review, 18(3), 205–217] six-factor-model of asset pricing by extending Fama and French five-factor model to include human capital as a sixth factor in the context of Pakistan — an emerging country in Asia, and to test the validity of the six-factor asset pricing model in explaining time-series variations in portfolio returns of Pakistan equity market. For this purpose, we use Fama and Macbeth’s two-pass time series regression technique to test the validity and applicability of the six-factor model. The findings indicate that the six factors model is an appropriate asset pricing model for explaining time-series variations in Pakistan. Furthermore, the human capital (labor income growth rate) is significant for most of the portfolios constructed in this study, which implies that the human capital significantly explains time-series variations in portfolio returns. The empirical results encourage all types of investors and academics to incorporate human capital into asset pricing models. It helps in more accurately estimating the required rate of return, which can improve asset pricing models.

Sustainable Business and Society in Emerging Economies, 2021

Purpose This study examined the effect of leverage, debt maturity on corporate financial performa... more Purpose This study examined the effect of leverage, debt maturity on corporate financial performance of non-financial firms listed at the Pakistan Stock Exchange. Targeted population of this study was 100 firm listed at PSX as KSE-100 index out of which 74 non-financial firms were selected from 28 different sectors for the period of 5 years 2013 to 2017. Design/Methodology/Approach: Financial performance measured by ROA, ROE, while leverage, short term leverage, long term leverage taken as independent variables, four variables were taken as control which are size, current ratio, sale growth, tangibility. On the basis of Hausman test, results of random effect model were found appropriate. Findings: ST and LT Leverage have a negative significant and insignificant effect on financial performance (ROA) respectively, moreover long term leverage has a positive and significant but short has a negative and insignificant effect on ROE. The results of the control variables showed that size has a negative and significant effect on ROA and ROE, whereas current ratio has insignificant and negative effect on ROA, ROE. Sale growth has a positive and insignificant effect on firms ROA and ROE. Tangibility has insignificant and negative effect on financial performance. Implications/Originality/Value: This study is consistent with traditional trade-off theory and recommended that management of the non-financial firms listed at the PSX should employ minimal debt level or use an optimal level of capital structure and also to attract good management thus to improve their financial performance.

Journal of Business Strategies, 2020

At last Dummy variables for comparison were added in model which shows that there exists signific... more At last Dummy variables for comparison were added in
model which shows that there exists significant difference
between financial and non-financial firms for holding cash
level, which suggest that on average both sectors hold
different level of cash and cash equivalent. The findings
of this study is aligned with trade-off and pecking order
theory and previous researcher, moreover the findings of
this study suggest that it will be beneficial for company
manager, who could employ minimum debt level or use
an optimum level of capital structure, in order to deviate
the managerial conflict, such study is also benefited for
shareholders, creditors and investors.

Journal of Business Strategies, 2019

The purpose of this study is to empirically investigate the impact of WCM on Profitability for a ... more The purpose of this study is to empirically investigate the impact of WCM on Profitability for a sample of 30, Cement and Sugar industries, listed on Pakistan Stock Exchange (PSX). Data is secondary in nature and time of the study is 2014-2018. STATA software is used measure the effect. In this research NPM is taken as dependent variables and WCM independent which is measured by liquidity ratio while Firm Size is taken as control variable. The key finding of analysis shows that CR has positive and significant effect on profitability in both sectors. However CCC has negative and significant but positive and insignificant effect on profitability in both sectors. ITR has positive and insignificant effect on Profitability, Size has positive and significant effect on profitability in both sectors. The final discussion comprehend that increase in CCC leads to decrease in Profitability, while decrease in CCC leads to increase in Profitability. The quicker the firm converts its assets in to liquidity the better the firm will assume profitability. It concluded that profitability can be enhanced if industry manager manage their working capital in a more efficient way. At last test equality of matched pairs was applied to measure the trend effect which shows that both industries have different operation, techniques and infrastructure, which has significant difference between firm variables and ITR has insignificant effect. Which show that both industries have same mean of Inventories Turnover.
Keywords. Net Profit Margin, Current Ratio, Inventories Turnover Ratio, Cash Conversion Cycle, Size of Firm.

The Impact of Earnings Management on Dividend Policy: Empirical Analysis of Kse-100 Index Firms, 2019

For a number of purposes management of firms indulges in earnings manipulations. Moreover, to att... more For a number of purposes management of firms indulges in earnings manipulations. Moreover, to attract investors firms distribute dividend regularly, however sometimes to do so management can manipulate earnings information. in turn, such activities negatively affect the performance of firms in long run. Hence, in current paperinvestigated earnings manipulation and dividend policies of a sample of 76KSE-100 indexnon-financial listed firms ofPakistan stock exchange during2010-2016.Data are secondary in nature and collected from annual reportsof firms.For measurement of earnings manipulation used discretionary accruals of management activities andmodified cross sectional Jones model (1995) is used.Moreover, used random effect panel data techniquefor analysis. The final results revealed that earningsmanagement and dividend payout ratio as proxy of dividend policy are negatively and insignificantly associated. Therefore, concluded that if management involves in manipulation practices then they are unable to pay their obligations as dividend. Moreover, if the governance system is strong then management cannot manipulate true information because according to governance system management should comply and explain the dividend payment procedures.

Conference Presentations by Naveed Khan

Book of Abstracts Final, 2019

The purpose of this study is to empirically investigate the impact of WCM on Profitability... more The purpose of this study is to empirically investigate the impact of WCM on Profitability for a sample of 30, Cement and Sugar industries that are listed on Pakistan Stock Exchange (PSX). This research will expand the horizon of knowledge and comparative analysis of manufacturing sector (Cement and sugar). In this study Panel data is used and time of the study is FY 2014 to FY 2018, Secondary data is used and sources of data were taken from financial annual report of industry, STATA software is used for Pooled Ordinary Least Square to measure the effect. In this research NPM is taken as dependent variables and WCM independent which is measured by liquidity ratio while Size of Firm is taken as control variable. The key finding of analysis shows that CR has positive and significant effect on profitability in both sectors. However CCC has negative and significant but positive and insignificant effect on profitability in both sectors. ITR has positive and insignificant effect on profitability, Size has positive and significant effect on profitability in both sectors. The final discussion comprehend that increase in CCC leads to decrease in Profitability, while decrease in CCC leads to increase in Profitability. The quicker the firm converts its assets in to liquidity the better the firm will assume profitability. It concluded that profitability can be enhanced if industry manager manage their working capital in a more efficient way. At last test equality of matched pairs was applied to measure the trend effect which shows that both industries have different operation, techniques and infrastructure, which has significant difference between firm variables and ITR has insignificant effect. Which show that both industries has different inventories turnover.
Keywords: Net Profit Margin, Current Ratio, Inventories Turnover Ratio, Cash Conversion Cycle, Size of Firm.