Attaullah Shah | Institute of Management Sciences (original) (raw)

Papers by Attaullah Shah

Afro-Asian J. of Finance and Accounting (AAJFA), 2020

This paper analyses herding behaviour in the Pakistan stock exchange (PSX, formerly known as Kara... more This paper analyses herding behaviour in the Pakistan stock exchange (PSX, formerly known as Karachi stock exchange, KSE) for a sample of 663 firms over a period of 13 years, from 2004 to 2017. For detecting herding behaviour, two dependent variables are used, i.e., cross-sectional standard deviation (CSSD) of Christie and Huang (1995) and cross-sectional absolute deviation (CSAD) of Chang et al. (2000). The results show no herding behaviour on the basis of both methods at different levels of market movements. The absence of the herding behaviour may be because these firms belong to different sectors which may follow their respective industry portfolios but not the overall market; for example, Shah et al. (2017) documented that firms in several industries herd toward their industry portfolios for Pakistani data. Future research can be done using a primary data collection method from investors about their opinion on herding behaviour.

Pakistan Business Review , 2017

This study explores the impact of short-term financing on the operational performance of firms an... more This study explores the impact of short-term financing on the operational performance of firms and the relationship of the former to risk-adjusted profitability. The sample consists of 352 non-financial firms listed on the KSE (now Pakistan Stock Exchange) from 2003 to 2014. We use several dynamic panel data estimation techniques and find that short-term financing is positively but insignificantly related to firms' profitability. As far as short-term financing and risk-adjusted profitability are concerned, the results confirm the hypothesis that short-term financing has no impact on risk-adjusted profitability under GMM estimation procedure. This study contributes to the literature as no prior study exists on the association of risk-adjusted profitability and short-term financing.

This study attempts to examine the presence of herding behavior in the Pakistan Stock Exchange (P... more This study attempts to examine the presence of herding behavior in the Pakistan Stock Exchange (PSX). The novel contribution of this paper is that it investigates the herding phenomenon from a large number of facets such as herding of firms towards market, herding of firms towards industry portfolios, herding of industry portfolios towards market, herding in mostly traded stocks and in large and small stocks, and herding in the crisis period. For this purpose, we use the herding behavior model of Christie and Huang (1995) on the daily closing prices data of 609 firms listed on the PSX from January 2004 to December 2013. Results show that individual firms do not herd towards market index, except when the market experiences a negative return of 5%. However, when we sort firms into small and large groups based on median market capitalization, results indicate that large firms show herding behavior in extreme market movements. Further, we find that firms in several industries herd towards their industry portfolios. However, we find weak evidence of industry portfolios herding towards the market. We also segregate the impact of financial crisis of 2008 from normal times. These findings support results of our baseline estimation .

The debt maturity of listed firms in Pakistan has shown significant decline over the last decade.... more The debt maturity of listed firms in Pakistan has shown significant decline over the last decade. In this study, we investigate changes in both the demand-side and supply-side factors that are responsible for this decline. For this purpose, we study 364 firms for a period of seventeen years, i.e. 1996 to 2012. Analysis of the demand-side factors reveals that the decrease in debt maturity is significantly explained by agency and maturity matching theories while information asymmetry theory has limited explanatory power. Further, analysis of the supply-side factors such as loans granted to private sector explains much of the reason of decrease in debt maturity structures. Overall, both demand and supply-side factors are responsible for the declining debt-maturity structures of Pakistani firms; however, much of the decrease is attributed to supply-side rather than firms' own characteristics or demand-side factors.

A B S T R A C T This paper analyses the impact of capital gains taxation (CGT) on dividend policy... more A B S T R A C T This paper analyses the impact of capital gains taxation (CGT) on dividend policy among firms that are listed at the Karachi Stock Exchange (now, Pakistan Stock Exchange or PSX). The reason for choosing the Pakistani market is the country's idiosyncratic taxation system regarding dividend and capital gains. In Pakistan, capital gains were tax-free and taxation of capital gains was levied for the first time beginning July 2010. This motivates us to study the special case of Pakistani market regarding the relationship between the imposition of capital gains taxation and the pattern of dividend payouts. For this purpose, we use both the static and dynamic panel data models (generalized methods of moments) to analyze dividend payment behavior for a sample of 284 non-financial firms listed at the PSX from the years 2006–2014. We use the dividends to total assets ratio as a dependent variable and a taxation dummy along with other control variables such as liquidity, leverage, profitability, last year's dividend and firm size, as explanatory variables. Results of the regressions show that capital gains tax has no impact on dividend payments, while profitability, leverage, and last year's dividend are the most significant determinants of dividend payments in the Pakistani market.

During the stock market turmoil and later on in the year 2008, the Securities and Exchange Commis... more During the stock market turmoil and later on in the year 2008, the Securities and Exchange Commission of Pakistan (SECP) suspended trading in futures products at the Karachi Stock Exchange (KSE) due to their proven destabilizing role in Global Financial Crises (GFC). On July 27 th 2009, the Single Stock Futures (SSFs) were re-launched with stringent regulations for their trading in stock market. In this study, an attempt is made to identify changes in the volatility dynamics of underlying stocks after resumption of SSFs in KSE with tighter regulations than before and whether stringent regulations are justified or not. Specifically, the study decomposes volatility into systematic and unsys-tematic risk components and investigates the inherent changes in the underlying stocks' volatility subsequent to the resumption of SSFs. The findings suggest that the decrease in the systematic and unsystematic risk cannot be attributed to the firms' contract listing, but contemporaneous market, industry or macroeconomic changes. The findings may imply that stringent regulations are unjustified, which may reduce the liquidity and efficiency of the market and do no good to the market.

During the market turmoil, and later in the year 2008, the Securities and Exchange Commission of ... more During the market turmoil, and later in the year 2008, the Securities and Exchange Commission of Pakistan (SECP) decided to discontinue the trading in single stock futures (SSFs) at the Karachi Stock Exchange (KSE). On 27th July 2009, trading in SSFs were re-launched in those stocks which passed the stringent criteria set by the SECP. While the overall market is in a transitional stage, there is a need to assess this new situation in order to improve and regulate the available futures contracts, as well as, the upcoming options contracts. In this vein, this study attempts to investigate the impact of parallel SSFs markets on the underlying spot market by examining whether the introduction of futures has played a role in destabilizing the market. The results suggest an insignificant change in coefficients used to gauge the market inefficiencies, feedback trading, trading volume, and volatility. This may imply that stringent contract specifications have helped to mitigate the potential destabilizing ability of SSFs.

Emerging Markets Finance and Trade, 2016

Copyright© 2010 by Attaullah Shah All rights reserved. No part of the material protected by this ... more Copyright© 2010 by Attaullah Shah All rights reserved. No part of the material protected by this copyright notice may be reproduced or utilized in any form or by any means, electronic or mechanical, including photocopy, recording or by any information storage and retrieval ...

In this paper, we examine the possibility of an impact of the resumption of trading in Single Sto... more In this paper, we examine the possibility of an impact of the resumption of trading in Single Stock Futures (SSFs) on the dynamics (positive feedback trading and price volatility) of the underlying stocks in Pakistan's market. Specifically, we test the hypothesis that trading in SSFs promotes or inhibits positive feedback trading in the spot market. Analyzing SSFs has several advantages over investigation of index futures. First, any impact of futures is more likely to be evident in the behavior of SSFs than index futures. Second, with SSFs it is possible to trade directly in the underlying stocks, and the endogeneity issue can be taken care of by using a relatively weighted portfolio of non-SSFs stocks. The findings of our study suggest that there is a statistically insignificant presence of positive feedback trading in both pre-SSFs period to post-SSFs period for both SSFs-listed stocks and a matching group of non-SSFs stocks. Furthermore, the unconditional volatility has sign...

Pakistan development review

Previous studies on capital structure in Pakistan have reported evidence in support of the peckin... more Previous studies on capital structure in Pakistan have reported evidence in support of the pecking order theory. However, this evidence is largely based on testing one dimensional extensively test the pecking order theory in Pakistan with well-known pecking order testing models. Specifically, we use a sample of 321 firms listed on the Karachi Stock Exchange from the year 2000 to 2009 and test pecking order theory with models suggested Results of these models indicate that there exits only weak evidence in support of pecking order theory in Pakistan. However, strong support is found for pecking order theory when leverage ratios are regressed on profitability ratio, along with a set of control variables. This discrepancy in the results of the two sets of models needs further investigation, as well as care in interpreting the results of existing studies on capital structure in Pakistan. Our results show robustness even after controlling for possible profits understatements or weak corp...

This study was conducted with the aim to collect and review the work done so far in the field of ... more This study was conducted with the aim to collect and review the work done so far in the field of BPR. Focus of this study was on providing a comprehensive overview of overall development of BPR concept, theories, models, approaches and outcomes, and success and failure causes. Design/Methodology/ Approach: study was based on secondary source i.e. published and available researches in the field of BPR. Research papers were critically reviewed and then were divided into sub headings i.e. introduction, why do firm need change, background of BPR, BPR methodologies, approaches, causes of success and failure, and BPR in practice (both in public and private sectors). Research Limitations: Study was restricted to the subject of available researches (online) and to the specific objective i.e. to review the progress in this field of BPR mainly management oriented and not to IT or engineering etc. Conclusion drawn was based on the previous research studies and it was concluded that there is no...

The books takes a holistic picture of construction projects delays and cost overruns by examining... more The books takes a holistic picture of construction projects delays and cost overruns by examining real projects. The major causes of project delays and cost overruns have been identified on the basis of questionnaire survey from the major stakeholders, including contractors, designers, sponsors and project managers. The analysis has revealed that cost increases, time delays and poor quality are three major concerns in the construction projects of Higher Education Sector of Pakistan. In the economic analysis, the delayed part of the projects has been analyzed on the basis of actual costs from the real time cost data. The Construction Price Index has been calculated on the basis of increases in the costs of delayed items of work. The book is recommended for the graduate students of Construction and Project management. It is also useful for the undergraduate students to develop their perceptions about the project management. For the students in Pakistan, the book can provide valuable i...

SSRN Electronic Journal, 2000

Afro-Asian J. of Finance and Accounting (AAJFA), 2020

This paper analyses herding behaviour in the Pakistan stock exchange (PSX, formerly known as Kara... more This paper analyses herding behaviour in the Pakistan stock exchange (PSX, formerly known as Karachi stock exchange, KSE) for a sample of 663 firms over a period of 13 years, from 2004 to 2017. For detecting herding behaviour, two dependent variables are used, i.e., cross-sectional standard deviation (CSSD) of Christie and Huang (1995) and cross-sectional absolute deviation (CSAD) of Chang et al. (2000). The results show no herding behaviour on the basis of both methods at different levels of market movements. The absence of the herding behaviour may be because these firms belong to different sectors which may follow their respective industry portfolios but not the overall market; for example, Shah et al. (2017) documented that firms in several industries herd toward their industry portfolios for Pakistani data. Future research can be done using a primary data collection method from investors about their opinion on herding behaviour.

Pakistan Business Review , 2017

This study explores the impact of short-term financing on the operational performance of firms an... more This study explores the impact of short-term financing on the operational performance of firms and the relationship of the former to risk-adjusted profitability. The sample consists of 352 non-financial firms listed on the KSE (now Pakistan Stock Exchange) from 2003 to 2014. We use several dynamic panel data estimation techniques and find that short-term financing is positively but insignificantly related to firms' profitability. As far as short-term financing and risk-adjusted profitability are concerned, the results confirm the hypothesis that short-term financing has no impact on risk-adjusted profitability under GMM estimation procedure. This study contributes to the literature as no prior study exists on the association of risk-adjusted profitability and short-term financing.

This study attempts to examine the presence of herding behavior in the Pakistan Stock Exchange (P... more This study attempts to examine the presence of herding behavior in the Pakistan Stock Exchange (PSX). The novel contribution of this paper is that it investigates the herding phenomenon from a large number of facets such as herding of firms towards market, herding of firms towards industry portfolios, herding of industry portfolios towards market, herding in mostly traded stocks and in large and small stocks, and herding in the crisis period. For this purpose, we use the herding behavior model of Christie and Huang (1995) on the daily closing prices data of 609 firms listed on the PSX from January 2004 to December 2013. Results show that individual firms do not herd towards market index, except when the market experiences a negative return of 5%. However, when we sort firms into small and large groups based on median market capitalization, results indicate that large firms show herding behavior in extreme market movements. Further, we find that firms in several industries herd towards their industry portfolios. However, we find weak evidence of industry portfolios herding towards the market. We also segregate the impact of financial crisis of 2008 from normal times. These findings support results of our baseline estimation .

The debt maturity of listed firms in Pakistan has shown significant decline over the last decade.... more The debt maturity of listed firms in Pakistan has shown significant decline over the last decade. In this study, we investigate changes in both the demand-side and supply-side factors that are responsible for this decline. For this purpose, we study 364 firms for a period of seventeen years, i.e. 1996 to 2012. Analysis of the demand-side factors reveals that the decrease in debt maturity is significantly explained by agency and maturity matching theories while information asymmetry theory has limited explanatory power. Further, analysis of the supply-side factors such as loans granted to private sector explains much of the reason of decrease in debt maturity structures. Overall, both demand and supply-side factors are responsible for the declining debt-maturity structures of Pakistani firms; however, much of the decrease is attributed to supply-side rather than firms' own characteristics or demand-side factors.

A B S T R A C T This paper analyses the impact of capital gains taxation (CGT) on dividend policy... more A B S T R A C T This paper analyses the impact of capital gains taxation (CGT) on dividend policy among firms that are listed at the Karachi Stock Exchange (now, Pakistan Stock Exchange or PSX). The reason for choosing the Pakistani market is the country's idiosyncratic taxation system regarding dividend and capital gains. In Pakistan, capital gains were tax-free and taxation of capital gains was levied for the first time beginning July 2010. This motivates us to study the special case of Pakistani market regarding the relationship between the imposition of capital gains taxation and the pattern of dividend payouts. For this purpose, we use both the static and dynamic panel data models (generalized methods of moments) to analyze dividend payment behavior for a sample of 284 non-financial firms listed at the PSX from the years 2006–2014. We use the dividends to total assets ratio as a dependent variable and a taxation dummy along with other control variables such as liquidity, leverage, profitability, last year's dividend and firm size, as explanatory variables. Results of the regressions show that capital gains tax has no impact on dividend payments, while profitability, leverage, and last year's dividend are the most significant determinants of dividend payments in the Pakistani market.

During the stock market turmoil and later on in the year 2008, the Securities and Exchange Commis... more During the stock market turmoil and later on in the year 2008, the Securities and Exchange Commission of Pakistan (SECP) suspended trading in futures products at the Karachi Stock Exchange (KSE) due to their proven destabilizing role in Global Financial Crises (GFC). On July 27 th 2009, the Single Stock Futures (SSFs) were re-launched with stringent regulations for their trading in stock market. In this study, an attempt is made to identify changes in the volatility dynamics of underlying stocks after resumption of SSFs in KSE with tighter regulations than before and whether stringent regulations are justified or not. Specifically, the study decomposes volatility into systematic and unsys-tematic risk components and investigates the inherent changes in the underlying stocks' volatility subsequent to the resumption of SSFs. The findings suggest that the decrease in the systematic and unsystematic risk cannot be attributed to the firms' contract listing, but contemporaneous market, industry or macroeconomic changes. The findings may imply that stringent regulations are unjustified, which may reduce the liquidity and efficiency of the market and do no good to the market.

During the market turmoil, and later in the year 2008, the Securities and Exchange Commission of ... more During the market turmoil, and later in the year 2008, the Securities and Exchange Commission of Pakistan (SECP) decided to discontinue the trading in single stock futures (SSFs) at the Karachi Stock Exchange (KSE). On 27th July 2009, trading in SSFs were re-launched in those stocks which passed the stringent criteria set by the SECP. While the overall market is in a transitional stage, there is a need to assess this new situation in order to improve and regulate the available futures contracts, as well as, the upcoming options contracts. In this vein, this study attempts to investigate the impact of parallel SSFs markets on the underlying spot market by examining whether the introduction of futures has played a role in destabilizing the market. The results suggest an insignificant change in coefficients used to gauge the market inefficiencies, feedback trading, trading volume, and volatility. This may imply that stringent contract specifications have helped to mitigate the potential destabilizing ability of SSFs.

Emerging Markets Finance and Trade, 2016

Copyright© 2010 by Attaullah Shah All rights reserved. No part of the material protected by this ... more Copyright© 2010 by Attaullah Shah All rights reserved. No part of the material protected by this copyright notice may be reproduced or utilized in any form or by any means, electronic or mechanical, including photocopy, recording or by any information storage and retrieval ...

In this paper, we examine the possibility of an impact of the resumption of trading in Single Sto... more In this paper, we examine the possibility of an impact of the resumption of trading in Single Stock Futures (SSFs) on the dynamics (positive feedback trading and price volatility) of the underlying stocks in Pakistan's market. Specifically, we test the hypothesis that trading in SSFs promotes or inhibits positive feedback trading in the spot market. Analyzing SSFs has several advantages over investigation of index futures. First, any impact of futures is more likely to be evident in the behavior of SSFs than index futures. Second, with SSFs it is possible to trade directly in the underlying stocks, and the endogeneity issue can be taken care of by using a relatively weighted portfolio of non-SSFs stocks. The findings of our study suggest that there is a statistically insignificant presence of positive feedback trading in both pre-SSFs period to post-SSFs period for both SSFs-listed stocks and a matching group of non-SSFs stocks. Furthermore, the unconditional volatility has sign...

Pakistan development review

Previous studies on capital structure in Pakistan have reported evidence in support of the peckin... more Previous studies on capital structure in Pakistan have reported evidence in support of the pecking order theory. However, this evidence is largely based on testing one dimensional extensively test the pecking order theory in Pakistan with well-known pecking order testing models. Specifically, we use a sample of 321 firms listed on the Karachi Stock Exchange from the year 2000 to 2009 and test pecking order theory with models suggested Results of these models indicate that there exits only weak evidence in support of pecking order theory in Pakistan. However, strong support is found for pecking order theory when leverage ratios are regressed on profitability ratio, along with a set of control variables. This discrepancy in the results of the two sets of models needs further investigation, as well as care in interpreting the results of existing studies on capital structure in Pakistan. Our results show robustness even after controlling for possible profits understatements or weak corp...

This study was conducted with the aim to collect and review the work done so far in the field of ... more This study was conducted with the aim to collect and review the work done so far in the field of BPR. Focus of this study was on providing a comprehensive overview of overall development of BPR concept, theories, models, approaches and outcomes, and success and failure causes. Design/Methodology/ Approach: study was based on secondary source i.e. published and available researches in the field of BPR. Research papers were critically reviewed and then were divided into sub headings i.e. introduction, why do firm need change, background of BPR, BPR methodologies, approaches, causes of success and failure, and BPR in practice (both in public and private sectors). Research Limitations: Study was restricted to the subject of available researches (online) and to the specific objective i.e. to review the progress in this field of BPR mainly management oriented and not to IT or engineering etc. Conclusion drawn was based on the previous research studies and it was concluded that there is no...

The books takes a holistic picture of construction projects delays and cost overruns by examining... more The books takes a holistic picture of construction projects delays and cost overruns by examining real projects. The major causes of project delays and cost overruns have been identified on the basis of questionnaire survey from the major stakeholders, including contractors, designers, sponsors and project managers. The analysis has revealed that cost increases, time delays and poor quality are three major concerns in the construction projects of Higher Education Sector of Pakistan. In the economic analysis, the delayed part of the projects has been analyzed on the basis of actual costs from the real time cost data. The Construction Price Index has been calculated on the basis of increases in the costs of delayed items of work. The book is recommended for the graduate students of Construction and Project management. It is also useful for the undergraduate students to develop their perceptions about the project management. For the students in Pakistan, the book can provide valuable i...

SSRN Electronic Journal, 2000