Papers by Prof. Dr. Syed Muhammad Ali Tirmizi
Humanities & Social Sciences Reviews, 2021
Purpose: The study evaluates the performance of alternative variance-covariance estimators as a f... more Purpose: The study evaluates the performance of alternative variance-covariance estimators as a fundamental ingredient to portfolio optimization. Methodology: The study estimates eleven covariance matrices on the data of Pakistan stock exchange's non-financial sector firms covering the period from July 2006 to June 2020. The accuracy and efficiency of covariance estimators are assessed through two evaluation parameters: root mean square error and minimum variance portfolios (risk behavior). Main findings: Empirical findings based on evaluation parameters suggest that more complex covariance estimators in the equity market of Pakistan yield no additional financial gains than the equally weighted portfolio of estimators. Application of the study: As the estimation of the variance-covariance matrix is one of the essential elements of portfolio construction, this study guides investor(s) on selecting an appropriate covariance estimator among eleven estimators endorsed by literature....
International Review of Management and Business Research, 2020
The current study aims at the estimation of a group of variance-covariance methods using the data... more The current study aims at the estimation of a group of variance-covariance methods using the data set of the non-financial sector of the Pakistan stock exchange. The study compares nine covariance estimators using two assessment criteria of root mean square error and standard deviation of minimum variance portfolios to gauge on accuracy and effectiveness of estimators. The findings of the study based on RMSE and risk behaviour of MVPs suggest that portfolio managers receive no additional benefit for using more sophisticated measures against equally weighted variance-covariance estimators in the construction of portfolios. Keywords: Variance-Covariance Estimators, Portfolio Construction, Mean-Variance Optimization.
Journal of Sustainable Finance & Investment, 2015
This study empirically analyzes the financial and economic development in Pakistan with reference... more This study empirically analyzes the financial and economic development in Pakistan with reference to banking sector. Time series data of Pakistani banks from 1980 to 2012 have been employed. Statistical analysis including Augmented Dickey–Fuller, Johansen co-integration, ordinary least square (OLS) regression, and Granger causality tests have been applied on the data relating four indicators (i.e. Broad Money (M2); Domestic Credit to Private Sector; Domestic Credit to by Banking Sector; and Banks Deposit Liabilities (BDL) – all taken as percentage of gross domestic product] which measured the level of financial development (FD) contributed by banking sector. The results revealed that a positive and statistically significant relationship exists between FD and economic growth. However, BDL are positive but statistically insignificant, and M2 is negative and statistically insignificant. Moreover, unidirectional and bidirectional causality have been found between the variables. Hence, there is a dire need of sound banking sector to ensure long-term sustainable economic growth that could be achieved if the Government takes concrete measures to reduce all kinds of deficits and borrowings that are the major causes of crowding-out private investment.
Journal of Accounting and Finance in Emerging Economies
The study is conducted with the objective to investigate the impact of firm performance (FP) on F... more The study is conducted with the objective to investigate the impact of firm performance (FP) on Financial sustainability (FS) in a developing nation, Pakistan and additionally to see the moderating role of type of ownership i.e. Institutional Ownership (IO) or Managerial Ownership (MO) in the FP-FS relationship. Sample of the study included all the non-financial firms listed on Pakistan Stock Exchange PSX and period covered is from 2009-2018. In total there are 2734 observations. Empirical results of the study suggests that FP has a positive relationship with FS but the relation is not significant. Moreover, findings indicate this relationship is significantly positively moderated by Intuitional Ownership (IO) whereas the relationship is not significant under the moderation impact of Managerial Ownership (MO).
Journal of Open Innovation: Technology, Market, and Complexity, 2020
A conceptual model has been developed to present comprehensively the processes and linkages of in... more A conceptual model has been developed to present comprehensively the processes and linkages of invention and open innovation for those knowledge workers who want to transform idea of a new product or service into a reality. The progression of idea conceptualization, realization and marketing is further divided into two phases; first is invention and second is open innovation. These phases are integrated into a complex framework representing a comprehensive flowchart which provides a snapshot of gradual transition of invention processes into open innovation processes. The conceptual model rests on existing literature that methodologically connects access to finance, funding constraints, cognitive and social dimensions, skills, mental model, conceptual knowledge and knowledge production capacity of the scientists (i.e., knowledge worker), scope and pioneering of the invention, technological infrastructure, collaboration with private firms and universities and utilization of digital te...
Global Economics Review, 2021
The foreign exchange rate fluctuations do create an impact on stock returns, which has been inves... more The foreign exchange rate fluctuations do create an impact on stock returns, which has been investigated for non-financial listed Pakistani firms. The real effective exchange rate has been used as the true measure of foreign exchange exposure. The modelled econometric equation includes; firm size, firm liquidity, money supply and inflation as predictors of stock returns. Twenty-five non-financial listed firms have been evaluated for the study period 2004 to 2013, which signifies the military regime era proceeded by peoples party rule in Pakistan. Financial data analysis, including; ADF unit root and Johansen Co-integration tests, have been applied to evaluate financial data, which further led to correlation, descriptive stats and panel data regression analysis. The results have suggested a very weak relationship between stock returns and foreign exchange exposure. Therefore, sample non-financial listed firms have not been foreign exchange exposed; however, firm size, liquidity, mone...
Future Business Journal, 2021
This research intends to explore the presence of the “turn-of-the-month-effect (TOME)” in the Pak... more This research intends to explore the presence of the “turn-of-the-month-effect (TOME)” in the Pakistani stock market. The TOME is the temporary increase in prices of registered shares on the last operating day of the month and the initial 3–4 days of the following month. The selection incorporates the secondary data, which comprises the ending prices of the “KSE-100 Index” for 2013–2018. Contrary to the previous evidence in Pakistan, we run an in-depth year-wise analysis and report an interesting fact that the TOME is significant only during 2013–2016, while it vanishes for 2017 and 2018. We suggest that the “turn-of-the-month” anomaly may disappear during stock market crisis times. The research contains significant importance for potential shareholders because a rational shareholder considers several measures while making his investment decisions and constructing hedging strategies.
Journal of Sustainable Finance & Investment, 2019
This study has been initiated to evaluate the impact of CAMELS Ratio on performance of banking se... more This study has been initiated to evaluate the impact of CAMELS Ratio on performance of banking sector in terms of Efficiency. In this study financial ratios, including Capital Adequacy (CA), Asset Quality (AQ), Management Soundness (MS), Earnings, Liquidity (LR) and Sensitivity to market risk (SR) collectively termed as CAMELS ratio, have been applied to evaluate the performance of Pakistani and Sri Lankan banking sector in terms of Efficiency and empirical significance in terms of Panel regression model. Therefore, pooled data of all the banks operating in Pakistan and Sri Lanka from 2008 to 2016 have been employed. The empirical results of GLS, time-fixed and random-fixed effect model estimation after the application of Hausman Test revealed that the random-effects model has been preferred over the fixed-effect model. The empirical analyses also indicate that all of the variables turned significant in their association with the efficiency of the banking sectors of both countries, these are CA, AQ, LR, MS, Return on Equity (ROE) and Return on Assets (ROA) (Earnings), but SR is insignificant but positively associated with the efficiency. However, these results also confirm from the previous studies.
International Journal of Business and Management, 2009
This paper investigates the effect of eleven independent variables as subsets of Employee Orienta... more This paper investigates the effect of eleven independent variables as subsets of Employee Orientation, Environment and Organizational System, on the overall performance of the IT sector firms, operating in the area of Islamabad, Pakistan. Variables are investigated by targeting a sample of 15 leading IT sector firms. A total of 225 questionnaires were distributed. The Cronbach's Alpha for the questionnaire resulted in a score of 0.8398. Extensive analysis after the application of multiple regression analysis revealed that, there is an overall average level of relationship between the variables considered. IT sector has shown tremendous progress.
Syeda Sheeba Hussaina, Dr. Syed Muhammad Ali Tirmizib, Dr. Wajeeha Shahidc, Prof. Dr. Syed Mutahi... more Syeda Sheeba Hussaina, Dr. Syed Muhammad Ali Tirmizib, Dr. Wajeeha Shahidc, Prof. Dr. Syed Mutahir Hussain Shahd, aM.Phil Qualified, Department of Education, National University of Modern Languages, Islamabad, Pakistan, bAssociate Professor, Department of Business Administration, Faculty of Management Sciences, Foundation University Islamabad, Rawalpindi Campus, Pakistan, cAssociate Professor, Department of Education, National University of Modern Languages, Islamabad, Pakistan, dPro-Rector, National College of Business Administration & Economics, East Canal Campus Lahore, Pakistan. Email: asheebatirmizi@gmail.com, bdr.alitirmizi@fui.edu.pk (Corresponding Author), cwaurangzeb@numl.edu.pk, dprorector.ecc@ncbae.edu.pk
This research studies the impact of family ownership (FOWN) on tunneling (TUN), while corporate g... more This research studies the impact of family ownership (FOWN) on tunneling (TUN), while corporate governance (CGI) moderates this relationship. After reviewing the extensive literature, the relationship of family ownership with tunneling and the moderating role of corporate governance has been established. To investigate the empirical status of the hypotheses, data from 198 non-financial firms for 14 years for the period 2006-2019 has been gathered from the Pakistan Stock Exchange and Dhaka Stock Exchange. Generalised Method of Moments (GMM) has been applied to address the problem of endogeneity. The results depict that family ownership has a negative relationship with tunneling (propping). Moreover, corporate governance also shows the moderating role in the influence of family ownership on tunneling. The results of the empirical study provide insight to investors, regulators and policymakers so they may formulate strategies and establish policies to protect the rights of minority sha...
International Transaction Journal of Engineering, Management, & Applied Sciences & Technologies, 2021
An empirical evaluation of the adopted but a modified version of the firm valuation equation has ... more An empirical evaluation of the adopted but a modified version of the firm valuation equation has been conducted to test the retained earnings-based firm valuation model including retained earnings, firm value, and shareholders’ wealth as variables. The impact of retained earnings on firm value and shareholders’ wealth as well as firm value on shareholders' wealth has been evaluated by using primary data collected randomly from 85 listed manufacturing firms using a questionnaire. The alpha score of .866 has been generated relating constructs of the research instrument. Furthermore, factor analysis and ordinary least squares regression has been used to test study hypotheses. Study findings suggested that retained earnings have played a vital role in the expansion activities and benefited sample firms in achieving desired growth. Moreover, the value of sample firms enhanced and shareholders’ wealth maximized due to investment and reinvestment of retained earnings in value-enhancing projects. Thus, results have applauded the Musharraf government and concomitantly validated the strength of retained earnings-based firm valuation model.
Keywords: Retained earnings; Firm value; Shareholders' wealth; Investment; Reinvestment; Listed manufacturing firms; Pervez Musharraf era.
Future Business Journal, 2021
This research intends to explore the presence of the "turn-of-the-month-effect (TOME)" in the Pak... more This research intends to explore the presence of the "turn-of-the-month-effect (TOME)" in the Pakistani stock market. The TOME is the temporary increase in prices of registered shares on the last operating day of the month and the initial 3-4 days of the following month. The selection incorporates the secondary data, which comprises the ending prices of the "KSE-100 Index" for 2013-2018. Contrary to the previous evidence in Pakistan, we run an in-depth yearwise analysis and report an interesting fact that the TOME is significant only during 2013-2016, while it vanishes for 2017 and 2018. We suggest that the "turn-of-the-month" anomaly may disappear during stock market crisis times. The research contains significant importance for potential shareholders because a rational shareholder considers several measures while making his investment decisions and constructing hedging strategies.
International Transaction Journal of Engineering, Management, & Applied Sciences & Technologies, 2021
The practical significance of the theory of mentors’ roles including
four mentor functions specif... more The practical significance of the theory of mentors’ roles including
four mentor functions specified in the literature are; career support,
intellectual growth, psychosocial development and research supervision,
have been investigated empirically in the private and public sector
universities. The perceived mentorship behaviour model has been
formulated and tested by evaluating 335 PhD faculty members as mentors from 19 public sectors and 180 from 8 private sector universities. The demographic and professional characteristics of the mentors have been analyzed for mean differences by taking a random sample of 515 PhD faculty members, out of which a total of 440 responded to a structured research instrument. Responses have been analyzed using stratified random sampling technique which revealed that the research model is statistically significant in explaining the mentorship functions in terms of demographic and professional characteristics of mentors. However, gender and research supervision have been identified as significantly different in terms of mentorship of the mentees by mentors in private versus public sector universities.
Research Journal of Social Sciences & Economics Review, 2021
This study has utilized a large dataset containing 10269 firm-year observations from 2001 to 2015... more This study has utilized a large dataset containing 10269 firm-year observations from 2001 to 2015. Interestingly, the first ever relationship between CEOs' cultural background and corporate social responsibility during the 2008-2009 financial crises has been reported. The empirical results suggest that the individualistic CEOs cultural background is positively and significantly related with the corporate social responsibility. This study reports the first ever evidence that du ring the financial crises, individualistic CEOs cultural background is negatively and significantly related with the corporate social responsibility. This study shows the importance of how the CEOs decisions varies during the financial crises. The pooled data methodology has been employed to generate econometric results where the empirical evidences opens-up new avenues for future research that could further evaluate the impact of CEOs cultural background on other firms' policies.
Global Economics Review, 2021
The foreign exchange rate fluctuations do create an
impact on stock returns, which has been
inves... more The foreign exchange rate fluctuations do create an
impact on stock returns, which has been
investigated for non-financial listed Pakistani firms. The real
effective exchange rate has been used as the true measure of foreign
exchange exposure. The modelled econometric equation includes;
firm size, firm liquidity, money supply and inflation as predictors
of stock returns. Twenty-five non-financial listed firms have been
evaluated for the study period 2004 to 2013, which signifies the
military regime era proceeded by peoples party rule in Pakistan.
Financial data analysis, including; ADF unit root and Johansen
Co-integration tests, have been applied to evaluate financial data,
which further led to correlation, descriptive stats and panel data
regression analysis. The results have suggested a very weak
relationship between stock returns and foreign exchange exposure.
Therefore, sample non-financial listed firms have not been foreign
exchange exposed; however, firm size, liquidity, money supply and
inflation rates have definitely created an impact on stock returns.
Global Management Sciences Review, 2021
The impact of exchange rate exposure and market return on stock returns of petroleum and food sec... more The impact of exchange rate exposure and market return on stock returns of petroleum and food sectors PSX listed firms has been investigated empirically. Two econometric models formulated based on the Jorion approach of the two-factor model have been analyzed for petroleum and food sectors stock returns, market return and exchange rate (i.e., USD) for the study period 2005-2012, which represent an era of military regime proceeded by the democratic government of Pakistan Peoples Party. A sample of 37 petroleum and food sectors listed firms have been evaluated by applying the unit root test and OLS multiple regression. Further, the Quandt-Andrews test of unknown breakpoint has been applied, which showed an extended structural break during the period 2007 to 2010. Additionally, the results revealed that the coefficients of exchange rate and market return are negatively related to petroleum and food sectors stock returns. Therefore, investors must take precautions before investing funds in stocks of food and petroleum sector firms.
International Journal of Innovation, Creativity and Change, 2021
In this study the impact of bank specific microeconomic factors including capital adequacy, liqui... more In this study the impact of bank specific microeconomic factors including capital adequacy, liquidity and investment to total assets on Return on Assets, the profitability measure of the Islamic banks operating in Pakistan has been investigated with special focus on assets. Financial statements of Islamic banks including Bank Islami, Meezan Bank, Dubai Islamic Bank, Al Baraka Bank and Burj Bank have been utilised to analyse financial data over the period 2008 to 2015. The outcome of panel data regression has highlighted that capital adequacy has impacted negatively and significantly due to tight control measures and prevalence of risk. However, liquidity has impacted positively but insignificantly, while investment to total assets has a positive and significant influence on the profitability. This implies that, it is vital for Islamic banks to focus more aggressively on a return on assets driven investment approach in order to gain and maintain sustainability in their profit margins. Moreover, Islamic banks may increase their year-on-year profitability in the future if they accordingly plan adjustments in liquidity and capital adequacy allocations by deploying moderate control measures and risk management practices.
Humanities & Social Sciences Reviews, 2021
The study evaluates the performance of alternative variance-covariance estimators as a fundamenta... more The study evaluates the performance of alternative variance-covariance estimators as a fundamental ingredient to portfolio optimization. Methodology: The study estimates eleven covariance matrices on the data of Pakistan stock exchange's non-financial sector firms covering the period from July 2006 to June 2020. The accuracy and efficiency of covariance estimators are assessed through two evaluation parameters: root mean square error and minimum variance portfolios (risk behavior). Main findings: Empirical findings based on evaluation parameters suggest that more complex covariance estimators in the equity market of Pakistan yield no additional financial gains than the equally weighted portfolio of estimators. Application of the study: As the estimation of the variance-covariance matrix is one of the essential elements of portfolio construction, this study guides investor(s) on selecting an appropriate covariance estimator among eleven estimators endorsed by literature. Novelty/ originality of the study: Based on detailed analysis, the study documents that investor(s) of the Pakistan stock exchange cannot gain any additional benefit from more complex and tricky methods of variance-covariance estimators compared to a portfolio of estimators for the non-financial sector. Investors are advised to consider the equally weighted portfolio of estimators when formulating their investment strategy.
International Journal of Innovation, Creativity and Change, 2021
Corporates around the world are developing policies and strategies which can increase their finan... more Corporates around the world are developing policies and strategies which can increase their financial health and life. This study aims to propose an optimised model by using Artificial Neural Networks (ANN) for financial sustainability. Furthermore, government policies intervention framework is developed to conduct a pre and post policy intervention analysis. Predictive Analytics are used to assess which policies are useful for long term survival of the firms. As an example, to further the concept for this study 379 manufacturing sector firms of Pakistan are taken as a sample, and government policies developed over the period of 2005-2019 are included. The manufacturing sector of Pakistan has 25 sub sectors. Vector Auto Regression (VAR) and Structural Vector Auto Regression SVAR are used to test the model. Moreover, Neural Networks (NN) are further applied for prediction and to get the optimal model. This would be helpful in predicting the financial sustainability of firms moreover, predicting the outcome of policies.
Uploads
Papers by Prof. Dr. Syed Muhammad Ali Tirmizi
Keywords: Retained earnings; Firm value; Shareholders' wealth; Investment; Reinvestment; Listed manufacturing firms; Pervez Musharraf era.
four mentor functions specified in the literature are; career support,
intellectual growth, psychosocial development and research supervision,
have been investigated empirically in the private and public sector
universities. The perceived mentorship behaviour model has been
formulated and tested by evaluating 335 PhD faculty members as mentors from 19 public sectors and 180 from 8 private sector universities. The demographic and professional characteristics of the mentors have been analyzed for mean differences by taking a random sample of 515 PhD faculty members, out of which a total of 440 responded to a structured research instrument. Responses have been analyzed using stratified random sampling technique which revealed that the research model is statistically significant in explaining the mentorship functions in terms of demographic and professional characteristics of mentors. However, gender and research supervision have been identified as significantly different in terms of mentorship of the mentees by mentors in private versus public sector universities.
impact on stock returns, which has been
investigated for non-financial listed Pakistani firms. The real
effective exchange rate has been used as the true measure of foreign
exchange exposure. The modelled econometric equation includes;
firm size, firm liquidity, money supply and inflation as predictors
of stock returns. Twenty-five non-financial listed firms have been
evaluated for the study period 2004 to 2013, which signifies the
military regime era proceeded by peoples party rule in Pakistan.
Financial data analysis, including; ADF unit root and Johansen
Co-integration tests, have been applied to evaluate financial data,
which further led to correlation, descriptive stats and panel data
regression analysis. The results have suggested a very weak
relationship between stock returns and foreign exchange exposure.
Therefore, sample non-financial listed firms have not been foreign
exchange exposed; however, firm size, liquidity, money supply and
inflation rates have definitely created an impact on stock returns.
Keywords: Retained earnings; Firm value; Shareholders' wealth; Investment; Reinvestment; Listed manufacturing firms; Pervez Musharraf era.
four mentor functions specified in the literature are; career support,
intellectual growth, psychosocial development and research supervision,
have been investigated empirically in the private and public sector
universities. The perceived mentorship behaviour model has been
formulated and tested by evaluating 335 PhD faculty members as mentors from 19 public sectors and 180 from 8 private sector universities. The demographic and professional characteristics of the mentors have been analyzed for mean differences by taking a random sample of 515 PhD faculty members, out of which a total of 440 responded to a structured research instrument. Responses have been analyzed using stratified random sampling technique which revealed that the research model is statistically significant in explaining the mentorship functions in terms of demographic and professional characteristics of mentors. However, gender and research supervision have been identified as significantly different in terms of mentorship of the mentees by mentors in private versus public sector universities.
impact on stock returns, which has been
investigated for non-financial listed Pakistani firms. The real
effective exchange rate has been used as the true measure of foreign
exchange exposure. The modelled econometric equation includes;
firm size, firm liquidity, money supply and inflation as predictors
of stock returns. Twenty-five non-financial listed firms have been
evaluated for the study period 2004 to 2013, which signifies the
military regime era proceeded by peoples party rule in Pakistan.
Financial data analysis, including; ADF unit root and Johansen
Co-integration tests, have been applied to evaluate financial data,
which further led to correlation, descriptive stats and panel data
regression analysis. The results have suggested a very weak
relationship between stock returns and foreign exchange exposure.
Therefore, sample non-financial listed firms have not been foreign
exchange exposed; however, firm size, liquidity, money supply and
inflation rates have definitely created an impact on stock returns.