Firm, Industry and Macroeconomics Dynamics of Stock Returns: A Case of Pakistan Non-Financial Sector

Mirza Muhammad Naseer, Muhammad Asif Khan, József Popp and Judit Oláh
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Mirza Muhammad Naseer: School of Economics, Huazhong University of Science and Technology, Wuhan 430074, China
Muhammad Asif Khan: Department of Commerce, Faculty of Management Sciences, University of Kotli Azad Jammu and Kashmir, Kotli 11100, Pakistan
József Popp: Institute of Economic Sciences, Hungarian University of Agriculture and Life Sciences, 2100 Gödöllő, Hungary
Judit Oláh: Faculty of Economic and Management Sciences, TRADE Research Entity, North-West University, Vanderbijlpark 1900, South Africa

JRFM, 2021, vol. 14, issue 5, 1-18

Abstract: The available research literature on stock performance has primarily stressed the importance of asset price theories, macroeconomic and microeconomic, and institutional differences. However, there is still an open question: Are there any other factors those influence stock performance? This research aims to answer this question by providing new insights into industry factors along with country-level and firm-specific factors in conjunction with the stock performance of the non-financial sector firms listed at the Pakistan Stock Exchange. The study provides new insights into the prevailing research literature by considering an emerging economy, Pakistan. We find that non-financial sector firms are heterogeneous, suggesting applying a fixed effect approach for reliable estimation. To investigate the issue, data from 80 companies spanning 17 years (2004–2020) were analyzed with a fixed-effect model. Our study results revealed that firm tangibility, munificence, gross domestic product, inflation and money supply have negative, while size, growth, dynamism, Herfindahl–Hirschman index, exchange rate and oil prices have a positive relationship with financial performance. The results are robust under alternative estimation approaches and offer useful policy implications.

Keywords: stock returns; growth; industry; macroeconomics dynamics; non-financial sector (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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