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This paper investigates the leverage effect in African countries by applying normal and nonnormal distribution densities. Furthermore, we investigate the possible opportunities for portfolio diversification in South Africa, Nigeria, and Egypt. We find that negative stock returns do not generate higher volatility in further returns than past positive returns. All three countries are subject to the ARCH effect, where past stock information (volatility) influence the current stock returns (volatility). We also find that Gaussian distribution produces a better estimate as compared to non-normal distribution. In terms of portfolio diversification, returns are also subject to the ARCH effect, however, the leverage effect does not determine that past negative returns influence the current stock returns asymmetrically. Keywords: volatility, GARCH models, ARCH effect, portfolio diversification, correlation, normal and non-normal distribution, 1. INTRODUCTION In financial time series data, leptokurtosis and volatility clustering are the commonly observed phenomena that indicate the higher level of risk involved (Mandelbrot 1963). There is another measure, [...]

In the race of economic development, the environment is compromising, especially in developing countries. Literature has highlighted many factors that have been causing CO2 emissions. The identification of factors behind environmental degradation is important to control them for a sustainable environment. In this regard, this study also identifies the role of the shadow economy for CO2 emission in the case of Pakistan. Furthermore, the impact of official/formal, GDP and true/actual GDP are also checked on CO2 emission function along with energy consumption and urbanization in Pakistan. The annual time series data from 1972 to 2018 is utilized. A novel dynamic autoregressive distributed lag simulation is employed to confirm the existence of cointegration. Moreover, this novel approach also estimates, stimulates, and plots to show a positive and negative change in variables on graphs. The estimated results confirm the long-run association between CO2 emission and its determinants in the case of Pakistan. A positive and significant impact of shadow, official and true GDP along with energy consumption and urbanization illustrate that shadow economy is contributing toward urbanization via huge investment in real estate that leads to higher urbanization which further increases the energy consumption particularly nonrenewable energy, natural gas, and coal consumption. Government and policymakers should introduce new controls and strengthen the existing ones to control CO2 emission via a decrease in the size of the shadow economy. Moreover, unplanned and irregular urbanization should be regular and documented to control illegal/shadow activities, hence, decreasing the nonrenewable energy consumption. [ABSTRACT FROM AUTHOR]

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In this article, we provided a comprehensive discussion about the major financial crises and their details based on some major historical financial crises. The crises include the stock market crash of 1987, the Asian financial crisis of 1997, and the global financial crisis of 2007-08. The discussion is categorized into two sections. Under first section, the generation models for crises are discussed based on the timeline and their development. In the second section, each of the above mentioned crisis is discussed in details which include the situations prevailing before during and after the crisis and the lessons undertaken by the markets from those disastrous events. [ABSTRACT FROM AUTHOR]

Existence of short-term momentum effect is a widely disputed topic. This paper aims to solve the dispute and examine the presence of short-term momentum effect in the stock market of Hong Kong. Empirical results of 16 monthly price momentum investment strategies suggest that short term momentum effect has been found in Hong Kong's stock market and it is overwhelmingly strong. Future research should focus on investigating momentum effect using weekly and daily price momentum strategies. [ABSTRACT FROM AUTHOR]