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IMPACT OF IMF LENDING ANNOUNCEMENTS ON THE PERFORMANCE OF STOCK MARKET: EMPIRICAL EVIDENCE FROM PAKISTAN
Corresponding Author(s) : Nisar Ahmad
Humanities & Social Sciences Reviews,
Vol. 9 No. 3 (2021): May
Abstract
Purpose of the study: Stock markets have demonstrated varying reactions to IMF lending announcements across various economies. Announcements offered by IMF often be perceived negatively by the participants of the stock market, because of stringent conditions accompanied with the loan that may oppose the political and economic agenda of a borrowing nation. Thus, this study intends to investigate the impact of IMF’s announcements about extending loans to Pakistan on the performance of the Stock market in the debt-ridden economy.
Methodology: For regular returns from 1997 to 2017, the benchmarking indexes of KSE-100 and 30 were used. Meanwhile, IMF lending arrangements are categorized into three respective dummies (standby, extended credit facility, and extended fund facility). The Generalized Autoregressive Conditional Heteroscedastic (GARCH) model was used to investigate the effect of IMF’s lending news on the regular stock returns.
Main findings: The results show a statistically significant effect of the IMF’s News about lending arrangements on the performance of the stock market in Pakistan. Surprisingly, the negative effect of IMF lending announcements on the performance of the stock market in Pakistan implies that the loans extended by IMF are not professed by speculators as good for the economic performance of the economy.
Application of this study: The findings of this study imply that simply extending loans is not a panacea for politically unstable and financially ruined nations. Lending strategies of IMF need to be favourable for the political and economic conditions of a borrowing country.
Originality/ Novelty: As for as the novelty is concerned, the study has highlighted the time-varying impact of IMF lending announcements on the performance of the stock market in a financially fragile country where a newborn government facing multiple challenges has made its best effort to avoid borrowing from IMF.
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- Ahmad, N., Nazir, M. S., & Nafees, B. (2018). Impact of financial development and credit information sharing on the use of trade credit: Empirical evidence from Pakistan. Cogent Economics & Finance, 6(1), 1483466. https://doi.org/10.1080/23322039.2018.1483466 DOI: https://doi.org/10.1080/23322039.2018.1483466
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References
Ahmad, N., Nazir, M. S., & Nafees, B. (2018). Impact of financial development and credit information sharing on the use of trade credit: Empirical evidence from Pakistan. Cogent Economics & Finance, 6(1), 1483466. https://doi.org/10.1080/23322039.2018.1483466 DOI: https://doi.org/10.1080/23322039.2018.1483466
Balima, H., & Amadou, S. (2020). IMF-supported programs and sovereign debt crises. IMF Economic Review, 1- 39. https://doi.org/10.1057/s41308-021-00135-7 DOI: https://doi.org/10.5089/9781484393413.001
Ben, C., & Robles, T.-A. (2021). The IMF, tackling inequality, and post-neoliberal ‘re-globalization’: The paradoxes of political legitimation within economistic parameters. Globalizations, 18(1), 39-54. https://doi.org/10.1080/14747731.2020.1774325 DOI: https://doi.org/10.1080/14747731.2020.1774325
Bird, G., & Dane, G. (2015). The political economy of participation in IMF programs: A disaggregated empirical analysis. Journal of Economic Policy Reform, 18(3), 221-243. https://doi.org/10.10 80/17487870.2015.1019289 DOI: https://doi.org/10.1080/17487870.2015.1019289
Bird, G., & Dane, R. (2017). The effect of IMF programmes on economic growth in low income countries: An empirical analysis. The Journal of Development Studies, 53(12), 2179-2196. https://doi.org/10.10 80/00220388.2017.1279734 DOI: https://doi.org/10.1080/00220388.2017.1279734
Bencivenga, V. R., B. D. Smith and R. M. Starr (1995). Equity markets, transactions costs, and capital accumulation: An illustration. World Bank Economic Review, 10(2), 241–265. https://doi.org /10.1093/wber/10.2.241 DOI: https://doi.org/10.1093/wber/10.2.241
Bhide, A. (1993). The hidden costs of stock market liquidity. Journal of Financial Economics,34, 31–51. https://doi.org/10.1016/0304-405X(93)90039-E DOI: https://doi.org/10.1016/0304-405X(93)90039-E
Bordo, M. D., & Schwartz, A. J. (2000, December). Measuring real economic effects of bailouts: historical perspectives on how countries in financial distress have fared with and without bailouts. In Carnegie-Rochester Conference Series on Public Policy (Vol. 53, No. 1, pp. 81-167). North-Holland. https://doi.org/10.1016/S0167-2231(01)00028-8 DOI: https://doi.org/10.1016/S0167-2231(01)00028-8
Brealey, R. A., & Kaplanis, E. (2004). The impact of IMF programs on asset values. Journal of International Money and Finance, 23(2), 253-270. https://doi.org/10.1016/j.jimonfin.2003.12.003 DOI: https://doi.org/10.1016/j.jimonfin.2003.12.003
Couharde, C., Bennani, H., & Wallois, Y. (2021). Do IMF Reports affect market expectations? A sentiment analysis approach (No. 2021-6). University of Paris Nanterre, EconomiX. https://ideas.repec.org /p/drm/wpaper/2021-6.html
Doroodian, K. (1993). Macroeconomic performance and adjustment under policies commonly supported by the International Monetary Fund. Economic Development and Cultural Change, 41(4), 849-864. https://www.journals.uchicago.edu/doi/abs/10.1086/452051?journalCode=edcc DOI: https://doi.org/10.1086/452051
Eichengreen, B., Kletzer, K., & Mody, A. (2006). The IMF in a world of private capitalmarkets. Journal of Banking & Finance, 30(5), 1335-1357.https://doi.org/10.1016/j.jbankfin.2005.07.002 DOI: https://doi.org/10.1016/j.jbankfin.2005.07.002
Evrensel, A. Y., & Kutan, A. M. (2007). IMF-related announcements and stock market returns: Evidence from financial and non-financial sectors in Indonesia, Korea, and Thailand. Pacific-Basin Finance Journal, 15(1), 80-104. https://doi.org/10.1016/j.pacfin.2006.04.001 DOI: https://doi.org/10.1016/j.pacfin.2006.04.001
Fayad, G., Huang, C., & Zhao, P. (2020). How do member countries receive IMF policy advice: Results from a state-of-the-art sentiment index. IMF Working Paper No. 20/7 , 1-43. https://ssrn.com/abstract=3545295 DOI: https://doi.org/10.5089/9781513526010.001
Fraiberger, S., Lee, D., & Rancier, D. (2018). Media sentiment and international asset prices. NBER Working Paper 25353, Cambridge, MA: National Bureauof Economic Research, 1-38. https:// doi.10.3386/w25353 DOI: https://doi.org/10.1596/1813-9450-8649
Funk, N., & Matsuda, A. (2002). Macroeconmic news and stock returns: case of United Sates and Germany. International Monetery Fund , 02-339. https://ssrn.com/abstract=880947 DOI: https://doi.org/10.5089/9781451875782.001
Gehring, K., & Valentin, F. (2020). Stigma or Cushion? IMF Programs and Sovereign. Journal of Development Economics ,146,102507. https://doi.org/10.1016/j.jdeveco.2020.102507 DOI: https://doi.org/10.1016/j.jdeveco.2020.102507
Georgiadis, G., & Gräb, J. (2016). Global financial market impact of the announcement of the ECB's asset purchase program. Journal of Financial Stability, 26, 257-265. https://doi.org/10.1016/j.jfs.2016.07.009 DOI: https://doi.org/10.1016/j.jfs.2016.07.009
Gogstad, M., Kutan, A. M., & Muradoglu, Y. G. (2018). Do international institutions affect financial markets?: evidence from the Greek Sovereign Debt Crisis. The European Journal of Finance, 24(7-8), 584-605. https://doi.org/10.1080/1351847X.2017.1335223 DOI: https://doi.org/10.1080/1351847X.2017.1335223
Hasan, A., & Nasir, Z. M. (2008). Macroeconomic factors and equity prices: An empirical investigation by using ARDL approach. The Pakistan Development Review, 501-513.https://www.jstor.org/stable/41261237 DOI: https://doi.org/10.30541/v47i4IIpp.501-513
Hayo, B., & Kutan, A. M. (2005). IMF-related news and emerging financial markets. Journal of International Money and Finance, 24(7), 1126-1142. https://doi.org/10.1016/j.jimonfin.2005.08.007 DOI: https://doi.org/10.1016/j.jimonfin.2005.08.007
Ismail, R., Pervaz, A., Ahmed, A., & Iqbal, R. (2016). Macroeconomic factors and the Pakistani equity market: A relationship analysis. International Journal of Innovation and Applied Studies, 15(1), 122-129. http://www.ijias.issr-journals.org
Khan, M. A. (2018). Assessing the role of macroeconomic variables on stock price volatility: A case of Pakistan Stock Exchange. Pakistan Business Review, 19(4), 928- 943. http://dx.doi.org/10.22555/pbr.v19i4.1873
Kibria, U., Mehmood, Y., Kamran, M., Arshad, M. U., Perveen, R., & Sajid, M. (2014). The impact of macroeconomic variables on stock market returns: A case of Pakistan. Research Journal of Management Sciences. ISSN, 2319, 1171. http://www.isca.me/IJMS/Archive/v3/i8/1.ISCA-RJMS-2014-20.pdf
Kamin, S. B. (2004). Identifying the role of moral hazard in international financial markets. International Finance, 7(1), 25-59. https://doi.org/10.1111/j.1367-0271.2004.00128.x DOI: https://doi.org/10.1111/j.1367-0271.2004.00128.x
Kho, B. C., & Stulz, R. M. (2000). Banks, the IMF, and the Asian crisis. Pacific-Basin Finance Journal, 8(2), 177-216. https://doi.org/10.1016/S0927-538X(00)00007-X DOI: https://doi.org/10.1016/S0927-538X(00)00007-X
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Kern, A., Reinsberg, B., & Rau-Gohring, M. (2019). IMF conditionality and central bank. European Journal of Political Economy , 59, 212-229. https://doi.org/10.1016/j.ejpoleco.2019.03.002 DOI: https://doi.org/10.1016/j.ejpoleco.2019.03.002
Kosmidou, K. V., Kousenidis, D. V., & Negakis, C. I. (2015). The impact of the EU/ECB/IMF bailout programs on the financial and real sectors of the ASE during the Greek sovereign crisis. Journal of Banking & Finance, 50, 440-454. https://doi.org/10.1016/j.jbankfin.2014.03.008 DOI: https://doi.org/10.1016/j.jbankfin.2014.03.008
Kosmidou, K., Kousenidis, D., Ladas, A., & Negkakis, C. (2019). Do institutions prevent contagion in financial markets? Evidence from the European debt crisis. The European Journal of Finance, 25(7), 632-646. https://doi.org/10.1080/1351847X.2018.1552171 DOI: https://doi.org/10.1080/1351847X.2018.1552171
Kutan, A., & Sudjana, B. (2003). Investor reaction to IMF actions in the Indonesian financial crisis. The Journal of Policy Reforms, 6(3), 181-190. https://doi.org/10.1080/1384128032000175780 DOI: https://doi.org/10.1080/1384128032000175780
Kutan, A. M., Muradoglu, G., & Sudjana, B. G. (2012). IMF programs, financial and real sector performance, and the Asian crisis. Journal of Banking & Finance, 36(1), 164-182. https://doi.org/10.1016 /j.jbankfin.2011.06.015 DOI: https://doi.org/10.1016/j.jbankfin.2011.06.015
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