scholarly journals Modelling cointegration and Granger causality network to detect long-term equilibrium and diffusion paths in the financial system

2018 ◽  
Vol 5 (3) ◽  
pp. 172092 ◽  
Author(s):  
Xiangyun Gao ◽  
Shupei Huang ◽  
Xiaoqi Sun ◽  
Xiaoqing Hao ◽  
Feng An
Keyword(s):  
Granger Causality ◽  
Network Model ◽  
Stock Price ◽  
Financial System ◽  
Diffusion Path ◽  
Complex Network Theory ◽  
The Real Estate ◽  
Diffusion Paths ◽  
Equilibrium Relationships

Microscopic factors are the basis of macroscopic phenomena. We proposed a network analysis paradigm to study the macroscopic financial system from a microstructure perspective. We built the cointegration network model and the Granger causality network model based on econometrics and complex network theory and chose stock price time series of the real estate industry and its upstream and downstream industries as empirical sample data. Then, we analysed the cointegration network for understanding the steady long-term equilibrium relationships and analysed the Granger causality network for identifying the diffusion paths of the potential risks in the system. The results showed that the influence from a few key stocks can spread conveniently in the system. The cointegration network and Granger causality network are helpful to detect the diffusion path between the industries. We can also identify and intervene in the transmission medium to curb risk diffusion.

Macroeconomic Factors and Pakistani Equity Market”

2004 ◽  
Vol 43 (4II) ◽  
pp. 619-637 ◽  
Author(s):  
Muhammad Nishat ◽  
Rozina Shaheen
Keyword(s):  
Stock Market ◽  
Industrial Production ◽  
Stock Prices ◽  
Stock Price ◽  
Consumer Price Index ◽  
Reverse Causality ◽  
Macroeconomic Factors ◽  
Macroeconomic Variables ◽  
Equilibrium Relationships

This paper analyzes long-term equilibrium relationships between a group of macroeconomic variables and the Karachi Stock Exchange Index. The macroeconomic variables are represented by the industrial production index, the consumer price index, M1, and the value of an investment earning the money market rate. We employ a vector error correction model to explore such relationships during 1973:1 to 2004:4. We found that these five variables are cointegrated and two long-term equilibrium relationships exist among these variables. Our results indicated a "causal" relationship between the stock market and the economy. Analysis of our results indicates that industrial production is the largest positive determinant of Pakistani stock prices, while inflation is the largest negative determinant of stock prices in Pakistan. We found that while macroeconomic variables Granger-caused stock price movements, the reverse causality was observed in case of industrial production and stock prices. Furthermore, we found that statistically significant lag lengths between fluctuations in the stock market and changes in the real economy are relatively short.

scholarly journals Dynamics of oil price shocks and emerging stock market volatility: a generalized VAR approach

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Megha Agarwalla ◽  
Tarak Nath Sahu ◽  
Shib Sankar Jana
Keyword(s):  
Crude Oil ◽  
Granger Causality ◽  
Stock Prices ◽  
Stock Price ◽  
Oil Prices ◽  
Oil Price ◽  
Content Type ◽  
Crude Oil Prices ◽  
Time Period

Purpose This study aims to establish the dynamic relationship between international crude oil prices and Indian stock prices represented by the Bombay Stock Exchange (BSE) energy index. Design/methodology/approach Using Johansen’s cointegration test, vector error correction (VEC) model, impulse response function and variance decomposition test the study tries to ascertain the short-term and long-term dynamic association between the oil price shock and the movement of stock price and Granger causality test is applied to find out the nature of causality. Findings Considering vector autoregression estimation, the present study analyzes the relationship between the variables and tries to make a valid conclusion. The result of the co-integration test exhibits the presence of a long-term association between these two macro-economic variables during the period under study. Also, in the short-run VEC Granger causality result reveals that the movement of international crude oil price significantly influences the Indian stock price. Research limitations/implications To get a more robust result the study can be further extended by taking a longer time period with data of shorter time-frequency such as daily or weekly and further by using more sophisticated econometric and statistical tools. Further, the study can be extended to firm-level investigation considering the forward trading concentration with the Indian oil basket. Social implications In today’s globalized era, forecasting of share price movement helps investors in predicting the market and invest accordingly. Through this liquidity of the markets enhance and markets become more active in the global arena. Originality/value This study represents fresh findings in the changing time period the linkage between crude oil prices and stock prices which are of value to the academicians, researchers, policymakers, investors, market regulators, etc.

Economic Turmoil in Islamic Banking Investment

ETIKONOMI ◽  
2020 ◽  
Vol 19 (2) ◽  
Author(s):  
Budiandru Budiandru ◽  
Sari Yuniarti
Keyword(s):  
Interest Rates ◽  
Stock Price ◽  
Time Series Data ◽  
Series Data ◽  
Islamic Banking ◽  
Vector Error Correction ◽  
Investment Financing ◽  
Vector Error ◽  
Operational Activities

Investment financing is one of the operational activities of Islamic banking to encourage the real sector. This study aims to analyze the effect of economic turmoil on investment financing, analyze the response to investment financing, and analyze each variable's contribution in explaining the diversity of investment financing. This study uses monthly time series data from 2009 to 2020 using the Vector Error Correction Model (VECM) analysis. The results show that the exchange rate, inflation, and interest rates significantly affect Islamic banking investment financing in the long term. The response to investment financing is the fastest to achieve stability when it responds to shocks to the composite stock price index. Inflation is the most significant contribution in explaining diversity in investment financing. Islamic banking should increase the proportion of funding for investment. Customers can have a larger business scale to encourage economic growth, with investment financing increasing.JEL Classification: E22, G11, G24How to Cite:Budiandru., & Yuniarti, S. (2020). Economic Turmoil in Islamic Banking Investment. Etikonomi: Jurnal Ekonomi, 19(2), xx – xx. https://doi.org/10.15408/etk.v19i2.17206.

Influence of internal and external risks on sustainability of financial system of Аltai krai

2018 ◽  
Vol 35 (4) ◽  
pp. 133-136
Author(s):  
R. N. Ibragimov
Keyword(s):  
Sustainable Development ◽  
Financial Stability ◽  
Management Strategy ◽  
Financial System ◽  
Risk Management Strategy ◽  
The Sustainable Development ◽  
The Stability ◽  
The Impact

The article examines the impact of internal and external risks on the stability of the financial system of the Altai Territory. Classification of internal and external risks of decline, affecting the sustainable development of the financial system, is presented. A risk management strategy is proposed that will allow monitoring of risks, thereby these measures will help reduce the loss of financial stability and ensure the long-term development of the economy of the region.

scholarly journals Stock prices and economic activity nexus in OECD countries: new evidence from an asymmetric panel Granger causality test in the frequency domain

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Veli Yilanci ◽  
Onder Ozgur ◽  
Muhammed Sehid Gorus
Keyword(s):  
Frequency Domain ◽  
Granger Causality ◽  
Stock Prices ◽  
Economic Activity ◽  
Stock Price ◽  
Predictive Power ◽  
Oecd Countries ◽  
Causality Test ◽  
Asymmetric Shocks ◽  
Panel Granger Causality

AbstractThis study investigates the stock price–economic activity nexus in 12 member countries of the Organization for Economic Cooperation and Development (OECD) by employing monthly data over the period 1981:1–2018:3. For this purpose, the study uses Granger causality in the frequency domain in the panel setting by decomposing the symmetric and asymmetric fluctuations. This methodology determines whether the predictive power of interested variables is concentrated on quickly, moderately, or slowly fluctuating components. Our findings show that the stock prices have predictive power for future long-term economic activity in the panel setting. However, economic activity has more reliable information for stock prices for negative components. Additionally, empirical findings for asymmetric shocks are not fully consistent with those of symmetric ones. Besides, the country-specific results provide different causal linkages across members and frequencies. These findings may provide valuable information for policymakers to design proper and effective policies in OECD countries regarding the stock market and economic activity nexus.

scholarly journals Is Establishing a New Partnership Useful Information for Investors in the Smartphone Supply Market?

2021 ◽  
Vol 13 (10) ◽  
pp. 5573
Author(s):  
Insung Son ◽  
Sihyun Kim
Keyword(s):  
South Korea ◽  
Stock Price ◽  
Individual Investors ◽  
Trading Patterns ◽  
Market Impacts ◽  
The Us ◽  
Signaling Effect ◽  
Parts Suppliers ◽  
Country Specific

This study analyzed partner volatility (new, old, revocation partners) and country-specific signal effects (United States (US), Taiwan, Japan, and South Korea) for Apple iPhone parts suppliers from 2007 to 2018. Mid- to long-term stock price movements were also analyzed to define trading patterns by investor type. The results using logit regression analysis revealed that new partners and revocation partners each have a signaling effect perceived as positive and negative information in the short term, and the excess returns by country showed a positive signaling effect in the order of the US, Taiwan, South Korea, and Japan. The findings also suggest that the change in the new partners’ stock price after the preannouncement of new products was useful investment information. Moreover, information asymmetry was found between individual investors, institutions, and foreigners. Results indicate that new partner selection in the smartphone market impacts corporate value and serves as useful investment information.

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