Unveiling the diversification benefits of Islamic equities and commodities

2018 ◽  
Vol 44 (6) ◽  
pp. 830-850 ◽  
Author(s):  
Muhammad Rizky Prima Sakti ◽  
Mansur Masih ◽  
Buerhan Saiti ◽  
Mohammad Ali Tareq
Keyword(s):  
Crude Oil ◽  
Time Series Data ◽  
Portfolio Diversification ◽  
Series Data ◽  
Content Type ◽  
Trading Partners ◽  
The Usa ◽  
Portfolio Managers

PurposeThe purpose of this paper is to examine the extent to which the IndonesianShariahcompliant investors can benefit from the portfolio diversification with the Islamic indices of its trading partners and selected commodities such as gold, crude oil, and cocoa.Design/methodology/approachThe authors use daily time series data covering both Islamic and commodity indices starting from June 4, 2007 until December 30, 2016 by the application of multivariate-generalized autoregressive conditional heteroscedastic and continuous wavelet analysis.FindingsThe findings tend to indicate that investors with exposure inShariahcompliant indices of Indonesia and wanting to gain more diversification benefits should invest either in the USA or India Islamic equity. Instead, the greater benefits will be obtained byShariahcompliant investors if they invest in the USA Islamic indices during long-term investment horizons. If investors want to invest in medium investment horizons, investing in India Islamic equity is a viable option. The findings further suggest that gold has a role of diversification benefits as a “safe haven” instrument for investors. It is advisable for the investors that have exposure in commodities (gold, crude oil, and cocoa) and want to invest in Indonesian Islamic equity, they should hold the portfolio for not more than 16 days to gain diversification benefits.Originality/valueThe results of this study are expected to have crucial implications for the IndonesiaShariahcompliant investors and portfolio managers because it will help them to understand portfolio diversification benefits with different stock holding periods or investment horizons.

Returns and volume

2020 ◽  
Vol 37 (3) ◽  
pp. 457-473
Author(s):  
Panos Fousekis
Keyword(s):  
Trading Volume ◽  
Time Series Data ◽  
Price Volatility ◽  
Statistical Testing ◽  
Model Specification ◽  
Series Data ◽  
Causal Order ◽  
Content Type ◽  
Daily Data ◽  
The Usa

Purpose The relationship between returns and trading volume is central in financial economics because it has both a theoretical interest and important practical implications with regard to the structure of financial markets and the level of speculation activity. The aim of this study is to provide new insights into the association between returns and trading volume by investigating their kernel (instantaneous) causality. The empirical analysis relies on time series data from 22 commodities futures markets (agricultural, energy and metals) in the USA. Design/methodology/approach Non-parametric (local linear) regressions are applied to daily data on returns and on trading activity; generalized correlation measures are computed and their differences are subjected to formal statistical testing. Findings The results suggest that raw returns are likely to kernel-cause volume and volume is likely to kernel-cause price volatility. The patterns of causal order are generally in line with what is stipulated by the relevant theory, they provide guidance for model specification and they appear to explain the empirical evidence on temporal (lag-lead) causality between the same pairs of variables obtained in earlier works. Originality/value The concept of kernel causality has very recently become a part of the toolkit for econometric/statistical analysis. To the best of the author’s knowledge, this is the first study that relies on the notion of kernel (instantaneous) causality to provide new evidence on a relationship that is of keen interest to investors, professional economists and policymakers.

scholarly journals Global Portfolio Diversification and Equity Market: Evidence from Trading Partners of Pakistan

2018 ◽  
Vol 6 (1) ◽  
pp. 20-34
Author(s):  
Muhammad Husnain ◽  
◽  
Ume Habiba ◽  
Shahnaz Arifullah ◽  
Izhar Muhammad ◽  
...  
Keyword(s):  
Portfolio Management ◽  
Equity Markets ◽  
Equity Market ◽  
Portfolio Diversification ◽  
Weekly Basis ◽  
Policy Makers ◽  
Trading Partners ◽  
Portfolio Managers ◽  
Asset Classes

The influential work of Markowitz (1952, 1959) provides foundation to modern investment philosophy. Investors can reap the potential benefit of portfolio diversification only if the involved asset classes in investment basket are not perfectly correlated. Objective of this study is to empirically investigate the cointegration among equity market of Pakistan and its major trading partners (China, France, Germany, Hong Kong, Japan, Korea, Malaysia, UK and USA). Sample period of study starts from 2004 to 2015, on weekly basis. Bivariate cointegration (Johansen, 1991, 1995) analysis reveals that equity market of Pakistan has no long term relationship with any of the equity markets of its major trading partners. Therefore, we recommend to potential investors, portfolio managers, and policy makers that prospective benefit of portfolio diversification can be achieved by investing in the equity markets of major trading partners of Pakistan. Further, they should be vigilant regarding the co-movement among equity markets during portfolio management decisions.

scholarly journals The durability of economic indicators in container shipping demand: a case study of East Asia–US container transport

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Tomoya Kawasaki ◽  
Takuma Matsuda ◽  
Yui-yip Lau ◽  
Xiaowen Fu
Keyword(s):  
Time Series ◽  
East Asia ◽  
Time Series Data ◽  
Economic Indicators ◽  
Series Data ◽  
Container Shipping ◽  
Content Type ◽  
The Usa ◽  
Container Movement ◽  
The Impact

Purpose In the maritime industry, it is vital to have a reliable forecast of container shipping demand. Although indicators of economic conditions have been used in modeling container shipping demand on major routes such as those from East Asia to the USA, the duration of such indicators’ effects on container movement demand have not been systematically examined. To bridge this gap in research, this study aims to identify the important US economic indicators that significantly affect the volume of container movements and empirically reveal the duration of such impacts. Design/methodology/approach The durability of economic indicators on container movements is identified by a vector autoregression (VAR) model using monthly-based time-series data. In the VAR model, this paper can analyze the effect of economic indicators at t-k on container movement at time t. In the model, this paper considers nine US economic indicators as explanatory variables that are likely to affect container movements. Time-series data are used for 228 months from January 2001 to December 2019. Findings In the mainland China route, “building permission” receives high impact and has a duration of 14 months, reflecting the fact that China exports a high volume of housing-related goods to the USA. Regarding the South Korea and Japan routes, where high volumes of machinery goods are exported to the USA, the “index of industrial production” receives a high impact with 11 and 13 months’ duration, respectively. On the Taiwan route, as several types of goods are transported with significant shares, “building permits” and “index of industrial production” have important effects. Originality/value Freight demand forecasting for bulk cargo is a popular research field because of the public availability of several time-series data. However, no study to date has measured the impact and durability of economic indicators on container movement. To bridge the gap in the literature in terms of the impact of economic indicators and their durability, this paper developed a time-series model of the container movement from East Asia to the USA.

Does trade openness affects global carbon dioxide emissions

2020 ◽  
Vol 31 (1) ◽  
pp. 32-53 ◽  
Author(s):  
Mohd Arshad Ansari ◽  
Salman Haider ◽  
N.A. Khan
Keyword(s):  
Carbon Dioxide ◽  
Saudi Arabia ◽  
Energy Consumption ◽  
Time Series Data ◽  
Structural Break ◽  
Trade Openness ◽  
Series Data ◽  
Content Type ◽  
Long Run ◽  
The Usa

Purpose The purpose of this paper is to analyze the effect of economic growth, international trade and energy consumption on the global carbon dioxide (CO2) emissions, in the case of top CO2 emitters, namely, USA, Japan, Canada, Iran, Saudi Arabia, UK, Australia, Italy, France and Spain using the annual data from 1971 to 2013. Design/methodology/approach For this purpose, the time series, data technique is applied. Unit root test with structural break and the bounds testing approach for cointegration in the presence of structural break is tested. Finally, a vector error correction model for the Granger causality test is applied to detect the direction of causality. The authors have used the techniques that will help in examining the structural break in the time series data. Findings The results reveal that their exists a long-run relationship between CO2 emissions and its determinants in the USA, Canada, Iran, Saudi Arabia, the UK, Australia, Italy, France and Spain, energy consumption is the main determinant of carbon dioxide (CO2) emissions in the long run and for direction of causality, the authors found bidirectional causality in the long run between energy consumption and CO2 emissions in the USA, Canada, Iran, Saudi Arabia and the UK, and Granger causality running in opposite direction in the case of Australia from CO2 emissions to energy consumption was analyzed. In terms of growth-trade-pollution nexus (USA, Canada, Iran and France) hold one-way causality running from economic growth and trade openness to CO2 emissions (IV) the environmental Kuznets curve hypothesis is validated only for the USA. Robust policy implications can be derived from this study. First, without harming the economy, these countries can reduce the use of energy consumption for lower pollution. Second, the amount of trade should be decreased to lower the emissions because the authors find that an increase in trade does Granger cause to CO2 emissions in the long run. Originality/value There has been no study that investigated the relationship between CO2 emissions, real income, consumption of energy and international trade in the environmental Kuznets relation for the top CO2 emitter’s countries over the period of 1971–2013. The authors did a comparative study of the empirical finding among these nations.

Do trade reforms affect changes in patterns of comparative advantage?

2016 ◽  
Vol 20 (3) ◽  
pp. 281-296
Author(s):  
Namsuk Choi
Keyword(s):  
Trade Liberalization ◽  
Comparative Advantage ◽  
Time Series Data ◽  
Poor Country ◽  
Export Performance ◽  
Series Data ◽  
Trade Reform ◽  
Content Type ◽  
Trade Reforms

Purpose The purpose of this paper is to examine the effects of foreign trade liberalization and trade reforms on the process of structural upgrading, and explore the extent to which they provide impetus for exports. Design/methodology/approach This paper accounts for trade liberalization dates, cumulative years in open regime, and the density of 1,006 products in the patterns of comparative advantage for 132 countries from 1975 to 2000. The effects of trade liberalizations and trade reforms in open regime on future export performance are estimated by using various empirical strategies. Findings This paper finds that the speed of moving from simple poor-country goods to rich-country goods in export depends not only on having a route to nearby goods of increasingly higher value, but also on the increase in the cumulative years in open regime. In particular, a 1 percent change in the relatedness across products with trade reform in open regime increases the probability of exporting a new product by 2.0 percent more. Originality/value A contribution of this paper is that it measures the extent to which trade reform in open regime affects the evolution of comparative advantage, even after taking account of the role of relatedness of exported products as in the Hausmann and Klinger (2006, 2007). In this paper, empirical findings of a comprehensive product level cross-country time-series data analysis may contribute to generalize the role of trade reform on structural upgrading not only for a pro-competitive export country like Korea but also for a typical developing country.

An empirical analysis among foreign direct investment, trade openness and economic growth: evidence from the Indian economy

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Reenu Kumari ◽  
Malik Shahzad Shabbir ◽  
Sharjeel Saleem ◽  
Ghulam Yahya Khan ◽  
Bilal Ahmed Abbasi ◽  
...  
Keyword(s):  
Economic Growth ◽  
Foreign Direct Investment ◽  
Direct Investment ◽  
Time Series Data ◽  
Trade Openness ◽  
Series Data ◽  
Fdi Inflows ◽  
Content Type ◽  
Study Results

PurposeThis study examines the long-term and causal relationship among foreign direct investment (FDI) inflows, trade openness and economic growth from India.Design/methodology/approachThis study has used annual time series data from the period 1985–2018 and applied the Johansen cointegration and vector autoregression (VAR) model.FindingsThe results of Johansen's cointegration confirm no long-term relationship among all the above three variables. Further, the results of VAR Granger causality indicate that FDI causes economic growth and economic growth causes FDI, which confirms the bi-directional causality. In contrast, this study found that there is no bi-directional causality between trade openness and economic growth.Social implicationsThrough this study, the government could take the decisions related to foreign investment after adopting more trade openness because the study results revealed that if India follows more trade openness, then how FDI will flow (upward and downward). With impulse analysis, researchers, government and policymakers take the decision-related FDI inflows for the forthcoming ten years after 2018.Originality/valueThis study has found the most exciting results from the impulse functions of FDI inflows, trade openness and economic growth, which showed the situation of these three variables as increase and decrease in the forthcoming ten years.

PRODUCTIVITY, NATIONALIZATION, AND THE ROLE OF “NEWS”: LESSONS FROM THE 1970S

2018 ◽  
Vol 24 (5) ◽  
pp. 1264-1298
Author(s):  
Nida Çakir Melek
Keyword(s):  
Time Series Data ◽  
Oil Industry ◽  
Partial Equilibrium ◽  
Series Data ◽  
Foreign Workers ◽  
Productivity Losses ◽  
Long Run ◽  
Productivity Pattern

Occurrences of an old phenomenon, the expropriation of foreign-owned property, peaked in the 1970s when virtually every significant oil-producing developing country nationalized its oil. Nationalization was again on the rise in the 2000s. Using novel data, this paper quantitatively evaluates the effects of nationalization. First, the paper finds significant productivity losses associated with nationalization in a sample of oil-producing countries. Venezuela in particular experienced a striking decline in productivity. Second, the paper presents a new channel through which nationalization affects productivity: a long-term pre-announcement can shift the composition of the workforce with a huge decline in highly skilled foreign workers and result in higher extraction and lower exploration. Guided by a quantitative dynamic partial equilibrium framework disciplined by features of the Venezuelan data, this paper then evaluates the effects of nationalization. A comparison of the simulated and time series data shows that the model can explain about 80% of the productivity pattern over 1961–1980 in the Venezuelan oil industry. Counterfactual experiments suggest that the shift in the composition of the workforce is important in accounting for the productivity pattern. Furthermore, if nationalization had been sudden, long-run losses would have been lower.

scholarly journals Mass shootings in Australia and the United States, 1981-2013

2015 ◽  
Vol 1 (3) ◽  
pp. 131-142 ◽  
Author(s):  
Frederic Lemieux ◽  
Samantha Bricknell ◽  
Tim Prenzler
Keyword(s):  
Time Series Data ◽  
Gunshot Wounds ◽  
The United States ◽  
Series Data ◽  
Mass Shootings ◽  
Content Type ◽  
The Us ◽  
The Usa ◽  
Mass Shooting ◽  
Definition Of

Purpose – The purpose of this paper is to compare the incidence and main characteristics of mass shooting events in Australia and the USA in the period 1981-2013. Design/methodology/approach – The study adopted a conservative definition of mass shootings derived from the US Federal Bureau of Investigation, covering four or more fatalities not including the offender. Australian cases were accessed from the Australian Institute of Criminology’s National Homicide Monitoring Programme (NHMP) database and several secondary sources. The US data were collected from the Mother Jones database, a report prepared for Mayors Against Illegal Guns and a New York Police Department report. The time series data were related to changes in firearms regulations in the two jurisdictions. Findings – For Australia, the study identified 13 mass shooting events and 104 fatalities from gunshot wounds. For the USA, there were 73 events and 576 victims. Of note is the fact that all cases in Australia pre-dated the implementation of the restrictive 1996 National Firearms Agreement. In the USA, a small decline was evident during the 1994-2004 Federal Assault Weapon Ban. Incidents and fatalities increased after 2004. Research limitations/implications – Of necessity, the paper adopts a conservative FBI-based definition of mass shootings that limits the number of cases captured. The absence of an official government US database also most likely limits the number of cases identified. Practical implications – The findings lend support to policy considerations regarding regulating access to firearms. Originality/value – The paper is unique in comparing mass shootings in these two jurisdictions over three decades in association with changes in firearms regulation.

scholarly journals The quest of tourism and overall well-being: the developing economy of Pakistan

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Asif Khan ◽  
Sughra Bibi ◽  
Jiaying Lyu ◽  
Mohammad Alam ◽  
Muhammad Mussa Khan ◽  
...  
Keyword(s):  
Time Series ◽  
Time Series Data ◽  
Developing Economies ◽  
Tourism Development ◽  
Well Being ◽  
Series Data ◽  
Developing Economy ◽  
Content Type ◽  
Objective Indicators

Purpose This study aims to examine the causal relationship between tourism and overall well-being. The main objective of this research is to inform the policymakers that tourism can play a vital role in shaping the overall well-being in the developing economies. Design/methodology/approach This investigation used several time series techniques and procedures that include bounds test and autoregressive distributed lag mechanism to analyze the relationship between tourism and overall well-being in Pakistan by using time series data for the period 1980-2016. Findings The findings suggest a significant positive relationship between tourism and overall well-being both in the short and long run. The authors find that tourism and overall well-being affect each other positively. Practical implications This research indicates that policymakers and government can improve the overall well-being through tourism development. However, tourism policies and long-term planning should be focused on sustainable developments for achieving long-term goals. Besides, special incentives should be provided to the private sector for tourism development. Originality/value To the best of the authors’ knowledge, this is the first investigation that examines the causal relationships between tourism and overall well-being through objective indicators in a developing economy. This study fills the immense literature gap and provides new directions to scholars to investigate the mentioned relationship through objective indicators.

Does poverty lead to crime? Evidence from the United States of America

2018 ◽  
Vol 45 (10) ◽  
pp. 1424-1438 ◽  
Author(s):  
Mohammed Imran ◽  
Mosharrof Hosen ◽  
Mohammad Ashraful Ferdous Chowdhury
Keyword(s):  
Time Series Data ◽  
Property Crime ◽  
The United States ◽  
Economic Hardship ◽  
Series Data ◽  
Advanced Economy ◽  
Content Type ◽  
Long Run ◽  
The Usa ◽  
The Impact

Purpose Economic hardship and crime is always a debatable issue in the political economy literature. Some authors define poverty leads to crime some are completely opposite. The purpose of this paper is to find out the impact of poverty on crime in the USA. Design/methodology/approach Using time series data of USA over the period from 1965 to 2016, this study applies autoregressive distributed lag approach to identify the effect of poverty on crime. Findings The outcomes confirm a positive co-integrating relationship between poverty and property crime. It can be argued that poverty ultimately leads property crime in long run in the USA. However, unemployment and GDP exhibit neither long-run nor short-run relationship with property crime and they are not cointegrated for the calculated period. Research limitations/implications The subject of this paper helps to explain and analyze the nexus between poverty and crime in the USA. Practical implications Government and policymakers should focus more on poverty rather than unemployment alone to control property crime. Originality/value This study attempts to identify the consequences of economic hardship and poverty on the crime in the advanced economy like USA.

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