Asian stock market integration after the global financial crisis: an ARDL bound testing approach

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Thazhungal Govindan Saji
Keyword(s):  
Financial Crisis ◽  
Stock Price ◽  
Market Integration ◽  
Stock Index ◽  
Bounds Testing ◽  
Content Type ◽  
Ardl Bounds Testing ◽  
Bounds Testing Approach ◽  
Testing Approach ◽  
Ardl Bounds Testing Approach

PurposeThe Global recession of 2008 was the worst financial crisis in the postworld war economic history that brought in severe disruptions in global investments and capital flows. Not surprisingly, research interest in the field of market integration has considerably increased over the last decade. This paper analyses the dynamics of price integration among Asian financial markets during the postfinancial crisis period.Design/methodology/approachWe employ an Autoregressive Distributed Lag (ARDL) bounds testing approach to cointegration and a Granger Causality/Block Exogeniety test from a Vector Error Correction Model (VECM) on monthly stock index data of five leading Asian economies from April 2009 to March 2020.FindingsThe cointegration results could not produce any conclusive evidence of long-run relations between stock markets. There exists weak price convergence among markets, and financial integration is partial and in an imperfect form.Research limitations/implicationsStock price performance in China is closely “coupled” with that in India, but both markets appear to be the short-run predictors of Asian stock returns. The research uses only the benchmark stock indices of the selected economies. Consideration of mid-cap and small-cap segments where foreign investments are significant today can validate the findings further.Practical implicationsThe asymmetric pattern of price behavior of Asian markets has important implications for the pricing efficiency of national markets and offers arbitrage potentials for global investors to optimize returns through market diversifications on a long-term perspective. The finding definitely will be a great help to investors who are potentially interested in a trading strategy that offers greater returns with limited exposure to market risks.Originality/valueCompared with previous studies, the research uses the most recent data of leading Asian markets and applies the robust method of ARDL Bounds testing approach that allows us to understand better if the economic recoveries and advancement have had an effect on market coupling and stock price transmissions.

By applying an ARDL bounds testing approach and causality test to investigate the electricity consumption and production with economic growth

2019 ◽  
Vol 17 (2) ◽  
pp. 182-199 ◽  
Author(s):  
Abdul Rehman ◽  
Muhammad Irfan ◽  
Sehresh Hena ◽  
Abbas Ali Chandio
Keyword(s):  
Economic Growth ◽  
Electricity Consumption ◽  
Electricity Production ◽  
Bounds Testing ◽  
Causality Test ◽  
Content Type ◽  
Ardl Bounds Testing ◽  
Bounds Testing Approach ◽  
Testing Approach ◽  
Ardl Bounds Testing Approach

Purpose The purpose of this paper is to explore and investigate the electricity consumption and production and its linkage to economic growth in Pakistan. Design/methodology/approach The authors used an augmented Dickey–Fuller unit root test to check the stationarity of the variables, while an autoregressive distributed lag (ARDL) bounds testing approach and causality test were applied to investigate the variables long-term association with the economic growth. Findings The study results show that electricity consumption in the agriculture, commercial and industrial sector has significant association with economic growth, while electricity consumption in the household and street lights demonstrate a non-significant association with the economic growth. Furthermore, results also exposed that electricity production from coal, hydroelectric, natural gas, nuclear and oil sources have significant association with the economic growth of Pakistan. Originality/value This study made a contribution to the literature regarding electricity consumption and production with economic growth in Pakistan by using an ARDL bounds testing approach and causality test. This study provides a guideline to the government of Pakistan that possible steps are needed to improve the electricity production and supply to fulfill the country demand.

Do fisheries and aquaculture production have dominant roles within the economic growth of Pakistan? A long-run and short-run investigation

2019 ◽  
Vol 121 (8) ◽  
pp. 1926-1935
Author(s):  
Abdul Rehman ◽  
Zhang Deyuan ◽  
Sehresh Hena ◽  
Abbas Ali Chandio
Keyword(s):  
Economic Growth ◽  
Time Series Data ◽  
Government Expenditure ◽  
Series Data ◽  
Bounds Testing ◽  
Content Type ◽  
Ardl Bounds Testing ◽  
Bounds Testing Approach ◽  
Testing Approach ◽  
Ardl Bounds Testing Approach

Purpose The purpose of this paper is to investigate and explore the connection between aquaculture and capture fisheries production and economic growth in Pakistan. Fisheries play an important role in Pakistan’s national economy, and Pakistan has sufficient fishery resources to be developed. Most of the population in the coastal areas depends on fisheries for their livelihood. Design/methodology/approach This research was based on time series data of aquaculture and capture fisheries production and the analysis of their relationship with economic growth in Pakistan. The study used an autoregressive distributed lag (ARDL) bounds testing approach to check the dynamic causality between the study variables. Findings The results showed that aquaculture and capture fisheries production have had a positive effect on the economic growth in Pakistan. Practical implications Better infrastructure for the fishing industry, increased government expenditure on facilities and financial support for the fish farmers could contribute to economic growth in the future. Recommendations for improvements in these areas have been made. Originality/value By using an ARDL bounds testing approach, this study contributes to the literature regarding fisheries production and economic growth in Pakistan.

Financial sector development and life insurance inclusion in India: an ARDL bounds testing approach

2021 ◽  
Vol 48 (4) ◽  
pp. 531-542
Author(s):  
Biju Mathew ◽  
Sunitha Sivaraman
Keyword(s):  
Life Insurance ◽  
Financial Sector ◽  
Financial Deepening ◽  
Bounds Testing ◽  
Content Type ◽  
Financial Sector Development ◽  
Ardl Bounds Testing ◽  
Bounds Testing Approach ◽  
Testing Approach ◽  
Ardl Bounds Testing Approach

PurposeThis paper analyses the relationship between financial sector development (FSD) and life insurance inclusion in India during the period from 1971–1972 to 2016–2017. The study analyses the effect of financial deepening on life insurance inclusion in India.Design/methodology/approachThe study employs augmented Dickey–Fuller (ADF) unit roots test to check the stationarity properties of the time series data. It estimates a life insurance inclusion model using the auto-regressive distributed lag model (ARDL) bounds testing approach to cointegration.FindingsThe study finds evidence of a cointegrating relationship between financial deepening and life insurance inclusion in India. A significant error correction coefficient indicates automatic adjustments to short-run disequilibrium, reinforcing the cointegrating relationship between financial sector and life insurance inclusion.Research limitations/implicationsA major limitation of the study is that it excludes the first-time sum assured (FSA) contributed by the private sector life insurance companies due to lack of data availability.Practical implicationsThe results of the study call for faster expansion of the financial sector and provision of a low interest rate regime in the Indian economy. The study invokes the need for sufficient training to the personnel in the banking and non-banking institutions to cater to the complex needs of life insurance buyers.Originality/valueThe paper estimates the link between FSD and life insurance inclusion and introduces a new measure of life insurance demand, the life insurance inclusion, measured using the FSA.

Understanding subnational conflicts in Myanmar

2019 ◽  
Vol 13 (2) ◽  
pp. 339-352 ◽  
Author(s):  
Partha Gangopadhyay ◽  
Siddharth Jain
Keyword(s):  
Arable Land ◽  
Armed Forces ◽  
Annual Data ◽  
Bounds Testing ◽  
Content Type ◽  
Long Run ◽  
Ardl Bounds Testing ◽  
Bounds Testing Approach ◽  
Testing Approach ◽  
Ardl Bounds Testing Approach

Purpose This paper aims to examine the interrelationships between subnational conflicts in Myanmar and other variables of interests from the following four major domains: economic, human security and vulnerability of people, aggressiveness or militancy of the armed forces and global and regional climates. Design/methodology/approach Autoregressive distributed lag (ARDL) bounds testing approach has been applied on annual data from 1960-2017, to deal with the problems of autocorrelation and non-stationarity of key variables. Findings First, an increase in crop yield, cereal productivity, food productivity and per capita availability of arable land unequivocally and significantly lower the severity of conflict in Myanmar in the long run. Second, the authors uncover strong evidence that the intensity of conflicts bears a positive relationship with the vulnerability of the people of Myanmar. Third, the authors detect that both regional and global climate variables have limited and rather inconsistent impacts on subnational conflicts in Myanmar. Finally, the authors find that the aggressiveness (militancy index) of the armed forces has significant impacts upon subnational conflicts and economic variables of Myanmar in the long run. Originality/value This paper is completely data-driven and explains the long-term dynamics of the intensity of the civil war in Myanmar. ARDL bounds testing approach has been used to examine the interrelationships between subnational conflicts in Myanmar and other variables of interests. It is a novel approach, which overcomes the problems of autocorrelation and nonstationarity and offers reliable results.

Energy consumption and agricultural economic growth in Pakistan: is there a nexus?

2019 ◽  
Vol 13 (3) ◽  
pp. 597-609 ◽  
Author(s):  
Abbas Ali Chandio ◽  
Yuansheng Jiang ◽  
Abdul Rehman
Keyword(s):  
Economic Growth ◽  
Energy Consumption ◽  
Agricultural Economic ◽  
Bounds Testing ◽  
Content Type ◽  
Long Run ◽  
Ardl Bounds Testing ◽  
Bounds Testing Approach ◽  
Testing Approach ◽  
Ardl Bounds Testing Approach

Purpose This study aims to empirically examine the relationship between energy consumption and agricultural economic growth in Pakistan over the period from 1984 to 2016. Design/methodology/approach This study used the autoregressive distributed lag (ARDL) bounds testing approach to cointegration to investigate the long-run and short-run determinants of agricultural economic growth in Pakistan. Findings The results of the ARDL bounds testing approach to cointegration revealed that long-run linkage exists among the study variables. The findings of this paper showed that agricultural economic growth is positively affected by gas consumption and electricity consumption both in the long-run and short run. The long-run and short-run coefficients of gas consumption and electricity consumption were estimated to be 0.906, 0.421, 0.595 and 0.276, respectively. The estimated equation remains stable during the period from 1984 to 2016 as analyzed by the stability tests. Originality/value This study considers the relationship between energy consumption and agricultural economic growth in Pakistan by using an ARDL bounds testing approach to cointegration. The study has three contributions to economic literature:this study used different unit root tests to test stationarity of the variables such as ADF unit root test by Dicky and Fuller and P-P unit root test by Philip and Perron; the ARDL bounds testing approach to cointegration is applied to test the existence of long-run analysis between energy consumption and agricultural economic growth; and to check the robustness, the authors used the Johansen cointegration test to examine the long-run relationship between dependent and independent variables.

The nexus of electricity access, population growth, economic growth in Pakistan and projection through 2040

2019 ◽  
Vol 13 (3) ◽  
pp. 747-763 ◽  
Author(s):  
Abdul Rehman
Keyword(s):  
Economic Growth ◽  
Population Growth ◽  
Urban Population ◽  
Bounds Testing ◽  
Content Type ◽  
Ardl Bounds Testing ◽  
Bounds Testing Approach ◽  
Testing Approach ◽  
Electricity Access ◽  
Ardl Bounds Testing Approach

Purpose The purpose of this study was to investigate the relationship between electricity access, population growth and economic growth in Pakistan. Design/methodology/approach Phillips–Perron unit root test was applied to check the stationarity of the variables and an Autoregressive Distributed Lag (ARDL) bounds testing approach to co-integration was used to investigate the causality link between the study variables. Finally, a projection method was applied to check the future trend of the variables. Findings The study results show the long-term connections among the variables; further, the results illustrate that the electricity access to the urban population and the urban population growth has a significant impact on the economic growth, while the electricity access to the rural population and the rural population growth has a negative impact on the economic growth in Pakistan. Research limitations/implications The electricity sector needs further attention from the Government of Pakistan to boost the production from different energy sources, such as oil, gas, solar, nuclear and hydropower to be able to fulfill the country’s growing demand. Originality/value By using the ARDL bounds testing approach to co-integration, this study addressed the literature gap regarding electricity access, population growth and economic growth in Pakistan.

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