THE LINEAR DEPENDENCE AND FEEDBACK SPECTRA BETWEEN STOCK MARKET AND ECONOMY

2007 ◽  
Vol 10 (03) ◽  
pp. 437-447
Author(s):  
XIA PAN
Keyword(s):  
Stock Market ◽  
Linear Dependence ◽  
Multivariate Time Series ◽  
The European Union ◽  
The Us ◽  
Significance Levels ◽  
Grouped Variables ◽  
Market Variables ◽  
The Relationship ◽  
Spectral Feedback

Geweke studied the measure of linear dependence and spectral feedback for grouped multivariate time series. This paper applies the measure of linear dependence and spectral feedback to examining the relationship between grouped variables of economy and stock market indices. Putting economic variables into one group and stock market variables into another, we examine the between-group relationship within the US, within Japan, and within the European Union. Using a self-developed computing program, the feedback spectra for grouped variables are calculated and displayed. Although risk might exist in that the significance levels for test may not be reliable because the feedback spectra are measured on possibly nonstationary variables in level, the patterns of the feedback spectra still provide information about the cyclical effect between the variable groups.

The Relationship Between Stock Market Indices of the Biggest Six Economies of the European Union and BIST 100

2020 ◽  
pp. 257-275
Author(s):  
Serdar Ögel ◽  
Fatih Temizel
Keyword(s):  
European Union ◽  
Stock Market ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Var Model ◽  
The European Union ◽  
Causality Test ◽  
Integration Test ◽  
Causality Relationship ◽  
The Relationship

This chapter examines the relationship between stock market indices of the biggest six economies of the European Union and BIST 100. In this context, this study used the daily time series regarding indices of DAX for Germany, CAC 40 for France, FTSE MIB for Italy, IBEX 35 for Spain, AEX for Holland, FTSE 100 for United Kingdom, and BIST 100 for Turkey from 2014 to 2018. To test whether there is a co-integration relationship among indices, Johansen co-integration test was used. Since a co-integration relationship was not found between series, causality relationship between the European stock market indices and Turkey was tested with Granger causality test by establishing standard VAR model. As a result, a unidirectional Granger causality relationship was found from DAX, FTSE 100, CAC 40, IBEX 35, and AEX to BIST 100 according to lag length 1 and 2. However, a unidirectional Granger causality relationship was only found from FTSE MIB to BIST 100 for lag length 1. For lag length 1 and 2, no causality relationship was found from BIST 100 to the selected European stock market indices.

scholarly journals Opportunity or Crisis? Volatility and Leverage Effect in the World’s Largest Economies

2019 ◽  
Vol 9 (4) ◽  
pp. 1
Author(s):  
Amalendu Bhunia ◽  
Devrim Yaman
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Market Volatility ◽  
Future Market ◽  
Market Returns ◽  
Stock Market Returns ◽  
The Us ◽  
The World ◽  
The Impact ◽  
The Relationship

This paper examines the relationship between asset volatility and leverage for the three largest economies (based on purchasing power parity) in the world; US, China, and India. Collectively, these economies represent Int$56,269 billion of economic power, making it important to understand the relationship among these economies that provide valuable investment opportunities for investors. We focus on a volatile period in economic history starting in 1997 when the Asian financial crisis began. Using autoregressive models, we find that Chinese stock markets have the highest volatility among the three stock markets while the US stock market has the highest average returns. The Chinese market is less efficient than the US and Indian stock markets since the impact of new information takes longer to be reflected in stock prices. Our results show that the unconditional correlation among these stock markets is significant and positive although the correlation values are low in magnitude. We also find that past market volatility is a good indicator of future market volatility in our sample. The results show that positive stock market returns result in lower volatility compared to negative stock market returns. These results demonstrate that the largest economies of the world are highly integrated and investors should consider volatility and leverage besides returns when investing in these countries.

scholarly journals The Nexus Between Financial Development and Renewable Energy Consumption: A Review For Emerging Countries

2021 ◽  
Author(s):  
OGUZ SAYGIN ◽  
Ömer İskenderoğlu
Keyword(s):  
Renewable Energy ◽  
Energy Consumption ◽  
Stock Market ◽  
Financial Development ◽  
Emerging Countries ◽  
Research Field ◽  
Renewable Energy Consumption ◽  
Annual Frequency ◽  
Market Variables ◽  
The Relationship

Abstract The relationship between financial development and energy consumption is the most frequently research field in finance and economy. The main objective of carrying out this study is to answer that is there a relationship between financial development and renewable energy consumption in emerging countries? In many studies carried out in international literature, the empirical findings were pointing to the existence of this relationship. In order to examine the relationship between financial development and renewable energy consumption, a total of 20 emerging countries, benefited from annual frequency data between 1990 and 2015. The system GMM estimation was used as the method of study. As a result of the analysis performed indicates that financial development does not impact renewable energy consumption in emerging countries when financial development is measured using both banking and stock market variables. Additionally, it can be said that the financial development increases renewable energy consumption if it is measured by only stock market capitalization.

scholarly journals Is There a Connection between Sovereign CDS Spreads and the Stock Market? Evidence for European and US Returns and Volatilities

Mathematics ◽  
2020 ◽  
Vol 8 (10) ◽  
pp. 1667
Author(s):  
Laura Ballester ◽  
Ana González-Urteaga
Keyword(s):  
Stock Market ◽  
Financial Crises ◽  
Credit Default Swap ◽  
Equity Returns ◽  
Stock Market Volatility ◽  
Market Returns ◽  
Stock Market Returns ◽  
Credit Default ◽  
The Us ◽  
The Relationship

This study complements the current literature, providing a thorough investigation of the lead–lag connection between stock indices and sovereign credit default swap (CDS) returns for 14 European countries and the US over the period 2004–2016. We use a rolling VAR framework that enables us to analyse the connection process over time covering both crisis and non-crisis periods. In addition, we analyse the relationship between stock market volatility and CDS returns. We find that the connection between the credit and equity markets does exist and that it is time variable and seems to be related to financial crises. We also observe that stock market returns anticipate sovereign CDS returns, and sovereign CDSs anticipate the conditional volatility of equity returns, closing a connectedness circle between markets. Contribution percentages in terms of returns are more intense in the US than in Europe and the opposite result is found with respect to volatilities. Within Europe, a greater impact in Eurozone countries compared to non-Eurozone countries is observed. Finally, an additional analysis is also carried out for the financial sector, obtaining results largely consistent with those found using sovereign data.

New results on the predictive value of crude oil for US stock returns

2018 ◽  
Vol 35 (1) ◽  
pp. 97-108 ◽  
Author(s):  
Matt Brigida
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
State Space ◽  
Risk Premia ◽  
Time Varying ◽  
Content Type ◽  
Varying Coefficients ◽  
The Us ◽  
The Relationship ◽  
Predictive Relationship

Purpose The purpose of this study is to clarify the nature of the predictive relationship between crude oil and the US stock market, with particular attention to whether this relationship is driven by time-varying risk premia. Design/methodology/approach The authors formulate the predictive regression as a state-space model and estimate the time-varying coefficients via the Kalman filter and prediction-error decomposition. Findings The authors find that the nature of the predictive relationship between crude oil and the US stock market changed in the latter half of 2008. After mid-2008, the predictive relationship switched signs and exhibited characteristics which make it much more likely that the predictive relationship is due to time-varying risk premia rather than a market inefficiency. Originality/value The authors apply a state-space approach to modeling the predictive relationship. This allows one to watch the evolution of the predictive relationship over time. In particular, the authors identify a dramatic shift in the relationship around August 2008. Prior research has not been able to identify shifts in the relationship.

scholarly journals US Stock Market And Macroeconomic Factors

2015 ◽  
Vol 32 (1) ◽  
pp. 325 ◽  
Author(s):  
Francisco Jareño ◽  
Loredana Negrut
Keyword(s):  
Stock Market ◽  
Interest Rates ◽  
Price Index ◽  
Consumer Price Index ◽  
Macroeconomic Factors ◽  
Significant Relationships ◽  
The Us ◽  
The Relationship ◽  
Relevant Factors

<p>This paper analyzes the relationship between the US stock market and some relevant US macroeconomic factors, such as gross domestic product, the consumer price index, the industrial production index, the unemployment rate and long-term interest rates. All the relevant factors show statistically significant relationships with the stock market except for the consumer price index, and the signs are consistent with the findings of previous literature.</p>

scholarly journals Antidumping Procedures and Macroeconomic Factors: A Comparison between the United States and the European Union

2006 ◽  
Vol 6 (3) ◽  
pp. 1850092
Author(s):  
Mustapha Sadni Jallab ◽  
René Sandretto ◽  
Monnet Benoît Patrick Gbakou
Keyword(s):  
United States ◽  
European Union ◽  
The United States ◽  
International Competition ◽  
The European Union ◽  
Macroeconomic Factors ◽  
Real Gdp ◽  
The Us ◽  
The Relationship ◽  
The Eu

This paper aims at extending some recent publications about the relationship between antidumping filings and macroeconomic factors by comparing the United States (US) and the European Union (EU), two major users of antidumping procedures. Results of our estimations confirm that the exchange rate exerts a similar influence in the two countries. Fluctuations in the real GDP influence antidumping filings only in the US. On the contrary, the evolution of industrial production does not play an important role in the US, while its impact is important in Europe. The reinforcement of international competition appears to significantly increase antidumping filings in the US while this relationship turns out not to be significant in Europe. Finally, some of the most important differences between the US and the EU seem to be explainable by the differences of rules and practices implemented by the regulatory authorities.

Broker-dealer leverage volatility and the US stock prices

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Khandokar Istiak
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Asset Prices ◽  
Multivariate Garch ◽  
Content Type ◽  
The Us ◽  
Key Driver ◽  
First Moment ◽  
The Impact ◽  
The Relationship

Purpose Broker-dealer leverage volatility increases during booms and crisis periods, but its impact on stock prices is relatively unexplored. This paper aims to investigate whether broker-dealer leverage volatility is a key driver for stock prices. Design/methodology/approach This paper collects the US quarterly data of broker-dealer book leverage and three leading stock market indicators (S&P 500, DJIA and Nasdaq) for the period of 1967–2018. The research uses a multivariate GARCH-in-mean VAR to examine the impact of leverage volatility on each of the stock market indicators. A split-sample analysis (pre-1990 and post-1990) has also been performed to show the robustness of the result. Findings The research finds that broker-dealer leverage volatility does not have any significant impact on stock prices. Originality/value Broker-dealers are important financial intermediaries, and there is a huge literature exploring the relationship between their leverage and asset prices. But, the relationship between broker-dealer leverage volatility and asset prices is not explored yet. This study fills the gap and provides the first evidence that broker-dealer leverage volatility does not play any major role in the theory of stock pricing. The research proposes that the stock holding decisions of the investors should depend only on the first moment of leverage and not on the second moment of leverage. The study concludes that high broker-dealer leverage volatility is not a sinister signal for the US stock market.

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