Effectiveness of Currency Futures Market in India: An Empirical Investigation

2017 ◽  
Vol 6 (2) ◽  
pp. 196-203 ◽  
Author(s):  
T. K. Dhaneesh Kumar ◽  
B. G. Poornima ◽  
P. K. Sudarsan
Keyword(s):  
Granger Causality ◽  
Garch Model ◽  
Granger Causality Test ◽  
Futures Market ◽  
Marginal Effect ◽  
Model Framework ◽  
Causality Test ◽  
Currency Futures ◽  
Before And After ◽  
Spot Volatility

This article investigates the role of currency futures market in India in the context of high volatility of Indian rupee (INR) in recent years. It examines whether the spot volatility before and after the introduction of currency futures were significantly different. It also examines the volatility causation between currency spot and futures market in India. The study considers three international currencies, namely US dollar (USD), British pound (GBP) and Euro in relation to INR for the period of 2006–2013. It made use of GARCH model framework and Granger causality test. The GARCH model results indicate that after the introduction of futures, there is less volatility for GBP and Euro but not in the case of USD. The Granger causality test reveals that USD and Euro has unidirectional causality, which means that spot causes future fluctuations, while in the case of GBP, there is bidirectional causality. The study concludes that the introduction of futures is not effective in reducing spot volatility for INR–USD but there is a marginal effect for INR–GBP and INR–Euro.

scholarly journals Asymmetric Behavior of Inflation Uncertainty and Friedman-Ball Hypothesis: Evidence from Pakistan

2010 ◽  
Vol 15 (2) ◽  
pp. 1-33 ◽  
Author(s):  
Syed Kumail Abbas Rizvi ◽  
Bushra Naqvi
Keyword(s):  
Granger Causality ◽  
Strong Evidence ◽  
Garch Model ◽  
Granger Causality Test ◽  
Time Varying ◽  
Inflation Uncertainty ◽  
Causality Test ◽  
Quarterly Data ◽  
Second Stage ◽  
Asymmetric Behavior

This paper is a first attempt to measure and analyze inflation uncertainty in Pakistan. It makes several contributions to the literature. In the first stage, using quarterly data from 1976:01 to 2008:02, we model inflation uncertainty as a time varying process using the GARCH framework. In the second stage, we analyze the asymmetric behavior of inflation uncertainty using the GJR-GARCH and EGARCH models. For further analysis of asymmetry and leverage effects, we develop news impact curves as proposed by Pagan and Schwart (1990). Finally we investigate the causality and its direction between inflation and inflation uncertainty by using the bivariate Granger-Causality test to determine which inflation uncertainty hypothesis (Friedman-Ball or Cukierman-Meltzer) holds true for Pakistani data. We obtain two important results. First, the GJR-GARCH and EGARCH models are more successful in capturing inflation uncertainty and its asymmetric behavior than the simple GARCH model. This can also be seen from news impact curves showing a significant level of asymmetry. Second, there is strong evidence that the Friedman-Ball inflation uncertainty hypothesis holds true for Pakistan.

scholarly journals Relationship Between Spot Prices and Futures Prices: Evidence From Karachi Stock Exchange

2021 ◽  
Vol 5 (2) ◽  
pp. 109-123
Author(s):  
Muhammad Asif Ali ◽  
Muhammad Asif Ali ◽  
Dr. Naveed Hussain Shah
Keyword(s):  
Granger Causality ◽  
Stock Exchange ◽  
Granger Causality Test ◽  
Spot Market ◽  
Futures Market ◽  
Futures Prices ◽  
Causality Test ◽  
Spot Prices ◽  
Unit Root Testing ◽  
Integration Test

This study investigates the relationship between futures prices and their underlying spot prices of the stocks trading on Pakistan stock market. Data on the monthly closing prices of future contracts and their underlying stocks of 30 companies for the period January 2004 to June 2014 have been taken for analysis. Descriptive statistics, Augmented Dicky Fuller test for unit root testing, Johnson Co-integration test, Granger causality test and Vector Error Correction Model are used. The results confirms significant long term relationship between futures prices and the associated Spot prices in case of 26 companies. The report of Granger causality test indicates that a Bi-directional causality lack to exist in case of each security, VECM shows that Spot prices for current month are effected by previous month prices in case of 7 companies, while futures prices of current month are affected by previous month prices in case of 4 companies. VECM illustrates that the volatility shocks in spot market are less effected by futures market, however the volatility shocks in corresponding futures market were strongly and significantly affected by spot market volatility.

scholarly journals Uncertainty Due to Infectious Diseases and Stock–Bond Correlation

Econometrics ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 17
Author(s):  
Konstantinos Gkillas ◽  
Christoforos Konstantatos ◽  
Costas Siriopoulos
Keyword(s):  
Neural Networks ◽  
Artificial Neural Networks ◽  
Infectious Diseases ◽  
Granger Causality ◽  
Predictive Value ◽  
High Frequency ◽  
Causal Relation ◽  
Granger Causality Test ◽  
Causality Test ◽  
Non Linear

We study the non-linear causal relation between uncertainty-due-to-infectious-diseases and stock–bond correlation. To this end, we use high-frequency 1-min data to compute daily realized measures of correlation and jumps, and then, we employ a nonlinear Granger causality test with the use of artificial neural networks so as to investigate the predictability of this type of uncertainty on realized stock–bond correlation and jumps. Our findings reveal that uncertainty-due-to-infectious-diseases has significant predictive value on the changes of the stock–bond relation.

scholarly journals R&D Investment, Financial and Environmental Performance Nexuses via Bootstrap Fourier Quantiles Granger Causality Test

Economies ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 85
Author(s):  
Feng-Li Lin
Keyword(s):  
Financial Performance ◽  
Granger Causality ◽  
Environmental Performance ◽  
Co2 Emission ◽  
Positive Relationship ◽  
Granger Causality Test ◽  
Causality Test ◽  
Emission Reductions ◽  
Policy Makers ◽  
D Investment

This study investigated the relationship between R&D investments and financial and environmental performance. The direction, size, and significance of various phases of these variables were generated using the bootstrap Fourier quantiles Granger causality test. In our results, a positive relationship between R&D investment and CO2 emission reductions was found at two tails of quantiles. Additionally, we observed a significantly positive relationship between financial performance and CO2 emission reductions at the 0.5 quantile and above. The correlation between R&D investment and financial performance was identified to be positive under the 0.3, 0.4, 0.5 and 0.9 quantiles and negative under the 0.5 and 0.6 quantiles. The changing linkages among R&D investment, environmental performance and financial performance found in this study provide important information for policy makers, aiding in the development of R&D strategies to upgrade financial and environmental performance simultaneously.

The effect of spillover on the Granger causality test

2010 ◽  
Vol 37 (9) ◽  
pp. 1473-1486 ◽  
Author(s):  
Panagiotis Mantalos ◽  
Ghazi Shukur
Keyword(s):  
Granger Causality ◽  
Granger Causality Test ◽  
Causality Test

The relationship between financial development and economic growth in Eswatini (formerly Swaziland)

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Siphe-okuhle Fakudze ◽  
Asrat Tsegaye ◽  
Kin Sibanda
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Financial Development ◽  
Granger Causality Test ◽  
Causality Test ◽  
Content Type ◽  
Distributed Lag ◽  
Long Run ◽  
Short Run ◽  
The Relationship

PurposeThe paper examined the relationship between financial development and economic growth for the period 1996 to 2018 in Eswatini.Design/methodology/approachThe Autoregressive Distributed Lag bounds test (ARDL) was employed to determine the long-run and short-run dynamics of the link between the variables of interest. The Granger causality test was also performed to establish the direction of causality between financial development and economic growth.FindingsThe ARDL results revealed that there is a long-run relationship between financial development and economic growth. The Granger causality test revealed bidirectional causality between money supply and economic growth, and unidirectional causality running from economic growth to financial development. The results highlight that economic growth exerts a positive and significant influence on financial development, validating the demand following hypothesis in Eswatini.Practical implicationsPolicymakers should formulate policies that aims to engineer more economic growth. The policies should strike a balance between deploying funds necessary to stimulate investment and enhancing productivity in order to enliven economic growth in Eswatini.Originality/valueThe study investigates the finance-growth linkage using time series analysis. It determines the long-run and short-run dynamics of this relationship and examines the Granger causality outcomes.

Sign in / Sign up

Export Citation Format

Share Document