scholarly journals Arbitrage and Liquidity: Evidence from a Panel of Exchange Traded Funds

2020 ◽  
Vol 2020 (097) ◽  
pp. 1-46
Author(s):  
David E. Rappoport ◽  
◽  
Tugkan Tuzun ◽  
Keyword(s):  
Granger Causality ◽  
Important Determinant ◽  
Market Liquidity ◽  
Exchange Traded Funds ◽  
Impulse Responses ◽  
Level Data ◽  
Causality Tests ◽  
Granger Causality Tests ◽  
Unique Dataset

Market liquidity is expected to facilitate arbitrage, which in turn should affect the liquidity of the assets traded by arbitrageurs. We study this relationship using a unique dataset of equity and bond ETFs compiled from big trade-level data. We find that liquidity is an important determinant of the efficacy of the ETF arbitrage. For less liquid bond ETFs, Granger-causality tests and impulse responses suggest that this relationship is stronger and more persistent, and liquidity spillovers are observed from portfolio constituents to ETF shares. Our results inform the design of synthetic securities, especially when derived from less liquid instruments.

scholarly journals The effect of financial crises on stock market liquidity across global markets

2017 ◽  
Vol 14 (2) ◽  
pp. 38-50
Author(s):  
Halil D. Kaya ◽  
Engku Ngah S. Engkuchik
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
Granger Causality ◽  
Financial Crises ◽  
Market Liquidity ◽  
Global Markets ◽  
Feedback Effects ◽  
Turnover Ratio ◽  
Causality Tests ◽  
Granger Causality Tests

In this study, using a widely available market liquidity measure, the “turnover ratio”, the authors test for market liquidity contagion during the four financial crises that occurred between 1997 and 1999: The Thai crisis, the Hong Kong crisis, the Russian crisis, and the Brazilian crisis. It is found that while the liquidity levels decreased in approximately half of the sample markets, in the remaining half, the liquidity levels actually improved. The Granger causality tests show that while there is almost no evidence of causality (in both directions) before each crisis, during each crisis, approximately half of the pairwise tests were significant. The results show that most of these causalities are reverse feedback effects from the non-crisis-origin markets to the crisis-origin market. Therefore, it is concluded that the more crucial phenomenon during these crises is the “reverse feedback effects” rather than the liquidity contagion itself.

vgets: A command to estimate general-to-specific VARs, Granger causality, steady-state effects, and cumulative impulse–responses

2020 ◽  
Vol 20 (2) ◽  
pp. 426-434
Author(s):  
Muhammad Asali
Keyword(s):  
Steady State ◽  
Granger Causality ◽  
Impulse Response ◽  
Vector Autoregression ◽  
Impulse Responses ◽  
Long Run ◽  
Causality Tests ◽  
Granger Causality Tests ◽  
Economic Studies

Vector autoregression (VAR) estimation is a vital tool in economic studies. VARs, however, can be dimensionally cumbersome and overparameterized. The vgets command allows for a general-to-specific estimation of VARs— overcoming the potential overparameterization—and provides tests for Granger causality, estimates of the long-run effects, and the cumulative impulse–response of each variable in the system; it also offers diagnostics that facilitate a genuinecausality interpretation of the Granger causality tests.

scholarly journals Do Operating Profits Induce a Wage Premium Equally Shared among Employees Earning High or Low Incomes?

Economies ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 81
Author(s):  
Jarle Aarstad ◽  
Olav A. Kvitastein
Keyword(s):  
Panel Data ◽  
Granger Causality ◽  
Wage Inequality ◽  
Wage Premium ◽  
Wage Increase ◽  
Low Incomes ◽  
Causality Tests ◽  
Granger Causality Tests

Panel data show that between 2001 and 2014 Norwegian industries’ increasing aggregated operating profits per employee increased average wages and wage inequality. The data imply that increasing profits, perhaps unsurprisingly, induce a wage premium. The data further imply that employees earning high incomes at the outset had the highest wage increase percentage-wise. Decreasing operating profits per employee had opposite but less robust effects on average wages and wage inequality. Panel data Granger causality tests finally showed that average wages, but not wage inequality, reversely and positively affect operating profits per employee.

scholarly journals Sars-Cov-2 in Argentina: Lockdown, Mobility, and Contagion

2020 ◽  
Author(s):  
Juan M.C. Larrosa
Keyword(s):  
Panel Data ◽  
Granger Causality ◽  
Random Effects ◽  
Social Costs ◽  
Political Discussion ◽  
Fixed And Random Effects ◽  
The World ◽  
Causality Tests ◽  
Granger Causality Tests ◽  
Over Time

AbstractThere is a debate in Argentina about the effectiveness of mandatory lockdown measures in containing COVID-19 that lasts five months making it one of the longest in the World. The population effort to comply the lockdown has been decreasing over time given the economic and social costs that it entails. We contributes by analyzing the Argentinian case through information of mobility and contagion given answers to recurrent questions on these topics. This paper aims to fill the gap in the literature by assessing the effects of lockdown measures and the regional relaxation on the numbers of rate of new infections. We also respond to issues of internal political discussion on regional contagion and the effect of marches and unexpected crowd events. We use pool, fixed and random effects panel data modeling and Granger causality tests identifying relations between mobility and contagion. Our results show that lockdown in Argentina has been effective in reducing the mobility but not in way that reduces the rate of contagion. Strict lockdown seems to be effective in short periods of time and by extend it without complementary measures loss effectiveness. Contagion rate seems to be discretely displaced in time and resurging amidst slowly increasing in mobility.

scholarly journals Drivers of Greek and Turkish Defense Spending

2016 ◽  
Vol 51 (1) ◽  
pp. 33-46 ◽  
Author(s):  
Grzegorz Waszkiewicz
Keyword(s):  
National Security ◽  
Granger Causality ◽  
Statistical Data ◽  
Causal Relation ◽  
Middle Eastern ◽  
Defense Spending ◽  
Causality Tests ◽  
Military Expenditures ◽  
Granger Causality Tests ◽  
Political Economic

Abstract This paper evaluates the factors responsible for maintaining substantial military expenditures in Greece and Turkey. The presented research encompasses theoretical and empirical aspects. First, defense spending by both countries was analyzed based on statistical data from international sources. Next, the theoretical determinants of budgetary spending are reviewed, which consider political, economic and military factors behind high expenditures on the army in Greece and in Turkey. Finally, Granger causality tests is applied to determine whether a causal relation between variables exists in the case of these two countries. We conclude that defense expenditures in Greece and Turkey exceed the NATO average, but are relatively low relative to those of selected Middle Eastern countries. Our results indicate that high military spending level in Turkey is mainly driven by national security concerns, whereas an economic driver prevails in Greece.

scholarly journals The Trivariate Causality among Education, Health, and Economic Growth in Zimbabwe

2020 ◽  
Vol 12 (4) ◽  
pp. 1357
Author(s):  
Michael Takudzwa Pasara ◽  
Tapiwa Kelvin Mutambirwa ◽  
Nolutho Diko
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Transmission Mechanism ◽  
Feedback Effect ◽  
Health Policies ◽  
Var Model ◽  
Vector Autoregressive ◽  
Education And Health ◽  
Causality Tests ◽  
Granger Causality Tests

This study investigated the causality among education, health, and economic growth in Zimbabwe. Causality effects are a thinly explored area in literature, with most studies focusing on bidirectional relationships. Granger causality tests were employed in a Vector autoregressive (VAR) model. Results showed that education Granger causes health improvements, with health improvements in turn fairly associating to Granger cause economic growth in Zimbabwe. Thus, the effect of education on economic growth is not direct, but works through improved health, pointing to the conclusion that health is a transmission mechanism through which education drives economic growth. No feedback effect was established from health to education and from economic growth to education and health. Thus, results suggest the need for a holistic policy approach which integrates education and health policies in a bid to drive economic growth, since education has no effect on economic growth in its own domain, but through health.

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