scholarly journals Causality effect of capital market indicators on foreign investment model in Nigeria and South Africa (1980-2013)

2015 ◽  
Vol 1 (2) ◽  
pp. 7-12
Author(s):  
Onuorah Anastasia Chi-Chi Ebiringa ◽  
Oforegbunam Thaddeus ◽  
Okoli Margaret Nnenna
Keyword(s):  
South Africa ◽  
Foreign Investment ◽  
Capital Market ◽  
Stock Exchange ◽  
Policy Formulation ◽  
Investment Model ◽  
Economic Indicators ◽  
Market Model ◽  
Long Run ◽  
Short Run

This study examined causal effects of economic indicators attracting foreign investment inflows in Nigeria and South Africa. The purpose of the study is to investigate the behavioural pattern of economic indicators and determinants of economic indicators of capital market model influencing foreign investment inflows these two countries. The data were sourced from various economic and statistical bulletins of each country. Diagnostic test and Granger causality tests were the main econometric techniques for the analysis. The findings confirmed that for both countries; total value of transaction (TVT) and market capitalisation (MCAP) are the main economic indicators of capital market model (CMD) attracting foreign investment (FI). The study concluded that the identified economic indicators of CMD influenced FI in a short-run equilibrium relationship except interest rate having long-run equilibrium with foreign investment in South Africa. It is recommended that substantial approach and workable policy formulation and implementation in the stock exchange market to improve quality portfolio is highly needed to attract foreign investors in the global financial market.

scholarly journals South Africa’s Financial Development and its Role in Investment

2018 ◽  
Vol 7 (1) ◽  
pp. 101-120 ◽  
Author(s):  
Brian Muyambiri ◽  
N.M. Odhiambo
Keyword(s):  
South Africa ◽  
Financial Development ◽  
Positive Impact ◽  
Investment Model ◽  
Model Composite ◽  
Enhancing Effect ◽  
Development Indicators ◽  
Long Run ◽  
Short Run ◽  
The Impact

AbstractThis study investigates the impact of financial development on investment in South Africa between 1976 and 2014. The model estimated is based on the flexible accelerator investment model. Composite indices for bank-based and market-based financial development indicators are used as explanatory variables. The estimated model postulates that both bank-based financial development and market-based financial development have an acceleratorenhancing effect on investment. Results show that market-based financial development has a positive impact on investment in the long run, while bank-based financial development has a negative effect in the short run. Implications are that, for South Africa, market-based financial development has a positive accelerator-enhancing effect on investment in the long run. In contrast, bank-based financial development is found to have a negative accelerator enhancing effect on investment in the short run.

Nexus Between Discount Rate and Industrial Performance

2021 ◽  
pp. 097215092110287
Author(s):  
Ajab Khan
Keyword(s):  
Discount Rate ◽  
Capital Market ◽  
Stock Exchange ◽  
Oil Industry ◽  
Long Run ◽  
Short Run ◽  
Industrial Performance ◽  
Long Term Performance ◽  
Term Performance

This study investigates the short-run responses and long-run performances of seven industries’ stock indices with discount rate changes in the firms listed in the Pakistan Stock Exchange (PSE) between 2009 and 2018. The results indicate that short-run returns react positively to discount rate reduction, excluding the oil industry and vice versa. Therefore, long-term performance responds favourably with a reduction in the discount rate. Discount rate changes affect the apparel industry the most, while the oil industry is the least on the list. This study serves potential investors for their returns against investment among these industries. Furthermore, it works as a guideline for regulators and policymakers to manage fluctuations for a stable capital market.

scholarly journals A causal relationship between derivatives trading, capital market development and economic growth: Evidence from South Africa

2014 ◽  
Vol 11 (2) ◽  
pp. 688-696 ◽  
Author(s):  
Godfrey Marozva
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Capital Markets ◽  
Capital Market ◽  
Stock Exchange ◽  
Market Development ◽  
Management Tools ◽  
Distributed Lag ◽  
Long Run ◽  
Short Run

This article is based on empirical research on the relationship between derivatives and capital market development and also between derivatives and economic growth on the Johannesburg Stock Exchange (JSE) for the period between 1994 and 2012. The study employed the Autoregressive Distributed Lag (ARDL)-bound testing approach and the Granger causality tests to examine the linkage between capital market development and derivatives, and the nexus between derivatives and economic growth to capture the short-run and long-run dynamics. The results show that there is a significant relationship between derivatives and capital markets development. Further tests indicated that there is a unidirectional Granger causality running from capital market development to derivatives both in the short run and long run, implying that derivatives do not Granger cause capital market development. Results also revealed that there is no direct linkage between derivatives and economic growth. Based on the research it is recommended that further research should be conducted to investigate how derivatives enhance capital market development through augmentation of liquidity and efficiency, leverage, and reduction of transaction costs through the role of derivatives as risk management tools in capital markets.

Impact of exchange rate and oil price on the yield of sovereign bond and sukuk: Evidence from Malaysian capital market

2017 ◽  
Vol 5 (4) ◽  
pp. 27
Author(s):  
Huda Arshad ◽  
Ruhaini Muda ◽  
Ismah Osman
Keyword(s):  
Exchange Rate ◽  
Capital Market ◽  
Time Series Data ◽  
Oil Prices ◽  
Oil Price ◽  
Series Data ◽  
Sovereign Bond ◽  
Long Run ◽  
Short Run ◽  
The Impact

This study analyses the impact of exchange rate and oil prices on the yield of sovereign bond and sukuk for Malaysian capital market. This study aims to ascertain the effect of weakening Malaysian Ringgit and declining of crude oil price on the fixed income investors in the emerging capital market. This study utilises daily time series data of Malaysian exchange rate, oil price and the yield of Malaysian sovereign bond and sukuk from year 2006 until 2015. The findings show that the weakening of exchange rate and oil prices contribute different impacts in the short and long run. In the short run, the exchange rate and oil prices does not have a direct relation with the yield of sovereign bond and sukuk. However, in the long run, the result reveals that there is a significant relationship between exchange rate and oil prices on the yield of sovereign bond and sukuk. It is evident that only a unidirectional causality relation is present between exchange rate and oil price towards selected yield of Malaysian sovereign bond and sukuk. This study provides numerical and empirical insights on issues relating to capital market that supports public authorities and private institutions on their decision and policymaking process.

An Econometric Analysis on the Relationship between Globalisation and Inequality in South Africa

2020 ◽  
Vol 11 (1) ◽  
pp. 89-89
Author(s):  
Jacques de Jongh
Keyword(s):  
South Africa ◽  
Well Being ◽  
Causality Analysis ◽  
Global Integration ◽  
Development Indicators ◽  
Long Run ◽  
The World ◽  
Distribution Of Resources ◽  
Short Run ◽  
The Impact

Globalisation has had an unprecedented impact on the development and well-being of societies across the globe. Whilst the process has been lauded for bringing about greater trade specialisation and factor mobility many have also come to raise concerns on its impact in the distribution of resources. For South Africa in particular this has been somewhat of a contentious issue given the country's controversial past and idiosyncratic socio-economic structure. Since 1994 though, considerable progress towards its global integration has been made, however this has largely coincided with the establishment of, arguably, the highest levels of income inequality the world has ever seen. This all has raised several questions as to whether a more financially open and technologically integrated economy has induced greater within-country inequality (WCI). This study therefore has the objective to analyse the impact of the various dimensions of globalisation (economic, social and political) on inequality in South Africa. Secondary annual time series from 1990 to 2018 were used sourced from the World Bank Development indicators database, KOF Swiss Economic Institute and the World Inequality database. By using different measures of inequality (Palma ratios and distribution figures), the study employed two ARDL models to test the long-run relationships with the purpose to ensure the robustness of the results. Likewise, two error correction models (ECM) were used to analyse the short-run dynamics between the variables. As a means of identifying the casual effects between the variables, a Toda-Yamamoto granger causality analysis was utilised. Keywords: ARDL, Inequality, Economic Globalisation; Social Globalisation; South Africa

scholarly journals The Integration of Conventional Equity Indices with Environmental, Social, and Governance Indices: Evidence from Emerging Economies

2021 ◽  
Vol 13 (2) ◽  
pp. 676
Author(s):  
Ramiz ur Rehman ◽  
Muhammad Zain ul Abidin ◽  
Rizwan Ali ◽  
Safwan Mohd Nor ◽  
Muhammad Akram Naseem ◽  
...  
Keyword(s):  
South Africa ◽  
Function Analysis ◽  
Impulse Response Function ◽  
Decomposition Analysis ◽  
Individual Country ◽  
Brics Countries ◽  
Long Run ◽  
Integration Test ◽  
Short Run ◽  
Equity Indices

This study investigates the integration of environmental, social, and governance (ESG) equity indices with conventional indices in Brazil, Russia, India, China, and South Africa (BRICS) individually and across all BRICS countries to better understand regional economic cooperation. Accordingly, we look at daily returns from 13 July 2013 to 28 February 2018 for the Morgan Stanley Capital International (MSCI) ESG indices and MSCI composite indices of the respective countries. To analyze the integration between the ESG equity indices of the sampled countries with their regional and across regional conventional counterparts, the Johansen Co-integration test is employed in this study. Further, the vector error correction model (VECM) is applied to test the causality between the sampled time-series. The impulse response function analysis further explains the impulse responses of each country’s MSCI ESG returns to one standard deviation of innovations to MSCI composite returns of the same country and across countries. Finally, the extent of the MSCI composite returns’ impact on the MSCI ESG returns in the same country indices, and cross-regional indices is examined with variance decomposition analysis. The results suggest that all ESG equity indices are integrated with conventional indices in all BRICS countries. Furthermore, there is a short-or long-run causality between MSCI ESG and MSCI composite equity indices of China and South Africa. Moreover, the study finds only short-run causality between conventional and non-conventional equity indices of Brazil and Russia, whereas we find only long-run causality between India’s non-conventional and conventional equity indices. Finally, the study finds that the all-individual country MSCI ESG equity indices shows a long-run causality with MSCI composite equity indices of all other BRICS countries. The findings also confirm the economic and financial cooperation between the BRICS countries.

scholarly journals The economic market outcomes and income distribution when capital is not homogeneous

2019 ◽  
Vol 1 (1) ◽  
pp. 38-56
Author(s):  
Ahmet Özçam
Keyword(s):  
Measurement Problem ◽  
Physical Capital ◽  
Threshold Level ◽  
Market Model ◽  
Economic Market ◽  
Constant Elasticity ◽  
Content Type ◽  
Macroeconomic Analysis ◽  
Long Run ◽  
Short Run

Purpose An aggregate production function has been used in macroeconomic analysis for a long time, even though it seems that it is conceptually confusing and problematic. The purpose of this paper is to argue that the measurement problem related to the heterogenous capital input that exists in macroeconomics is also relevant to microeconomic market situations. Design/methodology/approach The author constructed a microeconomic market model to address both the problems of the measurement of the physical capital and of substitutability between labor and capital in the short run using two types of technologies: labor neutral and labor reducing. The author proposed that labor and physical capital inputs are complementary in the short run and can become substitutes only in the long run when the technology advances. Findings The author found that even if the technology improves at a fast rate over time, there are then diminishing returns of profits to technology and an upper limit to profits. Moreover, the author showed that under the labor-reducing technology, labor class earns more initially as technology improves, but their incomes start declining after some threshold level of passage of time. Originality/value The author cautioned the applied researcher that the estimated labor and capital coefficients of generalized Cobb–Douglas and constant elasticity of substitution of types of production functions could not be interpreted as partial elasticities of labor and capital if in reality the data come from fixed-proportions types of processes.

Does Public Debt Service Expenditure Crowd-Out Economic Growth? Empirical Evidence from an African Developing Country

2019 ◽  
Vol 64 (3) ◽  
pp. 23-38
Author(s):  
Talknice Saungweme ◽  
Nicholas M. Odhiambo
Keyword(s):  
Economic Growth ◽  
Public Debt ◽  
Time Series Data ◽  
Policy Formulation ◽  
Debt Service ◽  
Series Data ◽  
Long Run ◽  
Short Run ◽  
The Impact

Abstract This paper contributes to the ongoing debate on the impact of public debt service on economic growth; and it provides an evidence-based approach to public policy formulation in Zimbabwe. The empirical analysis was performed by applying the autoregressive distributed lag (ARDL) technique to annual time-series data from 1970 to 2017. The study findings reveal that the impact of public debt service on economic growth in Zimbabwe is negative in the short run but positive in the long run. The results are suggestive of the existence of a crowding-out effect of public debt service in Zimbabwe in the short run and a crowding-in effect in the long run. In view of these findings, the government should consider fiscal and financial policies that promote a constant supply of long-term finance, long-term fixed investments, and extension of a government securities maturity structure so as to ensure sustainable short- and long-term public debt service expenditures. The study further recommends the strengthening of non-distortionary revenue mobilisation reforms to reduce market distortions and boost domestic investment.

scholarly journals The long-Run and Short-Run Analysis between Stock Market Index and Macroeconomic Variables in Jordan: Bounds Tests Approach

2019 ◽  
Vol 12 (4) ◽  
pp. 50
Author(s):  
Raed Walid Al-Smadi ◽  
Muthana Mohammad Omoush
Keyword(s):  
Stock Market ◽  
Time Series Data ◽  
Stock Exchange ◽  
Series Data ◽  
Stock Market Index ◽  
Macroeconomic Variables ◽  
Market Index ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Short Run

This paper investigates the long-run and short-run relationship between stock market index and the macroeconomic variables in Jordan. Annual time series data for the 1978–2017 periods and the ARDL bounding test are used. The results identify long-run equilibrium relationship between stock market index and the macroeconomic variables in Jordan. Jordanian policy makers have to pay more attention to the current regulation in the Amman Stock Exchange(ASE) and manage it well, thus ultimately helping financial development.

scholarly journals Abnormal Return dan Trading Volume Activity Saham-Saham LQ45 pada Peristiwa Pengumuman Kebijakan Quantitative Easing oleh Bank Sentral Amerika Serikat

2016 ◽  
Vol 1 (1) ◽  
pp. 11-21
Author(s):  
Muhammad Falih Ariyanto
Keyword(s):  
Capital Market ◽  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
Quantitative Easing ◽  
Volume Activity ◽  
Long Run ◽  
Positive Abnormal Return ◽  
International Event ◽  
Market Test

This research is an empirical study to analyze international event and its impacts on Indonesian capital market. The international event in this study is expansionary monetary policy issued by the Federal Reserve in the form of quantitative easing policies that were announced in three stages, on 26 November 2008, 4 November 2010, and 14 September 2012 (Indonesia Stock Exchange trading day). The study analyzed the abnormal return and trading volume activity occured at each event period. Observation period in this study used 120-day estimation period and 11-day event period at each stage of the quatitative easing announcement. The event study was done in Indonesian capital market represented by 127 shares that are catagorized as LQ45 index and actively traded in each event period. The assumption that Indonesian capital market is co-integrated with international capital market can make the announcement of quantitative easing policy as positive information for investors in Indonesia. The analysis results show that a significant positive abnormal return around the event date and a significant increase in the intensity trading activities after the quantitative easing announcement, occured. The market test results show that Indonesian capital market has efficient information in a semi-strong form, so that the investors cannot use the published information to get profits (positive abnormal return) in a long run (around the date of the event only).   Abstrak Penelitian ini merupakan studi empiris untuk menganalisis peristiwa internasional dan dampaknya terhadap pasar modal Indonesia. Peristiwa internasional yang diteliti adalah pengumuman kebijakan moneter ekspansif yang dikeluarkan oleh Bank Sentral Amerika Serikat, yaitu quantitative easing yang dilakukan dalam tiga tahapan pengumuman pada tanggal 26 November 2008, 4 November 2010 dan 14 September 2012 (hari perdagangan bursa di Indonesia). Penelitian dilakukan dengan menganalisis abnormal return dan trading volume activity yang terjadi disetiap periode peristiwa. Penelitian ini menggunakan periode pengamatan yang terdiri dari 120 hari periode estimasi dan 11 hari periode peristiwa disetiap tahapan pengumuman quantitative easing. Analisis studi peristiwa dilakukan pada pasar modal Indonesia yang diwakili oleh 127 saham yang pernah masuk dalam kategori indeks LQ45 dan secara aktif diperdagangkan disetiap periode peristiwa. Asumsi bahwa pasar modal Indonesia terkointegrasi dengan pasar modal internasional menyebabkan pengumuman kebijakan quantitative easing dapat menjadi informasi yang positif bagi pemodal di Indonesia. Hasil analisis menunjukkan bahwa terjadi abnormal return positif yang signifikan di sekitar tanggal peristiwa dan peningkatan intensitas perdagangan yang signifikan setelah peristiwa pengumuman kebijakan quantitative easing. Hasil pengujian efisiensi pasar menunjukkan bahwa pasar modal Indonesia efisien secara informasi dalam bentuk setengah kuat sehingga pemodal tidak dapat menggunakan informasi yang dipublikasikan untuk mendapatkan keuntungan (abnormal return positif) dalam jangka waktu yang lama (hanya di sekitar tanggal peristiwa).

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