scholarly journals Dividend Smoothing And The Long-Run Stability Between Dividends And Earnings In Korea

2011 ◽  
Vol 8 (3) ◽  
Author(s):  
Jin-Ho Jeong
Keyword(s):  
Information Asymmetry ◽  
Stock Exchange ◽  
Series Data ◽  
Annual Series ◽  
Signaling Model ◽  
Long Run ◽  
Dividend Signaling ◽  
Dividend Smoothing ◽  
Signaling Hypothesis ◽  
Insight Into

There have been no empirical attempts to estimate and verify the dividend-earnings relation reflecting both the signaling and dividend smoothing hypotheses. This study proposed a cointegration model to test both hypotheses in an integrated framework in order to provide better insight into the dividend and earning relation. We are particularly interested in the issue of whether the model can detect a presence of inter-temporal relations between dividends and earnings. The implications of the signaling model and smoothing model of dividends were empirically tested using the recent 26 annual series data of dividends and earnings up to year 2006 for 226 firms listed on the Korea Stock Exchange. The results of t-test and logistic regression show that the presence of cointegration is positively related to the degree of information asymmetry, a result consistent with the dividend signaling hypothesis. In addition, dividend smoothing is identified as an underlying force to make dividends and earnings cointegrated.

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.

Terrorism and Stock Market Linkages: An Empirical Study from a Front-line State

2017 ◽  
Vol 18 (2) ◽  
pp. 365-378 ◽  
Author(s):  
Imtiaz Arif ◽  
Tahir Suleman
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Time Series Data ◽  
Negative Impact ◽  
Stock Exchange ◽  
Series Data ◽  
Front Line ◽  
Long Run ◽  
Factor Index ◽  
The Impact

This article investigates the impact of prolonged terrorist activities on stock prices of different sectors listed in the Karachi Stock Exchange (KSE) by using the newly developed terrorism impact factor index with lingering effect (TIFL) and monthly time series data from 2002 (January) to 2011 (December). Johansen and Juselius (JJ) cointegration revealed a long-run relationship between terrorism and stock price. Normalized cointegration vectors are used to test the effect of terrorism on stock price. Results demonstrate a significantly mixed positive and negative impact of prolonged terrorism on stock prices of different sectors and show that the market has not become insensitive to the prolonged terrorist attacks.

scholarly journals Capital Market and Economic Growth in Nigeria: An Autoregressive Distributed Lag (ARDL) Bounds Testing Approach

2021 ◽  
Vol 1 (2) ◽  
Author(s):  
Panan Danladi Gwaison ◽  
Livinus Nkuri Maimako ◽  
Pokyes Shekara Mwolchet
Keyword(s):  
Economic Growth ◽  
Capital Market ◽  
Stock Exchange ◽  
Series Data ◽  
Fair Trading ◽  
Market Capitalization ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
The Capital Market

The role of the capital market in the growth and development of any economy need not be over-emphasized. The capital market is a complex institution and mechanisms through which economic units desirous to invest their surplus fund, interact directly or through financial intermediaries with those who wish to procure funds for their businesses. The Nigerian capital market started operations in mid-1961 with eight stocks and equities; with about seven United Kingdom (UK) firms quoted on the Nigerian Stock Exchange (NSE) which had, at the same time, dual quotations on the London Stock Exchange. This study examined the impact of the capital market on economic growth in Nigeria from 1981 to 2018. The expo facto research design was adopted for this study. The time-series data for the study were sourced from CBN statistical bulletin. Autoregressive Distributed Lag (ARDL) was used with the aid of e-view 10 software. The ARDL Bounds test revealed the existence of a long-run relationship among the variables. The result revealed that market capitalization has positive and insignificant effects on economic growth both in the short and long run. There is unidirectional causality among the variables.  The study recommended that regulatory authorities should restore confidence in the market by ensuring transparency and fair trading dealings and transactions in the market to enhance economic growth. There should be an improvement in the moribund market capitalization, by encouraging more foreign investors to participate in the market, maintain a state of the art technology like automated trading and settlement practices, electronic fund clearance, and eliminate physical transfer of shares.

scholarly journals Impact of gold prices on stock exchange market: a case of Karachi stock exchange market of Pakistan

2016 ◽  
Vol 4 (1) ◽  
pp. 60 ◽  
Author(s):  
Muhammad Shaique Khan ◽  
Abdul Aziz ◽  
Gobind M. Herani
Keyword(s):  
Stock Market ◽  
Time Series Data ◽  
Stock Exchange ◽  
Unit Root Test ◽  
Gold Price ◽  
Series Data ◽  
Exchange Market ◽  
Long Run ◽  
Domestic Capital ◽  
Integration Test

<p>The objective of the study is to examine the long-term relationship between gold prices and KSE-100 index of the Karachi stock market Pakistan. For the foreign and domestic capital investors, it is assumed that the gold is the safest heaven for making investment. On the other handstock markets are considered highly volatile. This study uses monthly data of two hundred forty eight months from October 1993 to May 2014. Time-series data of both variables Karachi Stock Exchange 100 index (KSE-100) and gold prices have been collected from the official website of Karachi stock market and Forex.com. To achieve the aims of the study, several econometric tests have been applied such as unit root test by using Augmented Dickey-Fuller test, Johnson Co-integration test and Vector Auto-regressive Model (VAR). This study finds that there is no long-run relationship between KSE 100 index and gold prices. It is concluded investors should not consider KSE 100 index and gold prices as close alternatives rather they should make their decisions on subjective knowledge by aligning them with empirical evidence. While making decisions about gold prices last month’s price must be taken into consideration because current gold price is significantly influenced by last month’s gold price. Whilst making decision regarding KSE 100 index last two months’ fluctuations taken into consideration.</p>

scholarly journals Socioeconomic Stability and Variability in Stock Market Prices: A Case Study of Karachi Stock Exchange

2018 ◽  
Vol 6 (4) ◽  
pp. 428-440
Author(s):  
Rafaqat Ali ◽  
Rana Ejaz Ali Khan
Keyword(s):  
Stock Market ◽  
Structural Breaks ◽  
Time Series Data ◽  
Stock Exchange ◽  
Price Volatility ◽  
Series Data ◽  
Conditional Heteroscedasticity ◽  
Market Prices ◽  
Long Run ◽  
Short Run

The study attempted to identify the factors that responsible for variability in stock market prices in Karachi Stock Exchange particularly focusing on socioeconomic stability in the country. The socioeconomic stability is measured by an index including social, economic and political dimensions of stability. Annual time series data for the years 1973-2012 is utilized, and Phillips & Perron (PP) test is employed for stationarity. Autoregressive Conditional Heteroscedasticity and Generalized Conditional Heteroscedasticity (ARCH/GARCH) technique are used for volatility in stock market prices. For the structural breaks, Chow test is applied. Finally, the study utilized the Autoregressive Distributed Lag (ARDL) approach to estimate the long-run and short-run dynamic relationship. The results indicate that inflation, exchange rate, and foreign direct investment positively influence the stock price volatility. Socioeconomic stability negatively affects the volatility in stock market prices in both short-run and long-run. The country should improve socioeconomic stability by attaining economic, social and political standards in the country.

scholarly journals An Empirical Insight into the Theory and Practices of Capital Budgeting in Pakistan

Market Forces ◽  
2020 ◽  
Vol 15 (2) ◽  
pp. 18
Author(s):  
Umair Baig ◽  
Manzoor Anwar Khalidi ◽  
Shujaat Mubarak ◽  
Salman Sarwat
Keyword(s):  
Capital Investment ◽  
Stock Exchange ◽  
Investment Decision ◽  
Capital Budgeting ◽  
Corporate Sector ◽  
Listed Firms ◽  
Mediating Role ◽  
Long Run ◽  
Firm Attributes ◽  
Insight Into

The study explores the different stages of the capital investment decision process and empirically investigates these stages’ mediating role. We have used firms, managers, and economic attributes as independent variables. Likewise, ROA, ROE, and EPS are used as proxies for measuring firm performance, which is the dependent variable. A survey was conducted through a self-developed questionnaire for non-financial listed firms of the Pakistan Stock Exchange (PSX). The questionnaire comprises of two parts. The first part is related to managers and firm attributes. The second part covers the nine steps of the Capex Appraisal Model (CAM). PLS-SEM was used to investigate the objectives of the study. Moreover, the results support the applicability of CAM in the corporate sector of Pakistan. For this purpose, 27 hypotheses were empirically tested, of which 21 were found to be significant. However, 6 hypotheses were not supported. The findings suggest that the “Capex Appraisal Model” is a useful approach for the corporate sector of Pakistan. Thus, firms should properly evaluate Capex decisions to enhance performance in the long run.

Macro-Economic Disequilibrium and Educational Development in Nigeria between 1980-2017

2019 ◽  
Vol 10 (08) ◽  
pp. 20592-21600
Author(s):  
Gbadebo Salako ◽  
Adejumo Musibau Ojo ◽  
Jaji Ayobami Francis
Keyword(s):  
Time Series Data ◽  
Educational Development ◽  
Negative Relationship ◽  
Series Data ◽  
Explanatory Variables ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Stationarity Test ◽  
Level I

This study empirically investigates the effects of macroeconomic disequilibrium on educational development in Nigeria. The study employed time series data between 1980 and 2017. Autoregressive Distributed Lag method of estimation was employed. The result revealed that the variables stationarity test were mixed between the first difference I(I) and level I(0). The cointegration result shows that there exist long run relationship between the variables. The result revealed that Balance of payment, Poverty, Debt rate inflation and unemployment exhibited negative relationship with educational development. The estimation result showed that all explanatory variables account for 88% variation of educational development in Nigeria. It is therefore recommended that government should fast track policies that can stabilize inflation and exchange rate in the country. Also, Policies must be formulated to reduce poverty and unemployment.

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.

EMPIRICAL ANALYSIS OF INDIA’S FOREIGN TRADE AND ECONOMIC GROWTH

2020 ◽  
Vol 8 (10) ◽  
pp. 105-111
Author(s):  
Khujan Singh ◽  
Anil Kumar
Keyword(s):  
Time Series Data ◽  
Unit Root Test ◽  
Series Data ◽  
Significant Implication ◽  
Causality Test ◽  
First Order ◽  
Long Run ◽  
Directional Relation ◽  
Augmented Dickey Fuller ◽  
Vecm Granger Causality

The present study is an attempt to examine long run relationship among India’s GDP, Exports and Imports for which yearly time series data from 1995 to 2018 has been collected. Data for India’s GDP has been collected from RBI website and India’s export and import data has been collected form Ministry of Commerce and Industry website. The Augmented Dickey-Fuller unit root test for stationarity found that studied variables become stationary at first order of difference. While, Johnson cointegration test revealed long run cointegration between India’s GDP, exports and imports. The results of VECM Granger causality test exhibited bi-directional relationship between India’s GDP and India’s exports, whereas uni-directional relation has been found between India’s GDP and India’s imports. These results have significant implication for India’s export import policy and to achieve a target of $5 trillion economy till 2024-2025.

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