scholarly journals Cointegration of East Asian, Indian and European Markets– A Study of Impact on Indian Bourses

2018 ◽  
Vol 14 (1) ◽  
pp. 3-27
Author(s):  
J K SACHDEVA ◽  
Jyoti Nair
Keyword(s):  
Granger Causality ◽  
Portfolio Management ◽  
Institutional Investors ◽  
Granger Causality Test ◽  
Causality Test ◽  
International Portfolio ◽  
Retail Investors ◽  
Foreign Institutional Investors ◽  
Johansen Cointegration Test ◽  
One Year

With huge investments flowing from all over the world to India, FIIs (Foreign Institutional Investors) and DIIs (Domestic Institutional Investors), retail investors, investment advisors, brokers and portfolio consultants keep abreast with latest research on fundamentals and technicals. Interdependence between stock markets is an important aspect of international portfolio management. In this paper, impact of Asian Indices like Hang Sang, KOSPI, SET SIT and TSEC on opening prices of Indian index Nifty was studied with various tools like Johansen Cointegration Test, VAR Granger Causality and Pairwise Granger Causality test. Similarly impact of European indices like CAC, FTSE, Euronext, DAX and SMI on Nifty closing prices were studied with same tools. The 3 months, 6 months, one year and 5 year data were subjected to experiment whether series are cointegrated. It was observed that series are cointegrated at very short-term level but for longer period they are not cointegrated, however, they influence others. VAR Granger Causality Test and Pairwise Granger Causality reveal that Hang Sang, KOSPI, SIT and TW (TSEC of Taiwan) impact Nifty Open prices. Nifty influences only TW. KOSPI influences Hang Sang and SET. SET influences KOSPI and TW. Similarly, VAR Granger Causality Test and Pairwise Granger Causality also reveal Nifty closing prices influence CAC, DAX, FTSE

Examining Granger Causality in the Behavioral Reactions of Institutional Investors— Evidence from India

2019 ◽  
Vol 22 (04) ◽  
pp. 1950027
Author(s):  
Rajesh Mohnot
Keyword(s):  
Granger Causality ◽  
Institutional Investors ◽  
Investment Strategy ◽  
Behavioral Reactions ◽  
Causality Test ◽  
Institutional Investment ◽  
Vector Error Correction ◽  
Vector Error ◽  
Foreign Institutional Investors ◽  
Indian Stock Market

The study examines the behavioral reactions of foreign and domestic institutional investors in the Indian stock market. It poses some critical questions on whether these two types of institutional investors have common investing behavior, and whether foreign institutional investors (FIIs) affect domestic institutional investors’ (DIIs) strategies. Vector error correction model (VECM) is used to examine the trading and investing behavior of these institutional investors. Granger causality test is used to check if foreign institutional investment strategy influences domestic institutional strategy or vice versa. The results indicate that neither foreign institutional investors’ sell (FIISELL) activities affect domestic institutional investors’ sell (DIISELL) activities nor DIISELL affects FIISELL. This may have a crucial policy implication that both institutional investors have independent trading strategies, especially when it comes to selling stocks. But both institutional investors’ sale transactions do affect their own buy transactions implying that any of the institutions’ selling activities should be supported by their buying activities.

Assessing Financial Integration of BRICS Equity Markets: An Empirical Analysis

2017 ◽  
Vol 3 (2) ◽  
pp. 127-138 ◽  
Author(s):  
J. Vineesh Prakash ◽  
D. K. Nauriyal ◽  
Sandeep Kaur
Keyword(s):  
South Africa ◽  
Granger Causality ◽  
Financial Integration ◽  
Equity Markets ◽  
Granger Causality Test ◽  
Causality Test ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Johansen Cointegration Test

This article examines the degree of financial integration among the equity markets of Brazil, Russia, India, China, and South Africa (BRICS) by using monthly data collected for the period 2005–2014. The study employs Johansen cointegration test, vector error correction model (VECM), and Granger causality test which confirm the existence of relationship in the short and long run among the equity markets of BRICS. Further results exhibit that there exists cointegration or a long-run relationship among the equity markets, but weak cointegration, though the results of Granger causality test do not display existence of any causality among market pairs such as China–Brazil, Russia–Brazil, South Africa–Brazil, Russia–China, and South Africa–India. The results indicate that even though the financial integration among the equity markets of BRICS is on ascendance, it is yet incomplete. This work suggests harmonization of laws, regulations, and operations based on international principles and appropriate regulatory supervision among BRICS nations in order to minimize the risk of financial integration, besides further relaxing restrictions on capital account for expedited financial integration.

scholarly journals Apakah Infrastruktur Jalan Mempengaruhi Ekspor? Pendekatan Vector Autoregressive

2019 ◽  
Vol 7 (2) ◽  
pp. 166
Author(s):  
Khairul Amri
Keyword(s):  
Granger Causality ◽  
Time Series Data ◽  
Granger Causality Test ◽  
Series Data ◽  
Causality Test ◽  
Road Infrastructure ◽  
Vector Autoregressive ◽  
Integration Test ◽  
The Government ◽  
One Year

This study aims to investigate the effect of road infrastructure on exports for the case of the Indonesian economy. Using time-series data during the 1987-2013 period sourced from the Indonesian Bureau of Statistics (BPS), the econometric model employed pertain to Johanson co-integration test, vector autoregressive, and Granger causality test. The finding of the study points out that there is no long-term relationship between the two variables. The rising in exports positively and significantly was affected by road infrastructure three years earlier. Furthermore, export has a positive and significant effect on road infrastructure at a lag of 1. The increase in export commodities leads to the government to improve road infrastructure at the one-year horizon. The result of the Granger causality test indicates that there is a bidirectional causality relationship between exports and road infrastructure. The increase in road infrastructure led to an increase in exports, and the increase in exports also led to an increase in road infrastructure

scholarly journals PENGARUH KAUSALITAS EKSPOR, IMPOR, DAN GDP DI INDONESIA

Media Ekonomi ◽  
2015 ◽  
Vol 23 (1) ◽  
pp. 11
Author(s):  
Larasati Indramadhini ◽  
Poltak P Sitompul
Keyword(s):  
Causal Relationship ◽  
Granger Causality ◽  
Vector Autoregression ◽  
Granger Causality Test ◽  
Cointegration Test ◽  
Short Term ◽  
Causality Test ◽  
Johansen Cointegration ◽  
Johansen Cointegration Test ◽  
Method Show

<p><em>This thesis is discussing about the analysis of causality or reciprocity that happen between export, import and GDP in Indonesia 1983</em><em>-</em><em>2013. The variable which used are export, import and GDP in Indonesia. The method which used</em><em> </em><em>in this thesis is Vector Autoregression (VAR) method and Granger Causality Test. The purpose of this research is to determine the influence of causality of export and GDP, import and GDP, and also export and import. Based on the result of Granger Causality Test, export can influence GDP, import can influence GDP and export can influence import. Based on Johansen Cointegration Test, all of the variables only have a causal relationship in the short term. In the result of using this VAR method, show that in Indonesia, based on the three models which test by akaike value the lowest is import model, so it can conclude that the best model for Indonesia is Import=f</em><em> </em><em>(GDP, export). </em></p>

scholarly journals Sectoral Integration and Domestic Portfolio Diversification in the Karachi Stock Exchange

2017 ◽  
Vol 5 (2) ◽  
pp. 23-44
Author(s):  
Awais Awais Ahmed ◽  
Muhammad Nasir Malik ◽  
Obaid Anwar Awan ◽  
Asif Muzaffar
Keyword(s):  
Granger Causality ◽  
Institutional Investors ◽  
Stock Price ◽  
Oil And Gas ◽  
Stock Exchange ◽  
Market Value ◽  
Granger Causality Test ◽  
Portfolio Diversification ◽  
Causality Test ◽  
Weighted Index

This study analyzes sectoral integration among the top ten sectors listed on the Karachi Stock Exchange (KSE), using a market value-weighted index and daily stock price data for 2001–14. Since the literature shows that domestically diversified portfolios outperform globally diversified ones, the study’s results have implications for the construction of well-diversified domestic portfolios among individual and institutional investors. We find that, apart from automobiles and cement, all other sectors listed on the KSE provide good diversification opportunities. The Granger causality test shows that cement, chemicals and banking cause most other sectors uni-directionally, while oil and gas, biotechnology and pharmaceuticals, textiles, and electricity are caused by most other sectors. From a domestic investor’s perspective, the KSE provides reasonable diversification opportunities across different sectors.

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
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