scholarly journals Investigating the impact of Covid-19 on stock markets

2021 ◽  
Vol 10 (7) ◽  
pp. 199-219
Author(s):  
Mustapher Faque ◽  
Umit Hacioglu
Keyword(s):  
Stock Markets ◽  
Equity Markets ◽  
Adverse Impact ◽  
Vector Error Correction ◽  
Vector Error ◽  
Clear Sign ◽  
Vector Error Correction Models ◽  
Equity Indices ◽  
The Impact ◽  
The Relationship

This paper aims to examine the impact of Covid-19 pandemic on stock markets. This paper also analyses the stock market cointegration of selected global equity indices that performed better and have a quick speed of recovery during the pandemic. This paper also questions how increasing uncertainty and volatility deters investors’ perception of the diversification of equity investments. The dataset for the selected 12 global equity indices has been used from Thompson Reuters’s EIKON database in a given period of time between 2010 and 2021. This paper employs Vector Error Correction Models to assess the relationship among the selected global equity indices. Findings demonstrate that (i) there is an adverse impact of Covid-19 on the Global Equity markets, (ii) there is a clear sign of cointegration in global equity indices, (ii) investors can benefit from investing in particular equity indices that have exhibited quick speed of recovery from the pandemic records lows. The findings finally provide a strong foundation for constructing a resilient equity portfolio in a highly uncertain market environment.

Assessing the Impact of Terrorism on African Tourism Demand

2021 ◽  
Author(s):  
Sheereen Fauzel ◽  
Boopen Seetanah
Keyword(s):  
Panel Data Analysis ◽  
Dynamic Panel Data ◽  
Terrorist Attacks ◽  
Tourism Demand ◽  
African Countries ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
The Impact ◽  
The Relationship

Many African states are relying on or have identified tourism to accelerate their growth and the continent has become the world’s second fastest growing tourist industry. However, African states have also not been spared by increasing terrorism attacks during the past decades, probably hindering the growth of this sector to certain extent. This study examines the relationship between terrorism and tourism for a sample of selected African countries over the period 1995 to 2017. Given the dynamic nature of tourism demand and the possibility of endogenous relationships in the terrorism-tourism nexus, dynamic panel data analysis, namely a Panel vector error correction model (PVECM) is employed. The results confirm that terrorism negatively affects tourism demand in Africa and this can be explained by the reactive psychology of tourists to the various aggravated terrorist attacks in the countries. Moreover, the findings show that an increase in tourism may have resulted in an increase in terrorist attacks, hence confirming a bi directional causality between tourism and terrorism.

scholarly journals INTERLINKAGES BETWEEN EQUITY MARKETS OF G-8 COUNTRIES

2014 ◽  
Vol 02 (01) ◽  
pp. 41-48
Author(s):  
Habib Ur Rehman ◽  
Keyword(s):  
Equity Markets ◽  
Market Returns ◽  
Causality Test ◽  
Policy Makers ◽  
Stock Market Returns ◽  
Vector Error Correction ◽  
Vector Error ◽  
Daily Data ◽  
Integration Test ◽  
Vector Error Correction Models

This study attempts to investigate the inter linkages between equity market of G-8 countries. Daily data of stock market returns of G-8 equity markets for the period of 2000 to 2010 has been used. These markets include Canada, France, Germany, Italy, Japan, Russia, United Kingdom and United States. In order to explore the interlinkages among these markets, Granger causality test, Johansen and Juselius Multivariate test, Bi-variate co-integration test, Variance Decomposition and Vector error correction models have been used. The results reveal that co integration exists in equity markets of G-8 countries thus these markets do not offer an opportunity for portfolio diversification to the investors. Further, policy makers of these countries should be careful as the contagious problem may flow to these markets.

scholarly journals Does Uncertainty Matter for Trade - Economic Growth Nexus in Indonesia?

2021 ◽  
Vol 67 (1) ◽  
pp. 147
Author(s):  
Panky Tri Febiyansah ◽  
Bintang Dwitya Cahyono ◽  
Rio Novandra
Keyword(s):  
Economic Growth ◽  
Causal Relationship ◽  
Output Growth ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
The Impact ◽  
The Relationship

This paper aims to test the impact of uncertainty on the causal relationship among exports, imports, and economic growth in Indonesia. The relationship is constructed by examining the presence of FDI-adjusted exports and imports (trade) and the output link using conditional variances-covariances derived from the generalized autoregressive conditional heteroskedastic (GARCH) process in a vector error correction model (VEC-GARCH model). Using evidence in Indonesia, the model exposes the uni-directional nexus from trade performance to trade-adjusted output growth in the absence of uncertainty. The volatility effects are evident in the causal relationship between trade and output. The finding shows that the uncertainty effects hamper the trade-economic growth nexus. Incorporated with the long-run causality, trade still causes output even after containing the contributions of volatility. The significant role of imports highlights the higher demand for intermediate capital products and the inclusion of technology in strengthening economic growth.

scholarly journals Interlinkages among Asian, European and the U.S Stock Markets: A Multivariate Cointegration Analysis

2012 ◽  
Vol 4 (3) ◽  
pp. 129-141 ◽  
Author(s):  
P. Sakthivel
Keyword(s):  
Error Correction ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Markets ◽  
Cointegration Analysis ◽  
Vector Error Correction ◽  
Vector Error ◽  
Integration Test ◽  
The Us ◽  
The Impact

The present study attempts to investigate the dynamic interlinkages among the Asian, European and US stock markets. Daily closing prices of twelve stock indices relating to the period from 3rd January 1998 to 30th June 2010 and are used in the analysis. Both short and long run relationships are examined through Johansen-Juselius co integration and Vector Error Correction models (VECM) and Impulse Response Function (IRF). The results of the co integration test show strong co integration relationship across international stock prices indices. The results of the Vector Error Correction model reveal that the US and some of European and Asian Stock markets lead the Indian stock market. Finally, the evidence suggests that the impact of the US market on Indian stock returns is much higher than other way round.

scholarly journals Transmisión de los precios del arroz en Colombia y el mundo

2019 ◽  
pp. 151-179
Author(s):  
Ricardo Troncoso-Sepúlveda
Keyword(s):  
Transition Probability ◽  
Price Transmission ◽  
Trade Policies ◽  
Correction Model ◽  
Vector Error Correction ◽  
Agricultural Prices ◽  
Vector Error ◽  
High Volatility ◽  
The Impact ◽  
The Relationship

The aim of this paper is to analyse the spatial price transmission of rice in Colombia, emphasizing the impact of trade policies. For this purpose, a Markov-switching vector error correction model was used to model regime shifts in the relationship between domestic and international rice prices in Colombia and some control countries, from January 1996 to September 2018. The results reveal three price transmission regimes that coincide with internal trade policies and with the food crisis of 2007-2008. The high volatility regime was the most persistent, with an average duration of 15.4 months, a transition probability of 93 % and an adjustment speed of 0.24. In addition, during this regime, Colombia was less integrated into the international rice market. These results are relevant, since they constitute the application of a threshold methodology to the analysis of the transmission of agricultural prices and can be useful for the design of agrarian policies that contribute to the integration and competitiveness of the Colombian rice sector.

Housing prices and expectations: a study of Auckland

2020 ◽  
Vol 13 (4) ◽  
pp. 601-616
Author(s):  
Yang Yang ◽  
Mingquan Zhou ◽  
Michael Rehm
Keyword(s):  
Housing Market ◽  
Housing Prices ◽  
Content Type ◽  
Vector Error Correction ◽  
Model Based ◽  
Feedback Cycle ◽  
Vector Error ◽  
Causality Tests ◽  
Vector Error Correction Models ◽  
The Relationship

Purpose The purpose of this paper is twofold. First, the study aims to test whether expectations are adaptive in the Auckland housing market. The second purpose is to examine the interplay between expectations and Auckland housing prices. Design/methodology/approach In this study, two vector error correction models (VECM) are built: one VECM includes survey-based expectations and another one encompasses model-based expectations with the assumption that property investors’ expectations are adaptive. The paper goes on by comparing and examining the results of Granger causality tests and impulse response analyses. Findings The findings reveal that Auckland property buyers’ expectations are adaptive. In addition, this study provides some evidence of a feedback cycle between Auckland housing prices and expectations. Research limitations/implications This study posits that Auckland property buyers’ expectations in the next 12 months are based on three-year price movements with more emphasis being placed on recent price history. This assumption may not be an accurate reflection of true expectations. Practical implications This paper helps policymakers to deepen their understanding of Auckland property buyers by showing that their expectations form through the extrapolation of the past price trend. Originality/value The study possibly marks the first attempt to test and compare the relationship between housing prices and two forms of expectations: survey-based and model-based. Additionally, this study is probably the first one that empirically examines whether there is a feedback cycle between expectations and property prices in the Auckland housing market.

scholarly journals TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS

2013 ◽  
Vol 29 (6) ◽  
pp. 1238-1288 ◽  
Author(s):  
Dennis Kristensen ◽  
Anders Rahbek
Keyword(s):  
Error Correction ◽  
Finite Sample ◽  
Asymptotic Results ◽  
Error Correction Models ◽  
General Hypothesis ◽  
Vector Error Correction ◽  
Cointegrating Vector ◽  
Vector Error ◽  
Vector Error Correction Models ◽  
The Impact

We analyze estimators and tests for a general class of vector error correction models that allows for asymmetric and nonlinear error correction. For a given number of cointegration relationships, general hypothesis testing is considered, where testing for linearity is of particular interest. Under the null of linearity, parameters of nonlinear components vanish, leading to a nonstandard testing problem. We apply so-called sup-tests to resolve this issue, which requires development of new(uniform) functional central limit theory and results for convergence of stochastic integrals. We provide a full asymptotic theory for estimators and test statistics. The derived asymptotic results prove to be nonstandard compared to results found elsewhere in the literature due to the impact of the estimated cointegration relations. This complicates implementation of tests motivating the introduction of bootstrap versions that are simple to compute. A simulation study shows that the finite-sample properties of the bootstrapped tests are satisfactory with good size and power properties for reasonable sample sizes.

scholarly journals Verification of the relationship between FDI and GDP in Poland

2016 ◽  
Vol 66 (2) ◽  
pp. 307-332 ◽  
Author(s):  
Aneta Kosztowniak
Keyword(s):  
Decomposition Analysis ◽  
Correction Method ◽  
Gdp Growth ◽  
Domestic Investment ◽  
Fdi Inflows ◽  
Vector Error Correction ◽  
Vector Error ◽  
Variance Decomposition Analysis ◽  
The Impact ◽  
The Relationship

The paper analyses the impact of the factors of production on economic growth in Poland in the years 1992–2012, with particular focus on the impact of foreign direct investment (FDI), and strives to verify whether a causality relationship occurred between GDP and FDI, i.e. whether high GDP dynamics attracted FDI inflows and whether this investment contributed to GDP growth. The Vector Error Correction Method impulse responses and variance decomposition analysis confirmed the bi-directional relationships between FDI and GDP in Poland. However, the impact of GDP on attracting FDI inflows to Poland is stronger than that of FDI on GDP growth. Polish developmental policy should concentrate on three essential determinants (pillars) of growth, namely employment growth, attracting FDI (with emphasis on improvement in the type of inflowing investment), and increasing the value and productivity of domestic investment.

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