scholarly journals Short-Run Disequilibrium Adjustment and Long-Run Equilibrium in the International Stock Markets: A Network-Based Approach

2020 ◽  
Author(s):  
Yanhua Chen ◽  
Youwei Li ◽  
Athanasios A. Pantelous ◽  
H. Eugene Stanley
Keyword(s):  
Stock Markets ◽  
International Stock Markets ◽  
Long Run ◽  
Short Run ◽  
Long Run Equilibrium

scholarly journals Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach

2021 ◽  
pp. 102002
Author(s):  
Yanhua Chen ◽  
Youwei Li ◽  
Athanasios A. Pantelous ◽  
H. Eugene Stanley
Keyword(s):  
Stock Markets ◽  
International Stock Markets ◽  
Long Run ◽  
Short Run ◽  
Long Run Equilibrium

Short-run and long-run dynamic linkages among international stock markets

1996 ◽  
Vol 5 (4) ◽  
pp. 387-405 ◽  
Author(s):  
M.Kabir Hassan ◽  
Atsuyuki Naka
Keyword(s):  
Stock Markets ◽  
International Stock Markets ◽  
Long Run ◽  
Short Run ◽  
Dynamic Linkages

scholarly journals A Short Note on Discrimination and Favoritism in the Labor Market

2017 ◽  
Vol 17 (1) ◽  
Author(s):  
Nicolas Salamanca ◽  
Jan Feld
Keyword(s):  
Labor Market ◽  
Wage Differentials ◽  
Short Note ◽  
Market Forces ◽  
Long Run ◽  
Short Run ◽  
Relative Preferences ◽  
Long Run Equilibrium

AbstractWe extend Becker’s model of discrimination by allowing firms to have discriminatory and favoring preferences simultaneously. We draw the two-preference parallel for the marginal firm, illustrate the implications for wage differentials, and consider the implied long-run equilibrium. In the short-run, wage differentials depend on relative preferences. However, in the long-run, market forces drive out discriminatory but not favoring firms.

scholarly journals Investigating Gold Investment as an Inflationary Hedge

2018 ◽  
Vol 7 (1) ◽  
pp. 30-41 ◽  
Author(s):  
Narinder Pal Singh ◽  
Navneet Joshi
Keyword(s):  
Consumer Price Index ◽  
Wald Test ◽  
Indian Culture ◽  
Vector Error Correction ◽  
Fund Managers ◽  
Vector Error ◽  
Long Run ◽  
Short Run ◽  
Portfolio Managers ◽  
Long Run Equilibrium

Gold and Indian culture have been sharing an age-old association. India is one of the top two consumers of gold. Gold is the most popular investment avenue because of its ability to provide liquidity. The average monthly price however has grown by 1,588 percent over the whole period from 1979 to 2017 (June). In this article, we intend to investigate gold as an investment to hedge against inflation. The sample period to study the relationship between gold and inflation is 2011–2017 (March). To analyze long-run equilibrium between gold and inflation (consumer price index [CPI]), Johansen’s cointegration approach has been used. The short- and long-run causality between gold and inflation has been studied using vector error correction model (VECM) and Wald test. The results of cointegration indicate that gold and CPI series are cointegrated and bear long-run equilibrium. Both VECM and Wald test results indicate that there is only long-run causality between CPI and gold prices. However, in short run these variables do not show any causality. Thus, we infer that gold investment can be used as hedge against Inflation. The findings of this research have got direct implications for retail investors, portfolio managers, treasury and fund managers, government, and commercial traders.

The Linkage between Chittagong Stock Market and Dhaka Stock Market

2021 ◽  
Vol 1 (1) ◽  
Author(s):  
Muhammad Shahidullah Tasfiq ◽  
◽  
Nasrin Jahan
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Price ◽  
Impulse Response Function ◽  
Decomposition Analysis ◽  
Variance Decomposition ◽  
Causality Test ◽  
Long Run ◽  
Short Run ◽  
Variance Decomposition Analysis

This paper aims at determining the relationship between the two domestic stock markets of Bangladesh – the Chittagong Stock Market (CSE) and the Dhaka Stock Market (DSE). The daily stock price indices that represent the performance of the two stock markets are collected. In order to find out the interdependent relationship, the Engle-Granger Cointegration test, Granger Causality test, Impulse Response Function, and Variance Decomposition Analysis are employed in this paper. The main finding of this study is that both the stock markets are related in the long run. However, there is a one-way short-run effect from the DSE on the CSE market. The CSE market quickly responds to the shock in the DSE market. But, the DSE market is not responsive to the CSE market. The variance decomposition analysis shows that most of the shocks in the CSE market are explained by its own market. On the other hand, a small number of shocks in the DSE market are explained by the CSE market as well as its own market.

COMPARING THE IMPACTS OF OIL PRICE SHOCKS ACROSS STOCK MARKETS

2015 ◽  
Vol 77 (20) ◽  
Author(s):  
Siok Kun Sek ◽  
Zhan Jian Ng ◽  
Wai Mun Har
Keyword(s):  
Stock Returns ◽  
Stock Markets ◽  
Spillover Effect ◽  
Spillover Effects ◽  
Oil Price ◽  
Multivariate Garch ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Long Run ◽  
Short Run

We conduct empirical analyses on comparing the spillover effects of oil price shocks on the volatility of stock returns between oil importing and oil exporting countries. In particular, we seek to study how the nature of oil price shocks differs due to the oil dependency factor and how the stock markets react to such shocks. Applying the multivariate GARCH-BEKK(1,1) model, our results detect spillover effects between crude oil price and stock returns for all countries. The short run persistencies of shocks are smaller but the persistencies of shocks are very high in the long run. The results hold for both groups of countries. The results imply larger spillover effect from oil price shock into stock market in the oil importing countries.

scholarly journals Does Government Expenditure Reduce GDP Gap? Evidence from Bangladesh

2007 ◽  
Vol 3 (1) ◽  
pp. 1-8
Author(s):  
M. Rafiqul Islam ◽  
A.F.M. Kamrul Hassan
Keyword(s):  
Fiscal Policy ◽  
Dominant Role ◽  
Government Expenditure ◽  
Equilibrium Path ◽  
Role Of Government ◽  
Business Studies ◽  
Long Run ◽  
Short Run ◽  
Gdp Gap ◽  
Long Run Equilibrium

In Keynesian macroeconomics fiscal policy plays the dominant role to steer the economy along its long run equilibrium path and also to cure the short run deviation from its long run level. Present paper examines this role of government expenditure, a tool of fiscal policy, in the context of the economy of Bangladesh. The paper employs cointegration and Error Correction Mechanism (ECM) to examine the short and long run relationship between economic growth and government expenditure. Findings of the study indicate that, in the short run, government expenditure does not play any statistically significant role in eliminating the gap between actual and potential output. However, a statistically significant cointegrating relationship is found between government expenditure and long run equilibrium output Journal of Nepalese Business Studies 2006/III/1 pp. 1-8

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