scholarly journals Co-integration analysis with structural breaks: South Africa’s gold mining index and USD/ZAR exchange rate

2016 ◽  
Vol 11 (3) ◽  
pp. 109-119 ◽  
Author(s):  
Retius Chifurira ◽  
Knowledge Chinhamu ◽  
Dorah Dubihlela
Keyword(s):  
Exchange Rate ◽  
Granger Causality ◽  
Unit Root ◽  
Gold Mining ◽  
Structural Breaks ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Jel Classification ◽  
Causality Test ◽  
Breaking Points

This paper examines the presence of cointegration between South African gold mining index and USD/ZAR exchange rate. The results show that gold index and USD/ZAR exchange rate series are both I(1) and are cointegrated. The Granger causality test shows a two-way directional causality between gold index and USD/ZAR exchange rate for the period 9 June 2005-9 June 2015. By accounting for possible structural breaks, the Zivot-Andrews unit root test suggests two different breaking points in the data. By using the breaking dates to divide the dataset into 3 sub-periods, the results show that gold index and USD/ZAR exchange rate series are not cointegrated. The Granger causality test shows no causality between the two variables. This finding suggests that gold mining index does not play a key role in explaining the trends in the exchange rate and likewise exchange rate does not affect gold mining index. Keywords: USD/ZAR exchange rate, gold mining index, unit root tests, breaking points, cointegration. JEL Classification: F3, F4, F63, O47

scholarly journals PENGUJIAN KAUSALITAS ANTARA VARIABEL MAKROEKONOMI DENGAN RETURN PASAR DI BURSA EFEK INDONESIA : SEBUAH PENDEKATAN VECTOR AUTO

Media Ekonomi ◽  
2017 ◽  
Vol 19 (3) ◽  
pp. 23
Author(s):  
Anggi Hapsari Nurullita
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Granger Causality ◽  
Unit Root ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Causality Test ◽  
Market Return ◽  
Vector Auto Regression ◽  
Auto Regression

<p>Indicators of macroeconomic have major impact on capital markets in general and stocks in particular. Influence of these indicators can be positive or negative. Vector Auto Regression (VAR) is a method of analysis used to predict the time series variable and analyze the dynamic impact factor interference in a system variable. VAR analysis is very useful to assess the linkages between economic variables. This research aims to see the influence of iIndicators of macroeconomic such as the exchange rate (EXCHANGE), interest rate Bank Central of Indonesia Certificates (SBI) and rate of inflation (INFLATION) to market return (REIHSG) in Indonesian Stock Exchange in the period 2004:1-2011:10. Data obtained from the Monthly Stock Price Index Statistics JSX. This research appllying several stages of testing as follows: unit root test, the optimal lag test, Granger causality test and Vector Auto Regression model (VAR). The results of unit root test in this study suggests that the data used for processing in the first degree and VAR Granger test because only the stationary stock index return variable in zero degree (level). On the test results suggested the optimal lag is the lag 3. On the Granger causality test is known that the Granger test variable rate (EXCHANGE) has a one-way impact or the exchange rate (EXCHANGE) affect market return (REIHSG) interest rate of Bank Central of Indonesia Certificates (SBI) and the rate of inflation (INFLATION) has a two direction or impact mutual Causality. These results indicate that there is a weak Granger causality between interest rates Bank Central of Indonesia Certificates (SBI) and rate of inflation (INFLATION) to market return (REIHSG).<br />Keywords: Vector Auto Regressive (VAR), Macroeconomic, Granger Causality, IHSG stock return</p>

scholarly journals Dynamic linkage between nifty-fifty and sectorial indices of national stock exchange

2020 ◽  
Vol 3 (2) ◽  
pp. 17-27
Author(s):  
Kamaljit Singh ◽  
Vinod Kumar
Keyword(s):  
Causal Relationship ◽  
Granger Causality ◽  
Unit Root ◽  
Service Sector ◽  
Banking Sector ◽  
Stock Exchange ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Financial Service ◽  
Causality Test

The main objective of this paper is to analyze the trend and pattern of the Nifty-Fifty and sectorial indices. An attempt has been also made to find out the causal relationship among the Nifty-Fifty and NSE sectorial Indices. The unit root test and Granger-causality test has been applied to check the causal relationship between Nifty-Fifty and sectorial indices. The finding of the study shows that the financial service sector had performed better and followed by the banking sector among all the indices while the Pharma sector and the Realty sector were Under-performed in comparison to other indices. The Nifty-Fifty has been found less volatile in comparison to other sectorial indices however Realty sector indices show the highest volatility during the study period.

scholarly journals Coal consumption and economic growth nexus: Evidence from bootstrap panel Granger causality test

2017 ◽  
Vol 64 (3) ◽  
pp. 255-271 ◽  
Author(s):  
Emmanuel Anoruo
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Unit Root ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
African Countries ◽  
Coal Consumption ◽  
Causality Test ◽  
Growth Series ◽  
Panel Granger Causality

This paper explores the causal relationship between coal consumption and economic growth for a panel of 15 African countries using bootstrap panel Granger causality test. Specifically, this paper uses the Phillips-Perron unit root test to ascertain the order of integration for the coal consumption and economic growth series. A bootstrap panel Granger causality test is employed to determine the direction of causality between coal consumption and economic growth. The results provide evidence of unidirectional causality from economic growth to coal consumption. This finding implies that coal conservation measures may be implemented with little or no adverse impact on economic growth for the sample countries as a group.

scholarly journals Impact of Foreign Direct Investment on Economic Growth of Nepal

2019 ◽  
Vol 33 (2) ◽  
pp. 73-80
Author(s):  
Shiva Prasad Pokharel ◽  
Bishnu Prasad Pokharel
Keyword(s):  
Economic Growth ◽  
Foreign Direct Investment ◽  
Gross Domestic Product ◽  
Granger Causality ◽  
Unit Root ◽  
Direct Investment ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Capital Formation ◽  
Causality Test

 This paper aims to investigate the impact of Foreign Direct Investment (FDI) on the economic growth of Nepal for the period 2008/09 to 2017/18 A.D. yearly data. It evaluated the Gross Domestic Product (GDP) performance and the trends of FDI and Gross Fix Capital Formation (GFCF) in Nepal. To demonstrate the relationship between Nepalese Gross Domestic Product (GDP) and Foreign Direct Investment (FDI) and Gross Fix Capital Formation (GFCF) Multiple-Regression-Model has been applied along with various econometrics techniques such as Unit-Root Test, Granger-Causality Test and Ordinary Least Square (OLS). GDP in this model is used as dependent variable whereas FDI and GFCF are measured as independent variables. According to the results, Unit Root Test indicated that all the variables included in the model were not stationary at level except FDI, whereas GDP and GFCF are stationary at first difference. The model is overall significant with the positive and significant relationship of GDP, FDI and GFCF. Result also indicate a good fit for the model with R2=86%. The Granger Causality Test revealed that there was no causality between the variables since all p-value obtained are more than 5%. Based on the empirical result of this paper, policy recommendation proposed that for Nepal to generate more foreign direct investment, hard work should be made at solving problems of government involvement in business; relative closed economy; corruption; weak public institutions; and poor external image, and political instability.

scholarly journals STOCK MARKET REACTIONS ON EXCHANGE RATE VOLATILITY: AN INDIAN EXPERIENCE

2020 ◽  
Vol 8 (9) ◽  
Author(s):  
Lyn Rose ◽  
Nithin Jose
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Exchange Rates ◽  
Granger Causality ◽  
Negative Relationship ◽  
Impulse Response Function ◽  
Unit Root Test ◽  
Exchange Rate Volatility ◽  
Granger Causality Test ◽  
Causality Test

This paper looks at the relationship between Nifty returns and US Dollar - Indian Rupee Exchange Rates. The study looks into the causal relationship between Nifty returns and exchange rate using Granger Causality test. It took daily data covering the period from January, 2009 to June, 2019. In this study, it was found that both variables were non–normally distributed. With the help of Unit Root Test, it was also verified that Nifty returns as well as Exchange rate, were stationary at the first difference form. Using Granger Causality test it is proved there was a bidirectional relationship between Nifty returns and Exchange rates. From the further investigation it is evident there is a causality running from exchange rate return to stock market return. Finally, employing impulse response function it found that there is a negative relationship among the variables.

scholarly journals INVESTASI DAN PERTUMBUHAN EKONOMI SUMATERA BARAT

2012 ◽  
Vol 1 (1) ◽  
pp. 19
Author(s):  
Melti Roza Adry
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Unit Root ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Cointegration Test ◽  
Growth Data ◽  
Causality Test ◽  
Result Show

The purpose of the research is to know and analysis causality between invesment and economic growth in West Sumatera. We are using invesment and Economic growth data from 1stquartal 2000 until 4thquartal 2010. We are using unit root test, cointegration test and granger causality test. The result show that investment and economoic growth have causality effect in West Sumatera

scholarly journals Monetary Policy and Return on Equity of Quoted Insurance Firms: A Time Series Study from Nigeria

2018 ◽  
Vol 2 (1) ◽  
pp. 62-76
Author(s):  
Macfubara, Minafuro Suzane ◽  
Norteh Dumbor ◽  
Gberesuu, Barida Barry
Keyword(s):  
Monetary Policy ◽  
Unit Root ◽  
Unit Root Test ◽  
Policy Instruments ◽  
Granger Causality Test ◽  
Insurance Companies ◽  
Causality Test ◽  
Return On Equity ◽  
Independent Variables ◽  
Insurance Firms

The financial system is the transmission channel of monetary policy. This study examines the effect of monetary policy on the performance of insurance firms in Nigeria from 1990 – 2017. The objective is to investigate the existing relationship between monetary policy instruments and the performance indicators of insurance companies. Secondary data were sourced from Stock Exchange factbook, Central Bank of Nigeria (CBN) Statistical Bulletin. Multiple linear regressions were formulated to examine the effect of the independent variables on the dependent variable. Return on equity was modeled as a function of treasury bill rate, monetary policy rate, interest rate, growth of money supply and exchange rate.  R2, T-Statistics, β Coefficient, F-Statistics and Durbin Watson were used to examine the extent to which the independent variables affect the dependent variables while augmented dickey fuller unit root test, granger causality test, cointgration test and error correction models was used to ascertain the dynamic relationship between monetary policy variables and return on equity of the insurance firms. Findings revealed that, all the explanatory variables have positive effect on return on equity except treasury bill rate.  The unit root test found that the variables are stationary at first difference, the cointgration test found the presence of long run relationship while the granger causality test found a uni-directional causality. The study concludes that monetary policy has moderate effect on the return on equity of the insurance firms. We recommend that management of insurance companies should devise measures of managing the negative effects of the monetary policy instruments to enhance the performance of the insurance companies.

scholarly journals Linear and Nonlinear Causal Relationships Between International Reserves and Economic Growth: Evidence from India

2020 ◽  
Vol 16 (1) ◽  
pp. 54-59
Author(s):  
Mohammad Kashif ◽  
Satish Kumar Singh ◽  
S. Thiyagarajan ◽  
Abhishek Maheshwari
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
International Reserves ◽  
Infrastructure Development ◽  
Causal Relationships ◽  
Causality Test ◽  
Linear And Nonlinear ◽  
Bds Test

This study investigates linear and nonlinear causal relationships between accumulated international reserves (IR) and economic growth (Econ) in the case of India. The present study is carried out using quarterly data ranging from the period of the first quarter of 1985 to the fourth quarter of 2014. The study used econometric tools such as the augmented Dickey–Fuller (ADF) unit root test, the linear Granger causality test, Johansen’s cointegration test, the Brock, Dechert and Scheinkman (BDS) test and the nonlinear Granger causality test developed by Hiemstra and Jones. The study establishes that there exists a bidirectional linear causality. The Hiemstra and Jones test reveals a bidirectional nonlinear causal relationship between the variables. In light of these results, the study suggests that reserves accumulation can be implemented in India provided that excess of reserves are invested in alternative sources such as economic infrastructure projects and regional infrastructure development.

REAL EXCHANGE RATE RETURNS AND REAL STOCK PRICE RETURNS IN THE STOCK MARKET OF MALAYSIA

2016 ◽  
Vol 64 (05) ◽  
pp. 1319-1349
Author(s):  
HOCK TSEN WONG
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Real Exchange Rate ◽  
Granger Causality ◽  
Unit Root ◽  
Stock Price ◽  
Unit Root Test ◽  
The United States ◽  
Test Statistics ◽  
Time Invariant

This study examines the relationships between real exchange rate returns and real stock price returns in the stock market of Malaysia. The Kwiatkowski, Phillips, Schmidt and Shin (KPSS) and Dickey and Fuller (DF) unit root test statistics show that all the variables examined are found to be stationary in the first differences. The constant conditional correlation (CCC)-multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model shows that real exchange rate return of Malaysian ringgit against the United States dollar (RM/USD) and real stock price return of Kuala Lumpur Composite Index (KLCI) are found to be negative and significantly correlated. However, there is insignificant correlation between real exchange rate return of Malaysian ringgit against Japanese Yen (RM/¥) and real stock price return of KLCI. Moreover, the CCC-MGARCH models show that real exchange rate returns and real stock price returns of some stocks are found to be significantly correlated. The KPSS unit root test statistics show that the time invariant conditional variances of real exchange rate returns and real stock price returns are mostly found to be stationary in the levels. There is no evidence of Granger causality between the time invariant conditional variances of real exchange rate returns and real stock price return of KLCI but some evidence of Granger causality between the time invariant conditional variances of real exchange rate returns and real stock price returns. There is a link between the exchange rate market and the stock market in Malaysia but not every real stock price return is significantly linked with real exchange rate return.

scholarly journals Market Integration and Price Movement of White and Brown Cowpea in Urban and Rural Markets of Gombe State, Nigeria: A Granger - Causality Approach

2019 ◽  
pp. 1-10
Author(s):  
U. K. Iroegbute ◽  
I. Mohammed ◽  
S. A. Jibril ◽  
E. F. Panwal ◽  
J. Moses
Keyword(s):  
Granger Causality ◽  
State Government ◽  
Unit Root ◽  
Market Integration ◽  
Granger Causality Test ◽  
Causality Test ◽  
Price Movement ◽  
Urban Markets ◽  
Rural And Urban ◽  
Directional Movement

The study investigated the price movement and market integration of rural and urban price of brown and white cowpea in Gombe State, Nigeria. Monthly market prices (measured in Naira per kilogram) of brown and white cowpea in the rural and urban markets from January 2009 to December 2014. The data was obtained from the Gombe State Agricultural Development Programme (GSADP). Augmented Dickey Fuller test was used to detect for the presence of unit root in the series. The Granger causality test was used to test the direction of influence between prices.The descriptive statistics shows that the average price of rural brown cowpea was ₦109.88k, rural price of white was ₦95.71k, urban price of brown was ₦ 123.18k while urban price of white was ₦ 110. Unit root test indicated that the prices were stationary at level I(0) and first difference I(1). The Johansen co- integration analysis was used to test for the relationship between markets price and the results indicated that the rural and urban markets price were co- integrated. Pair-wise granger causality test indicated a bi-directional movement between the urban price of brown and urban price of white and a uni-directional movement between rural price of white cowpea and rural price of brown cowpea. There is need for the State government to establish market information centers and information centre of the GSADP should facilitate efficient communication and flow of information concerning prices of agricultural products using the mass media and social media.

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