scholarly journals The effect of financial crises on stock market liquidity across global markets

2017 ◽  
Vol 14 (2) ◽  
pp. 38-50
Author(s):  
Halil D. Kaya ◽  
Engku Ngah S. Engkuchik
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
Granger Causality ◽  
Financial Crises ◽  
Market Liquidity ◽  
Global Markets ◽  
Feedback Effects ◽  
Turnover Ratio ◽  
Causality Tests ◽  
Granger Causality Tests

In this study, using a widely available market liquidity measure, the “turnover ratio”, the authors test for market liquidity contagion during the four financial crises that occurred between 1997 and 1999: The Thai crisis, the Hong Kong crisis, the Russian crisis, and the Brazilian crisis. It is found that while the liquidity levels decreased in approximately half of the sample markets, in the remaining half, the liquidity levels actually improved. The Granger causality tests show that while there is almost no evidence of causality (in both directions) before each crisis, during each crisis, approximately half of the pairwise tests were significant. The results show that most of these causalities are reverse feedback effects from the non-crisis-origin markets to the crisis-origin market. Therefore, it is concluded that the more crucial phenomenon during these crises is the “reverse feedback effects” rather than the liquidity contagion itself.

scholarly journals Arbitrage and Liquidity: Evidence from a Panel of Exchange Traded Funds

2020 ◽  
Vol 2020 (097) ◽  
pp. 1-46
Author(s):  
David E. Rappoport ◽  
◽  
Tugkan Tuzun ◽  
Keyword(s):  
Granger Causality ◽  
Important Determinant ◽  
Market Liquidity ◽  
Exchange Traded Funds ◽  
Impulse Responses ◽  
Level Data ◽  
Causality Tests ◽  
Granger Causality Tests ◽  
Unique Dataset

Market liquidity is expected to facilitate arbitrage, which in turn should affect the liquidity of the assets traded by arbitrageurs. We study this relationship using a unique dataset of equity and bond ETFs compiled from big trade-level data. We find that liquidity is an important determinant of the efficacy of the ETF arbitrage. For less liquid bond ETFs, Granger-causality tests and impulse responses suggest that this relationship is stronger and more persistent, and liquidity spillovers are observed from portfolio constituents to ETF shares. Our results inform the design of synthetic securities, especially when derived from less liquid instruments.

scholarly journals LOCALE-VARYING RELATIONSHIPS BETWEEN TOURISM DEVELOPMENT AND RETAIL PROPERTY PRICES IN A SHOPPING DESTINATION

2020 ◽  
Vol 24 (5) ◽  
pp. 323-334
Author(s):  
Linchuan Yang ◽  
K.W. Chau ◽  
Yi Lu ◽  
Xu Cui ◽  
Fanyu Meng ◽  
...  
Keyword(s):  
Hong Kong ◽  
Granger Causality ◽  
Tourism Development ◽  
Correction Model ◽  
Property Prices ◽  
Shopping Area ◽  
Causality Tests ◽  
Retail Property ◽  
Granger Causality Tests ◽  
The Relationship

Existing literature has inadequately examined the nexus between tourism and property prices. Additionally, it mainly focuses on hotels and housing, thereby overlooking other property categories (e.g., retail properties). The relationship between tourism development and retail property prices in shopping destinations (e.g., Hong Kong and Singapore) may hinge on the locale. More specifically, the relationship may be different in the tourist precinct or popular tourism shopping area (PTSA) and the unpopular tourism shopping area (UTSA). This study examines locale-varying relationships between tourism development (measured by tourist volume and tourism expenditure) and retail property prices from 2002Q1 to 2014Q4 in Hong Kong using standard and error-correction-model-based (ECM-based) Granger causality tests. Results of standard Granger causality tests indicate that tourism development Granger causes the increase in retail property prices in the PTSA but not in the UTSA. Moreover, results of ECM-based Granger causality tests further verify the robustness and plausibility of the tourism-led growth (in retail property prices) hypothesis in the PTSA. In other words, we find that tourism development measures can be used to better predict changes in retail property prices in the PTSA than simply referring to the price history.

Do More Tourists Lead to Higher Levels of Consumption?

1998 ◽  
Vol 4 (3) ◽  
pp. 233-240 ◽  
Author(s):  
Raymond Y.C. Tse
Keyword(s):  
Hong Kong ◽  
Causal Relationship ◽  
Granger Causality ◽  
Domestic Consumption ◽  
Tourist Flows ◽  
Causality Tests ◽  
Granger Causality Tests

It is argued that attracting more tourists will stimulate domestic consumption. This paper, using Granger causality tests fitted to data from Hong Kong, shows that a long-term causal relationship between the number of tourists and subsequent private domestic consumption is not supported. Thus, tourist flows may have very little effect on domestic consumption.

scholarly journals Do Operating Profits Induce a Wage Premium Equally Shared among Employees Earning High or Low Incomes?

Economies ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 81
Author(s):  
Jarle Aarstad ◽  
Olav A. Kvitastein
Keyword(s):  
Panel Data ◽  
Granger Causality ◽  
Wage Inequality ◽  
Wage Premium ◽  
Wage Increase ◽  
Low Incomes ◽  
Causality Tests ◽  
Granger Causality Tests

Panel data show that between 2001 and 2014 Norwegian industries’ increasing aggregated operating profits per employee increased average wages and wage inequality. The data imply that increasing profits, perhaps unsurprisingly, induce a wage premium. The data further imply that employees earning high incomes at the outset had the highest wage increase percentage-wise. Decreasing operating profits per employee had opposite but less robust effects on average wages and wage inequality. Panel data Granger causality tests finally showed that average wages, but not wage inequality, reversely and positively affect operating profits per employee.

scholarly journals Understanding the Interdependency between the Nifty 50 Future Index and the Advanced Future Stock Market through Econometrics

2019 ◽  
Vol 8 (4) ◽  
pp. 3660-3664
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
Granger Causality ◽  
Foreign Exchange ◽  
Financial Market ◽  
Stock Prices ◽  
Economic Condition ◽  
The Future ◽  
Bidirectional Movement ◽  
High Degree

In recent times the stock market is accepted as a tool to measure the economic condition of a nation. It is found that the Indian financial market as highly volatile due to the lower value of rupees in foreign exchange with the dollar. This motivated the researchers to measure the interdependencies of [Nifty 50 future (India), Nikkei 225(Japan), NASDAQ 100 Futures (USA), Dow Jones 30 (USA), SSEC (China), Hang Seng Future (Hong Kong), and FTSE 100 (London)]. The analysis covers monthly stock prices for a period of 10years from April 2008 to March 2018. The measurement of interdependencies is studied through granger causality and correlation after the confirmation of the non-normality of data and stationary of data. The result shows a high degree of correlation between NASDAQ and Dow Jones shows 98.76% followed by 96.89% between Nifty 50 future and NASDAQ. The co-movement result of Nifty 50 future through granger causality states Nifty 50 future can explain the future stock market of Nikkei (Japan) and SSEC (China) and the Hang Seng future (Hong Kong) has a bidirectional movement with Nifty 50 futures. The study is useful for the investors to identify the interdependencies of the indices and understand the movement in a significant manner.

scholarly journals Sars-Cov-2 in Argentina: Lockdown, Mobility, and Contagion

2020 ◽  
Author(s):  
Juan M.C. Larrosa
Keyword(s):  
Panel Data ◽  
Granger Causality ◽  
Random Effects ◽  
Social Costs ◽  
Political Discussion ◽  
Fixed And Random Effects ◽  
The World ◽  
Causality Tests ◽  
Granger Causality Tests ◽  
Over Time

AbstractThere is a debate in Argentina about the effectiveness of mandatory lockdown measures in containing COVID-19 that lasts five months making it one of the longest in the World. The population effort to comply the lockdown has been decreasing over time given the economic and social costs that it entails. We contributes by analyzing the Argentinian case through information of mobility and contagion given answers to recurrent questions on these topics. This paper aims to fill the gap in the literature by assessing the effects of lockdown measures and the regional relaxation on the numbers of rate of new infections. We also respond to issues of internal political discussion on regional contagion and the effect of marches and unexpected crowd events. We use pool, fixed and random effects panel data modeling and Granger causality tests identifying relations between mobility and contagion. Our results show that lockdown in Argentina has been effective in reducing the mobility but not in way that reduces the rate of contagion. Strict lockdown seems to be effective in short periods of time and by extend it without complementary measures loss effectiveness. Contagion rate seems to be discretely displaced in time and resurging amidst slowly increasing in mobility.

scholarly journals Drivers of Greek and Turkish Defense Spending

2016 ◽  
Vol 51 (1) ◽  
pp. 33-46 ◽  
Author(s):  
Grzegorz Waszkiewicz
Keyword(s):  
National Security ◽  
Granger Causality ◽  
Statistical Data ◽  
Causal Relation ◽  
Middle Eastern ◽  
Defense Spending ◽  
Causality Tests ◽  
Military Expenditures ◽  
Granger Causality Tests ◽  
Political Economic

Abstract This paper evaluates the factors responsible for maintaining substantial military expenditures in Greece and Turkey. The presented research encompasses theoretical and empirical aspects. First, defense spending by both countries was analyzed based on statistical data from international sources. Next, the theoretical determinants of budgetary spending are reviewed, which consider political, economic and military factors behind high expenditures on the army in Greece and in Turkey. Finally, Granger causality tests is applied to determine whether a causal relation between variables exists in the case of these two countries. We conclude that defense expenditures in Greece and Turkey exceed the NATO average, but are relatively low relative to those of selected Middle Eastern countries. Our results indicate that high military spending level in Turkey is mainly driven by national security concerns, whereas an economic driver prevails in Greece.

Earnings Management and Stock Liquidity

2021 ◽  
pp. 66-84
Author(s):  
Hakan Özkaya
Keyword(s):  
Stock Market ◽  
Earnings Management ◽  
Trading Volume ◽  
Management Practices ◽  
Positive Association ◽  
Discretionary Accruals ◽  
Market Liquidity ◽  
Stock Liquidity ◽  
Turnover Ratio ◽  
Liquidity Measures

This chapter tests whether the earnings management practices in Turkey are considered informative or opportunistic by outside investors by examining its effect on stock liquidity. Earnings management is measured by discretionary accruals calculated by two different competing methods. Stock liquidity is also proxied by two different measures: the illiquidity measure of Amihud and the turnover ratio. Amihud's illiquidity measure indicates firms' daily price responses associated with the trading volume and the turnover ratio indicates how many times a stock changes its owner in a year. Relevant control variables are also included in the models. A positive association between earnings management and stock liquidity implies informative earnings management and vice versa. Earnings management is found to be positively associated with stock market liquidity. Results favor the informative earnings management view for Turkish firms and are robust to alternative specifications of earnings management and stock liquidity measures.

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