scholarly journals Dynamic Relationships among Crude oil price, exchange rate and BSE Sensex

2018 ◽  
Vol 13 (02) ◽  
Author(s):  
Roshan Kumar ◽  
Manisha Gupta
Keyword(s):  
Crude Oil ◽  
Stock Prices ◽  
Time Series Data ◽  
Research Work ◽  
Unit Root Test ◽  
Series Data ◽  
Causality Test ◽  
Dynamic Relationship ◽  
Crude Oil Prices ◽  
Integration Test

The study examined Dynamic relationship among crude oil prices, exchange rates and stock prices in India for the duration January 2006 to December 2016 using daily data. The research work include the testing for a unit root test in time series data, then it testing the number of co-integrating vectors in the system. In the next step we use the johansen co integration test to examine the relationship among variables. At the last Granger causality test is used to estimating the direction of causality among the variables

scholarly journals COINTEGRATING RELATION BETWEEN EXCHANGE RATE AND GOLD PRICE

2017 ◽  
Vol 5 (10) ◽  
pp. 263-269
Author(s):  
Ranjusha ◽  
Devasia ◽  
Nandakumar
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Unit Root Test ◽  
Gold Price ◽  
Series Data ◽  
Annual Data ◽  
Causality Test ◽  
Long Run ◽  
Integration Test ◽  
The Relationship

The very purpose of this paper is to analyse the relationship between gold price and Rupee – Dollar exchange rate in India. The study utilises the annual data of exchange Rate (ER) and Gold Price (GP) from 1970 to 2015 to determine the relationship. Different econometric tools like Unit root test, Johansen co integration test, Vector error correction model, Granger causality test are used for detecting the long run relation, if any between the mentioned variables. The result shows that there exists a long run cointegrating relation between the variables. That is we can stabilise the Gold Price movement by controlling the exchange rate fluctuations. Likewise it also shows that Exchange rate doesn’t Granger cause to Gold price and vice versa. It means that the time series data of one vasriable cannot be used to predict another.

scholarly journals HINTERLAND MEDAN CITY BETWEEN BINJAI CITY: A GRAVITATION APPROACH

2019 ◽  
Vol 17 (1) ◽  
pp. 94
Author(s):  
Muhammad Nasir
Keyword(s):  
Confidence Level ◽  
Time Series Data ◽  
Impulse Response Function ◽  
Unit Root Test ◽  
Gravity Models ◽  
Series Data ◽  
Causality Test ◽  
Integration Test ◽  
Relationship Of ◽  
The City

Regional economy explains that there is an urban hierarchical relationship, cities that have higher hierarchy will serve cities that are below it as well as cities that are in hierarchy under supplying cities that are in the hierarchy above them, so there is a gravitational relationship between the two. This study aims to determine the gravitational relationship of Medan city to the hinterland of the city of Binjai. Furthermore, this study also wants to explain its influence on economic growth in both cities. This study uses time series data from 1990-2016, taken from North Sumatera BPS test equipment and analysis tools used are descriptive statistics, gravity models, unit root test, co-integration test, optimal lag, VECM, granger causality test, impulse response function and variance decomposition. The results showed that the city of Medan has a gravity style greater than the gravitational style of the city of Binjai. This is because the city of Medan has a larger area, population, income per capita compared to the city of Binjai. The VECM estimation results show that the gravitational variable in the city of Binjai in lag -1 and lag-2 has a positive and significant effect on the economy of Medan city with a confidence level of 95%. Then the economic variable of the city of Binjai itself in lag-1, the population of the city of Medan in lag-2 and the gravity of the city of Medan in lag-2 had a positive and significant effect on the economy of Binjai city with a confidence level of 95%. While the variable population of Binjai city in lag -1 and residents of the city of Medan in lag -1 negatively affected the economy of Binjai city with a confidence level of 95%.

scholarly journals Does Macroeconomic Indicators Influence Stock Price Behavior? Evidence from Nigerian Stock Market

2019 ◽  
Vol 6 (2) ◽  
pp. 26
Author(s):  
Peter Ego Ayunku
Keyword(s):  
Stock Market ◽  
Significant Influence ◽  
Stock Prices ◽  
Stock Price ◽  
Time Series Data ◽  
Unit Root Test ◽  
Series Data ◽  
Price Behavior ◽  
Market Growth ◽  
Integration Test

This paper investigate whether macroeconomics indicators influences stock price behavior in Nigerian stock market, using an annual time series data spanning from 1985-2015. The study employed some econometric tools such as Augmented Dicker Fuller (ADF) Unit Root test, Johansen’s co integration test, Vector Error Correction Model (VECM) to analyze the variables of interest. The study found out that Money Supply (MS) has an inverse but statistically significant  influence on stock prices in Nigerian stock market also Treasury Bill Rate (TBR) has an inverse and statistically insignificant influence on stock market prices. While on the other hand, Market Capitalization (MCAP) has a positive and statistically significant influence on stock prices while Exchange Rate (EXR) has positive but statistically insignificant relationship with stock prices in the Nigerian Stock Market. In view of the above, the study recommends amongst others that monetary authorities should try as much as possible to implement sound macroeconomic policies that would enhance stock market growth and development in Nigeria. 

scholarly journals The Effect of Liquidity on Financial Performance: Evidence from Turkish Retail Industry

2016 ◽  
Vol 8 (4) ◽  
pp. 63 ◽  
Author(s):  
Kartal Demirgünes
Keyword(s):  
Financial Performance ◽  
Time Series Data ◽  
Unit Root Test ◽  
Series Data ◽  
Retail Industry ◽  
Causality Test ◽  
Long Run ◽  
Integration Test ◽  
Dynamic Ols ◽  
Retail Merchandising

The aim of this study is to analyse the effect of liquidity on financial performance (<em>in terms of</em> profitability) by using a time-series data of Turkish retail industry (consisting of Borsa Istanbul (BIST) listed retail merchandising firms) in the period of 1998.Q1-2015.Q3. The stationarity of series and the co-integration relationship between them are tested by the unit root test of Carrioni-i-Silvestre et al. (2009) and the co-integration test of Maki (2012), respectively. Co-integration coefficients are estimated by Stock and Watson (1993) dynamic OLS method. Finally, causal relationships between the series are tested by Hacker and Hatemi (2012) bootstrap causality test. Results of Maki (2012) test show that the series are co-integrated in the long-run. While long-run parameters estimated posit a significantly positive relationship between financial performance and liquidity, causality test does not indicate any direction of causality between the series.

scholarly journals Finance and economic growth nexus: evidence from Gansu province in China

2021 ◽  
Vol 275 ◽  
pp. 01007
Author(s):  
Changchuan Zhang
Keyword(s):  
Economic Growth ◽  
Financial Development ◽  
Time Series Data ◽  
Unit Root Test ◽  
Output Growth ◽  
Gansu Province ◽  
Series Data ◽  
Financial Efficiency ◽  
Causality Test ◽  
Integration Test

This study investigates the association between financial development and economic growth in the long run using the time series data from 1985 to 2018 in financially undeveloped Gansu province in China. Regarding methodology, this paper employs ADF unit root test, Johansen co-integration test, VECM and Granger causality test to analyze the long-term relationship. The outcomes signal that the variables of financial depth, financial efficiency and economic growth are co-integrated, and the level of total financial development is negatively correlated with economic growth while financial efficiency is positively associated with output growth. In addition, there is a two-way causation between each pair of variables.

scholarly journals Effect of Foreign Aids on Economic Growth in Nigeria

2020 ◽  
pp. 194-204
Author(s):  
Isiaka Najeem Ayodeji ◽  
Makinde Wasiu Abiodun
Keyword(s):  
Economic Growth ◽  
Time Series Data ◽  
Unit Root Test ◽  
Secondary Data ◽  
Least Square ◽  
Series Data ◽  
Causality Test ◽  
Long Run ◽  
Integration Test ◽  
The Impact

This study investigated the impact of foreign aids on economic growth in Nigeria using time series data spanned from 1990 to 2017. The research considered the secondary data that were gathered from CBN statistical bulletin 2017 and World Bank Data Indictors. Ordinary Least Square techniques was adopted in the study and used Augmented Dickey-Fuller Unit Root Test, co integration test, granger causality test, ECM to estimates data employed. The findings revealed that all the variables employed were stationary at first difference and integrated at the same order1(I), the co-integration test shows that variables are co-integrated at one co-integrating equation which means that there is a long run relationship. The Error Correction Model established that the error that caused disequilibrium in the short run is being corrected in the long-run at a speed of adjustment at 6%. The findings revealed real gross domestic product responds inversely to changes in official development assistance and foreign direct investment. Based on these findings the study concluded that foreign aids have a significant impact on economic growth in Nigeria. Different diagnostic tests are applied in order to confirm the major assumption of multiple regression analysis like multicollinearity, heteroskedasticity and autocorrelation. Therefore, the study recommends among others that government needs to formulate strong and effective education and healthcare policies to facilitate and attract investment in the sectors and improve their efficiency in the long-run that will influence productivity.

scholarly journals The Role of Tourism in Economic Growth: Empirical Evidence from Saudi Arabia

Economies ◽  
2021 ◽  
Vol 9 (3) ◽  
pp. 117
Author(s):  
Sana Naseem
Keyword(s):  
Economic Growth ◽  
Saudi Arabia ◽  
Time Series Data ◽  
Unit Root Test ◽  
Strong Relationship ◽  
Series Data ◽  
Kingdom Of Saudi Arabia ◽  
Causality Test ◽  
Integration Test

Tourism is vital to the success of many economies worldwide and has been a widely researched area for many years. Unfortunately, an insufficient number of studies have been conducted on this subject in the context of Saudi Arabia. Therefore, this research investigates the role of tourism in promoting economic growth in the Kingdom of Saudi Arabia by using annual time series data from 2003 to 2019. The study uses basic statistics, correlation coefficients, the unit root test, the Johansen co-integration test, the co-integration regression test and the Granger causality test to check the relationship between tourism and economic growth. The results show that economic growth has a long-run relationship with tourism receipts, tourism expenditures and the number of tourist arrivals; the number of tourist arrivals has a strong relationship with economic growth, compared to other parameters. The empirical results validate the concept that tourism promotes economic growth in the kingdom of Saudi Arabia.

Dynamic Relationship between Crude Oil and Stock Prices in India: Before And After the Subprime Financial Crisis 2008

GIS Business ◽  
2019 ◽  
Vol 14 (6) ◽  
pp. 96-104
Author(s):  
P. Sakthivel ◽  
S. Rajaswaminathan ◽  
R. Renuka ◽  
N. R.Vembu
Keyword(s):  
Financial Crisis ◽  
Crude Oil ◽  
Stock Prices ◽  
Oil Prices ◽  
Energy Index ◽  
Data Set ◽  
Dynamic Relationship ◽  
Crude Oil Prices ◽  
Long Run ◽  
Before And After

This paper empirically discovered the inter-linkages between stock and crude oil prices before and after the subprime financial crisis 2008 by using Johansan co-integration and Granger causality techniques to explore both long and short- run relationships.  The whole data set of Nifty index, Nifty energy index, BSE Sensex, BSE energy index and oil prices are divided into two periods; before crisis (from February 15, 2005 to December31, 2007) and after crisis (from January 1, 2008 to December 31, 2018) are collected and analyzed. The results discovered that there is one-way causal relationship from crude oil prices to Nifty index, Nifty energy index, BSE Sensex and BSE energy index but not other way around in both periods. However, a bidirectional causality relationship between BSE Energy index and crude oil prices during post subprime financial crisis 2008. The co-integration results suggested that the absence of long run relationship between crude oil prices and market indices of BSE Sensex, BSE energy index, Nifty index and Nifty energy index before and after subprime financial crisis 2008.

EMPIRICAL ANALYSIS OF INDIA’S FOREIGN TRADE AND ECONOMIC GROWTH

2020 ◽  
Vol 8 (10) ◽  
pp. 105-111
Author(s):  
Khujan Singh ◽  
Anil Kumar
Keyword(s):  
Time Series Data ◽  
Unit Root Test ◽  
Series Data ◽  
Significant Implication ◽  
Causality Test ◽  
First Order ◽  
Long Run ◽  
Directional Relation ◽  
Augmented Dickey Fuller ◽  
Vecm Granger Causality

The present study is an attempt to examine long run relationship among India’s GDP, Exports and Imports for which yearly time series data from 1995 to 2018 has been collected. Data for India’s GDP has been collected from RBI website and India’s export and import data has been collected form Ministry of Commerce and Industry website. The Augmented Dickey-Fuller unit root test for stationarity found that studied variables become stationary at first order of difference. While, Johnson cointegration test revealed long run cointegration between India’s GDP, exports and imports. The results of VECM Granger causality test exhibited bi-directional relationship between India’s GDP and India’s exports, whereas uni-directional relation has been found between India’s GDP and India’s imports. These results have significant implication for India’s export import policy and to achieve a target of $5 trillion economy till 2024-2025.

scholarly journals Islamic Finance and Economic Growth Nexus: An Econometric Analysis

2019 ◽  
Vol 2 (1) ◽  
pp. 11-22
Author(s):  
Kashif Raza ◽  
Rashid Ahmad ◽  
Muhammad Abdul Rehman Shah ◽  
Muhammad Umar
Keyword(s):  
Economic Growth ◽  
Time Series Data ◽  
Trade Openness ◽  
Unit Root Test ◽  
Least Square ◽  
Series Data ◽  
Islamic Finance ◽  
Causality Test ◽  
Economic Agents ◽  
Fixed Capital Formation

Researchers have written chain of research papers about the dynamics of financial development and economic growth. The financial capital plays a productive role when it delivers to economic agents who are facing shortage or excess of funds.  This study explores the linkages among Islamic financing and economic growth for Pakistan, by using annual time series data from 2005-2018. Islamic banks’ financing funds used as a proxy of Islamic financing, Gross Domestic Product (GDP), Gross Fixed Capital Formation (GFCF), labor force (LF),Broad money(M) and Trade openness (TO) to presents real sector of an economy. For the exploration, the unit root test, Ordinary least square technique and Granger causality test are applied. The results validate a substantial causal relationship of Islamic financing and GDP, which supports the Schumpeter’s supply-leading view. The results indicate that Islamic finance contributed towards economic growth.  

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