Co-integration and Causality between the Spot and Futures Markets: Pre and Post Implementation of NKEAs

2016 ◽  
Vol 2 (1) ◽  
pp. 98
Author(s):  
Mohamad Azwan Md Isa ◽  
Syamsyul Samsudin ◽  
Mohd Khairul Ariff Noh
Keyword(s):  
Palm Oil ◽  
Trading Volume ◽  
Futures Markets ◽  
Economic Transformation ◽  
The Other ◽  
Long Run ◽  
Empirical Tests ◽  
The Relationship ◽  
Test Result ◽  
Granger Test

The Tenth Malaysian Plan (RMK10) through the Economic Transformation Programme (ETP) focuses on 12 National Key Economic Areas (NKEAs). One of the key areas is the palm oil industry. Hence, this study is aimed at examining the implication of the ETP/NKEAs (pre and post) towards the crude palm oil (CPO) and its futures (FCPO) markets. The Johansen approach and the Granger test were employed to prove the co-integration and causality respectively between both markets for the period January 2008 to May 2015. Other empirical tests including the correlation analysis and multiple regressions were also conducted in order to investigate the relationship between the CPO price with the FCPO price, trading volume and open interest. The findings from the Johansen test show that there exists a co-integration in the long run between the Malaysian CPO and FCPO markets. The Granger test result indicates that there is causality of FCPO prices on the CPO prices, but not the other way around. In addition, the Regression analysis shows that FCPO price is the only significant factor that affects CPO price whilst the other two independent variables show insignificant results. The findings would be useful to the market regulators, operators and traders in setting their policy and regulations, and also in their decision making process

scholarly journals Does human capital development matter in FDI location decisions? A case for Austria

2015 ◽  
Vol 5 (3) ◽  
pp. 26-35
Author(s):  
Kunofiwa Tsaurai
Keyword(s):  
Human Capital ◽  
Causal Relation ◽  
The Other ◽  
Location Decisions ◽  
Human Capital Development ◽  
Correction Model ◽  
Long Run ◽  
Causality Relationship ◽  
Capital Development ◽  
The Relationship

This paper investigates the relationship between human capital development and foreign direct investment (FDI). In particular, the direction of causality between these two variables is the main focus of this study. This study has been necessitated by the failure by many previous researchers to concur on the causal relationship between FDI and human capital development. Some authors argue that there is a uni-directional causality relationship running from FDI to human capital development whilst others are saying the causality runs the other way round from human capital development to FDI. The other group of authors says there is a bi-directional relationship between these two variables whilst the fourth and last group of authors maintains that there exist no causal relation at all between FDI and human capital development. Using the lagged error correction model (ECM), the study observed that FDI measured by FDI, net inflows (% of GDP) was Granger caused by human capital development (proxied by pupil-teacher ratio) both in the short and long run. However, the null hypothesis which says that FDI Granger caused human capital development was rejected both in the short and long run. The author therefore recommends the intensification of teacher-pupil ratio improvement programmes in order not only to increase FDI inflow but to ensure Austria benefits from that increased FDI inflow

Assessing the relationship between closing prices and trading volume in the US livestock futures markets

2020 ◽  
Vol 37 (3) ◽  
pp. 413-428
Author(s):  
Dimitrios Panagiotou ◽  
Alkistis Tseriki
Keyword(s):  
Trading Volume ◽  
Futures Markets ◽  
Quantile Regressions ◽  
Content Type ◽  
Feeder Cattle ◽  
Daily Data ◽  
The Us ◽  
Volume Relationship ◽  
Agricultural Futures ◽  
The Relationship

Purpose The purpose of this paper is to examine the relationship between closing prices and trading volume in the livestock futures markets of lean hogs, live cattle and feeder cattle. Design/methodology/approach The parametric quantile regressions methodology is used. Daily data between January 1, 2010 and July 31, 2019 were used. Findings Findings suggest that the relationship between the two variables is non-linear. Price-volume relationship is positive (negative) under positive (negative) returns. Furthermore, co-movement is weaker at the lower quantiles and stronger at the higher quantiles. Results are in line with the empirical findings of the price-volume relationship in six agricultural futures markets from the study by Fousekis and Tzaferi (2019). Originality/value This is the first study that uses the parametric quantile regressions method in the livestock futures market, to examine the returns-volume dependence.

scholarly journals Examining integration between Agra and Delhi potato markets

2019 ◽  
Vol 34 (01) ◽  
Author(s):  
Rajeev Ranjan Kumar ◽  
G. K. Jha ◽  
Kapil . Choudhary ◽  
Neeraj . Budhlakoti
Keyword(s):  
Market Integration ◽  
The Other ◽  
Price Information ◽  
Long Run ◽  
Integration Test ◽  
Test Result ◽  
Geographically Isolated

Market integration generally assumed that prices changes in one market will be fully transmitted to the other markets. Markets that are not integrated may convey inaccurate price information that might distort marketing decisions and contribute to inefficient product movements. In this study, we examine the integration between Agra and Delhi potato markets. In order to identify a possible co-integration between Agra and Delhi potato markets, Johansen’s co-integration test has been used. Johnson co-integration test result indicated that even though the selected potato markets are geographically isolated, they are well-connected in terms of prices of potato, demonstrating that potato markets have long-run price linkage across them.

scholarly journals The Link Between Capital Accumulation and Increasing Wages in an Updated Version of Smith’s Theory Of Population

2021 ◽  
Author(s):  
Ferdinando Meacci
Keyword(s):  
Birth Control ◽  
Capital Accumulation ◽  
Continuous Process ◽  
The Other ◽  
Main Argument ◽  
Control Techniques ◽  
Long Run ◽  
Self Interest ◽  
The One ◽  
The Relationship

The aim of this paper is to focus, within Adam Smith’s system of thought, on the various aspects of the twofold link between the accumulation of capital and the demand for labor, on the one hand, and between an increasing population and increasing wages, on the other. This link is examined, first, in the light of the relationship between the principles of self-interest and competition; and, secondly, in support of the possibility (neglected by Smith) that the long-run supply of labor may fall short of the long-run demand for it. The paper’s main argument is that this possibility is peacefully implemented in advancing economies by the “uniform, constant, and uninterrupted effort of every man to better his condition” which lies behind a continuous process of capital accumulation (including technical progress) along with the birth control techniques so widely used in our times.

Price Discoveries and Volatility Spillovers in S&P CNX Nifty Future and its Underlying Index CNX Nifty

2009 ◽  
Vol 34 (2) ◽  
pp. 41-56 ◽  
Author(s):  
Madhusudan Karmakar
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Spot Market ◽  
The Other ◽  
Future Market ◽  
Volatility Spillovers ◽  
Long Run ◽  
Cash Market ◽  
Cointegration Tests ◽  
First Moment

In a perfectly functioning world, every piece of information should be reflected simultaneously in the underlying spot market and its futures markets. However, in reality, information can be disseminated in one market first and then transmitted to other markets due to market imperfections. And, if one market reacts faster to information than the other, a lead-lag relation is observed The lead-lag relationship in returns and volatilities between spot and futures markets is of interest to academics, practitioners, and regulators. In India, there are very few studies which have investigated the lead-lag relationship in the first moment of the spot and futures markets This study investigates the lead-lag relationship in the first moment as well as the second moment between the S&P CNX Nifty and the Nifty future. It also investigates how much of the volatility in one market can be explained by volatility innovations in the other market and how fast these movements transfer between these markets. It conducts Multivariate Cointegration tests on the long-run relation between these two markets. It investigates the daily price discovery process by exploring the common stochastic trend between the S&P CNX Nifty and the Nifty future based on vector error correction model (VECM). It examines the volatility spillover mechanism with a bivariate BEKK model. Finally, this study captures the effects of recent policy changes in the Indian stock market. The results reveal the following: The VECM results show that the Nifty futures dominate the cash market in price discovery. The bivariate BEKK model shows that although the persistent volatility spills over from one market to another market bi-directionally, past innovations originating in future market have the unidirectional significant effect on the present volatility of the spot market. The findings of the study thus suggest that the Nifty future is more informationally efficient than the underlying spot market. These findings may provide insights on the information transaction and index arbitrage between the CNX Nifty and futures markets.

scholarly journals Education Expenditure and Economic Growth in Mauritius: An Application of the Bounds Testing Approach

2017 ◽  
Vol 13 (22) ◽  
pp. 70 ◽  
Author(s):  
Tafirenyika Sunde
Keyword(s):  
Economic Growth ◽  
The Other ◽  
Bounds Testing ◽  
Education Expenditure ◽  
Long Run ◽  
Short Run ◽  
Bounds Testing Approach ◽  
Testing Approach ◽  
The Relationship ◽  
Investments In Education

This study examines the relationship between education expenditure and economic growth in Mauritius. The study employed the ARDL bounds testing methodology for the period 1976 to 2016. The study found that education expenditure Granger causes economic growth in Mauritius in the short run. In addition, the study also found that economic growth does not Granger cause education expenditure in Mauritius in the short run. However, in the long-run, the study found that there are long run relationships between education expenditure and economic growth in both equations; and this means that an increase in either of the variables will eventually lead to an increase in the other variable. The study, therefore, found support for the hypothesis that investment in education raises economic growth. This means that Mauritius has the potential to benefit from further investments in education in the future.

scholarly journals The Dynamics of Credit Procyclicality and Stability of Macroeconomics in Indonesia

2021 ◽  
pp. 351
Author(s):  
Ni Putu Nina Eka Lestari ◽  
Made Kembar Sri Budhi ◽  
I Ketut Sudama ◽  
Ni Nyoman Reni Suasih ◽  
I Nyoman Taun
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
Time Series Data ◽  
Financial System ◽  
The Other ◽  
Series Data ◽  
Credit Growth ◽  
Macroeconomic Variables ◽  
Long Run ◽  
The Relationship

Credit growth is one of the important indicators of the financial system that can drive the country economic growth, but on the other hand credit growth can also cause risks in the financial system due to the economic actors’ moral hazard. The purpose of this research is to analyze the credit procyclicality pattern and economic growth in Indonesia. In addition, this study aims to determine the relationship pattern between credit and some macroeconomic variables. The method used is VECM with quarterly time series data during 1998 until 2016. The analysis shows that credit growth and economic growth have positive causality. This shows pro-cyclicality between credit and economic growth in Indonesia. However, in the long run this pattern shows a downward trend although still positive and permanent, which means that excessive credit growth can also lead to a decline in economic growth.

scholarly journals THE LINK BETWEEN CAPITAL ACCUMULATION AND INCREASING WAGES IN AN UPDATED VERSION OF SMITH’S THEORY OF POPULATION

2020 ◽  
Vol 42 (3) ◽  
pp. 385-400
Author(s):  
Ferdinando Meacci
Keyword(s):  
Birth Control ◽  
Capital Accumulation ◽  
Continuous Process ◽  
The Other ◽  
Main Argument ◽  
Control Techniques ◽  
Long Run ◽  
Self Interest ◽  
The One ◽  
The Relationship

The aim of this paper is to focus, within Adam Smith’s system of thought, on the various aspects of the twofold link between the accumulation of capital and the demand for labor, on the one hand, and between an increasing population and increasing wages, on the other. This link is examined, first, in the light of the relationship between the principles of self-interest and competition; and, second, in support of the possibility that the long-run supply of labor may fall short of the long-run demand for it. The paper’s main argument is that this possibility is peacefully implemented in advancing economies by the “uniform, constant, and uninterrupted effort of every man to better his condition,” which lies behind a continuous process of capital accumulation and technical progress along with the birth control techniques so widely used in our times.

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