The money market sensitivity on the stock market

2006 ◽  
Vol 3 (2) ◽  
pp. 85
Author(s):  
Wan Mansor Wan Mahmood ◽  
Zetty Zahureen Mohd Yusoff
Keyword(s):  
Stock Returns ◽  
Composite Index ◽  
Asian Financial Crisis ◽  
Money Market ◽  
Kuala Lumpur ◽  
Correction Model ◽  
Monthly Data ◽  
Cointegration Tests ◽  
The Impact

This paper employs the cointegration tests and error correction model to investigate the impact ofeasing money market on stock returns in Malaysia following the Asian financial crisis during 1997 to 2000. The monthly data on Kuala Lumpur Interbank Offer Rates (KLIBOR), the monthly closing of Kuala Lumpur Composite Index (KLCI) andthe sector indexes - construction, consumer product, finance, industrial product, plantation, properties, mining, andtrading andservices, from January I, 1997 to December 31,2000 are used. The results suggest that there is long-term relationship between KLlBOR andsub sample 2, KLlBOR and constructions, KLlBOR and properties, and KLlBOR and mining.

scholarly journals Cointegração e previsibilidade de abordagens VECM para o Ibovespa

2020 ◽  
Vol 18 (2) ◽  
pp. 82
Author(s):  
Marcos Vinicius Lopes Pereira ◽  
Leonardo Carneiro De Araújo ◽  
Robert Aldo Iquiapaza
Keyword(s):  
Explanatory Power ◽  
The United States ◽  
Short Term ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Cointegration Tests ◽  
Dependent Variables ◽  
The Impact

<p>The present research compares multivariate models applied to the IBovespa time series analysis. Macroeconomic variables, commodities and market indices are regressors suggested by the literature. The chosen approach uses a vector error correction model (VECM) alongside unit root and cointegration tests, robust under heteroskedasticity. The impact of national and international economic instability was controlled. To accomplish this, recessive cycles, in Brazil or in the United States, and the Brazilian electoral period were taken into account. In general, the evaluated models failed to meet the estimation’s assumptions, have low explanatory power and do not present significant relationship between IBOVESPA and dependent variables. However, evidence indicates that long-term relationships could exist, although this may not imply accuracy<br />in short-term predictions.</p>

scholarly journals Non Cash Payment and Demand for Real Money in Indonesia

2019 ◽  
Vol 22 (1) ◽  
Author(s):  
Wasiaturrahma Wasiaturrahma ◽  
Yuliana Tri Wahyuningtyas ◽  
Shochrul Rohmatul Ajija
Keyword(s):  
Error Correction ◽  
Credit Card ◽  
Error Correction Model ◽  
Short Term ◽  
Correction Model ◽  
Real Money ◽  
On Demand ◽  
Cash Payment ◽  
The Impact

The study analyses the impact of non-cash payment on demand for real money in Indonesia from 2010 to 2015. Utilizing the Error Correction Model (ECM), the results reveal that the use of both debit and credit card influence the demand for real money in the long term. Moreover, debit card also significantly affects the demand for real money in the short term, while the use of credit card does not have the implication.

scholarly journals Modelling volatility of Kuala Lumpur composite index (KLCI) using SV and garch models

2019 ◽  
Vol 13 (3) ◽  
pp. 1087
Author(s):  
Ezatul Akma Abdullah ◽  
Siti Meriam Zahari ◽  
S.Sarifah Radiah Shariff ◽  
Muhammad Asmu’i Abdul Rahim
Keyword(s):  
Stock Returns ◽  
Price Index ◽  
Financial Time Series ◽  
Composite Index ◽  
Garch Models ◽  
Financial Assets ◽  
Kuala Lumpur ◽  
Financial Decisions ◽  
Auto Regressive ◽  
Public Holidays

It is well-known that financial time series exhibits changing variance and this can have important consequences in formulating economic or financial decisions. In much recent evidence shows that volatility of financial assets is not constant, but rather that relatively volatile periods alternate with more tranquil ones. Thus, there are many opportunities to obtain forecasts of this time-varying risk. The paper presents the modelling volatility of the Kuala Lumpur Composite Index (KLCI) using SV and GARCH models.  Thus, the aim of this study is to model the KLCI stock market using two models; Stochastic Volatility (SV) and Generalized Auto-Regressive Conditional Heteroscedasticity (GARCH). This study employs an SV model with Bayesian approach and Markov Chain Monte Carlo (MCMC) sampler; and GARCH model with MLE estimator. The best model will be used to forecast the future volatility of stock returns. The study involves 971 daily observations of KLCI Closing price index, from 2 January 2008 to 10 November 2016, excluding public holidays. SV model is found to be the best based on the lowest RMSE and MAE values.

scholarly journals Faktor Eksternal dan Internal yang Mempengaruhi Profitabilitas Bank Syariah di Indonesia

2018 ◽  
Vol 13 (1) ◽  
pp. 51
Author(s):  
Yudhistira Ardana
Keyword(s):  
Error Correction ◽  
Commercial Bank ◽  
External Factors ◽  
Internal Variables ◽  
Business Unit ◽  
Short Term ◽  
Correction Model ◽  
Monthly Data ◽  
Short And Long Term

This study aims to determine the influence of external factors (inflation and BI rate) and internal (CAR, REO, FDR, and NPF) on the level of profitability of sharia banks in Indonesia as measured by ROA. The data used in this study is the data of Sharia Commercial Bank and Sharia Business Unit in Indonesia from 2011 to 2018 using monthly data. This research uses error correction model which is commonly abbreviated as ECM. The results show that the external and internal variables together significantly influence the ROA variable. Individually, CAR, NPF and Inflation variables have no significant effect on ROA, while FDR and REO variables in both short and long term have significant effect on ROA. BI rate in this study has no significant effect on ROA in the short term, but has a significant effect on ROA variable in the long term

scholarly journals ASYMMETRIC TRANSMISSION OF MONETARY POLICY TO INTEREST RATES: EMPIRICAL EVIDENCE FROM INDONESIA

2021 ◽  
Vol 24 (1) ◽  
pp. 119-150
Author(s):  
Fitri Ami Handayani ◽  
Febrio Nathan Kacaribu
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Money Market ◽  
Asymmetric Transmission ◽  
Correction Model ◽  
Monthly Data ◽  
Policy Transmission ◽  
Pricing Behavior ◽  
Lending Rates ◽  
Transmission Of Monetary Policy

This study investigates monetary policy transmission to the interest rates in Indonesia, focusing on changes in pricing behavior that may have occurred after the shift of benchmark policy rates in August 19, 2016. We analyzed monthly data on money market, deposit, and lending rates from November 2011 to December 2019. Two specifications of the error correction model capture asymmetric adjustments. We find that the new policy rate regime has improved the response of money market rates. However, the rigidity of bank retail rates has increased. Specifically, lending rates have become more rigid upwards, as lenders have become more responsive to monetary easing than to monetary tightening.

The impact of gender inequality in education and employment on economic performance in Turkey: evidence from a cointegration approach

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Ömer Esen ◽  
Gamze Yıldız Seren
Keyword(s):  
Least Squares ◽  
Economic Performance ◽  
Ordinary Least Squares ◽  
Estimation Methods ◽  
Content Type ◽  
Cointegration Tests ◽  
Johansen Cointegration ◽  
Education And Employment ◽  
The Impact

PurposeThis study aims to empirically examine the impact of gender-based inequalities in both education and employment on economic performance using the dataset of Turkey for the period 1975–2018.Design/methodology/approachThis study employs Johansen cointegration tests to analyze the existence of a long-term relation among variables. Furthermore, dynamic ordinary least squares (DOLS) and fully modified ordinary least squares (FMOLS) estimation methods are performed to determine the long-run coefficients.FindingsThe findings from the Johansen cointegration analysis confirm that there is a long-term cointegration relation between variables. Moreover, DOLS and FMOLS results reveal that improvements in gender equality in both education and employment have a strong and significant impact on real gross domestic product (GDP) per capita in the long term.Originality/valueThe authors expect that this study will make remarkable contributions to the future academic studies and policy implementation, as it examines the relation among the variables by including the school life expectancy from primary to tertiary based on the gender parity index (GPI), the gross enrollment ratio from primary to tertiary based on GPI and the ratio of female to male labor force participation (FMLFP) rate.

Investor Sentiment and Stock Returns

2015 ◽  
pp. 315-328
Author(s):  
Serkan Yılmaz Kandır ◽  
Veli Akel ◽  
Murat Çetin
Keyword(s):  
Stock Returns ◽  
Investor Sentiment ◽  
Consumer Confidence ◽  
Cointegration Test ◽  
Sample Period ◽  
Monthly Data ◽  
Out Of Sample ◽  
Confidence Index ◽  
The Relationship

In this chapter, the authors investigate the relationship between investor sentiment and stock returns in an out of sample market, namely Borsa Istanbul. The authors use the Consumer Confidence Index as an investor sentiment proxy, while utilizing BIST Second National Index as a measure of small capitalized stock returns. The sample period spans from January 2004 to May 2014. By using monthly data, the authors employ cointegration test and error–correction based Granger causality models. The authors' findings suggest that there is a long-term relationship between investor sentiment and stock returns in Borsa Istanbul. Moreover, a unidirectional causal relationship from investor sentiment to stock returns is also found.

scholarly journals The Impact of Oil Prices on the Economy of Vietnam

2015 ◽  
Vol 22 (04) ◽  
pp. 142-159
Author(s):  
Hoa Nguyen Thi Lien ◽  
Trang Tran Thu ◽  
Giang Nguyen Le Ngan
Keyword(s):  
Industrial Production ◽  
Oil Prices ◽  
Test Results ◽  
Macroeconomic Performance ◽  
Price Shocks ◽  
Short Term ◽  
Correction Model ◽  
The Impact ◽  
The Relationship

In this paper we study the relationship between oil prices and macroeconomic performance by investigating the impact of oil price shocks on key macroeconomic variables of Vietnam over the 2001–2012 period. In order to test the relationship between oil prices and the value of industrial production, we use cointegration method to consider the long-term relationship and Error Correction Model (ECM) to ponder the short-term one. The test results show that the price of oil and the value of industrial production in Vietnam are positively correlated in the long term, whereas in the short term the volatility of oil prices in the last two months will negatively affect the fluctuation in the value of the current industrial production.

scholarly journals Analisis Pengaruh Transaksi Uang Elektronik terhadap Tingkat Inflasi di Indonesia

2021 ◽  
Vol 10 (1) ◽  
pp. 56-63
Author(s):  
Ruth Damayanti
Keyword(s):  
Error Correction ◽  
Money Supply ◽  
Inflation Rate ◽  
Error Correction Model ◽  
Advanced Technology ◽  
Short Term ◽  
Electronic Money ◽  
Correction Model ◽  
The Impact

Increasingly advanced technology encourages people to make transactions using electronic money (e-money). Nowadays, more Indonesian people use electronic money in their dealings, which is proven by the increasing volume of electronic money transactions from year to year. Electronic cash is chosed because it is more practical in making transactions with traders. The rising use of electronic money can affect the money supply, which can affect the inflation rate. Several studies have stated the effect of electronic money on inflation. This study aims to determine the impact of the variable volume and nominal value of electronic money transactions (e-money) on the inflation rate in Indonesia from January 2016 to December 2020. The data used in this study are secondary data with the type of monthly time series taken from Bank Indonesia, Kementerian Perdagangan, and BPS (Badan Pusat Statistik). The analysis technique used is the ECM (Error Correction Model). The Error Correction Model in this study aims to identify long-term and short-term relationships that occur because of the cointegration between research variables and the relationship between variables that are not stationary. This study indicates that in the long term, the variables volume of e-money transactions and money supply (M2) have a significant effect on the inflation variable. In contrast, other macroeconomic variables (BI rate and nominal value of e-money transactions) has no significant impact. Meanwhile, the short-term regression model shows no variables that have a substantial effect on the inflation variable.

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