scholarly journals Comparison of the Effect of Vix Fear Index on Stock Exchange Indices of Developed and Developing Countries: the G20 Case

2020 ◽  
Vol 15 (1) ◽  
pp. 105-121
Author(s):  
Ömer İskenderoglu ◽  
Saffet Akdag
Keyword(s):  
Developing Countries ◽  
Causal Relationship ◽  
Stock Exchange ◽  
Granger Causality Test ◽  
Developed Countries ◽  
Stock Index ◽  
Causality Test ◽  
Daily Data ◽  
Fear Index ◽  
Stock Index Returns

AbstractThis study aims to examine the potential causal relationship between the VIX and the indicator stock exchange index returns of G20 (9 developed and 10 developing) countries. Nineteen countries of the sample are G20 countries with available data. In this respect, the frequency domain Granger causality test of Breitung and Candelon (2006) is employed for the daily data between March 2011 and December 2017. The results obtained from the study indicate that there is no causal relationship between the VIX and the returns of the NASDAQ 100 index in developed countries. Similarly, no causal relationship is detected which runs from the VIX to the BIST100, BOVESPA, MERVAL, S&P/BMV IPC and TADAWUL stock index returns in developing countries. As a result, the causal relationship is more tend to be found in developed countries in comparison to developing countries.

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.

A Granger Causality Analysis between the GDP and CO2 Emissions of Major Emitters and Implications for International Climate Governance

2018 ◽  
Vol 06 (01) ◽  
pp. 1850004 ◽  
Author(s):  
Mou WANG
Keyword(s):  
Economic Growth ◽  
Developing Countries ◽  
Granger Causality ◽  
Carbon Emissions ◽  
Granger Causality Test ◽  
Developed Countries ◽  
Causality Test ◽  
Climate Governance ◽  
International Climate ◽  
Integration Analysis

This paper empirically examines the relationship between carbon emissions and economic growth by applying the co-integration analysis and Granger causality test to the time series data of carbon emissions and gross domestic product (GDP) of the world’s top 20 emitters from 1990 to 2015. Co-integration analysis shows that there is a long-term equilibrium relationship between carbon emissions and economic growth in most countries; Granger causality test verifies a one-way causal link between carbon emissions and economic growth in most major emitters. In developed countries, economic growth is the Granger cause of carbon emissions, while the opposite is true in developing countries. The results reflect different characteristics regarding carbon emission reduction in developed and developing countries as they are at different developing stages. Carbon emission reduction exerts much greater adverse effects on the economic growth of developing countries than it does on that of developed countries. Based on the results of the Granger causal analysis, it is found that the requirements for developing countries to substantially reduce emissions are not in line with the characteristics in their current developing stage and therefore may pose obstructions. Developed countries should take the lead in carrying out emission reductions due to their accountability for historical emissions as well as their development stages and capabilities. In addition, they should aid developing countries in their efforts for transforming and upgrading development and reducing dependence of economic growth on carbon emissions. International climate governance should take into account the needs and characteristics of different countries for future development, and build a mechanism for international cooperation to achieve synergy between social economic development and global climate governance.

scholarly journals Dynamic Interaction Between Nifty 50 and Nifty Sectoral Indices: An Empirical Study on Indian Stock Indices

2021 ◽  
Vol 29 (02) ◽  
pp. 17-24
Author(s):  
Ramya K ◽  
◽  
Bhuvaneshwari D ◽  
Keyword(s):  
Stock Exchange ◽  
Granger Causality Test ◽  
Dynamic Interaction ◽  
Stock Index ◽  
Causality Test ◽  
Financial Planners ◽  
Augmented Dickey Fuller ◽  
Johansen Cointegration Test ◽  
Financial Awareness ◽  
Adf Test

This study aims to determine the cointegrating and causal relationship between Nifty 50 and Nifty sectoral indices. Historical index data of the select indices were collected from the National Stock Exchange (NSE) database for the period Jan 2014 - Dec 2018. Appropriate Econometric tools - Augmented Dickey-Fuller (ADF) test, Phillips and Perron (PP) test, regression model, Granger causality test, and Johansen cointegration test were used to analyze the data. The findings of the study imply that the movements of Nifty sectoral index prices could determine the flow of stock index prices, i.e., Nifty 50 and vice versa during the period of the study which could also help the policymakers and financial planners in providing financial awareness to investors and clients in decision making.

scholarly journals Testing for Panel Granger Causality Relationship between international R&D cooperation and Economic Growth

2013 ◽  
Vol 7 (3) ◽  
pp. 1176-1197
Author(s):  
Tareki Sadraou ◽  
Tarek Ben Al
Keyword(s):  
Economic Growth ◽  
Developing Countries ◽  
Causal Relationship ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Causality Test ◽  
Panel Test ◽  
Panel Granger Causality ◽  
Causality Relationship ◽  
Causality Hypothesis

In this paper we investigate the causal relationship between R&D cooperation and economic growth. We use an innovative econometric method which is based on a panel test of the Granger non causality hypothesis. We implement various tests with a sample of 32 industrial and developing countries over the 1970-2012 periods. The results provide support for a robust causality relationship from economic growth to the R&D cooperation. On the contrary, the non causality hypothesis from R&D cooperation to economic growth can't be rejected in most of the cases. However, these results only imply that, if such a relationship exists, it can't be easily identified in a simply bi-variate Granger causality test.

scholarly journals The Causality of Qatar, Kuwait, and the United Arab Emirates Sharia Stock Indices on Indonesian Sharia Stock Index

2021 ◽  
Vol 4 (2) ◽  
pp. 2184-2192
Author(s):  
Anisah Firli ◽  
Satria Jayasena
Keyword(s):  
Causal Relationship ◽  
United Arab Emirates ◽  
Capital Market ◽  
Granger Causality Test ◽  
Stock Index ◽  
Investment Portfolio ◽  
Causality Test ◽  
Stock Indices ◽  
Stationarity Test ◽  
The Capital Market

The capital market plays an important role in encouraging the investment, economy, and prosperity of a country. The sharia capital market was formed to be a new alternative in investing. The movement of the capital market can be influenced by various factors, one of which is the influence of other countries, also known as contagion, which in turn causes causality between the stock indices of each country. This study was conducted to determine whether there was a causal relationship between the sharia stock indices of Qatar and Indonesia, between the sharia stock indices of Kuwait and Indonesia, and between sharia stock indices of the United Arab Emirates and Indonesia. Stock index data of QERI, FTFLKS, FTDKUS, and ISSI for 5 years were tested using the Stationarity Test and the Granger Causality Test to determine the quality between indices. This study provides different findings from other studies, showing no causality in the sharia stock indices of Qatar, Kuwait, and the United Arab Emirates on Indonesia. The findings of this study can be used as input for investors in determining their investment portfolio if they wish to invest in the sharia capital market. 

scholarly journals THE WEAK FORM MARKET EFFICIENCY IN THE MSCI ETF INDICES: CONVENTIONAL AND THE FOURIER UNIT ROOT TEST ON THE DEVELOPED AND DEVELOPING COUNTRIES

2020 ◽  
Vol 8 (4) ◽  
pp. 409-423
Author(s):  
Sümeyra GAZEL
Keyword(s):  
Developing Countries ◽  
Unit Root ◽  
Structural Break ◽  
Unit Root Test ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Developed Countries ◽  
Exchange Traded Funds ◽  
Unit Root Testing ◽  
Daily Data

In this study, weak form efficiency of the Exchange Traded Funds (ETF) in the Morgan Stanley Capital International (MSCI) Index of developed and developing countries is tested. The Fourier Unit Root test, which does not lose its predictive power in terms of structural break date, number and form, is used on daily data. Also, conventional unit root tests are used for comparison between two different tests. Analysis results indicate common findings in some countries for both unit root testing. However, the Fourier unit root test results relatively more support the assumption of efficient market hypothesis that developed countries may be more efficient than developing countries.

In Search of Stock Market Proxy to Calculate Systematic Risk (Beta) of Stocks in Indonesia Stock Exchange

2020 ◽  
Vol 29 (2) ◽  
pp. 80-88
Author(s):  
Mochammad Chabachib
Keyword(s):  
Stock Market ◽  
Real World ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
The Other ◽  
Stock Index ◽  
Market Return ◽  
Stock Market Return ◽  
Stock Index Returns

The calculation of beta stock in Indonesia is still debatable to this day. Though many researchers who have used sophisticated methods mathematically, the assumptions applied in developing the methods are impossible to happen in the real world, such as the ability of stock market return the day after (lead) affects the market return today. This study was conducted to assess the stock price index in Indonesia Stock Exchange that can be used as a proxy of stock market in Indonesia. The results of this study showed that there was a gap between beta stocks counted with JCI return as a market proxy with beta stocks counted with index returns of LQ-45, SRI-KEHATI, PEFINDO-25, BISNIS-27, IDX-30 and KOMPAS-100. This study has also found that the beta counted by using KOMPAS-100 return produced the smallest standard error of the estimate (SEE) that it was more applicable compared to the other stock index returns.

A RESEARCH ON THE CAUSAL RELATIONSHIP BETWEEN INVESTMENT PREFERENCES

2021 ◽  
Vol 6 (16) ◽  
pp. 36-46
Author(s):  
Elif YÜCEL
Keyword(s):  
Interest Rate ◽  
Exchange Rates ◽  
Causal Relationship ◽  
Causality Test ◽  
Daily Data ◽  
Domestic Debt ◽  
The Interest Rate ◽  
Index Value ◽  
Macro Variables ◽  
Investment Choices

This study aims to measure the causal relationship between the dollar and euro at exchange rates among today's investment instruments and the deposit interest rate, Gold, Bist xu100 and the index of government domestic debt securities.Dec. Dec. The data in the study are daily data between 17/08/2017-26/05/2021 and were selected from a recent time Dec. Data with CBRT evds resources investing.com retrieved from. In this way, it is possible to see how variables adapt to today's financial world and the pandemic period. The method of the study is the Granger causality test, which is often used in time series analysis. When individuals make investment choices, they choose according to the fact that macro variables such as inflation, growth rate, and Exchange Rates fluctuate during periods of crisis and recession. This often affects even the credit demands of institutional investors. Central banks want to influence macro variables with various intervention tools, but because the economies of some countries are fragile, individuals can often suffer even as a result of these optimistic policies. According to the results of this study, the dependent variable in the model where the BIST100 index of the dollar and gold values, the probability of 0.000<0.05 causal relationship is true of dollars for deposit in the model where the dependent variable is the interest rate of government securities of the index, the probability value of 0.0001 p<0.05 and Bist100 index 0.0162 probability value<0.05 and the probability for the value of the dollar 0.02<0.05 can be considered to be a causal relationship due to being towards deposit rates. The probability of the dependent variable in a model of the euro BIST100 index value 0.0001 p<0.05, gold probability value of 0.000<0.05 Euros causal relationship is true for government securities in another model where the dependent variable of 0.0040 p<0.05 probability value from deposits with interest ,0.0000 p<0.05 0.0043 Bist100 index and the probability value p<0.05 is the probability for the value of government securities under de towards causality can be said. In a model in which the Bist100 index is a dependent variable, there was a causal relationship towards the Bist100 index ,as the probability value of the euro was 0.0012<0.05, the probability value of gold was 0.0000<0.05, the probability value of government domestic debt securities was 0.0013<0.05, and the probability value of the dollar was 0.0007<0.05. Finally, the model in which gold is a dependent variable concluded that there is no causal relationship between the Euro, dollar, dibs and Bist100 index and deposit interest to gold, since the probability values of other variables are greater than 0.05.

scholarly journals Financial Development and Economic Growth: Time Series Analysis of Economy of Pakistan

2018 ◽  
Vol 5 (2) ◽  
pp. 59
Author(s):  
Muhammad Shoukat Malik ◽  
Raisham Hayee ◽  
Raima Adeel
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
Time Series Analysis ◽  
Causal Relationship ◽  
Financial Development ◽  
Granger Causality Test ◽  
Growth Time ◽  
Annual Data ◽  
Causality Test ◽  
Stationary Level

This study aims in understanding the causal relationship between financial development and economic growth. This research used annual data and applied dickey fuller test and granger causality test in order to understand stationary level and causation in variables. The results of this test give support to first hypothesis that financial development causes economic growth. While no evidence was found on the support of our second hypothesis i.e. economic growth is causing financial development.

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