The Dynamic Effects of Anchoring on Portfolio Return Volatility; Are there any economic issues in the developing world?

2021 ◽  
Vol 40 (1) ◽  
Author(s):  
Nadeem Iqbal
Keyword(s):  
Inflation Rate ◽  
Return Volatility ◽  
Predictive Capacity ◽  
Macroeconomic Factors ◽  
Anchoring Effect ◽  
Robust Model ◽  
Rigorous Testing ◽  
Baseline Values ◽  
Individual Variables ◽  
Portfolio Return

This study aims to see the anchoring effect on portfolio return volatility in the case of KSE-30. Business anomalies such as overreaction and under-reaction are affected by a variety of psychological causes. The use of anchors or baseline values known as the anchoring effect causes market under-reaction and overreaction. This research used nearness to 52-week high and nearness to historical high as proxies for under and over-reaction, respectively, to analyze the psychological causes for under and over-reaction. On the KSE-30, the findings revealed that proximity to the 52-week peak positively predicts future returns, whereas proximity to the historical high negatively predicts future returns. KSE-30 was used for rigorous testing. Similarly, the three macroeconomic variables used as control variables are the exchange rate, inflation rate, and interest rate to provide a more robust model of strong prediction capacity. The findings revealed that proximity to the 52-week maximum and proximity to the historical high and other macroeconomic factors had a forecast capacity of around 62 percent. Similarly, focused on volatility clusters, the GARCH (1, 1) model was used to measure the association between potential and past returns. The results show that there is a first order autoregressive function in the GARCH (1, 1) model. The findings also show that their predictive capacity decreases when the study's individual variables are moved from every day to annual Periods.

scholarly journals The impact of macroeconomic factors on the real estate investment trust index return on Japan, Singapore and China

2016 ◽  
Vol 13 (4) ◽  
pp. 242-253 ◽  
Author(s):  
Hao Fang ◽  
Tsang-Yao Chang ◽  
Yen-Hsien Lee ◽  
Wei-Jui Chen
Keyword(s):  
Inflation Rate ◽  
Stock Index ◽  
Real Estate Investment Trust ◽  
Real Estate Investment ◽  
Causality Test ◽  
Macroeconomic Factors ◽  
The Real Estate ◽  
Long Run ◽  
Index Changes ◽  
Bounds Test

This study contributes to the existing literature by combining the multiple methods to clarify the influence of the macroeconomic factors on the real estate investment trust (REIT) index in three Asian countries. The authors, first, use an autoregressive distributed lag (ARDL) bounds test to find that a long-run equilibrium exists between the REIT index and the interest rate, inflation rate, and stock index for China and Singapore. The authors, then, analyze the long- and short-run elasticity of the macroeconomic variables on the REIT index. Finally, using the Granger non-causality test, the authors demonstrate that a unidirectional relationship, in which inflation-rate shifts cause REIT index changes, exists in Japan and Singapore and that a wealth effect, in which stock index movements cause REIT index changes, exists in Singapore. The findings have economic implications for investors seeking to gain from REITs using macroeconomic factors. Keywords: REITs, macroeconomic factor, ARDL bounds test, ARDL long-run model, error-correction model, Granger non-causality test. JEL Classification: C22, G11, L85, D53, C58, F14

Cross-border merger and acquisition activities in Asia: the role of macroeconomic factors

2018 ◽  
Vol 35 (2) ◽  
pp. 307-329 ◽  
Author(s):  
Yusnidah Ibrahim ◽  
Jimoh Olajide Raji
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Money Supply ◽  
Inflation Rate ◽  
Merger And Acquisition ◽  
The Philippines ◽  
Macroeconomic Factors ◽  
Content Type ◽  
Cross Border ◽  
Asean Countries

Purpose This paper aims to examine the influence of key macroeconomic factors on the inward and outward acquisition activities of six ASEAN (ASEAN: Association of Southeast Asian Nations) countries, namely, Indonesia, Malaysia, the Philippines, Singapore, Thailand and Vietnam, over the 1996-2015 period. Design/methodology/approach The study uses alternative panel data methods, including pooled mean group, mean group and dynamic fixed-effect estimators. Findings The results indicate that gross domestic product (GDP), interest rate, exchange rate, money supply and inflation rate are the most important macroeconomic factors explaining the trends of cross-border mergers and acquisition outflows of the ASEAN-6 countries. Specifically, GDP, money supply and inflation rate have significant positive relationships with acquisition outflows, while interest rate and exchange rate exert significant negative influence. On the other hand, the authors find four significant macroeconomic factors explaining the trends of the inward acquisitions. Essentially, GDP, money supply and inflation rate have significant positive impacts on inward acquisitions, while the impact of exchange rate is negatively significant. Research limitations/implications Unavailability of data limits this study to pool six sample countries from ASEAN, instead of ten representative member countries. Practical implications The results of this study can signal to firms or investors, involving in cross-border mergers and acquisitions, where to direct foreign resources flows. Moreover, having the knowledge about the relative levels of market size and other macroeconomic factors in both home and host countries can be of great importance for investment decision. Therefore, policymakers of ASEAN countries should make appropriate macroeconomic policies that can stimulate inward and outward acquisitions. Originality/value The main contribution of this paper is that it is the first to present the analysis of macroeconomic influences on the trends of inward and outward merger and acquisition activities in six ASEAN countries.

scholarly journals Macroeconomic Dynamics and the Manufacturing Output in Nigeria

2018 ◽  
Vol 9 (2) ◽  
pp. 43-54 ◽  
Author(s):  
Adegbemi Babatunde Onakoya
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Money Supply ◽  
Inflation Rate ◽  
Manufacturing Sector ◽  
Percent Level ◽  
Negative Relationship ◽  
Preliminary Evaluation ◽  
Macroeconomic Factors ◽  
The Impact

AbstractThis paper examined the impact of the changes in the macroeconomic factors on the output of the manufacturing sector in Nigeria from 1981 to 2015. Preliminary evaluation of the data was conducted using both descriptive statistics and stationarity evaluation. The test indicated that not all the variables are normal. The occurrence of order integration at first level difference necessitated the deployment of the Johansen cointegration test. The findings revealed no short run association among manufacturing output and each of GDP, exchange rate, broad money supply and unemployment rate. Negative relationship existed amongst inflation rate, interest rate, exchange rate, broad money supply on one hand, and manufacturing output. The inflation rate and interest rate, were statistically insignificant. However, significant and positive relationship existed between GDP of the previous year and unemployment on the one hand and manufacturing output on the other, at 5 percent level. The results showed that manufacturing was a veritable engine of economic growth. The post estimation tests showed presence of serial correlation but evidence of heteroscedasticity existed which, made the model inefficient, but its estimator is still unbiased. The study recommended the harmonization of both fiscal and monetary policies for the attainment of macroeconomic stability and avoidance of rapid policy summersaults.

scholarly journals Do Macroeconomic Factors Defy the Expected Relationship with FDI Inflows in a Developing Country? An Econometric Analysis Based on Bangladesh

2021 ◽  
Vol 13 (10) ◽  
pp. 28
Author(s):  
Sk. Riad Arefin ◽  
Swarnil Roy ◽  
Avijit Mallik
Keyword(s):  
Inflation Rate ◽  
Positive Impact ◽  
Econometric Analysis ◽  
Education Spending ◽  
Causality Test ◽  
Macroeconomic Factors ◽  
Fdi Inflows ◽  
Economic Determinants ◽  
Distributed Lag ◽  
Determinants Of Fdi

Through econometric analysis, this study investigates the effects of various economic factors on foreign direct investment (FDI) inflows in Bangladesh from 1980 to 2019. ARDL (Autoregressive Distributed Lag) has been used to estimate the economic determinants of FDI inflows in Bangladesh after removing the trends from the independent variables. Empirical results revealed that GDP, Fixed Telephone Subscribers, Inflation Rate, and Education Spending are the eminent economic determinants of FDI. Subsequently, a Granger causality test and Vector Auto Regression (VAR) confirmed the absence of any long-term impact of these variables on FDI. From the analysis, it is evident that the ADF (Augmented Dickey-Fuller) test is necessary to remove the trend from these variables and corner those variables for the ARDL method to find the significant ones that have substantial impacts on FDI in Bangladesh. GDP, Fixed Telephone Subscribers, Inflation Rate, and Education Spending are found to be statistically significant while all of them having a positive impact on the FDI. Even though this study matches with many other previous studies conducted by researchers, some exciting findings contradict the expected result and open new doors for further research.

scholarly journals MACROECONOMIC INDICATORS AND YIELD CURVE OF INDONESIAN GOVERNMENT BOND

2021 ◽  
Vol 19 (01) ◽  
pp. 34-48
Author(s):  
Perdana Wahyu Santosa
Keyword(s):  
Current Account ◽  
Inflation Rate ◽  
Yield Curve ◽  
Current Account Deficit ◽  
Bond Market ◽  
Government Bond ◽  
Fixed Income ◽  
Foreign Exchange Reserves ◽  
Macroeconomic Factors ◽  
Positive Effect

Purposes – Indonesian government bond (known as SUN) plays an essential role in financing sustainable development in Indonesia and is a fixed income investment vehicle that attracts foreign investors. This study aims to examine the effect of macroeconomic factors or macro-risk on the yield curve of the SUN bond. Methodology – The type of data used in this study is secondary data in the form of BI Rate, Inflation, Exchange Rate, Foreign Exchange Reserves, Current Account Deficit, and crude oil prices in the 2010–2019 period. This study used the error correction model (ECM) method. The primary sources of data are some government bodies such as the Bank Indonesia website (www.bi.go.id) and the Indonesian site Bond Market Directory (www.idx.co.id). Findings – The results showed that the exchange rate had a positive effect in the long run, while the foreign exchange reserves effect inversely on the yield curve. The BI rate, inflation rate, and oil price have a positive effect on yield significantly. Furthermore, the current account deficit has no significant impact on the yield curve for the long term and short term. Implications – There are some managerial and policy implications to maintain an efficient, fixed income market. The authorities need to promote GDP growth, pursue fiscal efficiency, keep up the credit rating and risk of current account deficit, keep a relatively low BI rate and expected inflation rate. The yield curve fluctuation is influenced by changes in some macro-monetary factors above, which should consider in making SUN investment decisions. Limitations – This study has two limitations. Firstly, the future model could use a re-specification analysis that employs the VECM method that can result in impulse response function with a shock and period study; secondly, this study could be adding some variables including budget policy and political dynamics. Originality – This study contributes to the literature by examining the yield curve using the current account deficit related to government debt and macroeconomic factors that affect the bond yield curve. These findings can arrange a strategy to develop the bond market and obtain funding with a low cost of debt funds.

scholarly journals INVESTIGATING THE ROLE OF ISSUING CORPORATE ISLAMIC BOND AND SELECTED DETERMINANTS ON FIRM'S PROFITABILITY

2020 ◽  
Vol 8 (5) ◽  
pp. 48-57
Author(s):  
Najmudin ◽  
Ekaningtyas Widiastuti ◽  
Ghifari Taufiqurrahman
Keyword(s):  
Economic Growth ◽  
Firm Size ◽  
Inflation Rate ◽  
Stock Exchange ◽  
Negative Influence ◽  
Positive Influence ◽  
Internal Factors ◽  
Macroeconomic Factors ◽  
Panel Data Regression ◽  
Macroeconomic Factor

Purpose of the study: The purpose of this study is to investigate the effect of corporate Islamic bond issuance, internal and macroeconomic factors on firm's profitability. The internal factors involved potentially as determinants of profitability are leverage and firm size. Meanwhile, the macroeconomic factors are economic growth and the inflation rate. Methodology: The sample is taken from companies listed at Indonesia Stock Exchange (IDX) and selected from 24 companies. The sample is 21 companies whose data completely and issued the Islamic bond during the period 2012 until 2018. Moreover, the panel data regression was employed as an analytical tool to test the data. Main Findings: The results suggest that Islamic bond issuance and financial leverage have a negative influence on profitability, firm size has no significant influence on profitability, and economic growth and inflation rate have a positive influence on profitability. Applications of this study: A firm, as well as an investor, must consider the lower Islamic bond issuance and debt proportion. Besides, they should anticipate decreased economic growth and the inflation rate. Novelty/Originality of this study: This study observes evidence from Indonesia Stock Exchange (IDX) that develops the previous studies and adds references for further studies about Islamic bond issuance. Also, it combines Islamic fund source and firm-specific internal as well as macroeconomic factors (economic growth and inflation rate) macroeconomics factors insert what are the macroeconomic factor which affects the profitability of the business to give a clear picture of how the effect of all factors on profitability.

scholarly journals Impact of Macroeconomic Variables on Stock Return Volatility: Evidence from Sub-Sahara Africa

2020 ◽  
Vol 4 (2) ◽  
Author(s):  
Peter Ifeanyichukwu Ali ◽  
Samuel M. Nzotta ◽  
A. B. C. Akujuobi ◽  
Chilaka E. Nwaimo
Keyword(s):  
South Africa ◽  
Stock Market ◽  
Stock Markets ◽  
Inflation Rate ◽  
Return Volatility ◽  
Macroeconomic Variables ◽  
Market Return ◽  
Stock Market Return ◽  
Macroeconomic Indicators ◽  
The Impact

The main purpose of this paper was to investigate the impact of macroeconomic variables on stock market return volatility in Sub-Sahara markets. The study concentrated on three stock markets including Ghana, Nigeria and South Africa using GARCH-X (1,1) model on monthly data from January 2000 to December 2017. Preliminary analyses from descriptive statistics show that show mean monthly returns are positive for all the stock markets. Skewness coefficients show that the stock returns and interest rates distribution of all Sub-Sahara Africa stock markets are negatively skewed but inflation rate is positively skewed for Nigeria and South Africa, and flat for Ghana. Excess kurtoses are positive for all the stock markets and macroeconomic indicators, and Jarque-Bera statistics indicate the stock markets’ series and macroeconomic indicators are not normally distributed. The Unit roots tests results indicate that all the stock markets and macroeconomic indicators are first difference stationary. The results of the GARCH-X (1,1) model show that macroeconomic variables do not significantly impact stock market returns volatility in Nigeria, Ghana and South Africa at the 5% significance Level. We therefore recommend that stock market regulators, market participants and investors should concentrate more efforts on other macroeconomic variables aside interest rate and inflation rate, in estimating stock market return volatility in Sub-Sahara Africa.

scholarly journals Determinan Faktor Internal Dana Pihak Ketiga dan Faktor Eksternal (Inflasi, Pendapatan Perkapita, dan Imbalan SWBI) Terhadap Jumlah Dana Talangan Haji Pada Bank Syariah (BNI Syariah, BRI Syariah, Bank Muamalat, Bank Syariah Mandiri) Periode 2009-2014

2017 ◽  
Vol 4 (3) ◽  
pp. 235
Author(s):  
Fachmi Setyawan ◽  
Suherman Rosyidi
Keyword(s):  
Regression Analysis ◽  
Inflation Rate ◽  
Linear Regression Analysis ◽  
Multiple Linear Regression Analysis ◽  
Positive Influence ◽  
Third Party ◽  
Islamic Banks ◽  
Internal Factors ◽  
Macroeconomic Factors ◽  
Negative Effect

This study aimed to analyze the influence of internal factors of Islamic banks are third party funds and macroeconomic factors, namely inflation, percapita income and rewards Wadiah Certificate of Bank Indonesia to the amount of their bailout Hajj by Sharia banks in Indonesia during the period January 2009 to December 2014. The approach using multiple linear regression analysis. In this study, most of the hypothesis is not proven. Only variables percapita income and rewards SWBI that meet the research hypothesis. Research shows that third party funds and variable inflation rate indication hit double colinearity problems, so as to avoid bias regression results of these two variables were excluded from the regression model. Percapita income and rewards SWBIs have a significant effect partially to the amount of their bailout Hajj. Effect relationship shown is the reward SWBI have a negative effect, while percapita income has a positive influence on the amount of their bailout Hajj.

Macroeconomic Conditions Determining the Level and the Rate of Changes of Wages and Salaries in Poland in 2007-2012

2013 ◽  
Vol 8 (4) ◽  
pp. 297-316
Author(s):  
Walentyna Kwiatkowska
Keyword(s):  
Economic Growth ◽  
Inflation Rate ◽  
Rate Of Change ◽  
Average Wage ◽  
Real Wages ◽  
Macroeconomic Factors ◽  
Macroeconomic Conditions ◽  
Real Gdp ◽  
Fair Wage ◽  
Macroeconomic Determinants

This study characterized and evaluated the level and rate of change in wages and salaries in Poland in 2007-2012 and analysed the main macroeconomic determinants of their development. The analysis present changes to average wage, minimal wage and fair wage. Their level and rate of change are determined by macroeconomic factors, particularly economic growth processes, changes in productivity of labour, inflation rate and the situation on the labour market. A quite strong correlation can be observed between the rate of changes of the real GDP and the development of average nominal wages. Inflation processes affect the growth of nominal wages but they lead to a decrease in real wages. The growth of the unemployment rate affected the reduction of the growth rate of nominal wages. 

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