scholarly journals The effect of political risk on emerging and developed markets

2021 ◽  
Author(s):  
◽  
Muhammad Tahir Suleman
Keyword(s):  
Exchange Rate ◽  
New Zealand ◽  
Emerging Markets ◽  
Political Risk ◽  
Nominal Exchange Rate ◽  
Developed Markets ◽  
Country Level ◽  
The Usa ◽  
Managed Floating ◽  
The Impact

<p>This thesis consists of three substantive chapters (3, 4, 5) on the impact of political risk on equity and exchange rate returns and their volatilities.  Chapter 3 proposes a framework for predicting market returns and volatility using changes in the country’s political risk. We identify the appropriate lag to to calculate changes over, and how the changes should be included in mean and volatility equations. The level of aggregation of political risk variable is also examined. Analysing 47 emerging and 21 developed markets, we find predictive power primarily for volatility of emerging markets, and recommended use of three political risk components which suitably capture important dimensions of political environment.  In the Chapter 4 we empirically examines the impact of political risk on returns and volatility of individual firms and industry portfolios from New Zealand and Pakistan. The data used in the study consist of 184 firms from New Zealand and 202 firms from Pakistan along with country-level political risk data from the ICRG. As in the , we find in Chapter 3 that the impact of political risk is more on volatility than the returns of firms in both markets. As we expect, the impact of political risk is more on Pakistani firms compared to those in New Zealand. Overall, results from the industry portfolios are according to the hypothesis that political risk impact is different across industries (volatility increase for some industries and decrease for few).  Chapter 5 examine the relationship between political risk variables on the nominal exchange rate return and its volatility. We again investigate developed versus developed markets, and also consider three different exchange rate regimes i.e. floating, managed floating and fixed. This is important to examine the link between political risk and exchange rate because there are two sources of political risk one on either side of the exchange rate. In our analysis, we use the political risk spread between the country of interest and the USA. Overall results reveal that emerging markets are more exposed to political risk compared to developed. Further, the impact of political risk variables is more on the floating exchange rate compared to managed floating and fixed exchange rate as might be expected, since intervention in the market will generally reduce to eliminate the influence of alternative factors. We also find strong evidence that volatility increases more during a period of high political risk and poor economic conditions for emerging markets.</p>

scholarly journals The effect of political risk on emerging and developed markets

2021 ◽  
Author(s):  
◽  
Muhammad Tahir Suleman
Keyword(s):  
Exchange Rate ◽  
New Zealand ◽  
Emerging Markets ◽  
Political Risk ◽  
Nominal Exchange Rate ◽  
Developed Markets ◽  
Country Level ◽  
The Usa ◽  
Managed Floating ◽  
The Impact

<p>This thesis consists of three substantive chapters (3, 4, 5) on the impact of political risk on equity and exchange rate returns and their volatilities.  Chapter 3 proposes a framework for predicting market returns and volatility using changes in the country’s political risk. We identify the appropriate lag to to calculate changes over, and how the changes should be included in mean and volatility equations. The level of aggregation of political risk variable is also examined. Analysing 47 emerging and 21 developed markets, we find predictive power primarily for volatility of emerging markets, and recommended use of three political risk components which suitably capture important dimensions of political environment.  In the Chapter 4 we empirically examines the impact of political risk on returns and volatility of individual firms and industry portfolios from New Zealand and Pakistan. The data used in the study consist of 184 firms from New Zealand and 202 firms from Pakistan along with country-level political risk data from the ICRG. As in the , we find in Chapter 3 that the impact of political risk is more on volatility than the returns of firms in both markets. As we expect, the impact of political risk is more on Pakistani firms compared to those in New Zealand. Overall, results from the industry portfolios are according to the hypothesis that political risk impact is different across industries (volatility increase for some industries and decrease for few).  Chapter 5 examine the relationship between political risk variables on the nominal exchange rate return and its volatility. We again investigate developed versus developed markets, and also consider three different exchange rate regimes i.e. floating, managed floating and fixed. This is important to examine the link between political risk and exchange rate because there are two sources of political risk one on either side of the exchange rate. In our analysis, we use the political risk spread between the country of interest and the USA. Overall results reveal that emerging markets are more exposed to political risk compared to developed. Further, the impact of political risk variables is more on the floating exchange rate compared to managed floating and fixed exchange rate as might be expected, since intervention in the market will generally reduce to eliminate the influence of alternative factors. We also find strong evidence that volatility increases more during a period of high political risk and poor economic conditions for emerging markets.</p>

The effect of financial, macroeconomic and sentimental factors on stock market volatility

2021 ◽  
Vol 67 (4) ◽  
pp. 274-293
Author(s):  
Anna Czapkiewicz ◽  
Agnieszka Choczyńska
Keyword(s):  
Emerging Markets ◽  
Interest Rates ◽  
The State ◽  
Stock Market Volatility ◽  
Markov Switching Model ◽  
Switching Model ◽  
Developed Markets ◽  
High Volatility ◽  
The Usa ◽  
The Impact

The aim of this paper is to find economic factors that could be helpful in explaining the market’s shifts between periods of prosperity and crisis. The study took into account the main stock indices from developed markets of the USA, Germany and Great Britain, and from two emerging markets, i.e. Poland and Turkey. The analysis confirms the existence of two different states of volatility in these markets, namely the state with a positive returns’ mean and low volatility, and the state with a negative or insignificant mean and high volatility. The Markov-switching model with a dynamic probability matrix was applied in the study. The subject of the analysis was the impact of domestic and global factors, such as VIX and TED spread, oil prices, sentiment indices (ZEW), and macroeconomic indices (unemployment, longterm interest rate, CPI), on the probability of switching between the states. The authors concluded that in all the examined countries, changes in long-term interest rates have an influence on market returns. However, the direction of this impact is different for developed and emerging markets. As regards developed markets, high prices of oil, 10-year bonds, and the ZEW index can suggest a high probability of the countries remaining in the first state, whereas an increase in the VIX index and the TED spread significantly reduces the probability of staying in this state. The other studied factors proved to be rather local in nature.

The Impact of the Australian Bibliographic Network on Australian Libraries

1996 ◽  
Vol 8 (1) ◽  
pp. 35-49 ◽  
Author(s):  
Tony Ralli
Keyword(s):  
New Zealand ◽  
Database Management System ◽  
Director General ◽  
National Library ◽  
Industry Standard ◽  
Bibliographic Network ◽  
The Usa ◽  
The Uk ◽  
The Impact ◽  
Relational Database Management

From its small beginnings in 1981 of six pilot users and the National Library of Australia (NLA), the Australian Bibliographic Network (ABN) has grown to be a truly national system, with 1,315 users at May 1995. The National Bibliographic Database has expanded to over 11 million records and 22 million holdings statements. It includes records from the USA, the UK, Canada, New Zealand, Singapore and Vietnam. It has come to be the single union list of holdings of Australian libraries, and the first point of reference for the majority of interlibrary loan transactions. The ABN is seen as both an NLA business and a cooperative undertaking of Australian libraries. Management consists of a Network Committee, which advises the Director General of NLA on all aspects of operation, and a Standards Committee, whose role is to make recommendations to NLA on cataloguing standards for the network. Annual Users' Meetings are held. Since 1987 NLA has been developing a database host for Australian libraries called OZLINE, in parallel with ABN. In 1990 it was decided to go for complete redevelopment using a text retrieval product and an industry standard Relational Database Management System. Following discussions with the National Library of New Zealand, which had indicated broadly similar requirements, it was agreed that the two libraries would jointly seek a system. The Australian service is to be known in future as WORLD 1.

Market efficiency and the global financial crisis: evidence from developed markets

2018 ◽  
Vol 35 (3) ◽  
pp. 362-385 ◽  
Author(s):  
Omid Sabbaghi ◽  
Navid Sabbaghi
Keyword(s):  
Financial Crisis ◽  
Market Efficiency ◽  
Global Financial Crisis ◽  
Weak Form ◽  
Content Type ◽  
Developed Markets ◽  
The Usa ◽  
Econometric Tests ◽  
The Impact ◽  
Empirical Investigations

Purpose This study aims to provide one of the first empirical investigations of market efficiency for developed markets during the recent global financial crisis. Design/methodology/approach Using the Morgan Stanley Capital International (MSCI) country indices as proxies for national stock markets, the study conducts a battery of econometric tests in assessing weak-form market efficiency for the developed markets. Findings The inferential outcomes are consistent among the different tests. Specifically, the study finds that the majority of developed markets are weak-form efficient while the USA is the sole equity market to be commonly diagnosed as weak-form inefficient across the different tests when using full period data spanning the January 2008-November 2011 period. However, when basing the analysis on one-year subsamples over the identical time period, this study fails to reject weak-form market efficiency for all of the developed markets and presents evidence consistent with the Adaptive Market Hypothesis as described by Urquhart and Hudson (2013). When applying technical analysis for the case of the USA over the full study period, the results indicate that the return predictabilities can be exploited for some horizon of variable length moving average (VMA) trading rules. Originality/value This study provides one of the first empirical investigations of market efficiency for developed markets during the recent global financial crisis using an extended set of econometric tests. The study contributes to the existing body of empirical research that formally assesses the impact of a financial crisis on stock market efficiency and underlines the significance and relevance of examining market efficiency through subsample analysis.

scholarly journals The Impact Of Budget Deficits On Macro-Economic Variables In The Nigerian Economy (1981 – 2012)

2014 ◽  
Vol 2 (11) ◽  
pp. 164-183
Author(s):  
B.O Osuka ◽  
Achinihu Joy Chioma
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Granger Causality ◽  
Budget Deficit ◽  
Nominal Exchange Rate ◽  
Budget Deficits ◽  
Economic Variables ◽  
Long Run ◽  
Johansen Cointegration Test ◽  
The Impact

This study examined the impact of budget deficits on macro-economic variables in the Nigerian economy for theperiod 1981-2012. This study sought to find out if there is a long-run relationship between budget deficits and other macro-economic variables in Nigeria. The study used the Augmented Dickey-Fuller (ADF) methods for finding out the presence of unit root in all variables and found that they are stationary at first differencing; they are 1(1). We also used Johansen Cointegration test to check for the cointegration of the variables and found that the variables in the study are all cointegrated of order one showing the presence of long-run relationship between budget deficits and our selected macro-economic variables ( GDP, interest rate, nominal exchange rate and inflation rate). The Granger Causality results reveal that there is a uni-directional Granger-causality between Budget deficits and GDP with GDP granger causing budget deficit. However, the test for causality showed that there exists no causality between deficits and interest rate, budget deficits and inflation and budget deficit and nominal exchange rate. We thereby concluded that budget deficits exert significant impact on the macro-economic performance of the Nigerian economy. The study recommend that since budget deficits could crowd-in investment through its reducing effects in interest rate, but emphasis should be placed on capital goods expenditure to make it have positive effect on GDP and thereby contribute to economic growth and development.

scholarly journals The relation of environmental and climatic changes and migration situation in Oceania

2019 ◽  
Vol 27 (2) ◽  
pp. 313-325
Author(s):  
Galina N Ochirova ◽  
Evgeniya M Moiseeva ◽  
Anastasiya S Maksimova
Keyword(s):  
Climate Change ◽  
New Zealand ◽  
Local Population ◽  
Climatic Changes ◽  
Natural Phenomena ◽  
Island States ◽  
The Usa ◽  
Employment Education ◽  
And Migration ◽  
The Impact

The article presents overview of environmental and climatic, economic and migration situations in the countries of Oceania. In order to determine the relation of environmental and climatic changes and migration processes in the island states and territories of Oceania, New Zealand and Australia, analytical reports and censuses of the population of the states, estimates and statistics of international organizations are studied. The article analyses the state policy of island states and territories in the field of sustainable development and migration, as well as immigration policies of the main host countries such as Australia, New Zealand and the USA. It was found that internal and external migration in Oceania is mainly driven by socio-economic factors (problems with employment, education and medical services), while internal migration is usually directed to urban area, and external - from the city to foreign countries. Exploring the peculiarities of climate change and natural phenomena and their impact on the livelihoods of people in the region of Oceania, we can conclude that natural and climatic influences directly and indirectly affect different spheres of life of the local population. Nevertheless, the impact of climate change and natural phenomena on the migration of the population of Oceania at the moment is insignificant (no more than 10-12% of international flows), however, in the case of an increase in the intensity and frequency of na- tural disasters, and also due to an increase in the number and density of population (71 million people will live in the region to 2100) an increase in the flow of environmental migrants is inevitable.

scholarly journals LIQUIDITY RISK AND STOCK RETURN IN LATIN AMERICAN EMERGING MARKETS

2021 ◽  
Vol 20 (2) ◽  
Author(s):  
Francisco Javier Vasquez-Tejos ◽  
Prosper Lamothe Fernandez
Keyword(s):  
Emerging Markets ◽  
Stock Returns ◽  
Latin American ◽  
Stock Return ◽  
Risk Measures ◽  
Liquidity Risk ◽  
Multiple Regression Model ◽  
Investment Strategies ◽  
Developed Markets ◽  
The Impact

This study analyzes the impact of liquidity risk on stock returns in four Latin American markets (Chile, Columbia, Mexico, and Peru) between January 1998 and July 2018. Several previous studies have focused on measuring this effect in developed markets and a few in emerging markets, such as Latin American stock markets. In the present study, five liquidity risk measures with a multiple regression model; three have been widely used in previous studies and two were from recently proposed measures. We found evidence of an inverse relationship between liquidity risk and stock performance, which indicates that there exist rewards for investing in less liquid positions and therefore originate new investment strategies. In general, lesser developed or smaller markets have a disadvantage for this type of study, due to lack of access to historical information on stock purchase and sales.

scholarly journals Stock returns and liquidity risk in Chile

2019 ◽  
Vol 17 (2) ◽  
Author(s):  
Francisco Javier Vásquez-Tejos ◽  
Hernán Pape-Larre ◽  
Juan Martín Ireta-Sánchez
Keyword(s):  
Stock Market ◽  
Emerging Markets ◽  
Regression Model ◽  
Stock Returns ◽  
Multiple Regression ◽  
Risk Measures ◽  
Liquidity Risk ◽  
Multiple Regression Model ◽  
Developed Markets ◽  
The Impact

This study analyzes the impact of liquidity risk on the return of shares in the Chilean stock market, during the period from January 2000 to July 2018. A large number of studies have focused on measuring this effect in developed markets and few in emerging markets, especially the Chilean one. To do this, we used 6 risk measures in a multiple regression model; four widely used in previous studies and two new proposed measures. We found evidence of the significance of the liquidity risk over the stock return.RESUMENEste estudio analiza el impacto del riesgo de liquidez sobre el retorno de las acciones en el mercado bursátil chileno, durante el periodo de enero de 2000 hasta julio de 2018. Gran cantidad de estudios se han centrado en medir este efecto en los mercados desarrollados y pocos en mercados emergentes, especialmente el chileno. Para ello, se utilizó un modelo de regresión múltiple 6 medidas de riesgo; cuatro utilizadas ampliamente en estudios anteriores y dos medidas nuevas propuestas. Encontramos evidencia de significancia del riesgo de liquidez sobre el retorno accionario.RESUMOEste estudo analisa o impacto do risco de liquidez no retorno das ações no mercado de ações chileno, durante o período de janeiro de 2000 a julho de 2018. Muitos estudos têm se concentrado em medir este efeito em mercados desenvolvidos e poucos nos mercados emergentes, especialmente o chileno. Para isso, utilizamos 6 medidas de risco em um modelo de regressão múltipla; quatro amplamente utilizados em estudos anteriores e duas novas medidas propostas. Encontramos evidências da significância do risco de liquidez sobre o retorno das ações.  

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