scholarly journals ESG impact on financial corporate performance and portfolio returns: evidence of Australia and Japan

2021 ◽  
Vol 7 (2) ◽  
Author(s):  
Margarita Chrissanthi Kazakakou Powaski ◽  
Carolina Daza Ordoñez ◽  
Laura Jáuregui Sánchez
Keyword(s):  
Stock Returns ◽  
Fixed Effect Model ◽  
Annual Data ◽  
Stock Market Index ◽  
Public Companies ◽  
Operational Strategies ◽  
Portfolio Returns ◽  
Market Index ◽  
Effect Model ◽  
The Impact

Environmental, Social, and Governance investing has undergone a radical shift; companies and investors have focused on the impact of the disclosure of the practices and policies related to the environment, social responsibility, and governance in their operational strategies and investment. The purpose of this paper is to demonstrate the impact that the ESG policies have on public companies' stock returns in Australia and Japan. Accounting and market-based measures are used to determine the impact ESG practices have on stock market index returns. The annual data used is of companies from Australia's S&P/ASX Index and Japan's Nikkei 225 Index, covering the period from 2005 to 2019. Fixed effect model regression was used to test the significant relationship between companies' stock returns and ESG score, accounting, and market-based measures. Portfolios were created to analyze the risk/return relationship between companies with and without ESG across countries. The findings indicate mixed results. Australia´s non-ESG portfolios outperform the S&P500 and ESG portfolios. Japan´s portfolio has positive returns but underperforms the benchmark. Low market capitalization portfolios with and without ESG outperform the higher capitalization portfolios.  

scholarly journals Is Bitcoin Price Driven by Macro-financial Factors and Liquidity? A Global Consumer Survey Empirical Study

2021 ◽  
Vol 12 (2) ◽  
pp. 399-414
Author(s):  
Shinta Amalina Hazrati Havidz ◽  
Viendya Ervina Karman ◽  
Indra Yudha Mambea
Keyword(s):  
Stock Market ◽  
Interest Rates ◽  
Generalized Method Of Moments ◽  
Fixed Effect Model ◽  
Stock Market Index ◽  
Internal Factor ◽  
Financial Factors ◽  
Market Index ◽  
Effect Model ◽  
Us Dollar

This research aims to utilize macro-financial and liquidity elements as the factors that may affect the price of Bitcoin as the largest cryptocurrency in terms of market capitalization. The macro-financial factors analyzed in this study were foreign exchange, stock market index, interest rates, and gold, while liquidity ratio is the internal factor. This study applied a fixed-effect model (FEM) and Generalized Method of Moments (GMM) on gathered weekly data from 1 January 2017 to 29 December 2019 from 18 countries with the total of 2,826 observations. The analysis revealed that US Dollar amplifies Bitcoin trading; an increase in interest rate will decrease investors’ intention to invest in Bitcoin as a speculative asset, and gold could replace Bitcoin as a substitute asset. Moreover, Bitcoin was found to be highly liquid, which attracts many investors, while the stock market index proved to be insignificant.

Relationship Between Oil Price Movements and Stock Returns of Oil Firms in Oil Importing Economies

2020 ◽  
pp. 097215092091701
Author(s):  
Silky Vigg Kushwah ◽  
Areej Aftab Siddiqui
Keyword(s):  
Interest Rates ◽  
Stock Returns ◽  
Positive Impact ◽  
Strong Relationship ◽  
Oil Price ◽  
Stock Index ◽  
Stock Market Index ◽  
Market Index ◽  
Oil Sector ◽  
The Impact

This article investigates the impact of oil price shocks on the stock returns of companies of the oil sector in oil-importing economies. The study considers oil stocks of top five oil-importing economies, that is, India, USA, China, Japan and Korea from 2007–2019. The oil price is considered as the independent variable, whereas the oil sector stock index return is considered as dependent variable. Based on the existing literature, some control variables like stock index return, inflation, interest rates, gross domestic product (GDP) and dummy for US-China trade war are included. Empirical evidence from the returns of oil sector stock index indicates that there is a significant and positive relationship between oil prices and oil sector’s stock returns. The result also highlights a strong relationship between stock market index and oil sector stock index. GDP of the country also leads to a positive impact on returns of oil stocks, although there is no significant impact of interest rates and inflation on the returns of oil stocks.

The Impact of the Credit Channel on Macroeconomic Variables and Bank Characteristics in the Brazilian Economy from 2009 to 2018

2021 ◽  
Vol 40 (1) ◽  
Author(s):  
Mohammad Farajnezhad
Keyword(s):  
Monetary Policy ◽  
Fixed Effect Model ◽  
Credit Channel ◽  
Macroeconomic Variables ◽  
Brics Countries ◽  
Effect Model ◽  
Level Data ◽  
Monetary Policy Transmission Mechanism ◽  
The Interest Rate ◽  
The Impact

This article uses commercial bank-level data to examine a credit channel of the monetary policy transmission mechanism in the Brazilian economy from BRICS countries.  Static panel data with a fixed-effect model are used for data analysis. Using a sample of 212 commercial banks from 2009 to 2018. According to the findings of this study, there is a significant and positive relationship between macroeconomic variables that affect the interest rate and GDP with the loan amount, but not with the inflation rate. Also, it is reasonable to conclude that banks in Brazil react to monetary policy in a variety of ways.

scholarly journals Is Transportation Infrastructure Important to the One Belt One Road (OBOR) Initiative? Empirical Evidence from the Selected Asian Countries

2018 ◽  
Vol 10 (11) ◽  
pp. 4131 ◽  
Author(s):  
Kwang-Jing Yii ◽  
Kai-Ying Bee ◽  
Wei-Yong Cheam ◽  
Yee-Lee Chong ◽  
Ching-Mei Lee
Keyword(s):  
Central Asia ◽  
Panel Data Analysis ◽  
Fixed Effect Model ◽  
Transportation Infrastructure ◽  
Annual Data ◽  
Kyrgyz Republic ◽  
Asian Countries ◽  
One Belt One Road ◽  
The One ◽  
The Impact

The One Belt One Road (OBOR) initiative is implemented to improve the linkage between China and its neighboring countries in terms of economic ties, connectivity, partnership, and security cooperation. The crucial challenge encountered in OBOR initiative is the different gauge standards from different countries in the development of railway along the Silk Road. Another issue arose from the regulation of education sector in the aspect of quality, cost, and efficiency. To the best of our knowledge, there is still lack of study on the transportation infrastructure and education towards the GDP in the selected Asian countries, especially for Central Asia. Therefore, this study aims to examine the impact of OBOR initiative and its importance towards economic growth by further investigating the determinants such as transportation infrastructure, education, labor, trade, and inflation rate. This study employs panel data analysis using the annual data from the period of 2000–2015. The selected Asian countries are divided into three regions, namely Central Asia (Kazakhstan, Kyrgyz Republic, Tajikistan, Turkmenistan, Uzbekistan), ASEAN (Thailand, Indonesia, Vietnam, Malaysia), and East Asia (China, Mongolia). Besides, we use fixed effect model (FEM) to obtain the results based on the support of Hausman test and Poolability F-test. The findings reveal that transportation infrastructure possess a positive effect on GDP. Surprisingly, education is negatively related to GDP. With this, policy makers are suggested to encourage OBOR countries to expand and upgrade their system in terms of transportation infrastructure, human capital, culture, and education. In future studies, the advanced model is recommended to investigate the pre- and post-efficiency of OBOR initiative.

scholarly journals WHETHER FDI OR EXPORTS ENHANCE INNOVATION: EVIDENCE FROM INDIAN MANUFACTURING FIRMS, 2001-2012

2017 ◽  
Vol 26 (3) ◽  
pp. 19-32
Author(s):  
Krishan SINGH ◽  
Dr. Sandeep Kaur BHATIA
Keyword(s):  
Manufacturing Sector ◽  
Fixed Effect Model ◽  
Manufacturing Firms ◽  
Capital Inflows ◽  
Public And Private ◽  
Effect Model ◽  
Foreign Capital Inflows ◽  
Indian Manufacturing Sector ◽  
Public And Private Sector ◽  
The Impact

The economic reforms of 1991 resulted in an increased inflow of FDI into theIndian economy. However, for the invention of new techniques and skills, there is a greatneed to invest on R&D, requires a huge amount of capital, which can be available throughFDI inflows. Technology has been imported in heavy amount after the implementation ofliberalization policies. Therefore, the present study intends to know whether FDIcontributes to the Indian manufacturing sector through R&D or not. The average growthof the manufacturing sector in India (7.93 per cent) has been found considerably higherduring the second decade of reforms (2001-2012) as compared to first decade reforms(1991-2000). In the context of this, the present study has tried to examine the trends andpatterns of FDI and R&D in manufacturing firms of India during the second decade ofreforms (2001-12) and also, to analyze the impact of FDI and exports on R&D inmanufacturing firms of India through fixed effect model. The results suggest that R&D hasbeen significantly impacted by the import of capital goods, foreign equity, disembodiedtechnology, and export intensity during the second decade of liberalization period. Thepresent study suggests that greater approvals for foreign capital inflows are required inIndia, for enhancing the R&D in the manufacturing sector. There must be an appropriatecoordination between public and private sector, which can improve the R&D expenditureof manufacturing firms of India.

scholarly journals The Impacts of Oil Prices, Exchange Rate and COVID-19 Pandemic on BIST Petrochemical Market

2021 ◽  
Vol 7 (1) ◽  
pp. 17-33
Author(s):  
Seval Mutlu Çamoğlu
Keyword(s):  
Exchange Rate ◽  
Raw Materials ◽  
Oil Prices ◽  
Stock Market Index ◽  
Monthly Data ◽  
Information Index ◽  
Market Index ◽  
The Impact ◽  
Index Exchange ◽  
Liberal Market Economy

Stock markets are developing with the economic growth of the countries in a liberal market economy. Petrochemicals is an indicator of the performance of the country's industry with high inter-industry linkage by providing input to several sectors, producing various outputs with a certain number of raw materials. The COVID-19 pandemic period has affected all markets worldwide and caused fluctuations in the index values of large firms in the petrochemical industry in Borsa Istanbul (BIST). This study analyzes the impact of the pandemic period and change in the oil prices and exchange rate on the petrochemical market in Turkey. The monthly data of petrochemical stock market index, exchange rate, oil prices are used in this time series analysis. A pandemic information index representing the COVID-19 pandemic was derived and included in the model. According to the results, it is observed that the most important determinant of the fluctuations on the BIST petrochemical index is the oil prices. While a shock in oil prices negatively affects the BIST petrochemical index, the petrochemical index responds positively to the shock in the pandemic index.

The Impact of Economic Sentiment, Consumer, Producer and Investor's Confidence Indices on Stock Returns of the Listed Companies in FTSE-20 in Greece

2018 ◽  
pp. 162-209
Author(s):  
Constantine Cantzos ◽  
Petros Kalantonis ◽  
Aristidis Papagrigoriou ◽  
Stefanos Theotokas
Keyword(s):  
Stock Returns ◽  
Risk Premium ◽  
Macroeconomic Variables ◽  
Production Index ◽  
Behavioral Indicators ◽  
Portfolio Returns ◽  
Long Run ◽  
Short Run ◽  
The Impact ◽  
The Relationship

This chapter examines the relationship between stock returns of companies listed in the FTSE-20 on the Athens Exchange and behavioral indicators. The research is based on the behavioral APT model, which examines stock returns' risk factors through the involvement of macroeconomic variables and behavioral indicators. The data is the closing price of 17 shares listed in the FTSE-20 index, a number of macroeconomic variables, and a series of behavioral indicators for the period of January 2001-December 2014. Regressions were conducted with dependent variable stock returns of a portfolio invested equally in these 17 stocks. In addition, the research tests the existence of long-run and short-run equilibrium and causality. The change in the industrial production index along with the risk premium have a positive and significant impact on the portfolio returns. Johansen's test showed that there is a long-run equilibrium between stock returns, macroeconomic variables, and behavioral indicators. The VECM and VAR models showed that there is not long and short-run causality, not even Granger causality. No similar research has been conducted in Greece, thus it fills a literature gap.

scholarly journals Can the Famous University Experience of Top Managers Improve Corporate Performance? Evidence from China

2019 ◽  
Vol 11 (24) ◽  
pp. 6975
Author(s):  
Weifeng Xu ◽  
Qingsong Ruan ◽  
Chang Liu
Keyword(s):  
Corporate Performance ◽  
Top Management Team ◽  
Listed Companies ◽  
Fixed Effect Model ◽  
Top Managers ◽  
Effect Model ◽  
University Experience ◽  
The Impact ◽  
Business Complexity ◽  
Positive Effect

With the continuous improvement of China’s overall education level, the number of top managers with famous university experience in listed companies has been increasing. The question then becomes whether the performance of the listed companies is better if there are more top managers with famous university experience in the top management team (TMT). Based on the sample of listed companies in China from 2008 to 2018, we adopted the two-way fixed effect model and panel propensity score matching (Panel-PSM) methodology to examine the impact of top managers with famous university experience on corporate performance and its mechanism. We found that the higher the proportion of top managers with famous university experience in the TMT, the better the corporate performance will be, and this positive effect is larger in companies with high business complexity. We also found that this effect is mediated by overconfidence of the TMT. The proportion of top managers with famous university experience in the TMT will inhibit the overconfidence of the TMT, which will ultimately benefit corporate performance.

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