Asymmetric Effect of Gold and Oil Prices on Stock Market Performance in Pakistan: New Evidence from Asymmetric ARDL Cointegration

The previous studies on stock market modelling in Pakistan context has assumed a linear relationship between stock market performance and its determinants. Most of the macroeconomic variables do not have linear properties, therefore considering asymmetric features of macroeconomic fundamentals, this study is a first attempt to explore the asymmetric impact of gold and oil prices on the stock market performance of Pakistan, covering the time period of 1990 – 2016. For the consideration of nonlinear, short-run and long-run associations between gold, oil prices and stock market performance, a novel approach of nonlinear ARDL or asymmetric ARDL is being used. The long-run parameters of the study affirm the asymmetric association between gold, oil prices and stock market performance, while short-run dynamics validate the asymmetric association between oil prices and stock market performance. Furthermore, negative and significant link between the exchange rate and the stock market was also found. The empirical outcomes propose that ignoring intrinsic asymmetries may lead to the misrepresentative implications in case of stock market performance. The achieved suggestion of asymmetries, both short and long-run dynamics could be of key prominence for more effective policy-making and to forecast the Pakistan Stock Market.

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Does Monetary Policy and Foreign Direct Investment Have an Influence on the Performance of Stock Market: Further Empirical Evidence from Ghana

Economics Literature ◽

10.22440/elit.2.2.4 ◽

2020 ◽

Vol 2 (2) ◽

pp. 161-176

Author(s):

Opoku Adabor ◽

Emmanuel Buabeng

Keyword(s):

Monetary Policy ◽

Foreign Direct Investment ◽

Stock Market ◽

Direct Investment ◽

Market Performance ◽

Empirical Literature ◽

Long Run ◽

Stock Market Performance ◽

Short Run ◽

Positive Effect

Monetary policy, foreign direct investment, and the stock market continue to dominate in discussions in developing countries. However, the linkage between the three variables in empirical literature remains unclear. This study aims to test two separate hypotheses: Firstly, the study examines the effects of monetary policy on stock market performance in Ghana. Secondly, the study also empirically investigates the effect of foreign direct investment on stock market performance in Ghana. Autoregressive Distributed Lag (ARDL) model was employed as an estimation strategy to examine the short and long-run effects using annual time series data from 1990 to 2019. The study revealed that monetary policy rate and money supply exerts a statistically significant negative and a positive effect on stock market performance in both the long and short-run in Ghana, respectively. It was also found that foreign direct investment has significant and a positive effect on stock market performance in Ghana in both the long and short run. Total capital stock and volume traded were also found to exert significant positive and negative impacts on stock market performance both in the short and long run respectively. Based on our findings, we recommend that expansionary monetary policy will be a better option to be carried out to improve the stock market performance in Ghana. Furthermore, government and private partnership may ensure the effective management of the macroeconomic variables to attract foreign direct investment into Ghana to boost stock market performance.

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Assymetric effect of fiscal and monetary policies on the stock market performance in Nigeria

Advances in Social Sciences Research Journal ◽

10.14738/assrj.82.9406 ◽

2021 ◽

Vol 8 (2) ◽

pp. 39-53

Author(s):

Oluwayemisi Adeleke ◽

Olusola Oyeleke

Keyword(s):

Fiscal Policy ◽

Stock Market ◽

Market Performance ◽

Asymmetric Effect ◽

Test Technique ◽

Monetary Policies ◽

Vector Error Correction ◽

Distributed Lag ◽

Long Run ◽

Stock Market Performance

This study investigated the asymmetric effect of fiscal and monetary policies on stock market performance from 2000:q1-2018q3 in Nigeria. The study used Auto Regressive Distributed Lag (ARDL) Bounds Test technique of cointegration to determine the equilibrium relationship among the series. After the long run relationship has been established, Vector Error Correction Model was used to analyse the data. The results showed that only anticipated fiscal policy had a negative and significant effect on the stock market performance in the third and fourth quarters of the year. In contrast, anticipated and unanticipated monetary policy as well as unanticipated fiscal policy did not exert effect on stock market performance in Nigeria. Government in Nigeria should reduce its expenditure which has the capacity to negatively influence the performance of stock market in Nigeria.

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The Effect of Money Supply, Exchange Rate, and Interest Spread toward the Performance of Stock Market in Malaysia

WIDYAKALA JOURNAL ◽

10.36262/widyakala.v6i2.217 ◽

2019 ◽

Vol 6 (2) ◽

pp. 142

Author(s):

Yeoh Kai Qing ◽

Suhal Kusairi

Keyword(s):

Exchange Rate ◽

Stock Market ◽

Money Supply ◽

Market Performance ◽

Real Effective Exchange Rate ◽

Long Run ◽

Stock Market Performance ◽

Effective Exchange ◽

Short Run ◽

Effective Exchange Rate

The stock market has become a significant role in the economy and has attracted investor's attention, as it is to generate funds and make an investment decision for companies and investors as well. Therefore, the objective of this study is to study the effect of the money supply, exchange rate, interest spread and stock market in the short and long run and volatility issue. The study employed monthly data, from January 1997 to August 2018. Method analysis is the Autoregressive distributed lag (ARDL) and GARCH model. The findings stated that the money supply, real effective exchange rate, interest spread, had a long-run effect on the performance of the stock market. Money supply and the real effective exchange rate had a positive effect on the stock market performance in the short run. Conversely, the interest spread showed a negative influent on the stock market performance in the short run. The volatility indicated a high persistence between the money supply, real effective exchange rate, interest spread and stock market (KLCI). The implication of the study is the investors or policymakers should take account the changes of interest rate and exchange rate before making stock investment or policy to stabilize the stock market performance.Keywords: Performance, Money Supply, Real Effective Exchange Rate (REER), Interest Spread

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Monetary-Fiscal policies and stock market performance: Evidence from linear ARDL framework

GATR Journal of Business and Economics Review ◽

10.35609/jber.2021.5.4(7) ◽

2021 ◽

Vol 5 (4) ◽

pp. 69-80

Author(s):

Aref Emamian ◽

Nur Syazwani Mazlan

Keyword(s):

United States ◽

Stock Market ◽

Market Performance ◽

The United States ◽

Tax Revenue ◽

Fiscal Policies ◽

Long Run ◽

Stock Market Performance ◽

The Us ◽

Short Run

Objective – To explore the impacts of monetary and fiscal policies, the appropriateness of both policies and how the stock market is affected by their adoption and implementation in the United States (US). Hence, this study aims to determine the short and long run relationships between monetary and fiscal policies and stock market performance as well as establish potential factors and policies contributing to the highs and lows. Methodology/Technique – We use autoregressive distribution lag (ARDL) developed by Pesaran et al. (2001) to achieve the objective. In this study, annual time series data from the Federal Reserve, World Bank, and International Monetary Fund, from 1986 to 2017 pertaining to the American economy, was used. Findings – The results show that both policies play a significant role in the stock market. We find a significant positive effect of real gross domestic product (RGDP) and the interest rate on the US stock market in the long run and significant negative relationship effect of the consumer price index (CPI) and broad money on the US stock market both in the short run and long run. On the other hand, this study only could support the significant positive impact of tax revenue and significant negative impact of real effective exchange rate on the US stock market in the short run while in the long run are insignificant. Novelty – As the US stock market heavily depends on the Tax Revenue in the short run, any changes in TR can impact on the US stock market considerably. Thus, shareholders can benefit from these results when they look at macroeconomic data in order to enhance their investment strategy. Type of Paper: Empirical. JEL Classification: E52; E62; G18 Keywords: ARDL; Monetary Policy; Fiscal Policy; The Stock Market in The United States. Reference to this paper should be made as follows: Emamian, A; Mazlan, N.S. 2021. Monetary-Fiscal policies and stock market performance: Evidence from linear ARDL framework, Journal of Business and Economics Review, 5(4), 69–80. https://doi.org/10.35609/jber.2021.5.4(7)

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Economic Forces and the Stock Market Performance in Developing Countries: Evidence From Sudan

International Journal of Financial Research ◽

10.5430/ijfr.v11n4p130 ◽

2020 ◽

Vol 11 (4) ◽

pp. 130

Author(s):

Nawal Hussein Abbas Elhussein ◽

Elzibeer Fath Elrahman Hamed Warag

Keyword(s):

Stock Market ◽

Trading Volume ◽

Price Index ◽

Cost Of Capital ◽

Stock Exchange ◽

Market Performance ◽

Macroeconomic Factors ◽

Long Run ◽

Stock Market Performance ◽

Short Run

This paper is an attempt to empirically investigate the determinants of the stock market performance in Sudan. It aims at identifying the short and long run relationships between the Khartoum Stock Exchange all- share price index (KSI) as an indicator of market performance and some selected micro and macro-economic factors. The inflation rate, cost of capital, foreign exchange rate, broad money supply, and crude oil price are chosen as proxies for macroeconomic factors. The market oriented indicators used include market capitalization, market trading system, and market trading volume. The study covers the period 2003-2017. The paper employs the Multivariate Time Series Regression Analysis to estimate the short run relationship between the selected independent variables and the KSE price index. Soren Johansen’s Cointegration Test and Vector Error Correction Model (VECM) have been employed to identify the long run equilibrium relationship among the variables. To estimate the causal relationship between the selected variables Toda-Yamamoto (T-Y) Granger Causality Test has been utilized. The study documents that the Khartoum Stock Exchange performance is significantly affected both by micro and macroeconomic factors. In the long run, all the independent variables with the exception of the cost of capital, have a significant positive relationship with KSI. However, in the short run the determinants of the stock market performance are market capitalization, market trading volume, money Supply, and cost of capital.

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FINANCIAL MARKET PERFORMANCE AND FOREIGN PORTFOLIO INFLOWS TO NIGERIA: AUTOREGRESSIVE DISTRIBUTIVE LAG APPROACH

International Journal of Research -GRANTHAALAYAH ◽

10.29121/granthaalayah.v5.i6.2017.2100 ◽

2017 ◽

Vol 5 (6) ◽

pp. 673-688

Author(s):

Adesola W. Adebisi ◽

Oka Felix Arikpo

Keyword(s):

Stock Market ◽

Causal Relationship ◽

Financial Market ◽

Market Performance ◽

Market Liquidity ◽

Portfolio Investment ◽

Foreign Portfolio Investment ◽

Long Run ◽

Stock Market Performance ◽

Short Run

This study examined the relationship between financial market performance and foreign portfolio investment in Nigeria. The study specifically assessed whether there is a long run and short run causal relationship running from financial market performance to foreign portfolio investment in Nigeria. Financial market performance was measured using stock market performance, stock market liquidity and total new issues. The data for the study were source from the CBN statistical bulletin for the period 1984 to 2015. The exploratory design was combined with the ex-post facto research design; the data collection method was desk survey. The study used the Autoregressive Distributive Lag (ARDL) technique for data analysis. Findings from the analyses showed that financial market performance has no long run causal relationship with foreign portfolio investment in Nigeria. Also, stock market performance and stock market liquidity have no short run causal relationship with foreign portfolio investment in Nigeria. Lastly, total new issue has a short run causal relationship with foreign portfolio investment in Nigeria. The study on the basis of these findings recommends that stock market regulators should through conscious enlightenment campaigns encourage more domestic participation in the market to enhance the market performance, deepening and growth as this will strengthen its long run causality with FPI. Lastly, stock market regulators should through conscious risk reduction policies formulation and implementation reduce the riskiness of investing in the stock market to increase transactions and liquidity in the stock market, boost the rate of turnover to investors as this will attract foreign portfolio investors to the Nigerian financial market.

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How have COVID-19 Confirmed Cases and Deaths Affected Stock Markets? Evidence from Nigeria

Contemporary Economics ◽

10.5709/ce.1897-9254.437 ◽

2021 ◽

Vol 15 (1) ◽

pp. 76-99

Author(s):

Nurudeen Abu ◽

Awadh Ahmed Mohammed Gamal ◽

Musa Abdullahi Sakanko ◽

Ana Mateen ◽

David Joseph ◽

...

Keyword(s):

Exchange Rate ◽

Stock Market ◽

Least Squares ◽

Market Performance ◽

Oil Prices ◽

Ordinary Least Squares ◽

Distributed Lag ◽

Long Run ◽

Stock Market Performance ◽

Canonical Cointegrating Regression

This study assesses the effect of COVID-19 proxied by the number of confirmed cases of the infection and deaths on Nigeria’s stock market over the 23rd March to 11th September 2020 period using the autoregressive distributed lag (ARDL), canonical cointegrating regression (CCR), dynamic ordinary least squares (DOLS) and fully modified ordinary least squares (FMOLS) techniques. The bounds test to cointegration result reveals that a long-run relationship exists between COVID-19 and Nigeria’s stock market (along with oil prices and exchange rate). The results of the various estimations demonstrate that COVID-19 (proxied by the number of confirmed cases of infection) has a negative and significant impact on stock market performance, while the number deaths has a positive and significant impact on the market in the long-run. In addition, oil prices and exchange rate have a significant and positive effect on stock market performance in the long-run. Similar results were found for sub-sectors including consumer goods and healthcare sub-sectors of the stock market. The study recommends policies to curb the spread of the virus

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Asymmetric effect of financial development and remittance on economic growth in MINT economies: an application of panel NARDL

Future Business Journal ◽

10.1186/s43093-021-00085-6 ◽

2021 ◽

Vol 7 (1) ◽

Author(s):

Jamiu Adetola Odugbesan ◽

Tomiwa Adebayo Sunday ◽

Gbolahan Olowu

Keyword(s):

Economic Growth ◽

Financial Development ◽

The Novel ◽

Asymmetric Effect ◽

Panel Ardl ◽

Nonlinear Ardl ◽

Long Run ◽

Asymmetric Impact ◽

The Empirical Analysis ◽

Negative Shock

AbstractThe empirical analysis examines the asymmetric effect of financial development and remittance on economic growth in MINT nations (Mexico, Indonesia, Nigeria, and Turkey). The present study utilized panel data covering the period from 1980 to 2019. The research objectives are to address the questions: (a) Is there a long-run association between economic growth and the regressors? (b) Do financial development and remittance trigger MINT nations' economic growth? Moreover, the present study applied both linear panel ARDL and the novel panel nonlinear ARDL to capture the asymmetric impact of development and remittance on economic growth. The outcomes of the linear ARDL disclosed that both financial development and remittance triggers economic growth positively. Furthermore, the outcomes of the NARDL disclosed that both positive and negative shocks in financial development increase economic growth. In addition, a positive and negative shock in remittance increases economic growth in the long-run.

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Long-Run IPO Performance Analysis of German and Spanish Family-Owned Businesses

Family Business Review ◽

10.1111/j.1741-6248.2005.00041.x ◽

2005 ◽

Vol 18 (3) ◽

pp. 179-202 ◽

Cited By ~ 81

Author(s):

Peter Jaskiewicz ◽

Víctor M. González ◽

Susana Menéndez ◽

Dirk Schiereck

Keyword(s):

Stock Market ◽

Initial Public Offerings ◽

Family Involvement ◽

Positive Impact ◽

Market Performance ◽

Abnormal Returns ◽

Negative Influence ◽

Ipo Performance ◽

Long Run ◽

Stock Market Performance

This article examines the long-run stock market performance of German and Spanish initial public offerings (IPOs) between 1990 and 2000. We distinguish between family-and nonfamily-owned business IPOs by using the power subscale of the F-PEC. Buy-and-hold-abnormal returns (BHAR) are calculated in order to determine abnormal returns. Our results show that three years after going public, investors, on average, realized an abnormal return of − 32.8% for German and − 36.7% for Spanish IPOs. In both countries, nonfamily business IPOs perform insignificantly better. Regression analyses show that for the whole sample there is a positive company size effect. In family-owned businesses, strong family involvement has a positive impact on the long-run stock market performance, whereas the age of the firm has a negative influence.

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Dynamic linkages between Non-renewable energy, Renewable energy and Economic growth through nonlinear ARDL approach: Evidence from Malaysia

10.21203/rs.3.rs-941618/v1 ◽

2021 ◽

Author(s):

Rafia Afroz ◽

Md Muhibbullah

Keyword(s):

Economic Growth ◽

Renewable Energy ◽

Asymmetric Effect ◽

Nonlinear Ardl ◽

Long Run ◽

Ardl Approach ◽

Consumption Reduction ◽

Short Run ◽

Auto Regressive ◽

Nardl Model

Abstract The purpose of this paper is to investigate the links between renewable energy (RE), non-renewable energy (NRE), capital, labour and economic growth, using the Non-linear Auto Regressive Distributive Lag (NARDL) model in Malaysia for the period of 1980–2018. The results of NARDL confirm the asymmetric effect of RE and NRE consumption on the economic growth in the long run as well as short run in Malaysia. The findings also show that in the long and short-run, positive shocks of NRE are greater than the positive shocks of RE. It indicates that Malaysia's economic growth is highly dependent on NRE which is not a good indication as NRE consumption increases carbon dioxide (CO2) emission in the country. Moreover, the empirical results of this study demonstrated that RE consumption reduction accelerates economic growth whereas NRE consumption reduction decreases economic growth. It can have claimed that in Malaysia RE is still more expensive than NRE. In conclusion, this study offered a variety of measures to develop RE to reduce the dependency on NRE consumption.

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