Investigating the Dynamic Relationship Among JKSE, S&P 500, Cryptocurrencies and Gold Price After Covid-19 Outbreak

2021 ◽  
Author(s):  
Didik Gunawan ◽  
Mangasi Sinurat ◽  
Lukito Cahyadi ◽  
Rico Nur Ilham
Keyword(s):  
Gold Price ◽  
Dynamic Relationship

On the dynamic relationship between gold investor sentiment index and stock market

2019 ◽  
Vol 16 (3) ◽  
pp. 372-392
Author(s):  
Chaiyuth Padungsaksawasdi
Keyword(s):  
Panel Data ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Return ◽  
Investor Sentiment ◽  
Realized Volatility ◽  
Gold Price ◽  
Content Type ◽  
Industry Level ◽  
Dynamic Relationship

Purpose Considering the unique data of the gold investor sentiment index in Thailand, the purpose of this paper is to investigate the bivariate dynamic relationship between the gold investor sentiment index and stock market return, as well as that between the gold investor sentiment index and stock market volatility, using the panel vector autoregression (PVAR) methodology. The author presents and discusses the findings both for the full sample and at the industry level. The results support prior literature that stocks in different industries do not react similarly to investor sentiment. Design/methodology/approach The PVAR methodology with the GMM estimation is found to be superior to other static panel methodologies due to considering both unobservable time-invariant and time-variant factors, as well as being suitable for relatively short time periods. The panel data approach improves the statistical power of the tests and ensures more reliable results. Findings In general, a negative and unidirectional association from gold investor sentiment to stock returns is observed. However, the gold sentiment-stock realized volatility relationship is negative and bidirectional, and there exists a greater impact of a stock’s realized volatility on gold investor sentiment. Importantly, evidence at the industry level is stronger than that at the aggregate level in both return and volatility cases, confirming the role of gold investor sentiment in the Thai stock market. The capital flow effect and the contagion effect explain the gold sentiment-stock return relationship and the gold sentiment-stock volatility relationship, respectively. Research limitations/implications The gold price sentiment index can be used as a factor for stock return predictability and stock realized volatility predictability in the Thai equity market. Practical implications Practitioners and traders can employ the gold price sentiment index to make a profit in the stock market in Thailand. Originality/value This is the first paper to use panel data to investigate the relationships between the gold investor sentiment and stock returns and between the gold investor sentiment and stocks’ realized volatility, respectively.

Rangda and the Goddess Durga in Bali

2017 ◽  
Vol 12 (1) ◽  
pp. 50-77
Author(s):  
Sarah Weiss
Keyword(s):  
Decision Making ◽  
Binary Opposition ◽  
Dynamic Relationship ◽  
The Witch ◽  
Purity And Impurity ◽  
Good And Evil ◽  
Negative Attributes ◽  
The Way

This article examines Rangda and her role as a chthonic and mythological figure in Bali, particularly the way in which Rangda’s identity has intertwined with that of the Hindu goddess Durga— slayer of buffalo demons and other creatures that cannot be bested by Shiva or other male Hindu gods. Images and stories about Durga in Bali are significantly different from those found in Hindu contexts in India. Although she retains the strong-willed independence and decision-making capabilities prominently associated with Durga in India, in Bali the goddess Durga is primarily associated with violent and negative attributes as well as looks and behaviours that are more usually associated with Kali in India. The reconstruction of Durga in Bali, in particular the integration of Durga with the figure of the witch Rangda, reflects the local importance of the dynamic relationship between good and bad, positive and negative forces in Bali. I suggest that Balinese representations of Rangda and Durga reveal a flux and transformation between good and evil, not simply one side of a balanced binary opposition. Transformation—here defined as the persistent movement between ritual purity and impurity—is a key element in the localization of the goddess Durga in Bali.

Dynamic Relationship between Crude Oil and Stock Prices in India: Before And After the Subprime Financial Crisis 2008

GIS Business ◽  
2019 ◽  
Vol 14 (6) ◽  
pp. 96-104
Author(s):  
P. Sakthivel ◽  
S. Rajaswaminathan ◽  
R. Renuka ◽  
N. R.Vembu
Keyword(s):  
Financial Crisis ◽  
Crude Oil ◽  
Stock Prices ◽  
Oil Prices ◽  
Energy Index ◽  
Data Set ◽  
Dynamic Relationship ◽  
Crude Oil Prices ◽  
Long Run ◽  
Before And After

This paper empirically discovered the inter-linkages between stock and crude oil prices before and after the subprime financial crisis 2008 by using Johansan co-integration and Granger causality techniques to explore both long and short- run relationships.  The whole data set of Nifty index, Nifty energy index, BSE Sensex, BSE energy index and oil prices are divided into two periods; before crisis (from February 15, 2005 to December31, 2007) and after crisis (from January 1, 2008 to December 31, 2018) are collected and analyzed. The results discovered that there is one-way causal relationship from crude oil prices to Nifty index, Nifty energy index, BSE Sensex and BSE energy index but not other way around in both periods. However, a bidirectional causality relationship between BSE Energy index and crude oil prices during post subprime financial crisis 2008. The co-integration results suggested that the absence of long run relationship between crude oil prices and market indices of BSE Sensex, BSE energy index, Nifty index and Nifty energy index before and after subprime financial crisis 2008.

Economic Institutions and Growth Nexus: The Role of Governance and Democratic Institutions—Evidence from Time Varying Parameters’ (TVPs) Models

2016 ◽  
Vol 55 (4I-II) ◽  
pp. 675-688
Author(s):  
Ghulam Murtaza ◽  
Muhammad Zahir Faridi
Keyword(s):  
Structural Changes ◽  
Jel Classification ◽  
Economic Institutions ◽  
Time Varying ◽  
Democratic Institutions ◽  
Main Hypothesis ◽  
Dynamic Relationship ◽  
Rolling Window

The present study has investigated the channels through which the linkage between economic institutions and growth is gauged, by addressing the main hypothesis of the study that whether quality of governance and democratic institutions set a stage for economic institutions to promote the long-term growth process in Pakistan. To test the hypothesis empirically, our study models the dynamic relationship between growth and economic institutions in a time varying framework in order to capture institutional developments and structural changes occurred in the economy of Pakistan over the years. Study articulates that, along with some customary specifics, the quality of government and democracy are the substantial factors that affect institutional quality and ultimately cause to promote growth in Pakistan. JEL Classification: O40; P16; C14; H10 Keywords: Economic Institutions, Growth, Governance and Democracy, Rolling Window Two-stage Least Squares, Pakistan

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