scholarly journals The Asymmetric Effect of Panic Index on Cryptocurrencies

2021 ◽  
Vol 7 ◽  
Author(s):  
Necmiye Serap Vurur
Keyword(s):  
Financial Markets ◽  
Money Market ◽  
Financial Assets ◽  
Causality Analysis ◽  
Asymmetric Effect ◽  
Causality Test ◽  
Causality Tests ◽  
The Impact ◽  
Asymmetric Causality ◽  
The Relationship

The Covid 19 pandemic is the first major crisis facing cryptocurrencies. Therefore, the reaction of the cryptocurrency markets is important. News about epidemics affects investors' decisions. Panic index (PIndex) is an index created from news about the Covid 19 outbreak. In the study, it is used to measure the impact of decisions on the crypto money market. As cryptocurrencies, Bitcoin (BTC), Etherium (ETH), and Ripple (XRP), which have the highest transaction volume in the crypto money market, are included in the analysis. The relationship between Panic Index and the three major cryptocurrencies with the largest share in the cryptocurrency market was investigated by Ardl and Hatemi-J asymmetric causality test. Traditional causality tests acknowledge that the effects of positive and negative changes are the same. However, there may be asymmetric information and different investor behaviors in financial markets. In the study, Hatemi-J [1] Asymmetric Causality Test was conducted to examine the asymmetric relationship and symmetric relationship between Pindex and cryptocurrencies by separating them into positive and negative shocks. According to the results of the Hatemi-J causality analysis, positive shocks in the panic index are the cause of negative shocks for all cryptocurrencies. In other words, increases in the panic index are caused to fall the value of Bitcoin, Ethereum, and Ripple cryptocurrencies decrease. The results show that cryptocurrencies were not a safe haven for the investor during the Covid 19 period, as they acted similarly to other financial assets.

scholarly journals The Linkage between Sentiments and Stock Market Dynamics New Evidence from Iran

2020 ◽  
Vol 9 (2) ◽  
pp. 29
Author(s):  
Heshmatollah Asgari ◽  
Hamed Najafi
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Screening Method ◽  
Market Price ◽  
Investor Sentiment ◽  
Financial Assets ◽  
Causality Test ◽  
Research Criteria ◽  
The Impact ◽  
The Relationship

In recent years, the issue of financial behaviour and the impact of investors’ sentiments on their decision making have become such a popular issue. The sentiments of financial activists affect the market price of financial assets and particularly stocks, and therefore it is included in the new pricing models of capital assets. In this article, we seek the effect of investors’ sentiments on the dynamics of the Iranian stock market (TSE). To do this, among the companies accepted in the stock market we select 120, considering the research criteria and screening method, we examined TSE specifics throughout 2010-2018 using regression analysis and causality test. Our results show that firstly investors’ sentiments have a direct effect on the stock returns and there is a bilateral relationship between them. Secondly, inflation has the opposite effect and economic growth has a direct and positive effect on the relationship between investor sentiment and stock returns. Finally, government spending has no significant effect on the relationship between investor sentiment and stock returns.

scholarly journals The Impact of Foreign Direct Investment on Trade (Export and Import) in Turkey

2019 ◽  
Vol 5 (1) ◽  
pp. 6
Author(s):  
Mehman Karimov
Keyword(s):  
Foreign Direct Investment ◽  
International Trade ◽  
Granger Causality ◽  
Direct Investment ◽  
Empirical Studies ◽  
Causality Test ◽  
Lag Selection ◽  
Causality Tests ◽  
The Impact ◽  
The Relationship

It is said that after globalization processes foreign direct investment start to influence trade moreover it is very complicated to deduce the relationship between trade and FDI according to theoretical analysis. Therefore, empirical studies showed that until the 1980s international trade generated direct investment but after 1980s FDI started to heavily influencing international trade. Also, results showed that the relationship can differ from one country to another. Thus, this paper is aimed to analyze the impact of Foreign Direct Investment inflow on the macroeconomic variable as a Trade (Export, Import) in Turkey. The paper covers the time period from 1974 to 2017. The time series datasets, those are obtained from World Bank and IMF database are utilized in employed statistical models as ADF Unit Root, VAR lag selection, Johansen co-integration, and the Granger Causality tests, to fulfill empirical part of the paper. Based on results, it was confirmed that there was the presence of the co-integration between analyzed series. Additionally, results of Granger causality test showed that there is unidirectional causality from Export and Import to FDI.

scholarly journals The Long-Run Effects of the Fed’s Monetary Policy on the Dynamics among Major Asset Classes

2016 ◽  
Vol 51 (1) ◽  
pp. 9-19
Author(s):  
Jia Miao
Keyword(s):  
Monetary Policy ◽  
Financial Markets ◽  
Financial Assets ◽  
Monetary Policies ◽  
Real Estate Markets ◽  
Long Run ◽  
Cointegration Tests ◽  
Asset Classes ◽  
The Impact ◽  
The Relationship

Abstract It is well known that government monetary policies significantly impact financial markets. There have been numerous studies examining the relationship between monetary policy and the prices of financial assets, including equities and bonds. Little, however, has been done to explore the impact of major financial assets on changes in monetary policies. This study examines the impacts of the Federal Reserve’s monetary policy on the dynamics of major financial assets in the U. S. For this purpose, cointegration was tested for between equities, bonds and real estate markets in the period 1980 to 2014, whereas the U. S. monetary base M2 was used as an exogenous variable. Our cointegration tests suggest that the exogenous component of the U. S. M2 significantly affected the interaction among major U. S. financial assets. These findings have implications for both policymakers and market practitioners in terms of portfolio allocation rules.

scholarly journals The Impact of Foreign Direct Investment on Trade (Export and Import) in Turkey

2019 ◽  
Vol 5 (1) ◽  
pp. 6
Author(s):  
Mehman Karimov
Keyword(s):  
Foreign Direct Investment ◽  
International Trade ◽  
Granger Causality ◽  
Direct Investment ◽  
Empirical Studies ◽  
Causality Test ◽  
Lag Selection ◽  
Causality Tests ◽  
The Impact ◽  
The Relationship

It is said that after globalization processes foreign direct investment start to influence trade moreover it is very complicated to deduce the relationship between trade and FDI according to theoretical analysis. Therefore, empirical studies showed that until the 1980s international trade generated direct investment but after 1980s FDI started to heavily influencing international trade. Also, results showed that the relationship can differ from one country to another. Thus, this paper is aimed to analyze the impact of Foreign Direct Investment inflow on the macroeconomic variable as a Trade (Export, Import) in Turkey. The paper covers the time period from 1974 to 2017. The time series datasets, those are obtained from World Bank and IMF database are utilized in employed statistical models as ADF Unit Root, VAR lag selection, Johansen co-integration, and the Granger Causality tests, to fulfill empirical part of the paper. Based on results, it was confirmed that there was the presence of the co-integration between analyzed series. Additionally, results of Granger causality test showed that there is unidirectional causality from Export and Import to FDI.

scholarly journals The Relationship between Oil Prices and Exchange Rate: The Case of Romania

2013 ◽  
Author(s):  
AHMET ŞAHBAZ ◽  
Uğur Adıgüzel ◽  
Tayfur Bayat ◽  
Selim Kayhan
Keyword(s):  
Exchange Rate ◽  
Frequency Domain ◽  
Oil Prices ◽  
Test Results ◽  
Causality Analysis ◽  
Causality Test ◽  
Crude Oil Prices ◽  
Long Run ◽  
Causality Tests ◽  
The Relationship

This study investigates to causality between crude oil prices and exchange rates in Romania employing monthly data from the beginning of floating exchange regime for November 2004 to December 2011. The study benefits from the recent advance in the time series econometric analysis and carries out non-linear causality and frequency domain causality tests. According to nonlinear causality test results there is no causality between the variables. Results show that frequency domain causality results slightly differentiate from the nonlinear causality analysis and imply that there is a causality running from real exchange rate to real oil price on the mediun and long run.

scholarly journals Financial Development and Economic Growth: Evindence From Azerbaijan

2021 ◽  
Vol 18 ◽  
pp. 237-252
Author(s):  
Ilkin Mammadov ◽  
Azerbaijan Fariz Ahmadov
Keyword(s):  
Economic Growth ◽  
Financial Markets ◽  
Financial Development ◽  
Financial Crises ◽  
Model Estimation ◽  
Causality Analysis ◽  
Economic Activities ◽  
Monthly Data ◽  
The Impact ◽  
The Relationship

The impact of financial development on economic growth has always been an important issue. Especially when financial crises occur, the relationship between financial markets and financial crises and economic activities is on the agenda. The main purpose of this study is to determine the relationship between financial development and economic growth in the Azerbaijani economy. For this purpose, VECM model estimation and Granger causality analysis was performed by taking monthly data between 2005-2019. As a result of the analysis, it was revealed that there is a two-way relationship between financial development and economic growth in Azerbaijan

scholarly journals The Symmetric and Asymmetric Time-Varying Causality Relationships Between the COVID-19 Outbreak and the Stock Exchange: The Case of Selected Countries

Ekonomika ◽  
2021 ◽  
Vol 100 (2) ◽  
pp. 144-170
Author(s):  
Cuma Demirtaş ◽  
Munise Ilıkkan Özgür ◽  
Esra Soyu
Keyword(s):  
Mortality Rate ◽  
Stock Market ◽  
Stock Markets ◽  
Time Varying ◽  
Causality Test ◽  
Causality Tests ◽  
Bed Capacity ◽  
Case Rate ◽  
Asymmetric Causality ◽  
Second Wave

In this study, the effects of COVID-19 (mortality rate, case rate, and bed capacity) on the stock market was examined within the framework of the efficient market hypothesis. Unlike other studies in the literature, we used the variable of bed capacity besides the mortality rate and case rate variables. The relationship between the mentioned variables, using daily data between December 31 of 2019 and November 10 of 2020, has been analyzed with time-varying symmetric and asymmetric causality tests for China, Germany, the USA, and India. Considering that the responses to positive and negative shocks during the pandemic process may be different and that the results may change depending on time, time-varying symmetric and asymmetric causality tests were used. According to the time-varying symmetric causality test, stock markets in all countries were affected in the period when the cases first appeared. A causal relationship between COVID-19 and country stock markets was found. The results showed that the effects of the case rate and bed capacity on the stock market occurred around the same time in Germany and the United States; however, these dates differed in China and India. According to time-varying asymmetric causality test findings, the asymmetric effect of the pandemic on the stock market in countries emerged during the second wave. The findings showed that the period during which positive and negative information about the pandemic intensified coincided with the period during which the second wave occurred; besides, the results show the effect of this information on the stock market differed as positive and negative shocks.

scholarly journals FDI and Economic Growth in EU13 Countries: Cointegration and Causality Tests

2020 ◽  
Vol 12 (3) ◽  
pp. 47-63
Author(s):  
Vlatka Bilas ◽  
Keyword(s):  
Economic Growth ◽  
Growth Rate ◽  
European Union ◽  
Annual Data ◽  
Foreign Direct Investments ◽  
Causality Test ◽  
Panel Ardl ◽  
Long Run ◽  
Causality Tests ◽  
The Relationship

Foreign direct investments are seen as a prerequisite for gaining and maintaining competitiveness. The research objective of this study is to examine the relationship between foreign direct investment (FDI) and economic growth in “new” European Union member countries using various unit root, cointegration, as well as causality tests. The paper employs annual data for FDI and gross domestic product (GDP) from 2002 to 2018 for the 13 most recent members of European Union (EU13): Bulgaria, Croatia, Cyprus, the Czech Republic, Estonia, Hungary, Latvia, Lithuania, Malta, Poland, Romania, Slovakia and Slovenia. An estimated panel ARDL (PMG) model found evidence that there is a long-run equilibrium between the LogGDP, LogFDI and LogFDIP series, with the rate of adjustment back to equilibrium between 3.27% and 20.67%. In the case of the LogFDI series, long-run coefficients are highly statistically significant in all four models, varying between 0.0828 and 0.3019. These coefficients indicate that a 1% increase in LogFDI increases LogGDP between 0.0828% and 0.3019%. Results of a Dumitrescu-Hurlin panel causality test indicated that a relationship between the GDP growth rate and FDI growth rate is only indirect. Finally, only weak evidence was shown that FDI had a statistically significant impact on GDP in the EU13 countries over the period 2002-2018. This report of findings contributes to the literature concerning FDI and economic growth, namely regarding the current understanding of the relationship between these two factors.

scholarly journals Modeling the Impact of Inflation Uncertainty on Food Sector Growth

2020 ◽  
Author(s):  
Mohammad Reza Eslami ◽  
Ali Akbar Baghestany
Keyword(s):  
Economic Growth ◽  
Policy Decision ◽  
Macroeconomic Policies ◽  
Inflation Uncertainty ◽  
Causality Test ◽  
Agricultural Growth ◽  
Growth Variability ◽  
Augmented Dickey Fuller ◽  
The Impact ◽  
The Relationship

Background: One of the most fundamental objectives of the macroeconomic policies is to realize the relationship between economic growth and inflation. According to some monetary policy advisors, inflation reflects erosion in consumer’s purchasing power. Inflation as an important economic variable, affect the economic growth and its impact on economic growth has been proposed in various theories. Agriculture plays an important role in providing the food security in Iran. Methods: A Bivariate GARCH model was employed to investigate the relationship between inflation uncertainty and agricultural growth. Results: The Augmented Dickey Fuller and Phillips Perron tests indicated all variables were stationary. Estimated models were utilized to generate the conditional variances of inflation and agriculture growth as proxies of inflation and growth variability. During the entire period 1990-2012, Bivariate Granger Causality test indicated that inflation uncertainty was the cause of growth in agriculture. This finding was in line with the hypothesis presented by (Logue and Sweeney, 1981). Conclusion: Due to the causality relation of inflation uncertainty and growth in agriculture, macro policy decision-makers are recommended to consider the price policies for improving agricultural production.

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