scholarly journals Dynamic Linkages among Saudi Market Sectors Indices

Economies ◽  
2022 ◽  
Vol 10 (1) ◽  
pp. 16
Author(s):  
Farouq Altahtamouni ◽  
Hajar Masfer ◽  
Shikhah Alyousef
Keyword(s):  
Stock Market ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Study Data ◽  
Stock Market Index ◽  
Causality Test ◽  
Market Index ◽  
Main Index ◽  
Level I ◽  
Regression Tests

This study aims to test the causal relationship between Saudi stock market index (TASI) and sectoral indices throughout the period from 2016–2020. The study data were extracted through the main index of the Saudi market and the indices of the available data of 19 sectors out of 21 sectors. The unit root test was used along with the Granger causality test, in addition to multiple regression tests in order to analyze the study hypotheses. The study shows that all index series were stationary at the zero level I (0), and the results also show that there were bidirectional and unidirectional causal relationships between TASI and sectoral indices, and that TASI effectively mirrors all the changes that occur in the Saudi stock market.

scholarly journals GLOBALISASI PASAR MODAL DUNIA DAN PENGARUHNYA TERHADAP PASAR MODAL INDONESIA

2017 ◽  
Vol 1 (1) ◽  
pp. 10
Author(s):  
R Adisetiawan
Keyword(s):  
Stock Market ◽  
Capital Markets ◽  
Capital Market ◽  
Stock Exchange ◽  
Global Market ◽  
Stock Market Index ◽  
Causality Test ◽  
Global Capital ◽  
Market Index ◽  
Cointegration Tests

This study aims to prove causality, cointegration and the influence of global capital markets with a market capital of Indonesia for the period 2001-2016 with a Granger causality test statistics, cointegration tests and Multiple Regression testing. These results prove that the 99% confidence interval occurred a long term relationship (cointegration) and the significant influence of global market indices with the Indonesia capital market index (CSPI) in Indonesia Stock Exchange (IDX) for the period 2001 to 2016, it indicates that Indonesia's economy has been integrated with global capital markets with varying levels of integration, but is causally there is only one country that has a causal relationship with the Indonesian stock market index (CSPI), the Taiwan stock market index (TWSE).Keywords: Capital Market Integration

scholarly journals Do confidence indicators have an impact on macro-financial indicators? An analysis of the financial service and real sector confidence indexes: evidence from Turkey

2020 ◽  
Vol 9 (1) ◽  
pp. 74-94
Author(s):  
Esra N Kilci
Keyword(s):  
Stock Market ◽  
Unit Root ◽  
Financial Services ◽  
Structural Breaks ◽  
Unit Root Test ◽  
Real Sector ◽  
Financial Indicators ◽  
Stock Market Index ◽  
Market Index ◽  
The Impact

The primary aim of this study is to analyze the impact of financial services and real sector confidence indexes on some macroeconomic and financial indicators such as industrial production, inflation, stock market index, foreign exchange rates and interest rates in Turkey for the period from May 2012 to May 2019. In this study, the unit root properties of these series are tested by using the Narayan and Popp (2010) unit root test with two structural breaks and the Enders and Lee (2012) Fourier ADF unit root test with multiple structural breaks. We investigate the causal link between confidence indicators and macro-financial variables using the Fourier Toda Yamamoto causality test proposed by Nazlioglu et al. (2016). The results suggest a strong link between financial services and real sector confidence indexes on macro-financial indicators such as stock market index and inflation, supporting the evidence of the short-run impact of confidence indexes on these variables.

scholarly journals Effect of Macroeconomic Determinants on Indian Stock Market

2019 ◽  
Vol 8 (2) ◽  
pp. 22-27
Author(s):  
Krishna Gadasandula
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Causality Analysis ◽  
Stock Market Index ◽  
Causality Test ◽  
Macroeconomic Variables ◽  
Bank Rate ◽  
Market Index ◽  
Long Run ◽  
Indian Stock Market

Stock market is one of the important forms of investment. The prices of stock markets are affected by much macro-economic factors. The study investigates the relationships between the Indian stock market index (NSE Nifty) and four macroeconomic variables, namely, GDP, Inflation, Exchange Rate and Bank Rate. The data is collected on a quarterly basis for the time period March 2000 to December 2017. The study employs the Johansen’s co-integration approach to the long-run equilibrium relationship between stock market index and macroeconomic variables. For causality analysis, the study carried out Granger and Geweke causality tests. From this paper it is observed that the Granger causality test results do not demonstrate the presence of any bidirectional causality. The results show the unidirectional causal associations running from GDP to Inflation, Bank Rate to GDP, Exchange Rate to GDP, NIFTY Index to GDP, Exchange Rate to Inflation, NIFTY Index to Inflation, and Bank Rate to NIFTY Index. Apart from that, the results also show no causal association between Inflation and Bank Rate, Bank Rate and Exchange Rate, and Exchange Rate and NIFTY Index. However, the bidirectional causal associations appear. When we look into the results of Geweke causality analysis shows that bidirectional causal associations exist between Inflation and Bank Rate, and Exchange Rate and Nifty Index.

scholarly journals Granger Causality Approach to Examining Stock Market Integration in West Africa

2019 ◽  
pp. 838-845
Author(s):  
Eseosa David Obadiaru ◽  
Adebayo John Oloyede ◽  
Alex Ehimare Omankhanlen ◽  
Olusegun Barnabas Obasaju
Keyword(s):  
Stock Market ◽  
West Africa ◽  
Granger Causality ◽  
Market Integration ◽  
The United States ◽  
Stock Market Index ◽  
Causality Test ◽  
Stock Market Integration ◽  
The United Kingdom ◽  
Market Index

Stock markets have been found to be increasingly interdependent overtime due to activities related to internationalization, diversification, integration, and globalization. This study assesses the lead/lag interactions between equity markets in the West Africa viz a viz the United States (US) and the United Kingdom (UK) markets. Stock market index data were analyzed from 2008 - 2016 using the Granger causality test. Findings from the study indicates both uni-directional and bi-directional causality between most of the market pairs implying that none of the market exists in autarky.

scholarly journals Granger Causality Approach to Examining Stock Market Integration in West Africa.

2018 ◽  
pp. 563-570
Author(s):  
Eseosa David Obadiaru ◽  
Adebayo John Oloyede ◽  
Alex Ehimare Omankhanlen ◽  
Olusegun Barnabas Obasaju
Keyword(s):  
Stock Market ◽  
West Africa ◽  
Granger Causality ◽  
Market Integration ◽  
The United States ◽  
Stock Market Index ◽  
Causality Test ◽  
Stock Market Integration ◽  
The United Kingdom ◽  
Market Index

Stock markets have been found to be increasingly interdependent overtime due to activities related to internationalization, diversification, integration, and globalization. This study assesses the lead/lag interactions between equity markets in the West Africa viz a viz the United States (US) and the United Kingdom (UK) markets. Stock market index data were analyzed from 2008 - 2016 using the Granger causality test. Findings from the study indicates both uni-directional and bi-directional causality between most of the market pairs implying that none of the market exists in autarky.

DO INTERNATIONAL GOLD PRICES AND NSE NIFTY 50 MOVE TOGETHER?

2021 ◽  
Vol 10 (1) ◽  
pp. 497-506
Author(s):  
A. Sidhu ◽  
R. Katoch
Keyword(s):  
Stock Market ◽  
Global Financial Crisis ◽  
Stock Market Index ◽  
Causality Test ◽  
Significant Information ◽  
Market Index ◽  
Test Study ◽  
Daily Data ◽  
Short Run ◽  
The Times

With gold’s persistence performance over erratic periods since the catastrophic event of global financial crisis in 2008, attention is focussed on gold to substitute stock market investments in the times of crisis. Exploring such causal nexus between NSE NIFTY 50 index and Gold prices in Indiapost 2008 crisis is the main focus of the present research. The daily data of International Bloom berg Gold prices and NSE NIFTY 50 Index series has been used over the time period of November 13, 2008 to January 24, 2020. By applying unit root and Toda-Yamamoto granger causality test, study primarily shows stationarity of the variables at different order. The study evidenced the significant bidirectional short-run causal relationship in between NSE NIFTY 50 prices and International Gold prices. Hence, International Gold prices hold significant information which can be used to predict NSE NIFTY 50 returns and vice-versa. The results of present study can be used by Indian stock market policymakers to implement new structural restructuring to augment efficiency of Indian equity sector. Present study is limited in scope to account for gold’s nexus with only stock market index which in future can be furthered by establishing association with other commodity markets, mutual funds, exchange rate, derivative, etc.

scholarly journals STOCK MARKET REACTIONS ON EXCHANGE RATE VOLATILITY: AN INDIAN EXPERIENCE

2020 ◽  
Vol 8 (9) ◽  
Author(s):  
Lyn Rose ◽  
Nithin Jose
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Exchange Rates ◽  
Granger Causality ◽  
Negative Relationship ◽  
Impulse Response Function ◽  
Unit Root Test ◽  
Exchange Rate Volatility ◽  
Granger Causality Test ◽  
Causality Test

This paper looks at the relationship between Nifty returns and US Dollar - Indian Rupee Exchange Rates. The study looks into the causal relationship between Nifty returns and exchange rate using Granger Causality test. It took daily data covering the period from January, 2009 to June, 2019. In this study, it was found that both variables were non–normally distributed. With the help of Unit Root Test, it was also verified that Nifty returns as well as Exchange rate, were stationary at the first difference form. Using Granger Causality test it is proved there was a bidirectional relationship between Nifty returns and Exchange rates. From the further investigation it is evident there is a causality running from exchange rate return to stock market return. Finally, employing impulse response function it found that there is a negative relationship among the variables.

Investigating the Effect of Broad Money Supply on Stock Market Index and Market Capitalization: Evidence from Liberalized India

2021 ◽  
pp. 227868212110476
Author(s):  
Animesh Bhattacharjee ◽  
Joy Das
Keyword(s):  
Stock Market ◽  
Error Correction ◽  
Money Supply ◽  
Unit Root ◽  
Unit Root Test ◽  
Stock Market Index ◽  
Market Capitalization ◽  
Market Index ◽  
Indian Stock Market ◽  
Stock Market Capitalization

The present study investigates the effect of changes in money supply on both Indian stock market sensitive index and stock market overall capitalization by employing unit root test with break point, Johansen’s cointegration test, vector error correction (VEC) model, VEC Granger causality test, variance decomposition, and impulse response function. The result of the unit root test reveals that all the variables are nonstationary in levels but become stationary at the first-order difference. The unit root test further reveals that there are structural breaks in the mid-1990s or 2000s. The Johansen’s cointegration test reveals that the Indian stock market index and stock market capitalization are individually cointegrated with money supply. Further, the long-run co-movement between the Indian stock market and money supply and stock market capitalization and money supply is found to be positive. The results of the VEC model shows that the error correction term in the lnSENSEX–lnMS model is negative and statistically significant, while the error correction term in the lnMARCAP–lnMS model is found to be insignificant. The VEC Granger causality test shows that there is no short-run causal relationship between the variables. The variance decomposition indicates that both Indian stock market index and stock market capitalization are strongly exogenous. The impulse response function suggests that money supply has an immediate positive effect on both Indian stock market index and stock market capitalization. The investors and fund managers should take investment decisions keeping in view the positive co-movement of Indian stock market performance and broad money supply. The study recommends that the government should avoid aggressive tightening of money supply.

On the sensibility of the Pairs Trading strategy: the case of the FTS stock market index

2020 ◽  
Vol 38 (3) ◽  
Author(s):  
Ainhoa Fernández-Pérez ◽  
María de las Nieves López-García ◽  
José Pedro Ramos Requena
Keyword(s):  
Standard Deviation ◽  
Stock Market ◽  
Trading Strategy ◽  
Stock Market Index ◽  
Pairs Trading ◽  
Empirical Application ◽  
Statistical Arbitrage ◽  
Market Index ◽  
Standard Deviations ◽  
Using Data

In this paper we present a non-conventional statistical arbitrage technique based in varying the number of standard deviations used to carry the trading strategy. We will show how values of 1 and 1,2 in the standard deviation provide better results that the classic strategy of Gatev et al (2006). An empirical application is performance using data of the FST100 index during the period 2010 to June 2019.

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