scholarly journals Conditional Time-Varying General Dynamic Factor Models and Its Application to the Measurement of Volatility Spillovers across Russian Assets

Mathematics ◽  
2021 ◽  
Vol 9 (19) ◽  
pp. 2484
Author(s):  
Vladimir Balash ◽  
Alexey Faizliev ◽  
Sergei Sidorov ◽  
Elena Chistopolskaya
Keyword(s):  
Stock Market ◽  
Spillover Effects ◽  
Political Crisis ◽  
Dynamic Factor ◽  
Short Term ◽  
Volatility Spillovers ◽  
Conditional Time ◽  
Russian Stock Market ◽  
The Impact

This study analyzes the spillover effects of volatility in the Russian stock market. The paper applies the Diebold–Yilmaz connectedness methodology to characterize volatility spillovers between Russian assets. The spectral representation of the forecast variance decomposition proposed by Baruník and Křehlik is used to describe the connectivity in short-term (up to 5 days), medium-term (6–20 days) and long-term (more than 20 days) time frequencies. Additionally, two new augmented models are developed and applied to evaluate conditional spillover effects in different sectors of the Russian economy for the period from January 2012 to June 2021. It is shown that spillover effects increase significantly during political and economic crises and decrease during periods of relative stability. The rising of the overall level of spillovers in the Russian stock market coincides in time with the political crisis of 2014, the intensification of anti-Russian sanctions in 2018 and the fall in oil prices and the start of the pandemic in 2020. With the consideration of the augmented models it can be argued that a significant part of the long-term spillover effects on the Russian stock market may be caused by the influence of external economic and political factors. However, volatility spillovers generated by internal Russian idiosyncratic shocks are short-term. Thus, the proposed approach provides new information on the impact of external factors on volatility spillovers in the Russian stock market.

The Effect of Capital Structure, Size and Revenue Growth on the Effectiveness of Garment Businesses Listed on Vietnam’s Stock Market

2019 ◽  
Vol 35 (4) ◽  
Author(s):  
Do Huy Thuong ◽  
Tran Luu Ngoc ◽  
Nguyen Thi Phuong Hong
Keyword(s):  
Stock Market ◽  
Capital Structure ◽  
Firm Size ◽  
Business Performance ◽  
Negative Impact ◽  
Short Term ◽  
Return On Equity ◽  
Revenue Growth ◽  
The Impact

Considering the impact of the capital structure on the effectiveness of businesses is extremely important. Therefore, this study is conducted in order to find the influences of capital structure, firm size and revenue growth on the performance of the garment businesses listed on Vietnam stock market in the period of 2013-2018 with the representation of return on equity (ROE). The research with the use of panel data has shown that the ratio of short-term debt on total assets, the firm size and the revenue growth all have positive impacts on business performance. Meanwhile, the ratio of long-term debt on total assets has a negative impact on the performance of garment businesses at the statistically significant level of 5%.

scholarly journals Impact Of Union Budget On Indian Stock Market

2015 ◽  
Vol 2 (11) ◽  
pp. 21 ◽  
Author(s):  
Divya Verma Gakhar ◽  
Neha Kushwaha ◽  
Vinita Ashok
Keyword(s):  
Stock Market ◽  
T Test ◽  
Medium Term ◽  
Short Term ◽  
Statistical Tools ◽  
F Test ◽  
Indian Stock Market ◽  
The Impact ◽  
Paired T Test

This paper analyzes the impact of Union budget on NSE’s CNX NIFTY Index. The impact is measured in terms of daily average returns and volatility over the short term, medium term and long term period in pre and post budget period. The data has been collected for five budget periods from 2011 to 2015. The statistical tools used are paired T-test and F-test. Paired T-test is conducted on average returns and F-test is conducted on variances over the period i.e., 3, 10 and 30 days in pre and post budget period. The maximum impact of budget is seen in short term then it gradually decreases in medium term and finally diminishes in the long term. The implication of this paper is that the investor should fear from investing in the stock market around the budget period.

scholarly journals The Impact of Exchange Rates and Interest Rates on Bank Stock Returns: Evidence from U.S. Banks

2016 ◽  
Vol 11 (1) ◽  
pp. 124-139 ◽  
Author(s):  
Verma Priti
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Stock Returns ◽  
Short Term ◽  
Volatility Spillovers ◽  
Hedging Strategies ◽  
Bank Stock ◽  
The Impact ◽  
Bank Portfolios

AbstractThis paper examines the mean, volatility spillovers and response asymmetries between short-term and long-term interest rates, exchange rates and portfolios of money center, large and medium-sized banks in the U.S. I use the multivariate version of Nelson’s (1991) Exponential Generalized Autoregressive Conditionally Heteroscedastic (EGARCH) model. Results indicate mean and volatility spillovers from short-term interest rates and exchange rates and long-term interest rates and exchange rates to three bank portfolios. Results also show response asymmetries from short-term interest rates and exchange rates and long-term interest rates and exchange rates to all the three bank portfolios. These findings have important implications for bankers in terms of devising different hedging strategies against interest rates and exchange rate risks.

scholarly journals Volatility Spillovers between Crude Oil and Agricultural Commodity Markets since the Financial Crisis

2019 ◽  
Vol 11 (2) ◽  
pp. 396 ◽  
Author(s):  
Yaxian Lu ◽  
Longguang Yang ◽  
Lihong Liu
Keyword(s):  
Financial Crisis ◽  
Crude Oil ◽  
Autoregressive Model ◽  
Spillover Effects ◽  
Commodity Markets ◽  
Agricultural Commodity ◽  
Short Term ◽  
Crisis Period ◽  
Volatility Spillovers

This study examines the nature and dynamics of volatility spillovers between crude oil and agricultural commodity markets since the 2008–09 financial crisis. We tested for volatility spillovers with a flexible bivariate heterogeneous autoregressive model to identify the short-, mid-, and long-term spillover effects. We observed bidirectional spillovers of short-term volatilities between crude oil and agricultural commodity markets in the crisis period, compared to mid-term and long-term volatilities of corn being transmitted to the crude oil volatility in the post-crisis period. These findings suggest that crude oil and agricultural commodity markets have become less integrated after the 2008–09 crisis.

The Spillover Effects from Foreign Direct Investment (FDI) on Labor Productivity: Evidence from Indonesian Manufacturing Sector

2019 ◽  
Vol 10 (1) ◽  
pp. 19-30
Author(s):  
Riesta Karentina
Keyword(s):  
Foreign Direct Investment ◽  
Labor Productivity ◽  
Direct Investment ◽  
Spillover Effects ◽  
Long Term Effects ◽  
Short Term ◽  
Domestic Firms ◽  
Fdi Spillovers ◽  
The Impact

Despite growing concern regarding the productivity benefits of foreign direct investment (FDI), few studies have been conducted on the impact of FDI spillovers on domestic firms’ labor productivity in Indonesia. This study aims to do three things. First, it examines the effect of FDI spillovers on domestic firms’ productivity. Second, it investigates the short-term and long-term effects of FDI spillovers on domestic firms’ productivity. Third, it explores the impact of FDI spillovers on domestic firms’ productivity in different groups of industries based on their factor intensity. Micro-level panel data covering about 20,000 medium and large manufacturing establishments in each year over the period 2010 and 2014 was employed. This study suggests that, within the same industry, horizontal spillovers are associated with domestic firms’ productivity: this relationship is negative in the short-term but positive in the long-term. This study’s findings also demonstrate that, across industries, there are negative backward spillover effects on domestic firms’ productivity. In addition, this study points out that FDI spillovers affect domestic firms’ productivity effectively when they are capital-intensive. Therefore, the results imply the importance of maintaining a long-term perspective toward foreign-invested firms in Indonesia and the government needs to stimulate policies that can enhance domestic firms’ capacity to supply intermediate materials and capital to foreign firm in downstream market by truncating the technology gap between foreign and domestic firms.

SUMBER-SUMBER RESILIENSI PADA REMAJA AKHIR YANG MENGALAMI KEKERASAN DARI ORANGTUA PADA MASA KANAK-KANAK

Psibernetika ◽  
2018 ◽  
Vol 11 (1) ◽  
Author(s):  
Devina Calista ◽  
Garvin Garvin
Keyword(s):  
Late Adolescents ◽  
Long Term Effects ◽  
Short Term ◽  
Parental Affection ◽  
Resilience Factors ◽  
Childhood Violence ◽  
Past Experiences ◽  
The Impact ◽  
Depth Interviews

<p><em>Child abuse by parents is common in households. The impact of violence on children will bring short-term effects and long-term effects that can be attributed to their various emotional, behavioral and social problems in the future; especially in late adolescence that will enter adulthood. Resilience factors increase the likelihood that adolescents who are victims of childhood violence recover from their past experiences</em><em>,</em><em> become more powerful individuals and have a better life. The purpose of this study was to determine the source of resilience in late adolescents who experienced violence from parents in their childhood. This research uses qualitative research methods with in-depth interviews as a method of data collection. The result shows that the three research participants have the aspects of "I Have", "I Am", and "I Can"; a participant has "I Can" aspects as a source of resilience, and one other subject has no source of resilience. The study concluded that parental affection and acceptance of the past experience have role to the three sources of resilience (I Have, I Am, and I Can)</em></p><p><em> </em></p><p><strong><em>Keyword : </em></strong><em>Resilience, adolescence, violence, parents</em></p>

Impact of FII’s and FDI’s on Indian Stock Market

2016 ◽  
Vol 1 (1) ◽  
Author(s):  
Dr. Kamlesh Kumar Shukla
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Global Economy ◽  
Short Term ◽  
Earnings Growth ◽  
The Past ◽  
Bull Market ◽  
Indian Stock Market

FIIs are companies registered outside India. In the past four years there has been more than $41 trillion worth of FII funds invested in India. This has been one of the major reasons on the bull market witnessing unprecedented growth with the BSE Sensex rising 221% in absolute terms in this span. The present downfall of the market too is influenced as these FIIs are taking out some of their invested money. Though there is a lot of value in this market and fundamentally there is a lot of upside in it. For long-term value investors, there’s little because for worry but short term traders are adversely getting affected by the role of FIIs are playing at the present. Investors should not panic and should remain invested in sectors where underlying earnings growth has little to do with financial markets or global economy.

Forecasting Revenue Impacts from COVID-19: The Case of Florida Municipalities

2021 ◽  
pp. 0160323X2110120
Author(s):  
Hai (David) Guo ◽  
Can Chen
Keyword(s):  
Local Government ◽  
Short Term ◽  
Fiscal Planning ◽  
Revenue Structure ◽  
Municipal Managers ◽  
The Impact

Early in the pandemic, Florida municipal managers indicated that forecasting the impact on local revenues was one of their top priorities in responding to the pandemic, yet such a tool has not been widely available. This study offers simple and straightforward fiscal planning guides for assessing the short-term and long-term impacts of the COVID 19 recession on local government revenues by estimating the revenue declines among 411 Florida municipalities from FY 2021 to FY 2023. The forecast results predict revenues will be reduced by $5.11 billion from 2019 pre-pandemic levels for Florida cities in fiscal years 2021 through 2023. The decline is forecast to be 3.54 percent in FY 2021, 4.02 percent in FY 2022, and 3.29 percent in FY 2023. The revenue structure matters for estimating the revenue decline.

scholarly journals Light a lamp and look at the stock market

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Radeef Chundakkadan
Keyword(s):  
Stock Market ◽  
Financial Distress ◽  
Investor Sentiment ◽  
Downside Risk ◽  
Bond Yields ◽  
Risky Assets ◽  
Market Participants ◽  
Market Return ◽  
The Impact

AbstractIn this study, we investigate the impact of the light-a-lamp event that occurred in India during the COVID-19 lockdown. This event happened across the country, and millions of people participated in it. We link this event to the stock market through investor sentiment and misattribution bias. We find a 9% hike in the market return on the post-event day. The effect is heterogeneous in terms of beta, downside risk, volatility, and financial distress. We also find an increase (decrease) in long-term bond yields (price), which together suggests that market participants demanded risky assets in the post-event day.

scholarly journals Paleolithic Diet—Effect on the Health Status and Performance of Athletes?

Nutrients ◽  
2021 ◽  
Vol 13 (3) ◽  
pp. 1019
Author(s):  
Barbara Frączek ◽  
Aleksandra Pięta ◽  
Adrian Burda ◽  
Paulina Mazur-Kurach ◽  
Florentyna Tyrała
Keyword(s):  
Blood Pressure ◽  
Body Mass ◽  
Positive Impact ◽  
Model Assessment ◽  
Paleolithic Diet ◽  
Short Term ◽  
Positive Effects ◽  
Short And Long Term ◽  
The Impact

The aim of this meta-analysis was to review the impact of a Paleolithic diet (PD) on selected health indicators (body composition, lipid profile, blood pressure, and carbohydrate metabolism) in the short and long term of nutrition intervention in healthy and unhealthy adults. A systematic review of randomized controlled trials of 21 full-text original human studies was conducted. Both the PD and a variety of healthy diets (control diets (CDs)) caused reduction in anthropometric parameters, both in the short and long term. For many indicators, such as weight (body mass (BM)), body mass index (BMI), and waist circumference (WC), impact was stronger and especially found in the short term. All diets caused a decrease in total cholesterol (TC), low-density lipoprotein cholesterol (LDL-C), and triglycerides (TG), albeit the impact of PD was stronger. Among long-term studies, only PD cased a decline in TC and LDL-C. Impact on blood pressure was observed mainly in the short term. PD caused a decrease in fasting plasma (fP) glucose, fP insulin, and homeostasis model assessment of insulin resistance (HOMA-IR) and glycated hemoglobin (HbA1c) in the short run, contrary to CD. In the long term, only PD caused a decrease in fP glucose and fP insulin. Lower positive impact of PD on performance was observed in the group without exercise. Positive effects of the PD on health and the lack of experiments among professional athletes require longer-term interventions to determine the effect of the Paleo diet on athletic performance.

Sign in / Sign up

Export Citation Format

Share Document