scholarly journals Are ESG Shares a Safe Haven during COVID-19? Evidence from the Arab Region

2021 ◽  
Vol 14 (1) ◽  
pp. 208
Author(s):  
Musaab Mousa ◽  
Adil Saleem ◽  
Judit Sági
Keyword(s):  
Composite Index ◽  
Stock Index ◽  
Arab Region ◽  
Market Index ◽  
Long Run ◽  
Stock Market Performance ◽  
Market Shocks ◽  
Stock Indexes ◽  
The Impact ◽  
The Relationship

The world experienced significant changes in its social and economic lives in 2020–21. Major stock markets experienced an immediate decline. This paper attempts to examine the impact of COVID-19 on stock market performance as well as to identify the differences between the responses of ESG stocks and normal stocks to pandemic conditions in the Arab region. Daily time series for three years between March 2019 and March 2021 were collected for the S&P Pan Arab Composite index and S&P/Hawkamah ESG Pan Arab Index. We used a generalized autoregressive conditional heteroscedasticity (GARCH) model to measure market shocks and a non-linear autoregressive distributed lagged (NARDL) regression model to display the relationship between COVID-19 measurements and the performance of stock indexes. The findings suggest that the volatilities of ESG portfolios and conventional ones were equally affected in the pre-COVID period. However, in the post-COVID period, the magnitude of volatility in the ESG stock index was significantly less compared to that of the conventional stock index. The results also revealed that in the ESG market, shock tended to remain for a shorter period. Furthermore, the ESG index was not affected by the number of confirmed cases and deaths. However, evidence of asymmetric long-run cointegration existed between the S&P index and number of cases and deaths. Increases in the numbers of cases and deaths caused a decline in market index, whereas the reverse trends were observed in the retreat of the pandemic.

scholarly journals The Impact of Palm Oil Price on the Malaysian Stock Market Performance

2014 ◽  
Vol 6 (1) ◽  
pp. 1-9 ◽  
Author(s):  
Sabariah Nordin ◽  
Rusmawati Ismail .
Keyword(s):  
Stock Market ◽  
Palm Oil ◽  
Commodity Prices ◽  
Oil Price ◽  
Stock Market Index ◽  
Market Index ◽  
Long Run ◽  
Stock Market Performance ◽  
Short Run ◽  
The Impact

The performance of a stock market has always become the center of attention for market analysts and investors. Due to its significant role in the economy of a country, the performance of the stock market is always associated with the economic condition of a country. Because of that, this study intends to examine the impact of commodity prices in influencing the behavior of the stock market index specifically by focusing on the palm oil prices. Since Malaysia is one of the major producers of palm oil, the behavior of the palm oil price is expected to have an influence on the Malaysian stock market index. In pursuing the objective, we have adopted the bounds test approach to analyze the existence of cointegration relationship among the underlying variables of the Malaysian stock market index, interest rate, exchange rate and the price of palm oil. Using monthly data for the period of 1997M12 to 2012M9, results of an ARDL test indicates that all the variables employed are significant in influencing the Malaysian stock market index in the long run as well as in the short run.

scholarly journals Moderating Effect of Political Instability on ICT and Economic Growth Nexus in Kenya: ARDL Bound - Co-Integration Approach

2021 ◽  
Vol 04 (10) ◽  
Author(s):  
Matundura Erickson ◽  
Keyword(s):  
Economic Growth ◽  
Political Instability ◽  
Political Stability ◽  
Moderating Effect ◽  
High Interest ◽  
Long Run ◽  
The Government ◽  
The Impact ◽  
Adf Test ◽  
The Relationship

The government has attempted to target specific macroeconomic factors in order to stimulate economic growth in Kenya through monetary and fiscal policies. Despite these efforts, Kenya's GDP growth is hampered by high interest rates and high interest rate volatility. Kenya's ability to address macroeconomic instability hinges on its ability to increase economic growth. Auxiliary evidence shows that perspectives on the relationship between ICT and economic growth are segmented. The goal of this study was to determine the impact of ICT on economic growth in Kenya, as well as the moderating effect of political instability on the relationship. The research was based on Solow's theory of growth. An explanatory research design was used, with data spanning from 1990-2020 obtained from Kenya Bureau of Statistics. In the empirical analysis, the study used the bound test to test for a long-run relationship and the Autoregressive Distributed Lag model (ARDL) to evaluate the relationship between the variables. The data was subjected to an Augmented Dickey Fuller (ADF) test to determine stationarity.The long run ARDL results indicated that the coefficients of; ICT rate were insignificant . However with the introduction of political instability as the moderator ICT was significant and positively affected economic growth. Political instability moderated the relationship between ICT ( and economic growth. As a result, promoting effective governance should help to improve political stability. The findings of this study will help the government figure out how to address the problem of low economic growth. According to the study, the government should invest in the ICT sector to improve its accessibility and affordability. Additionally, the government should work to improve political stability and good governance by gradually establishing institutions that uphold the rule of law and provide security.

scholarly journals Relations and Emotions beyond the Boundaries in the Post Crisis Era – An Analysis of the Impact of Selected Variables on the Indian Stock Market

2018 ◽  
Vol 4 (8) ◽  
pp. 72
Author(s):  
Pooja Yadav ◽  
Nitin Huria
Keyword(s):  
Stock Market ◽  
Global Economy ◽  
Stock Index ◽  
Asia Pacific ◽  
Macroeconomic Variables ◽  
Long Run ◽  
Short Run ◽  
Current Scenario ◽  
Indian Stock Market ◽  
The Impact

From a decade or so Indian continent has become the centre of attraction in the global economies. This changed outlook is due to the fact that India embraces vast availability of resources and opportunities which makes it the most vibrant global economy in the current scenario of worldwide sluggishness. On this path of growth and prosperity India is showing stiff commitments and competitive edges with developed as well as emerging countries. To be more specific, during this voyage in the Asia pacific region recently on one side India has seen stronger bonding with some of its old mates like Japan but on the other part it has faced strain like situation from its stronger competitor contender china on the same time. Hence, in this context the main aim of this paper is to examine the long run and short run equilibrium impacts of Japan and Chinese stock index as well as macroeconomic variables impact on Indian stock market. This paper finds the presence of both long and short run equilibrium impacts from China and Japan to India. In case of Japanese financial market (Nikki 225) has a trivial negative but significant long run impact whereas, the Chinese stock index (SSE composite) is operating at the short run with the same mild negative but significant impact on the Indian stock market. The results of the impact of macroeconomic variables find the existence of long run as well as short run equilibrium from some of the selected variables on Indian stock market.

scholarly journals Macroeconomic Factors and Equity Prices: An Empirical Investigation by Using ARDL Approach

2008 ◽  
Vol 47 (4II) ◽  
pp. 501-513 ◽  
Author(s):  
Arshad Hasan ◽  
Zafar Mueen Nasir
Keyword(s):  
Empirical Studies ◽  
Testing Procedure ◽  
Bounds Testing ◽  
Macroeconomic Factors ◽  
Equity Prices ◽  
Macroeconomic Variables ◽  
Long Run ◽  
Ardl Approach ◽  
The Impact ◽  
The Relationship

The relationship between macroeconomic variables and the equity prices has attracted the curiosity of academicians and practitioners since the publication of seminal paper of Chen, et al. (1986). Many empirical studies those tested the relationship reveal that asset pricing theories do not properly identify macroeconomic factors that influence equity prices [Roll and Ross (1980); Fama (1981); Chen, et al. (1986); Hamao (1986); Faff (1988); Chen (1991); Maysami and Koh (2000) and Paul and Mallik (2001)]. In most of these studies, variable selection and empirical analyses is based on economic rationale, financial theory and investors’ intuition. These studies generally apply Eagle and Granger (1987) procedure or Johanson and Jusilieus (1990, 1991) approach in Vector Auto Regressor (VAR) Framework. In Pakistan, Fazal (2006) and Nishat (2001) explored the relationship between macroeconomic factors and equity prices by using Johanson and Jusilieus (1990, 1991) procedure. The present study tests the relationship between macroeconomic variables such as inflation, industrial production, oil prices, short term interest rate, exchange rates, foreign portfolio investment, money supply and equity prices by using Auto Regressive Distributive Lag (ARDL) bounds testing procedure proposed by Pesaran, Shin, and Smith (1996, 2001). The ARDL approach in an errorcorrection setting has been widely applied to examine the impact of macroeconomic factors on economic growth but it is strongly underutilised in the capital market filament of literature. This methodology has a number of advantages over the other models. First, determining the order of integration of macroeconomic factors and equity market returns is not an important issue here because the Pesaran ARDL approach yields consistent estimates of the long-run coefficients that are asymptotically normal irrespective of whether the underlying regressors are I(0) or I(1) and of the extent of cointegration. Secondly, the ARDL approach allows exploring correct dynamic structure while many econometric procedures do not allow to clearly distinguish between long run and short run relationships.

Revisited the Relationship Between Economic Growth and Transport Infrastructure in India: An Empirical Study

2021 ◽  
pp. 001946622110635
Author(s):  
Prabir Kumar Ghosh ◽  
Soumyananda Dinda
Keyword(s):  
Economic Growth ◽  
Dynamic Models ◽  
Composite Index ◽  
Principal Component ◽  
Transport Infrastructure ◽  
Positive Contribution ◽  
Model Framework ◽  
Vector Error Correction ◽  
Long Run ◽  
The Relationship

This study empirically re-examines the relationship between transport infrastructure and economic growth in India for the period 1990–2017. Multivariate dynamic models are applied to estimate the relationship between economic growth and different modes of transport infrastructure namely road, rail and air transports in the vector error correction model framework. The results reveal that road and air transports have significant positive contribution to economic growth in the long-run while rail transport is insignificant. This study further examines the said issue using unit free index variables and has constructed a composite index of transport infrastructure using principal component analysis to analyse the nexus between aggregate transport infrastructure and economic growth in India in the post globalisation era. The results of the study indicate the bidirectional causality between aggregate transport infrastructure and economic growth. Results of this study suggest incorporating feedback issue in policy formulations. JEL Codes: C22, O18, R4

The Impact of Economic Sentiment, Consumer, Producer and Investor's Confidence Indices on Stock Returns of the Listed Companies in FTSE-20 in Greece

2018 ◽  
pp. 162-209
Author(s):  
Constantine Cantzos ◽  
Petros Kalantonis ◽  
Aristidis Papagrigoriou ◽  
Stefanos Theotokas
Keyword(s):  
Stock Returns ◽  
Risk Premium ◽  
Macroeconomic Variables ◽  
Production Index ◽  
Behavioral Indicators ◽  
Portfolio Returns ◽  
Long Run ◽  
Short Run ◽  
The Impact ◽  
The Relationship

This chapter examines the relationship between stock returns of companies listed in the FTSE-20 on the Athens Exchange and behavioral indicators. The research is based on the behavioral APT model, which examines stock returns' risk factors through the involvement of macroeconomic variables and behavioral indicators. The data is the closing price of 17 shares listed in the FTSE-20 index, a number of macroeconomic variables, and a series of behavioral indicators for the period of January 2001-December 2014. Regressions were conducted with dependent variable stock returns of a portfolio invested equally in these 17 stocks. In addition, the research tests the existence of long-run and short-run equilibrium and causality. The change in the industrial production index along with the risk premium have a positive and significant impact on the portfolio returns. Johansen's test showed that there is a long-run equilibrium between stock returns, macroeconomic variables, and behavioral indicators. The VECM and VAR models showed that there is not long and short-run causality, not even Granger causality. No similar research has been conducted in Greece, thus it fills a literature gap.

scholarly journals Asymmetric Effect in the Relationship between Oil Prices and Activity: An Estimate of the VECM Model for Eight Emerging Countries

2019 ◽  
Vol 9 (2) ◽  
pp. 92
Author(s):  
Mouldi Djelassi ◽  
Mdalla Omrani
Keyword(s):  
Interest Rates ◽  
Oil Prices ◽  
Emerging Countries ◽  
Oil Shocks ◽  
Asymmetric Effect ◽  
Long Run ◽  
The Interest Rate ◽  
Asymmetrical Impact ◽  
The Impact ◽  
The Relationship

In this study, we attempt to study the impact of oil shocks on the economic activity of eight emerging countries with different importing and exporting profiles, targeting and non-targeting inflation and thus verify the hypothesis of non-linearity. To do this, we used the VECM methodology. In addition to oil prices (the linear variation and its volatility, positive and negative movements in prices), we introduced the interest rate and industrial production as a proxy variable of the activity. The result shows that the economies of these countries are generally more sensitive to net increases in oil prices than to their volatility. Thus, the asymmetrical impact is clearly proven in the results especially in the long run. If the rise in oil prices negatively affects production, the decline does not favor its reshuffle. Indeed, if increases in oil prices reduce economic growth, their declines have no expansionary effect. In addition, the distinction between exporting and importing countries is not obvious. Furthermore, the addition of interest rates indicates that the first prefigurations indicate a tightening of interest rates by the central banks of the target and non-target countries selected in our study.

scholarly journals The Relationship Between Government Expenditures on Education and Economic Growth: The Case of Azerbaijan

2020 ◽  
Vol 11 (1) ◽  
pp. 195
Author(s):  
Shahriyar Mukhtarov ◽  
Ilkin Mammadov ◽  
Sugra Humbatova
Keyword(s):  
Economic Growth ◽  
Total Population ◽  
Capital Formation ◽  
Government Expenditures ◽  
Educational Investment ◽  
Concerted Effort ◽  
Policy Makers ◽  
Long Run ◽  
The Impact ◽  
The Relationship

This paper investigates the impact of government’s education expenditures, gross capital formation and total population on economic growth in Azerbaijan during 1995-2018 using the different cointegration methods, namely, ARDLBT, DOLS, and CCR. The results from cointegration methods approve presence of long-run relationship among the variables. The estimation results show that government’s expenditures on education, gross capital formation and total population have a positive and statistically significant impact on economic growth in the long-run. The paper concludes that a concerted effort should be made by policy makers to increase educational investment in order to escelate economic growth.

Reconsidering the role of Tobin’s Q

2015 ◽  
Vol 32 (2) ◽  
pp. 222-234 ◽  
Author(s):  
Mark J. Holmes ◽  
Nabil Maghrebi
Keyword(s):  
Error Correction ◽  
Tobin’S Q ◽  
Tobin's Q ◽  
Content Type ◽  
Investment Expenditure ◽  
Long Run ◽  
The Impact ◽  
The Relationship ◽  
Long Run Equilibrium ◽  
Real Investment

Purpose – The purpose of this study is to investigate nonlinearities in the behavior of investment expenditure. Conventional wisdom suggests that Tobin’s Q criterion is an important explanation of investment behaviour that bridges the financial and real sides of the economy. However, the empirical evidence in support of Q as a means of explaining aggregate business investment is rather weak. We answer a number of questions about the relationship between investment expenditure and Q. In particular, is the relationship governed by non-linearities? If so, what is the nature of the non-linearities present? Design/methodology/approach – The rationale for paying closer attention to non-linearities is based on the presence of information asymmetries and possible dependence of adjustments on non-linearities with respect to factors such as fixed costs, threshold effects and irreversibility, which are entertained in the investment literature. Using the non-linear vector error-correction model procedure advocated by Hansen and Seo, we show that in the context of the US economy, investment has a long-run relationship with Q that is based on threshold error correction. Findings – There are asymmetries present with respect to error correction or the speed of adjustment towards long-run equilibrium. We find that investment expenditure only responds significantly to long-run disequilibrium from Q during a particular regime. Such a regime is characterised by long-run disequilibrium based on high or rising investment expenditure compared with a relatively weak stock market. Originality/value – The authors provide new insights into the relationship between Tobin’s Q and real investment. In contrast to previous work, they find that error correction based on the adjustment of real investment is regime-specific and function of the size of departures from long-run equilibrium. The tests also allow for the identification of periods when error correction has occurred. Not only are these insights significant for future research on financial crises, market volatility and the impact of debt, but for policymaking purposes as well.

scholarly journals TINGKAT INTEGRASI PASAR MODAL INDONESIA DENGAN PASAR MODAL GLOBAL

2018 ◽  
Vol 4 (2) ◽  
Author(s):  
Dedy Saputra
Keyword(s):  
Correlation Coefficient ◽  
Capital Markets ◽  
Capital Market ◽  
Composite Index ◽  
Stock Index ◽  
Analysis Tool ◽  
Global Capital ◽  
Market Index ◽  
Dow Jones Industrial Average ◽  
German Stock

This study aims to determine the level of capital market interation Indonesia (Jakarta Composite Index) with American capital markets (Dow Jones Industrial Average), England (FTSE 100 Index), German (Deutsche Borse AG German Stock Index), Hongkong (Hang Seng) and Japan (Nikkei 225). The result of this study expected to become an information for investment actors in deciding to invest at the stockmarket. These variables include the Indonesian capital market as the dependent variable and the global capital markets as an independent variable. Analysis tool is the correlation coefficient and t test. It is used to determine the significance of the correlation coefficient between independent variables and the dependent variable. Based on the calculation of the correlation coefficient is exemplified that the market index Indonesian capital market and the five major global capital markets has been integrated on various classification levels of relationships or different integration. The level of integration between Indonesian capital market and capital markets of America and Japan are very strong level of integration, the German stock market has stronglevel integration, and England and Hong Kong capital market has low level integration.

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