scholarly journals ASYMMETRY IN THE STOCK PRICE RESPONSE TO MACROECONOMIC SHOCKS: EVIDENCE FROM THE KOREAN MARKET

2018 ◽  
Vol 19 (2) ◽  
pp. 343-359 ◽  
Author(s):  
Geul Lee ◽  
Doojin Ryu
Keyword(s):  
Nonlinear Model ◽  
Stock Price ◽  
Macroeconomic Shocks ◽  
Macroeconomic Variables ◽  
Price Response ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Korean Market ◽  
Nonlinear Autoregressive

This study investigates stock price movements in response to macroeconomic shocks, allowing for asymmetry in this relationship. Given Ferson’s (1989) finding that large and small stocks can exhibit different risk behaviors, we examine the behaviors of the KOSPI and KOSDAQ stock markets in response to changes in the price level, real interest rate, and real USD/KRW exchange rate using simple and nonlinear autoregressive-distributed lag (ARDL) models. We find that the long-run effects of macroeconomic shocks are relatively insignificant under the simple ARDL model, whereas a significant and negative long-run effect is found for almost every explanatory variable–market pair under the nonlinear model. In addition, we find that the long-run effects of stock price shocks on macroeconomic variables are more significant under the nonlinear model. Overall, the results imply that it is difficult to identify the relationship between macroeconomic variables and stock price dynamics without considering asymmetry.

SHORT-RUN AND LONG-RUN IMPACT OF INFLATION, UNEMPLOYMENT, AND ECONOMIC GROWTH TOWARDS POVERTY IN INDONESIA: ARDL APPROACH

2019 ◽  
Vol 2 (1) ◽  
pp. 15
Author(s):  
Ahmadi Murjani
Keyword(s):  
Economic Growth ◽  
Poverty Alleviation ◽  
Macroeconomic Variables ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Ardl Approach ◽  
Short Run ◽  
The Government ◽  
The Impact

 Poverty alleviation has become a vigorous program in the world in recent decades. In line with the efforts applied by the government in various countries to reduce poverty, some evaluations have been practised. The impacts of macroeconomic variables such as inflation, unemployment, and economic growth have been commonly employed to be assessed for their impact on the poverty. Previous studies in Indonesia yielded mix results regarding the impact of such macroeconomic variables on the poverty. Different methods and time reference issue were the suspected causes. This paper aims to overcome such problem by utilising the Autoregressive Distributed Lag (ARDL) equipped with the latest time of observations. This paper finds in the long-run, inflation, unemployment, and economic growth significantly influence the poverty. In the short-run, only inflation and economic growth are noted affecting poverty significantly. 

The determinants of capital structure of Islamic and conventional banks: an autoregressive distributed lag approach

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Moncef Guizani
Keyword(s):  
Capital Structure ◽  
Price Change ◽  
Content Type ◽  
Leverage Ratio ◽  
Macroeconomic Variables ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Conventional Banks ◽  
The Capital Structure

Purpose This paper aims to explore how Sharia principles could impact capital structure determinants and speed of adjustment of Islamic banks (IBs) compared to conventional banks (CBs) in the Gulf Cooperation Council countries (GCC). Design/methodology/approach This study applies the autoregressive distributed lag (ARDL) approach for a sample of 69 banks listed on GCC stock markets over the period 2009–2018. Findings Regression results indicate that tangibility and bank size are positively related to book leverage of both IBs and CBs, whereas profitability, liquidity and risk are negatively related. For growth opportunities, the results show opposing effect on book leverage of IBs and CBs, regarding macroeconomic variables, the authors find that gross domestic product and financial development are negatively related to book leverage of both IBs and CBs, whereas oil price change is positively related. Moreover, the authors find that IBs slowly adjust their capital structure toward the desired leverage ratio than CBs. In sum, the capital structure of IBs appears to be driven by similar factors to those previously found in the corporate finance literature. Research limitations/implications This research contributes to the theory in re-validating capital structure theories on IBs. It helps understand the capital structure of IBs in comparison with CBs. It highlights some areas where further research on topics related to capital structure of IBs is needed. Practical implications The paper can contribute to policymakers and governance function in understanding the choice of capital structure for IBs within the bound of Sharia requirement in different economic climate through its relation with the macroeconomic variables. Practically, the directors and managers can predict the best capital structure to be achieved by IBs in ensuring their performance is at par, in their quest of additional capital. Originality/value This paper offers some insights on the determinants of capital structure by investigating IBs and CBs. It explores the implication of relevant Islamic principles on capital structure. Moreover, it analyses the determinants of capital structure using ARDL method that permits to identify the short-run and long-run relationships between capital structure and its main determinants.

scholarly journals A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of the FTSE and S&P500 Indexes

Risks ◽  
2021 ◽  
Vol 9 (11) ◽  
pp. 195
Author(s):  
David Allen ◽  
Michael McAleer
Keyword(s):  
Weak Form ◽  
Stationary Time Series ◽  
Bounds Testing ◽  
Distributed Lag ◽  
Price Series ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Quantile Regression Analysis ◽  
The Impact ◽  
Nonlinear Autoregressive

The paper features an examination of the link between the behaviour of the FTSE 100 and S&P500 Indexes in both an autoregressive distributed lag ARDL, plus a nonlinear autoregressive distributed lag NARDL framework. The attraction of NARDL is that it represents the simplest method available of modelling combined short- and long-run asymmetries. The bounds testing framework adopted means that it can be applied to stationary and non-stationary time series vectors, or combinations of both. The data comprise a daily FTSE adjusted price series, commencing in April 2009 and terminating in March 2021, and a corresponding daily S&P500 Index adjusted-price series obtained from Yahoo Finance. The data period includes all the gyrations caused by the Brexit vote in the UK, beginning with the vote to leave in 2016 and culminating in the actual agreement to withdraw in January 2020. It was then followed by the impact of the global spread of COVID-19 from the beginning of 2020. The results of the analysis suggest that movements in the contemporaneous levels of daily S&P500 Index levels have very significant effects on the behaviour of the levels of the daily FTSE 100 Index. They also suggest that negative movements have larger impacts than do positive movements in S&P500 levels, and that long-term multiplier impacts take about 10 days to take effect. These effects are supported by the results of quantile regression analysis. A key result is that weak form market efficiency does not apply in the second period.

scholarly journals Asymmetric effects of rainfall on food crop prices: evidence from Rwanda

2017 ◽  
Vol 8 (3) ◽  
pp. 137-149 ◽  
Author(s):  
Aimable Nsabimana ◽  
Olivier Habimana
Keyword(s):  
Empirical Investigation ◽  
Global Climate ◽  
Food Crop ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Crop Varieties ◽  
Long Run ◽  
Short Run ◽  
Food Affordability ◽  
Nonlinear Autoregressive

This study examined the effects of the likely change in rainfall on food crop prices in Rwanda, a landlocked country where agriculture is mainly rain-fed. The empirical investigation is based on nonlinear autoregressive distributed lag cointegration framework, which incorporates an error correction mechanism and allows estimation of asymmetric long-run and short-run dynamic coefficients. The results suggest that food crop prices are vulnerable to rainfall shocks and that the effect is asymmetric in both the short and long run. Moreover, there was evidence of seasonal differences, with prices falling during harvest season and rising thereafter. Considering the ongoing threat of global climate change, and in order to cope with rainfall shortage and uncertainty, increase food affordability and ultimately ensure food security throughout the year, there is a need to develop and distribute food crop varieties and crop technologies that reduce the vulnerability of farming to rainfall shocks.

scholarly journals Symmetric and asymmetric effects of financial development on carbon dioxide emissions in Nigeria: Evidence from linear and nonlinear autoregressive distributed lag analyses

2020 ◽  
Vol 38 (5) ◽  
pp. 2059-2078 ◽  
Author(s):  
Philip C Omoke ◽  
Silva Opuala-Charles ◽  
Chinazaekpere Nwani
Keyword(s):  
Carbon Dioxide ◽  
Financial Development ◽  
Carbon Dioxide Emissions ◽  
Asymmetric Effects ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Linear And Nonlinear ◽  
The Impact ◽  
Nonlinear Autoregressive

This study examines the impact of financial development on carbon dioxide emissions in Nigeria over the period 1971–2014. Income per capita, energy consumption, exchange rate and urbanization are incorporated in the analysis. The empirical analysis based on linear and nonlinear autoregressive distributed lag techniques provides evidence of long-run relationship among the variables in Nigeria. The results in general show that financial development has significant asymmetric effects on carbon dioxide emissions in Nigeria. Both short-run and long-run analyses show that the impact of positive changes in financial development on carbon dioxide emissions is significantly different from that of negative changes. The results suggest that in Nigeria positive shocks in financial development have significant reducing effect on carbon dioxide emissions, while negative shocks in financial development have significant increasing effect on carbon dioxide emissions. The empirical results also show that the response of carbon dioxide emissions to negative shocks in financial development is stronger. Based on these findings, this study concludes that mitigation policies would need to incorporate strategies to strengthen the depth of financial intermediation in the Nigerian economy.

scholarly journals Are Cryptocurrencies a Backstop for the Stock Market in a COVID-19-Led Financial Crisis? Evidence from the NARDL Approach

2021 ◽  
Vol 9 (3) ◽  
pp. 33
Author(s):  
Ahmed Jeribi ◽  
Sangram Keshari Jena ◽  
Amine Lahiani
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Safe Haven ◽  
Crisis Period ◽  
Fund Managers ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
The Relationship ◽  
Nonlinear Autoregressive

The study investigates the safe haven properties and sustainability of the top five cryptocurrencies (Bitcoin, Ethereum, Dash, Monero, and Ripple) and gold for BRICS stock markets during the COVID-19 crisis period from 31 January 2020 to 17 September 2020 in comparison to the precrisis period from 1 January 2016 to 30 January 2020, in a nonlinear and asymmetric framework using Nonlinear Autoregressive Distributed Lag (NARDL) methodology. Our results show that the relationship dynamics of stock market and cryptocurrency returns both in the short and long run are changing during the COVID-19 crisis period, which justifies our study using the nonlinear and asymmetric model. As far as a sustainable safe haven is concerned, Dash and Ripple are found to be a safe haven for all the five markets before the pandemic. However, all five cryptocurrencies are found to be a safe haven for three emerging markets, such as Brazil, China, and Russia, during the financial crisis. In a comparative framework, gold is found to be a suitable safe haven only for Brazil and Russia. The results have implications for index fund managers of BRICS markets to include Dash and Ripple in their portfolio as safe haven assets to protect its value during a stock market crisis.

scholarly journals International Real Estate Review

2017 ◽  
Vol 20 (2) ◽  
pp. 127-165
Author(s):  
Mohsen Bahmani-Oskooee ◽  
◽  
Seyed Hesam Ghodsi ◽  
Keyword(s):  
Household Income ◽  
House Prices ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Price Increases ◽  
Long Run ◽  
Short Run ◽  
Nonlinear Autoregressive ◽  
The U.S ◽  
Modelling Approach

When U.S. house prices were rising before the financial crisis of 2008, Case and Shiller (2003) argue that "income growth alone explains the pattern of recent home price increases in most states¨. Then can the decline in income after 2008 explain for the burst and abnormal decrease in house prices? Alternatively we ask whether the effects of income on house prices are symmetric or asymmetric. We employ quarterly data from each of the states in the U.S. and nonlinear autoregressive distributed lag modelling approach of Shin et al. (2014) to show that indeed, household income changes do have asymmetric effects on house prices in most of the states in the U.S. While adjustment asymmetry is borne out by the results in all states, asymmetric short-run impact is evidenced in 18 states and significant asymmetric long-run impact in 21 states.

scholarly journals Inward Foreign Direct Investment and Trade Openness in Vietnam: A Nonlinear Autoregressive Distributed Lag Approach

Economies ◽  
2021 ◽  
Vol 9 (3) ◽  
pp. 120
Author(s):  
Jen-Yao Lee ◽  
Ya-Chuan Hsiao ◽  
Ngochien Bui ◽  
Tien-Thinh Nguyen
Keyword(s):  
Foreign Direct Investment ◽  
Direct Investment ◽  
Trade Openness ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Short Run ◽  
Inward Foreign Direct Investment ◽  
Nonlinear Autoregressive ◽  
Foreign Direct Investment Inflows

This study aims to examine the asymmetric relationship between trade openness and FDI (foreign direct investment) inflows to Vietnam by using NARDL (nonlinear autoregressive distributed lag) during the period from 1997 to 2019. Our findings show that the influence of FDI on trade openness is asymmetric in the short-run and long-run. But the influence of trade openness on FDI is symmetric in the short-run and asymmetric in the long run.

scholarly journals Short Term Portfolio Investment and BI Rate: Do They Determine the Stabilization of Rupiah Exchange Rate in Indonesia?

2019 ◽  
Vol 8 (1) ◽  
pp. 18
Author(s):  
Chenny Seftarita ◽  
Fitriyani Fitriyani ◽  
Cut Zakia Rizki ◽  
Diana Sapha ◽  
Abd. Jamal
Keyword(s):  
Exchange Rate ◽  
Stock Price ◽  
Short Term ◽  
Private Debt ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Short Run ◽  
The Stability ◽  
Portfolio Investments

This study aims to investigate the influence of short-term portfolio investments and BI interest rate on fluctuation of rupiah exchange rate in Indonesia. The data used is quarterly data from 2010 to 2016 collected from Indonesia Central Bank. Using the Autoregressive Distributed Lag (ARDL) method, the result showed that rupiah exchange rate was strongly influenced by shocks in the private debt securities, joint stock price index, and BI Rate, both in the long run and short run. Moreover, it is found that there was a short-run and long-run balance relationship between Short Term Portfolio Investments and BI rate against the rupiah exchange rate. Thus, it is recommended that in order to stabilize the exchange rate, it is necessary to maintain the stability of short-term portfolio investments.  

scholarly journals Asymmetric Effects of Remittances on Economic Growth in Nigeria: Evidence From Non-linear ARDL Analysis

2020 ◽  
Author(s):  
David Oluseun Olayungbo ◽  
Clement Olalekan Olaniyi ◽  
Titus Ayobami Ojeyinka
Keyword(s):  
Economic Growth ◽  
Jel Classification ◽  
Asymmetric Effects ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Short Run ◽  
Linear Effects ◽  
Nonlinear Autoregressive ◽  
Nardl Model

Abstract Most of the extant studies on remittance-growth nexus have been limited to symmetric and linear effects of remittance on economic growth. Unlike previous studies, we examine asymmetric and nonlinear association between remittance and economic growth within the framework of nonlinear autoregressive distributed lag (NARDL) model utilizing Nigeria’s data from 1981 to 2018. The study finds the evidence to support that growth responds asymmetrically to remittances only in the long-run. It is established that both positive and negative variations in remittance inflows dampen the productive base of the economy in the long-run while positive and negative changes in remittances are growth-retarding and growth-enhancing respectively in the short-run. The study, therefore, concludes that persistent increase in remittance inflows have not been channeled to productive ventures that are capable of stimulating growth in Nigeria. Thus, consistent with the view of pessimistic theorists, continual inflows of remittances to Nigeria could not be termed brain gains to the economy. JEL CLASSIFICATION: F24, F43, O11

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