scholarly journals Nonlinear Short-Run Adjustments between REITs and Stock Markets in the USA and Australia

2022 ◽  
pp. 47-68
Author(s):  
Cheng-Wen Lee ◽  
Wei-Jui Chen
Keyword(s):  
Stock Returns ◽  
Stock Markets ◽  
Structural Breaks ◽  
The United States ◽  
Jel Classification ◽  
Smooth Transition ◽  
Vector Error Correction ◽  
The Us ◽  
The Usa ◽  
Short Run

Abstract This study examines whether nonlinear co-integration exists between real estate investment trusts (REITs) and corresponding stock markets in the United States and Australia. Moreover, we employ the smooth-transition, vector-error correction model (STVECM) including the generalized autoregressive conditional heteroskedasticity (GARCH) model to separately explore the adjustment efficiencies of the short-run REITs and corresponding stock returns in dynamics. The empirical results demonstrate that there is a nonlinear co-integration with structural breaks between the equity and mortgage REITs and stock markets in the US as well as between the REITs and stock markets in Australia. When large positive and negative deviations of STVECM exist, the speed of equilibrium adjustment of the S&P 500 index is greater than that of the Mortgage REITs index. Additionally, the higher the equilibrium adjustment of Australian/US REITs index, the greater the reversion of Australian/US REITs index. Meanwhile, this study is also interested in finding out whether the REIT indices in the US or Australia would serve as a leading indicator for price movements. The result findings may provide a good reference for the investors’ investment engaged in the areas of these two countries. JEL Classification: C22, D53, G14, L85. Keywords: REITs, STVECM, Nonlinear Granger causality, GARCH.

Intensity of shock transmission amid US-BRICS markets

2015 ◽  
Vol 10 (3) ◽  
pp. 311-328 ◽  
Author(s):  
P. Lakshmi ◽  
S. Visalakshmi ◽  
Kavitha Shanmugam
Keyword(s):  
Stock Market ◽  
Granger Causality ◽  
Stock Markets ◽  
Subprime Mortgage ◽  
Content Type ◽  
Brics Countries ◽  
Long Run ◽  
The Us ◽  
The Usa ◽  
Short Run

Purpose – The purpose of this paper is to analyze the intensity of transmission of shocks from USA to BRICS countries in the long-run and short-run deviations and swiftness of recovery during US subprime mortgage crisis. This analysis enables the authors to explore the evolving patterns of relationships between these markets and examine whether their co-movements altered either in response to international shocks that originated in advanced markets like USA or due to their domestic fluctuations. Design/methodology/approach – Employing data of daily stock market indices (open and close) of BRICS countries for the period January 2, 2001 to May 31, 2012, this paper examines the interactions and characteristics of price movements of BRICS with US market by applying co-integration tests, vector error correction model and Granger causality relationship. The daily stock market indices data are derived from respective stock exchange web sites. Findings – The results exhibit that both long-run co-integration relationships and short-run Granger causality relationships exist between the stock markets of US-BRICS. Furthermore, this nexus is amplified in the short-run during 2007-2009, when the subprime mortgage financial crisis in the USA cropped up. This finding lends support to the prominence of developed (US) market links in the proliferation of persistent co-movements of BRICS stock markets. Research limitations/implications – The findings imply an increasing degree of global market integration due to quick dissemination of global shocks originating from developed market like USA, and swift recovery which can be attributed to the increased resilience, consistent with the moderated level of domestically driven risk in the BRICS markets. In spite of their similarities, long-run and short-run interdependences with the US stock market exhibit differences among the BRICS. This can be attributed to the regional heterogeneity in long-run risk and return co-movements with the USA. Practical implications – Changes from the US index easily affect these stock markets in the short-run, which implies that the US index may act as a leading indicator for investing funds in BRICS markets. Originality/value – This study would enable the authors to understand whether BRICS economies actually remain resilient to adverse developments in USA and could serve as alternative investment destinations for global portfolio diversification.

scholarly journals The adjustment speeds of short-run real estate investment trust (REIT) and corresponding stock returns in the USA and Australia

2017 ◽  
Vol 14 (3) ◽  
pp. 173-188
Author(s):  
Hao Fang ◽  
Yen-Hsien Lee ◽  
Jen-Sin Lee ◽  
Wei-Jui Chen
Keyword(s):  
Real Estate ◽  
Stock Markets ◽  
The United States ◽  
Stock Index ◽  
Real Estate Investment ◽  
The Us ◽  
Adjustment Speed ◽  
Non Linear ◽  
Short Run ◽  
Return Dynamics

This study first uses the non-linear co-integration with structural breaks by Gregory and Hansen (1996) to examine whether non-linear co-integration exists between real estate investment trusts (REITs) and corresponding stock markets in the United States and Australia. Second, we employ the smooth transition vector-error correction model (STVECM) including the generalized autoregressive conditional heteroskedasticity (GARCH) model to separately explore the adjustment efficiencies of non-linear short-run REIT and corresponding stock return dynamics, as well as respective REIT return dynamics when the long-run disequilibrium occurs. The results show that a structural break co-integration exists between the equity and mortgage REITs and stock markets in the US, between the REITs and stock markets in the Australia and between the REIT markets in both the US and Australia. When there are large positive and negative deviations of STVECM, the adjustment speed of reverting to equilibrium of the S&P 500 index is greater than that of the Mortgage REIT index. However, when there are large positive (negative) deviations of STVECM, the adjustment speed of reverting to equilibrium of the Australian REIT (stock) index is greater, and that of the Australian REIT (US REIT) index is greater. In addition, by using a non-linear Granger causality test by Hiemstra and Jones (1994), we find that credit price effects exist between the US for each type of REIT and stock markets regardless of large positive or negative deviations (or returns) in STVECM (or STVAR). However, there is a feedback effect exists between the REITs and the stock markets in Australia.

Unconventional US Monetary Policy: Impact on the Indian Economy

2021 ◽  
pp. 001946622199862
Author(s):  
Anshuman Jaswal ◽  
Bhavna Ranjan Ahuja
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Correction Method ◽  
Jel Classification ◽  
Vector Error Correction ◽  
Indian Economy ◽  
Vector Error ◽  
The Us ◽  
The Usa ◽  
The Impact

This article examines the impact of the US Quantitative Easing (QE) on the Indian economy. Against the backdrop of indications of economic slowdown worldwide and developing countries lowering the interest rates and restarting the treasury purchases, it aims to understand the influence US QE had on Indian economy and how it will impact way forward. Macroeconomic variables pertaining to India and the USA were examined from September 2008 to June 2019 (fortnightly data) using the vector error correction method model. It was found that the influence of the US monetary base on the Indian money supply was far more as compared to the US policy rate. Overall, the impact of QE on the Indian economy has not been as large as on the other economies of the world due to regular RBI intervention in terms of interest rates, exchange rates and other active monetary policy measures. JEL Classification Codes: E44, E52, E58, F32, O16

scholarly journals Interlinkages among Asian, European and the U.S Stock Markets: A Multivariate Cointegration Analysis

2012 ◽  
Vol 4 (3) ◽  
pp. 129-141 ◽  
Author(s):  
P. Sakthivel
Keyword(s):  
Error Correction ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Markets ◽  
Cointegration Analysis ◽  
Vector Error Correction ◽  
Vector Error ◽  
Integration Test ◽  
The Us ◽  
The Impact

The present study attempts to investigate the dynamic interlinkages among the Asian, European and US stock markets. Daily closing prices of twelve stock indices relating to the period from 3rd January 1998 to 30th June 2010 and are used in the analysis. Both short and long run relationships are examined through Johansen-Juselius co integration and Vector Error Correction models (VECM) and Impulse Response Function (IRF). The results of the co integration test show strong co integration relationship across international stock prices indices. The results of the Vector Error Correction model reveal that the US and some of European and Asian Stock markets lead the Indian stock market. Finally, the evidence suggests that the impact of the US market on Indian stock returns is much higher than other way round.

Interaction of Ukrainian Diaspora and the USA Government Regarding Celebration of Ukrainian Independence Day on January 22

2018 ◽  
Vol 1 (47) ◽  
pp. 136-145
Author(s):  
Halyna Shchyhelska
Keyword(s):  
United States ◽  
House Of Representatives ◽  
The United States ◽  
100Th Anniversary ◽  
Totalitarian Regime ◽  
The Public ◽  
Us Congress ◽  
The Us ◽  
Public Consciousness ◽  
The Usa

2018 marks the 100th anniversary of the proclamation of Ukrainian independence. OnJanuary 22, 1918, the Ukrainian People’s Republic proclaimed its independence by adopting the IV Universal of the Ukrainian Central Rada, although this significant event was «wiped out» from the public consciousness on the territory of Ukraine during the years of the Soviet totalitarian regime. At the same time, January 22 was a crucial event for the Ukrainian diaspora in the USA. This article examines how American Ukrainians interacted with the USA Government institutions regarding the celebration and recognition of the Ukrainian Independence day on January 22. The attention is focused on the activities of ethnic Ukrainians in the United States, directed at the organization of the special celebration of the Ukrainian Independence anniversaries in the US Congress and cities. Drawing from the diaspora press and Congressional Records, this article argues that many members of Congress participated in the observed celebration and expressed kind feelings to the Ukrainian people, recognised their fight for freedom, during the House of Representatives and Senate sessions. Several Congressmen submitted the resolutions in the US Congress urging the President of United States to designate January 22 as «Ukrainian lndependence Day». January 22 was proclaimed Ukrainian Day by the governors of fifteen States and mayors of many cities. Keywords: January 22, Ukrainian independence day, Ukrainian diaspora, USA, interaction, Congress

The Impact of Monetary and Fiscal Policies on the Stock Market in the United States (U.S); Evidence from Linear ARDL Framework

2020 ◽  
Vol 11 (1) ◽  
pp. 132-132
Author(s):  
Aref Emamian
Keyword(s):  
United States ◽  
Stock Market ◽  
The United States ◽  
Real Effective Exchange Rate ◽  
Annual Data ◽  
Fiscal Policies ◽  
Long Run ◽  
The Us ◽  
Short Run ◽  
The Impact

This study examines the impact of monetary and fiscal policies on the stock market in the United States (US), were used. By employing the method of Autoregressive Distributed Lags (ARDL) developed by Pesaran et al. (2001). Annual data from the Federal Reserve, World Bank, and International Monetary Fund, from 1986 to 2017 pertaining to the American economy, the results show that both policies play a significant role in the stock market. We find a significant positive effect of real Gross Domestic Product and the interest rate on the US stock market in the long run and significant negative relationship effect of Consumer Price Index (CPI) and broad money on the US stock market both in the short run and long run. On the other hand, this study only could support the significant positive impact of tax revenue and significant negative impact of real effective exchange rate on the US stock market in the short run while in the long run are insignificant. Keywords: ARDL, monetary policy, fiscal policy, stock market, United States

scholarly journals Trends in educational mobility: How does China compare to Europe and the United States?

2019 ◽  
Vol 5 (2) ◽  
pp. 214-240
Author(s):  
Rob J Gruijters ◽  
Tak Wing Chan ◽  
John Ermisch
Keyword(s):  
Educational Opportunity ◽  
The United States ◽  
International Standards ◽  
Educational Mobility ◽  
The Us ◽  
The Usa ◽  
Economic Boom ◽  
The Uk ◽  
Large Decline ◽  
Inequality Of Educational Opportunity

Despite an impressive rise in school enrolment rates over the past few decades, there are concerns about growing inequality of educational opportunity in China. In this article, we examine the level and trend of educational mobility in China, and compare them to the situation in Germany, the Netherlands, the UK and the USA. Educational mobility is defined as the association between parents’ and children’s educational attainment. We show that China’s economic boom has been accompanied by a large decline in relative educational mobility chances, as measured by odds ratios. To elaborate, relative rates of educational mobility in China were, by international standards, quite high for those who grew up under state socialism. For the most recent cohorts, however, educational mobility rates have dropped to levels that are comparable to those of European countries, although they are still higher than the US level.

Military Subsidization of Human Capital and Gender Stratification in the US Economy

2021 ◽  
pp. 048661342098262
Author(s):  
Tyler Saxon
Keyword(s):  
Human Capital ◽  
The United States ◽  
Jel Classification ◽  
Access To Higher Education ◽  
Gender Stratification ◽  
Us Economy ◽  
The Us ◽  
And Gender ◽  
Capital Development ◽  
The Military

In the United States, the military is the primary channel through which many are able to obtain supports traditionally provided by the welfare state, such as access to higher education, job training, employment, health care, and so on. However, due to the nature of the military as a highly gendered institution, these social welfare functions are not as accessible for women as they are for men. This amounts to a highly gender-biased state spending pattern that subsidizes substantially more human capital development for men than for women, effectively reinforcing women’s subordinate status in the US economy. JEL classification: B54, B52, Z13

scholarly journals Solar Thermochemical Hydrogen Production in the USA

2021 ◽  
Vol 13 (14) ◽  
pp. 7804
Author(s):  
Christoph Falter ◽  
Andreas Sizmann
Keyword(s):  
Hydrogen Production ◽  
Large Scale ◽  
Low Cost ◽  
The United States ◽  
Solar Irradiation ◽  
Transport Sector ◽  
Fossil Energy ◽  
The Us ◽  
The Usa ◽  
Solar Thermochemical

Hydrogen produced from renewable energy has the potential to decarbonize parts of the transport sector and many other industries. For a sustainable replacement of fossil energy carriers, both the environmental and economic performance of its production are important. Here, the solar thermochemical hydrogen pathway is characterized with a techno-economic and life-cycle analysis. Assuming a further increase of conversion efficiency and a reduction of investment costs, it is found that hydrogen can be produced in the United States of America at costs of 2.1–3.2 EUR/kg (2.4–3.6 USD/kg) at specific greenhouse gas emissions of 1.4 kg CO2-eq/kg. A geographical potential analysis shows that a maximum of 8.4 × 1011 kg per year can be produced, which corresponds to about twelve times the current global and about 80 times the current US hydrogen production. The best locations are found in the Southwest of the US, which have a high solar irradiation and short distances to the sea, which is beneficial for access to desalinated water. Unlike for petrochemical products, the transport of hydrogen could potentially present an obstacle in terms of cost and emissions under unfavorable circumstances. Given a large-scale deployment, low-cost transport seems, however, feasible.

scholarly journals Do Share Repurchases Distort Stock Prices? Evidence from the United States and Malaysia

2021 ◽  
pp. 232102222110243
Author(s):  
Chong-Meng Chee ◽  
Nazrul Hisyam bin Ab Razak ◽  
Bany Ariffin bin Amin Noordin
Keyword(s):  
Stock Prices ◽  
The United States ◽  
Jel Classification ◽  
Share Repurchases ◽  
Alternative Measure ◽  
Share Repurchase ◽  
Price Support ◽  
Global Finance ◽  
The Usa ◽  
Sample Support

Heavy share buyback years after the global finance crisis 2008–2009 drew criticism from scholars and financial press that share repurchases were being used by firms to manipulate their stock prices. This paper examines whether a greater firm’s repurchase intensity distorts stock prices reflecting to information. We analyse 2 sets of unbalanced panel data that contain a sample of 337 US and another sample of 167 Malaysian repurchasing firms between 2012 and 2016. Contrary to the criticism, we find that a greater firms’ share buyback intensity in the USA stimulates faster incorporation of information in price and results in more efficient stock prices. The main findings hold true and are robust when an alternative measure of share repurchase intensity was used. The findings of US sample support the notion that share repurchase serves as a signalling tool and price support to promote more efficient stock prices. We also find no strong evidence supporting the notion that shares repurchased by Malaysian firms distort stock prices. JEL Classification: G10, G14, G35

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