ISSN: 2056-3736 (Online Version) | 2056-3728 (Print Version)
Dimitriou Dimitrios, Pappas Anastasios, Kazanas Thanassis and Kenourgios Dimitris
Correspondence: Dimitriou Dimitrios, dem.dimitriou@gmail.com
Department of Economics, National and Kapodistrian University of Athens, Greece
pdf (863.55 Kb) | doi: https://doi.org/10.47260/bae/821
In this paper, we evaluate the role of several confidence indicators (i.e., Economic Sentiment Indicator, Consumer Confidence Indicator, Construction Confidence Indicator and Industrial Confidence Indicator) as leading indicators to GDP and its components such as Investments and Private Consumption. Our econometric evaluation performed by popular techniques such as: i) rolling correlation methodology ii) Granger causality iii) ARIMA benchmark model and iv) Kalman filter technique. The results suggest that the inclusion of confidence indicators does not improve substantially the forecasting ability of our econometric models as far as macroeconomic variables are concerned. Thus, we conclude that there is space for improvement of the predictive power of confidence indicators in Greece.
Confidence indicators; GDP; Granger causality; ARIMA; forecasting
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Sharon K Jose and Girish G P
Correspondence: Girish G P, gpgirish.ibs@gmail.com
ICFAI Business School (IBS), India
pdf (863.55 Kb) | doi: https://doi.org/10.47260/bae/8110
In this study we analyze seasonal behavior of Indian agriculture, energy and metal commodities through the ten years of preceding Super-cycle (2003-13) by considering monthly data for near month futures prices to remove basis variance. The thrust of the paper is to investigate seasonal behavior of selected commodities in India using monthly seasonal dummies. We found seasonal variation in four commodities namely gold, barley, guar and Jeera. In a declining interest-rate scenario and Post-Covid world, there is elevated likelihood that we are going to witness the next commodities super-cycle. It is imperative for hedge fund managers, global investors, commodities traders, high net-worth individuals, market participants and spread-traders to know what to expect based on the preceding super-cycle to strategize better and address seasonality.
Commodity, Spot, Future, Hedging, Seasonality, India
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Rafiqul Bhuyan, Mohammad Robbani and Bakhtear Talukder
Correspondence: Mohammad Robbani, mohammad.robbani@aamu.edu
Department of Accounting and Finance, Alabama A&M University, USA
pdf (863.55 Kb) | doi: https://doi.org/10.47260/bae/819
In this paper, we study the effects of oil price volatility on the stock market relevant sectors from several oil producing countries. We investigate the interdependence between oil prices and sector stock indices within OPEC markets and selected major non-OPEC countries such as Russia and United States. By exploring the time-varying dynamics of oil prices and sector-stock indices on the sectoral reaction to oil price shocks we investigate how the shocks in oil prices affect the correlation dynamics of the different sectors. Our study finds that different sectors display heterogeneous dynamic correlation pattern with different oil price shocks origins in different countries. Specifically, the GARCH coefficients in several sectors, such as, industrial, energy and healthcare in some of oil-producing middle-eastern countries are not significant. In addition, the negative coefficients for some sectors in some of the countries indicate the existence of hedging opportunities for portfolio managers.
commodity markets, financial markets, time-varying volatility, conditional correlations
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K., & Narayan, S. (2010). Modelling the impact of oil prices on Vietnam’s stock prices. Applied Energy, 87, 356–361.Narayan, P. K., & Sharma, S. S. (2011). New evidence on oil price and firm returns. Journal of Banking & Finance, 35(12), 3253-3262.Park, J., & Ratti, R.A. (2008). Oil price shocks and stock markets in the US and 13 European countries. Energy Economics, 30, 2587–2608.Sadorsky, P. (1999). Oil price shocks and stock market activity. Energy Economics, 21(5), 449-469.Scholtens, B., & Yurtsever, C. (2012). Oil price shocks and European industries. Energy Economics, 34(4), 1187-1195.Tang, K., & Xiong, W. (2012). Index investment and the financialization of commodities. Financial Analysts Journal, 68(5), 54-74.
Hsiang-Hsi Liu and Yu-Cheng Lin
Correspondence: Hsiang-Hsi Liu, hsiang@mail.ntpu.edu.tw
National Taipei University, Taiwan
pdf (863.55 Kb) | doi: https://doi.org/10.47260/bae/818
This study takes the US S&P500 stock index cash, futures and NASDAQ stock index futures as the main research objects, and applies the ARJI (autoregressive jump intensity model) VEC GJR-GARCH model to examine the co-integration, volatility spillover, jump behavior and hedge performance of the three markets. With the rapid circulation of new information, the financial market will often fluctuate under the impact of new information. Investors will have different and timely responses to emergencies, and this event will have an impact on the stock market. When the event is unexpected or abnormal, the financial market will have huge fluctuations, and this kind of fluctuation is a jump. The empirical results found that the three markets have linkages and volatility spillover effects, and there are indeed discontinuous jumps. Two-way volatility spillovers between S&P500 index cash and futures, and only one-way volatility spillovers from S&P500 futures to the Nasdaq futures market. International investors need to consider information from their own-market volatility (risk) as well as information on volatility spillovers (risk) from other markets. The jump frequency is not a fixed constant, that is, the jump frequency (strength) generated by abnormal information changes over time. In addition, the results of this research also found that the ARJI VEC GJR-GARCH model can better capture the risk of fluctuations in price discontinuities after adding jump factors to the hedging performance estimated by the ARJI VEC GJR-GARCH model. The hedging performance can be more effective, which is conducive to investors' risk management decisions. Also, the performance of direct hedging that is better than the performance of cross hedging.
Jump Intensity, Jump Size, Co-integration, ARJI, VEC GJR-GARCH, Hedging Ratio, Hedging Performance.
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Yutaka Kurihara, Shinichiro Maeda and Akio Fukushima
Correspondence: Yutaka Kurihara, kurihara@vega.aichi-u.ac.jp
Aichi University, Japan
pdf (863.55 Kb) | doi: https://doi.org/10.47260/bae/817
The Japanese central bank, the Bank of Japan (BOJ) has introduced a drastic and unprecedented quantitative easing (QE) policy to combat deflation from the 2000s. The BOJ has purchased exchange-traded funds (ETF) as well as huge amounts of domestic governments bonds. This paper investigates the effect of ETF purchases by the BOJ on Japanese stock prices. Empirical results show that the purchases were conducted to prevent decreasing stock prices, however, whether the purchases directly promoted stock prices rising or not is uncertain in the short-run. On the other hand, as stock prices have been increasing since then, the purchases made situations such as preventing a decrease to stock prices and promoting prices in the long-run.
Bank of Japan, ETF, stock price
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Hai Long and Jianzhi Zhao
Correspondence: Jianzhi Zhao, jianzhizhao@fudan.edu.cn
School of International Relation & Public Affairs, Fudan University, China
pdf (863.55 Kb) | doi: https://doi.org/10.47260/bae/816
This empirical study employs regression models to investigate some deep economic determinants, such as human capital, business environment, to investigate what extent China’s economy structure is likely hit by SARS epidemic in 2003 and global financial crisis in 2008. It finds that China’s economy structure is unchanged after the hits, the deep economy determinants and GDP remain upward. Human capital accumulation is the significant deep factor, and both SARS epidemic and financial crisis have no impact on the long-run factor, accordingly, China’s economy growth is sustainable. It suggests further human capital including labor quantity and education is currently the most significant determinants for China’s economy sustainability, followed by the upgrading business environment. The evidence based on SARS and financial crisis may have certain reference value to estimate the potential impact of COVID-19 on China’s economy structure in the future.
COVID-19, SARS epidemic, Financial crisis, Economy structure, Deep determinants
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Samuel Antwi, Prince Yeboah Boateng and Awudu Salley
Correspondence: Samuel Antwi, antwi.samuel@upsamail.edu.gh
Department of Accounting, University of Professional Studies, Ghana
pdf (863.55 Kb) | doi: https://doi.org/10.47260/bae/815
The main objective of the study is to examine the effect of foreign direct investment inflows on economic growth in Ghana: the moderating role of exchange rate volatility. The study used Auto-Regressive Distributed Lags (ARDL) and Generalized Autoregressive Conditional Heteroskedasticity (GARCH). The study was based mainly on secondary data from World Development Indicators (WDI) where annual time-series data of 39 years was used for the study ranging from 1980 to 2018. The study found that FDI had a positively significant impact on growth in the short run. Also, exchange rate volatility had a negatively significant impact on economic growth in the long run. However, domestic capital and trade openness had a positive significant impact on economic growth in the long run. The long-run estimate suggests that FDI decrease growth and exchange rate volatility dampen the negative effect of FDI on growth. The study, therefore, recommended, among other things, that the government should formulate policies that attract foreign direct investors into the country, as this may stabilize the economy.
FDI, Economic growth, Exchange rate volatility, Ghana
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K. (2013). Foreign Aid, Domestic Revenue, and Economic Growth in Ghana. Journal of Economics and Sustainable Development, 25-33.Tweneboah, G., & Alagidede, P. (2015). Dollarization in Ghana: Measurements, determinants and policy implications (Working Paper No. 315). African Finance and Economics Consult.Ullah, S., Haider, S. Z., & Azim, P. (2012). Impact Of Exchange Rate Volatility On Foreign Direct Investment: A Case Study of Pakistan. Pakistan Economic and Social Review, 50 (2), 121-138.Vu, T.B., Gangnes, B., and Noy, I. (2006). Is Foreign Investment Good for Growth? Answers Using Sectoral Data from China and Vietnam. Unpublished.Wijeweera, A., Villano, R., & Dollery, B. (2010). Economic Growth and FDI Inflows: A Stochastic Frontier Analysis. The Journal of Developing Areas, 43 (2), 143-158.World Bank (2019). World Development Indicators. Retrieved from The World Bank: www. databank.worldbank.orgWorld Bank. (2013). World Development Indicators. Washington D.C: World Bank.
Taha Chaiechi and Trang Nguyen
Correspondence: Taha Chaiechi, taha.chaiechi@jcu.edu.au
College of Business, Law, and Governance, James Cook University, Australia
pdf (863.55 Kb) | doi: https://doi.org/10.47260/bae/814
The global urbanisation rate had increased rapidly from just 30% in 1950 to 55% in 2018, and it is projected to reach 68% by 2050. This ongoing urbanisation shows the importance of building resilient economies in dealing with complex external financial and public health shocks and disturbances. Although most growing cities are beginning to demonstrate dedication to integrating sustainable development goals, building economic resilience in cities remains a significant challenge. During the past crises, stronger economies have shown an apparent ability to recover from shocks relatively quickly. Nonetheless, the severe COVID-19 recession has unmasked superficial evidence of economic resilience while also identifying underlying vulnerabilities and economic weak-spots. Accordingly, this paper focuses on resilience as a non-equilibrium property of urban economic structures. Focusing on two tropical cities, the paper explores sources of volatility transmission as indicators of urbanisation change, by utilising orthogonal impulse- response (OIR) functions based upon the Cholesky decomposition. The findings suggest a metropolitan disadvantage concerning urban economic resilience predominantly from shocks on sources of urbanisation.
economic resilience, urban economics, urbanisation, tropical cities, impulse response analysis
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Anastasiou Athanasios, Kalligosfyris Charalampos and Kalamara Eleni
Correspondence: Anastasiou Athanasios, athanastas@uop.gr
Department of Management Science and Technology, University of Peloponnese, Greece
pdf (863.55 Kb) | doi: https://doi.org/10.47260/bae/813
The purpose of this paper is tο examine the causality relationships and the degree of interdependence, between the level of tax evasion in Greece and a set of deterministic factors, using annual data for the period 1995 - 2018. The research methodology employed includes testing for stationarity with the Augmented Dickey-Fuller (ADF) test, cointegration test according to Engle-Granger approach, estimation Error Correction Models (ECM) to investigate the short-run and long-run relationships, variance decomposition and impulse response analysis. The results indicate a significant interdependence, which is an important tool for pursuing a targeted and effective policy to fight tax evasion. More specifically, the survey showed that the level of tax rates, the level of unemployment, the Rule of Laws index, the level of GDP, the level of non-performing loans, the government efficiency, the corruption perception index and the level of final consumption expenditure, affect the size of tax evasion in Greece, significantly. In addition, the results of variance decomposition and impulse response analysis, support the above findings, providing a quantitative representation of the causality relationships between the factors under investigation and tax evasion.
Macroeconomics, public economics, applied economics, tax evasion, Greece
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Hidekatsu Asada
Correspondence: Hidekatsu Asada, asada@mail.saitama-u.ac.jp
Graduate School of Humanities and Social Sciences, Saitama University, Japan
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The fast growth of Myanmar in recent decades was brought by capital accumulation, supported by foreign direct investment (FDI) and productivity improvement. A vector error correction model (VECM) analysis on the determinants of FDI inflows to Myanmar from 2000 to 2018 revealed the existence of a positive and long-term relationship between FDI inflows, and the quality of public sector governance and human capital development. The result underpins the importance of implementing reform measures to create a business-friendly policy framework to attract foreign investors.
foreign direct investment, public sector governance, human capital development, Myanmar
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