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Article
Publication date: 12 October 2018

Bisharat Hussain Chang and Suresh Kumar Oad Rajput

The purpose of this paper is to examine whether macroeconomic variables have a symmetric or asymmetric effect on stock prices (SP) of Karachi Stock Exchange 100 index in…

Abstract

Purpose

The purpose of this paper is to examine whether macroeconomic variables have a symmetric or asymmetric effect on stock prices (SP) of Karachi Stock Exchange 100 index in the context of Pakistan. It also examines whether the asymmetric impact of macroeconomic variables on SP has been affected by tail events such as the global financial crisis.

Design/methodology/approach

This study uses linear and nonlinear autoregressive distributed lag models for the full sample period as well as in pre- and post-crisis periods. The whole sample period covers the data from June 2004 to June 2016 which include 145 observations in total. The pre-crisis period covers data from June 2004 to December 2007 and the post-crisis period covers the data from January 2009 to June 2016 where these periods include 43 and 90 observations, respectively.

Findings

The findings suggest that the relationship between macroeconomic variables and SP is asymmetric in the short run whereas this effect is symmetric in the long run when the whole sample period is selected. However, when pre- and post-crisis periods are selected this effect becomes asymmetric in the long run as well; that is, positive and negative shocks in macroeconomic variables do not affect the SP in the same way.

Practical implications

Investors, governments and other stakeholders are advised to consider the asymmetric behavior of macroeconomic variables and SP while making an investment or other decisions. They may consider the financial crisis as well since the asymmetric behavior of the underlying variables change as a result of the financial crisis.

Originality/value

This study extends previous studies by examining the asymmetric effect of macroeconomic variables and also contributes to the existing literature by discussing how this relationship changes as a result of the financial crisis.

Details

South Asian Journal of Business Studies, vol. 7 no. 3
Type: Research Article
ISSN: 2398-628X

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Article
Publication date: 5 July 2021

Shuzhen Zhu, Xiaofei Wu, Zhen He and Yining He

The purpose of this paper is to construct a frequency-domain framework to study the asymmetric spillover effects of international economic policy uncertainty on China’s…

Abstract

Purpose

The purpose of this paper is to construct a frequency-domain framework to study the asymmetric spillover effects of international economic policy uncertainty on China’s stock market industry indexes.

Design/methodology/approach

This paper follows the time domain spillover model, asymmetric spillover model and frequency domain spillover model, which not only studies the degree of spillover in time domain but also studies the persistence of spillover effect in frequency domain.

Findings

It is found that China’s economic policy uncertainty plays a dominant role in the spillover effect on the stock market, while the global and US economic policy uncertainty is relatively weak. By decomposing realized volatility into quantified asymmetric risks of “good” volatility and “bad” volatility, it is concluded that economic policy uncertainty has a greater impact on stock downside risk than upside risk. For different time periods, the sensitivity of long-term and short-term spillover economic policy impact is different. Among them, asymmetric high-frequency spillover in the stock market is more easily observed, which provides certain reference significance for the stability of the financial market.

Originality/value

The originality aims at extending the traditional research paradigm of “time domain” to the research perspective of “frequency domain.” This study uses the more advanced models to analyze various factors from the static and dynamic levels, with a view to obtain reliable and robust research conclusions.

Details

Kybernetes, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 0368-492X

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Article
Publication date: 18 October 2018

Anum Fatima, Abdul Rashid and Atiq-uz-Zafar Khan

Several studies focus on asymmetric impact of shocks on conventional stocks. However, only few studies explore Islamic stocks, but none has examined the asymmetric impact…

Abstract

Purpose

Several studies focus on asymmetric impact of shocks on conventional stocks. However, only few studies explore Islamic stocks, but none has examined the asymmetric impact of shocks on Islamic stocks. This study aims to fill the gap by investigating the asymmetric impact of shocks on Islamic stocks. Specifically, it identifies the effect of good and bad news on Islamic stock market. The study also aims to examine the returns and volatility spillover effects across different Islamic markets.

Design/methodology/approach

To carry out the empirical analysis, the authors have applied the exponential generalized autoregressive conditional heteroscedasticity (ARCH) model on daily Islamic stock indices of 18 countries. The study covers the period from July 2009 to July 2016. The authors have started their empirical analysis by examining the time series properties and testing the presence of ARCH effects. Further, the authors have applied several post-estimation tests to ensure the robustness of the results.

Findings

The results indicate that there is significant leverage effect in Islamic stocks traded in the sampled countries. That is, negative shocks or bad news have stronger effects on Islamic stock returns’ volatility as compared to positive shocks or good news. The authors also found that there are significant mean spillover effects for the examined countries. This finding implies that increased Islamic stock returns in country have significant and positive effects in Islamic stocks’ returns in another other. Similarly, the results regarding the volatility spillover effects suggest that there are significant volatility spillover effects across all examined countries. However, the authors found both positive and negative volatility spillover effects. It should also be noted that in some cases, the authors did not find any significant volatility spillover effect.

Practical implications

The findings of this study have several important policy implications for both investors and policymakers. As the findings suggest that Islamic stock indices are integrated across countries both in terms of returns (mean) and risk (volatility), they are useful for investors to design well-diversified portfolios. The significant volatility spillovers suggest policymakers to design such policy that may help in reducing the adverse effects of increased volatility of Islamic stock of other/foreign countries on the Islamic stocks of the home countries. The significant evidence of the presence of leverage (asymmetric) effects suggest investors to use effective and active hedging instruments to hedge risk, particularly, in bad times.

Originality/value

Unlike other studies on Islamic stocks, this study takes into account the asymmetric effects of positive and negative shocks. Further, the study examines the mean and variance spillover effects for a large panel of countries having Islamic stocks. Finally, several pre- and post-estimation tests are applied to ensure the robustness of the results.

Details

Journal of Islamic Marketing, vol. 10 no. 1
Type: Research Article
ISSN: 1759-0833

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Article
Publication date: 2 April 2021

Mohsen Bahaman-Oskooee, Hesam Ghodsi and Muris Hadzic

The purpose of this study is to assess the symmetric and asymmetric impact of a measure of policy uncertainty on house permits issued in each state of the USA.

Abstract

Purpose

The purpose of this study is to assess the symmetric and asymmetric impact of a measure of policy uncertainty on house permits issued in each state of the USA.

Design/methodology/approach

To assess the symmetric effects, the authors use Pesaran et al.’s (2001) linear autoregressive distributed lag (ARDL) approach to error-correction modeling. To assess the asymmetric effects, they rely upon Shin et al.’s (2014) nonlinear ARDL approach to error-correction modeling. Both approaches have the advantage of producing short-run and long-run effects in one step.

Findings

The authors find short-run symmetric effects of policy uncertainty on house permits issued in 22 states that lasted into the long run in three states only. However, the numbers were much higher when they estimated the possibility of asymmetric effects of policy uncertainty. Indeed, they found short-run asymmetric effects in 38 states and long-run asymmetric effects in 18 states.

Originality/value

Some previous studies assessed the effects of a measure of policy uncertainty on house prices. In this paper, the authors extend the same analysis to the supply side of the housing market by assessing the effects of policy uncertainty on house permits in each state of the USA.

Details

International Journal of Housing Markets and Analysis, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1753-8270

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Article
Publication date: 4 February 2021

Yeşim Aliefendioğlu, Harun Tanrivermis and Monsurat Ayojimi Salami

This paper aims to investigate asymmetric pricing behaviour and impact of coronavirus (Covid-19) pandemic shocks on house price index (HPI) of Turkey and Kazakhstan.

Abstract

Purpose

This paper aims to investigate asymmetric pricing behaviour and impact of coronavirus (Covid-19) pandemic shocks on house price index (HPI) of Turkey and Kazakhstan.

Design/methodology/approach

Monthly HPIs and consumer price index (CPI) data ranges from 2010M1 to 2020M5 are used. This study uses a nonlinear autoregressive distributed lag model for empirical analysis.

Findings

The findings of this study reveal that the Covid-19 pandemic exerted both long-run and short-run asymmetric relationship on HPI of Turkey while in Kazakhstan, the long-run impact of Covid-19 pandemic shock is symmetrical long-run positive effect is similar in both HPI markets.

Research limitations/implications

The main limitations of this study are the study scope and data set due to data constraint. Several other macroeconomic variables may affect housing prices; however, variables used in this study satisfy the focus of this study in the presence of data constraint. HPI and CPI variables were made available on monthly basis for a considerably longer period which guaranteed the ranges of data set used in this study.

Practical implications

Despite the limitation, this study provides necessary information for authorities and prospective investors in HPI to make a sound investment decision.

Originality/value

This is the first study that rigorously and simultaneously examines the pricing behaviour of Turkey and Kazakhstan HPIs in relation to the Covid-19 pandemic shocks at the regional level. HPI of Kazakhstan is recognized in the global real estate transparency index but the study is rare. The study contributes to regional studies on housing price by bridging this gap in the real estate literature.

Details

International Journal of Housing Markets and Analysis, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1753-8270

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Article
Publication date: 13 February 2019

Zuby Hasan, Sanjay Dhir and Swati Dhir

The purpose of this paper is to examine the elements of asymmetric motives, i.e., initial cross-border joint venture (CBJV) conditions and relative partner characteristics…

Abstract

Purpose

The purpose of this paper is to examine the elements of asymmetric motives, i.e., initial cross-border joint venture (CBJV) conditions and relative partner characteristics in emerging nations. The two main objectives of the present research are to identify the elements affecting asymmetric motives in Indian bilateral CBJV and to construct modified total interpretive structural modelling (TISM) for the identified elements of asymmetric motives.

Design/methodology/approach

For the current study, the qualitative technique named total interpretive structural modelling was used. The TISM (Sushil, 2012) is a novel extension of interpretive structural modelling (ISM) where ISM helps to understand the “what” and “how” of research (Warfield, 1974) and TISM answers the third question, i.e., “why” in the form of TISM; further checks for the correctness of TISM are given in Sushil (2016). TISM provides a hierarchical model of the elements selected for study and the interpretation of each element by iterative process and also a digraph that systematically depicts the relationship among various elements. TISM is an innovative modelling technique used by researchers in varied fields (Srivastava and Sushil, 2013; Wasuja et al., 2012; Nasim, 2011; Prasad and Suri, 2011). Steps involved in TISM are shown in Figure 1. It uses reachability matrix and partitioning of elements similar to ISM. Also, along with traditional TISM, the modified TISM process was also used where both paired comparisons and transitivity checks were done simultaneously which helped in minimising the redundant comparisons being made in the original process. Furthermore, for identifying the elements of study, SDC Platinum database was used, which was taken from research papers of major journals namely British Journal of Management, Administrative Science Quarterly, Strategic Management Journal, Management Science, Academy of Management Journal and Organization Science (Schilling, 2009). The database included all joint ventures that were formed in India, having India as one of the partner firms during fiscal year April 2000 and March 2010. From these, 361 CBJVs and 76 domestic joint ventures were identified. Although 54 CBJVs were excluded from these, a total number of 307 CBJVs were studied in the current research. Among these 307 CBJVs, 201 were from super-advanced nations (G7), 40 CBJVs from developing nations and 66 CBJVs from other developed nations. As 65 per cent of the CBJVs came from G7 nations (France, Italy, Japan, Canada, Germany, USA and UK), in the current study, we tried to examine Indian CBJVs with G7 partners only for a period of ten years as mentioned above.

Findings

The results of the study indicate that asymmetric motives are directly affected by critical activity alignment and interdependency. Thus, we can conclude that critical activity alignment of partners in CBJV is an antecedent of CBJV motive and thereby minimises the number of asymmetric motives. Bottom level variables such as culture difference and relative capital structure are considered as strong drivers of asymmetric motives. Diversification, resource heterogeneity and inter-partner conflict are middle level elements. Effect of these elements on asymmetric motives can only be improved and enhanced when improvement in bottom level variables is found. It has been believed that as the relative capital structure among firm increases, CBJVs’ asymmetric motives also increase, the reason being that as the difference in capital structure occurs, gradual change in bargaining power will also occur.

Originality/value

TISM used in the present study provides valuable insights into the interrelationship between identified elements through a systematic framework. The methodology of TISM used has its implications for researchers, academicians as well for practitioners. Further study also examines driver-dependent relationship among elements of interest, i.e., relative partner characteristics and initial CBJV conditions by using MICMAC analysis, which can be viewed as a significant step in research related to bilateral CBJV.

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Article
Publication date: 12 July 2021

Wajid Shakeel Ahmed, Muhammad Sohaib, Jamal Maqsood and Ateeb Siddiqui

The purpose of this study is to determine if intraday week (IDW) effect of the currencies reflect leverage and asymmetric impact in currencies market. The study data set…

Abstract

Purpose

The purpose of this study is to determine if intraday week (IDW) effect of the currencies reflect leverage and asymmetric impact in currencies market. The study data set comprises of intraday patterns of 15 currencies from developed and emerging economies.

Design methodology approach

The study applies the exponential generalized autoregressive conditional heteroscedasticity (E-GARCH) model technique to observe the IDW leverage and asymmetric effect after introducing hourly dummies variables, namely, IDWmon, IDWwed, IDWfrid and IDWfrid-mon.

Findings

The study results favor the propositions and confirm that IDW effect do exist in the international forex markets in relation to hourly trading pattern for respective currencies. Mostly, currencies do depreciate on Monday and Wednesday compared to the rest of the days. However, on the last trading day, i.e. Friday currencies observe an appreciation pattern which is for both economies. The results have an evidence of leverage and asymmetric effect confirmed by the E-GARCH model as a result of press releases and influence by micro-factors in the currency markets.

Practical implications

The study believes to have theoretical connection related to the better understanding of currencies trend for developed and emerging economies, as the IDW effect exists. Moreover, confirmation of both the leverage and asymmetric effect in observed currencies would be able to assist the investors in making rational choices during the trading hours and would confirm considerable profits through profit incentivized strategies.

Originality value

The study not only add knowledge to the previous study work in relation to the hourly trading pattern of currencies with reference to the IDW effects but also highlights the leverage and asymmetric effect in currencies that will help in formulating future trading strategies particular to emerging economies.

Details

Journal of Chinese Economic and Foreign Trade Studies, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1754-4408

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Article
Publication date: 13 January 2021

Monsurat Ayojimi Salami

This study aims to critically examine the pricing of Islamic financial assets (Sharīʿah-compliant assets, Sharīʿah-compliant securities, Sharīʿah-compliant financing and…

Abstract

Purpose

This study aims to critically examine the pricing of Islamic financial assets (Sharīʿah-compliant assets, Sharīʿah-compliant securities, Sharīʿah-compliant financing and Sukuk) in the three South-East Asia countries such as Malaysia, Indonesia and Brunei to provide necessary information to the policymakers and Islamic finance investors for making a sound decision.

Design/methodology/approach

This study used secondary data and used the nonlinear autoregressive distributed lags (NARDL) model to estimate the reaction of Islamic financial assets in South-East Asia towards price changes. Wald-test was used to diagnose the final model.

Findings

The result of this study shows that the majority of Islamic financial assets in the three South-East Asia countries exhibit positive and negative long-run effects. The findings reveal a long-run asymmetric relationship that supports rockets and feathers effects. The indication is that Islamic financial assets pricing deviates from weak form EMH. Pricing of Islamic financial assets reveals unfair pricing.

Practical implications

Price adjustment of Islamic financial assets requires urgent attention of policymakers to prevent Sharīʿah non-compliant risk. Therefore, the Shariah advisory board in those countries, Accounting and Auditing Organization for Islamic Financial Institutions and Islamic Financial Services Board are hereby advised to act on the factors that might enable rockets and feathers effects on the pricing of Islamic financial assets, as the long-run asymmetric relationship is established.

Originality/value

This study is novel as it critically and simultaneously examines the pricing behaviour of Islamic financial assets in the three South-East Asian countries. The findings from the study provide vital information on the pricing behaviour of Islamic financial assets to the policymakers and investors.

Details

Journal of Financial Reporting and Accounting, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1985-2517

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Article
Publication date: 8 December 2017

Dimitrios Vortelinos, Konstantinos Gkillas (Gillas), Costas Syriopoulos and Argyro Svingou

The purpose of this paper is to examine the inter-relations among the US stock indices.

Abstract

Purpose

The purpose of this paper is to examine the inter-relations among the US stock indices.

Design/methodology/approach

Data of nine US stock indices spanning a period of sixteen years (2000-2015) are employed for this purpose. Asymmetries are examined via an error correction model. Non-linear inter-relations are researched via Breitung’s nonlinear cointegration, a M-G nonlinear causality model, shocks to the forecast error variance, a shock spillover index and an asymmetric VAR-GARCH (VAR-ABEKK) approach.

Findings

The inter-relations are significant. The results are robust across all types of inter-relations. They are highest in the Lehman Brothers sub-period. Higher stability after the EU debt crisis, enhances independence and growth for the US stock indices.

Originality/value

To the best of the knowledge, this is the first study to examine the inter-relations of US stock indices. Most studies on inter-relations concentrate on the portfolio analysis to reveal diversification benefits among various asset markets internationally. Hence this study contributes to this literature on the inter-relations of a specific asset market (stock), and in a specific nation (USA). The evident inter-relations support the notion of diversification benefits in the US stock markets.

Details

International Journal of Managerial Finance, vol. 14 no. 1
Type: Research Article
ISSN: 1743-9132

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Article
Publication date: 10 May 2019

Anwar Hasan Abdullah Othman, Syed Musa Alhabshi and Razali Haron

This paper aims to examine whether the crypto-currencies’ market returns are symmetric or asymmetric informative, through analysing the daily logarithmic returns of…

Abstract

Purpose

This paper aims to examine whether the crypto-currencies’ market returns are symmetric or asymmetric informative, through analysing the daily logarithmic returns of bitcoin currency over the period of 2011-2017.

Design/methodology/approach

In doing so, the symmetric informative analysis is estimated by applying the generalised auto-regressive conditional heteroscedasticity (GARCH) (1,1) model, whereas asymmetric informative or leverage effects analysis is estimated by exponential GARCH (1,1), asymmetric power ARCH (1,1) and threshold GARCH (1,1) models. In addition, the generalized autoregressive conditional heteroskedasticity in mean (GARCH-M (1,1)) was applied to examine whether the risk-return trade-off phenomenon was persistent in crypto-currencies market.

Findings

The main findings indicate that bitcoin market return or volatility is symmetric informative and has a long memory to persist in the future. Furthermore, the sympatric volatility is found to be more sensitive to its past values (lagged) than to the new shock of the market values. However, asymmetric informative response of volatility to the negative and the positive shocks do not exist in the bitcoin market or, in other words, there is no leverage effect. This suggests that the bitcoin market is in harmony with the efficient market hypothesis (EMH) with respect to the asymmetric information and violated the EMH with regard to the symmetric information. Hence, the market price or return of bitcoin currency could not be predicted by simply exercising such past market information in the short-run investment. In addition, the estimated coefficient of conditional variance or risk premium (λ) in the mean equation of CHARCH–M (1,1) model is positive however, statistically insignificant. This indicates the absence of risk-return trade-off, in which case the higher market risk will not essentially lead to higher market returns. This paper has proposed that an investment in the crypto-currency market is more appropriate for risk-averse investors than risk takers.

Originality/value

The findings of the study will provide investors with necessary information about the bitcoin market price efficiency, hedging effectiveness and risk management.

Details

Journal of Financial Economic Policy, vol. 11 no. 3
Type: Research Article
ISSN: 1757-6385

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