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1 – 10 of over 18000Unggul Heriqbaldi, Miguel Angel Esquivias, Rossanto Dwi Handoyo, Alfira Cahyaning Rifami and Hilda Rohmawati
This paper aims to examine whether Indonesian cross-border trade responds asymmetrically to exchange rate volatility (ERV).
Abstract
Purpose
This paper aims to examine whether Indonesian cross-border trade responds asymmetrically to exchange rate volatility (ERV).
Design/methodology/approach
An exponential generalized autorgressive conditional heteroscedasticity model is applied to estimate the ERV of Indonesia and ten main trade partners using quarterly data from 2006 to 2020. A nonlinear autoregressive distributed lag estimation is applied to estimate the impact of ERV on cross-border trade. Impacts from the global financial crisis (GFC) of 2008 and the COVID-19 pandemic are covered. Dynamic panel data is used for the robustness test.
Findings
In the short-run, ERV significantly affects exports to most of the top partners (positively, negatively or both). In the long run, asymmetric effects occur in Indonesia’s exports to five top destinations. The weakening of the Indonesian Rupiah mainly supports exports in the short term. Imports from top partners are also affected by ERV in both the short run and, to a lesser extent, in the long run. Both the GFC and the COVID-19 pandemic reduced trade: for most cases, in the short run. The dynamic panel model suggests that ERV has asymmetric impact on cross-border trade in the long run.
Practical implications
Exchange rate strategies need to avoid a single-side policy approach and, instead, account for exporter and importer differences in risk behaviour and an asymmetric response to ERV in trade. Policymakers need to consider policies that stabilise the currency.
Originality/value
This study provides evidence that cross-border trade can react asymmetrically to the exchange rate uncertainty and that the impacts of real ERV are asymmetric as well. The authors also apply a dynamic panel that signals that ERV matters in the long run for Indonesian trade with top partners.
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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 the…
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.
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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 stock…
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.
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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 of…
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.
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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.
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Jong Min Kim, Jiahao Liu and Keeyeon Ki-cheon Park
This study aims to explore how the “new normal” induces the dynamics in the asymmetric relationship between service quality attributes and customer satisfaction.
Abstract
Purpose
This study aims to explore how the “new normal” induces the dynamics in the asymmetric relationship between service quality attributes and customer satisfaction.
Design/methodology/approach
This study analyzes online reviews for hotels in New York City. The authors use multi-attribute models to examine how a situational factor – the COVID-19 outbreak – creates dynamics in the asymmetric effect of service quality attributes on customer satisfaction. Then, the authors examine the change in these dynamics over time after adjusting to the “new normal.”
Findings
The COVID-19 pandemic has introduced dynamics into the asymmetrical relationship between hotel service attribute performances and customer satisfaction. The pandemic magnified the asymmetric influences of particular attributes on satisfaction in the hospitality industry. In addition, the findings indicate the changes in such dynamics over time.
Practical implications
The findings emphasize that hotel managers should consider situational factors when understanding customer satisfaction. Particularly, this study suggests developing tailored strategies for responses during the COVID-19 pandemic. Hotel managers need to address changing customer expectations of service attributes to overcome unprecedented difficulties because of the limitations and new needs imposed during the pandemic.
Originality/value
This study contributes to the hospitality literature with an understanding of the significance of situational factors in asymmetric analysis.
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Clement Olalekan Olaniyi and Nicholas M. Odhiambo
This study examines the roles of cross-sectional dependence, asymmetric structure and country-to-country policy variations in the inflation-poverty reduction causal nexus in…
Abstract
Purpose
This study examines the roles of cross-sectional dependence, asymmetric structure and country-to-country policy variations in the inflation-poverty reduction causal nexus in selected sub-Saharan African (SSA) countries from 1981 to 2019.
Design/methodology/approach
To account for cross-sectional dependence, heterogeneity and policy variations across countries in the inflation-poverty reduction causal nexus, this study uses robust Hatemi-J data decomposition procedures and a battery of second-generation techniques. These techniques include cross-sectional dependency tests, panel unit root tests, slope homogeneity tests and the Dumitrescu-Hurlin panel Granger non-causality approach.
Findings
Unlike existing studies, the panel and country-specific findings exhibit several dimensions of asymmetric causality in the inflation-poverty nexus. Positive inflationary shocks Granger-causes poverty reduction through investment and employment opportunities that benefit the impoverished in SSA. These findings align with country-specific analyses of Botswana, Cameroon, Gabon, Mauritania, South Africa and Togo. Also, a decline in poverty causes inflation to increase in the Congo Republic, Madagascar, Nigeria, Senegal and Togo. All panel and country-specific analyses reveal at least one dimension of asymmetric causality or another.
Practical implications
All stakeholders and policymakers must pay adequate attention to issues of asymmetric structures, nonlinearities and country-to-country policy variations to address country-specific issues and the socioeconomic problems in the probable causal nexus between the high incidence of extreme poverty and double-digit inflation rates in most SSA countries.
Originality/value
Studies on the inflation-poverty nexus are not uncommon in economic literature. Most existing studies focus on inflation’s effect on poverty. Existing studies that examine the inflation-poverty causal relationship covertly assume no asymmetric structure and nonlinearity. Also, the issues of cross-sectional dependence and heterogeneity are unexplored in the causal link in existing studies. All panel studies covertly impose homogeneous policies on countries in the causality. This study relaxes this supposition by allowing policies to vary across countries in the panel framework. Thus, this study makes three-dimensional contributions to increasing understanding of the inflation-poverty nexus.
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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.
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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 comprises…
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.
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Ishfaq Nazir Khanday, Md. Tarique, Inayat Ullah Wani and Muzffar Hussain Dar
The primary objective of the paper is to examine the asymmetric Cointegration and asymmetric causality between financial development and poverty alleviation on annual data in…
Abstract
Purpose
The primary objective of the paper is to examine the asymmetric Cointegration and asymmetric causality between financial development and poverty alleviation on annual data in Indian context over the period from 1980 to 2019.
Design/methodology/approach
First nonlinearity test by Brooks et al. (1999) is applied to ascertain the nonlinear behavior of the variables used. Once the nonlinear behavior of variables is confirmed, asymmetric and nonlinear unit root tests by Kapetanios and Shin (2008) are applied to check for the order of integration of selected variables. Next, nonlinear autoregressive distributed lag model (NARDL) is employed to analyze the asymmetric Cointegration. Finally, Hatemi-j- asymmetric causality tests is applied to work out the direction of asymmetric causality.
Findings
The empirical findings document the existence of asymmetries in the short-run as well as long-run between poverty and financial development. The asymmetry reveals that negative financial development shocks leave a more profound impact on poverty alleviation than their positive equivalents. The findings of Wald's test also confirm the presence of asymmetric Cointegration. The asymmetric cumulative dynamic multipliers used to examine the behavior of asymmetries and adjustments with respect to time lend credence to the results calculated using NARDL estimator. This result exhibits the robustness of the model. Furthermore, the result emanating from recently introduced asymmetric causality test reveals a unidirectional asymmetric causality between negative shocks in financial development and poverty. The findings of the present study necessitate the need for investigating asymmetric and nonlinear effects in finance–poverty nexus, which existent literature has completely neglected, in order to have relevant policy conclusions.
Research limitations/implications
The study used “Per capita consumption expenditure” as a measure for poverty due to lack of continuous time series data on headcount ratio. In future, researchers can extend this study by incorporating headcount ratio as a measure of poverty in their respective works. There is further scope of research on this issue by finding out the impact of formal and informal sources of credit on poverty separately. A panel data study for developing countries over a period of time could further confirm/negate the findings of the present study.
Originality/value
To the best of the authors’ knowledge none of the studies in Indian context has scrutinized asymmetric and nonlinear impact of financial development on poverty. To dredge up asymmetric structures at work, the authors have used the highly celebrated NARDL estimator. To enrich the existent body of knowledge along the lines of asymmetric (nonlinear) linkages, the authors have also used recently introduced asymmetric causality test by Hatemi-j-(2012) to find out the direction asymmetric causality.
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