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1 – 10 of 351Vikas Ghute and Mahesh Deshpande
The paper aims to identify the effect of ignorance of correlatedness among process observations and to implement new sampling schemes; skip and mixed sampling, in order to reduce…
Abstract
Purpose
The paper aims to identify the effect of ignorance of correlatedness among process observations and to implement new sampling schemes; skip and mixed sampling, in order to reduce the effect of autocorrelation on process capability index (PCI)
Design/methodology/approach
Autocorrelated observations are generated using autoregressive process of order two (AR (2)) using Monte Carlo simulations. The PCI is computed based on these observations assuming the independence. The skip and mixed sampling schemes are then used to form sub-groups among correlated observations. The PCI obtained using sub-groups from skip and mixed sampling schemes are assessed using sample mean and sample standard deviation.
Findings
The paper provides empirical insights into how the effect of autocorrelation decreases in the estimated value of PCI
Originality/value
This paper fulfills an identified need to study how to reduce the effect of autocorrelation on PCI
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Amogelang Marope and Andrew Phiri
The purpose of this study is to quantify the impact of electricity power outages on the local housing market in South Africa.
Abstract
Purpose
The purpose of this study is to quantify the impact of electricity power outages on the local housing market in South Africa.
Design/methodology/approach
This study uses the autoregressive distributive lag (ARDL) and quantile autoregressive distributive lag (QARDL) models on annual time series data, for the period 1971–2014. The interest rate, real income and inflation were used as control variables to enable a multivariate framework.
Findings
The results from the ARDL model show that real income is the only factor influencing housing price over the long run, whereas other variables only have short-run effects. The estimates from the QARDL further reveal hidden cointegration relationship over the long run with higher quantile levels of distribution and transmission losses raising the residential price growth.
Research limitations/implications
Overall, the findings of this study imply that the South African housing market is more vulnerable to property devaluation caused by power outages over the short run and yet remains resilient to loadshedding over the long run. Other macro-economic factors, such as real income and inflation, are more influential factors towards long-run developments in the residential market.
Originality/value
To the best of the authors’ knowledge, this is the first study to examine the empirical relationship between power outages and housing price growth.
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This paper aims to measure the trade price impact of a recent regulatory disclosure intervention in municipal securities secondary markets, which required broker-dealers to…
Abstract
Purpose
This paper aims to measure the trade price impact of a recent regulatory disclosure intervention in municipal securities secondary markets, which required broker-dealers to disclose securities trading information on a near-real-time and continuing basis.
Design/methodology/approach
The author analyzes trade price outcomes in the preintervention and postintervention regimes using a suite of time series estimations that give heteroskedasticity-robust standard errors (Prais–Winsten and Cochrain–Orcutt), accommodate higher-order lag structure in the error term (autoregressive integrated moving average) and account for volatility clustering in the time series (generalized autoregressive conditional heteroskedasticity).
Findings
Results show that regulatory disclosure intervention significantly improved trade price efficiency in municipal securities secondary markets as daily trade price differential and volatility both declined market-wide after the disclosure intervention.
Research limitations/implications
The sample consists of trades in State of California general obligation bonds; therefore, empirical findings may not be generalizable to other states, local governments and different types of bonds.
Practical implications
The findings highlight voluntary information disclosure as a practical and effective mechanism in disclosure regulation of municipal securities secondary markets.
Originality/value
Only a small body of work exists that examines information disclosure regulation in municipal securities secondary markets; therefore, this paper expands knowledge on the topic and should provide renewed impetus for regulatory efforts aimed at improving the efficiency of municipal capital markets.
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Irina Alexandra Georgescu, Simona Vasilica Oprea and Adela Bâra
The COVID-19 pandemic and the onset of the conflict in Ukraine led to a sustained downturn in tourist arrivals (TA) in Russia. This paper aims to explore the influence of…
Abstract
Purpose
The COVID-19 pandemic and the onset of the conflict in Ukraine led to a sustained downturn in tourist arrivals (TA) in Russia. This paper aims to explore the influence of geopolitical risk (GPR) and other indices on TA over 1995–2023.
Design/methodology/approach
We employ a nonlinear autoregressive distributed lag (NARDL) model to analyze the effects, capturing both the positive and negative shocks of these variables on TA.
Findings
Our research demonstrates that the NARDL model is more effective in elucidating the complex dynamics between macroeconomic factors and TA. Both an increase and a decrease in GPR lead to an increase in TA. A 1% negative shock in GPR leads to an increase in TA by 1.68%, whereas a 1% positive shock in GPR also leads to an increase in TA by 0.5%. In other words, despite the increase in GPR, the number of tourists coming to Russia increases by 0.5% for every 1% increase in that risk. Several explanations could account for this phenomenon: (1) risk-tolerant tourists: some tourists might be less sensitive to GPR or they might find the associated risks acceptable; (2) economic incentives: increased risk might lead to a depreciation in the local currency and lower costs, making travel to Russia more affordable for international tourists; (3) niche tourism: some tourists might be attracted to destinations experiencing turmoil, either for the thrill or to gain firsthand experience of the situation; (4) lagged effects: there might be a time lag between the increase in risk and the actual impact on tourist behavior, meaning the effects might be observed differently over a longer period.
Originality/value
Our study, employing the NARDL model and utilizing a dataset spanning from 1995 to 2023, investigates the impact of GPR, gross domestic product (GDP), real effective exchange rate (REER) and economic policy uncertainty (EPU) on TA in Russia. This research is unique because the dataset was compiled by the authors. The results show a complex relationship between GPR and TA, indicating that factors influencing TA can be multifaceted and not always intuitive.
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Richa Patel, Dipti Ranjan Mohapatra and Sunil Kumar Yadav
This study presents time-series data estimations on the association between the indicators of institutional environment and inward foreign direct investment (FDI) in India…
Abstract
Purpose
This study presents time-series data estimations on the association between the indicators of institutional environment and inward foreign direct investment (FDI) in India utilizing a comprehensive data set from 1996 to 2021.
Design/methodology/approach
The study employs the nonlinear autoregressive distributive lag (NARDL) model. The asymmetric ARDL framework evaluates the existence of cointegration among the factors under study and highlights the underlying nonlinear effects that may exist in the long and short run.
Findings
The significance of coefficients of negative shock to “control of corruption” and positive shock to “rule of law” is greater when compared to “government effectiveness, regulatory quality, political stability/absence of violence.” The empirical outcomes suggest the positive influence of rule of law, political stability and government effectiveness on FDI inflows. A high “regulatory quality” is observed to deter foreign investment. The “voice and accountability” index and negative shocks to the “rule of law” are exhibited to have no substantial impact on the amount of FDI that the country receives.
Originality/value
This study empirically examines the institutional determinants of FDI in India for a comprehensive period of 1996–2021. The study's findings imply that quality of the institutional environment has a significant bearing on India's inward FDI.
Peer review
The peer review history for this article is available at: https://publons.com/publon/10.1108/IJSE-05-2023-0375
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Olumide O. Olaoye and Mulatu F. Zerihun
The study investigates the effectiveness of government policies to mitigate the impact of a pandemic. The study adopts the small open economy of Nigeria for the following reasons…
Abstract
Purpose
The study investigates the effectiveness of government policies to mitigate the impact of a pandemic. The study adopts the small open economy of Nigeria for the following reasons. First, Nigeria is the largest economy in SSA. Second, Nigeria was also significantly impacted by the COVID-19 pandemic.
Design/methodology/approach
The study employed the time-varying structural autoregressive (TVSVAR) model to control for the potential asymmetry in fiscal variables and to control for the shift in the structural shift, following a macroeconomic shock. As a form of robustness, the study also implements the time-varying Granger causality to formally assess the temporal instability of the variable of interest.
Findings
The results show that an oil price shock is an important source of macroeconomic instability in Nigeria. Importantly, the results indicate that the effects of fiscal policy are strongly time varying. Specifically, the results show that fiscal policy helps to stabilize the economy, (i.e. they help to reduce inflation and spur output growth) following macroeconomic shock. Further, the Granger test shows that fiscal policy helped to spur growth in Nigeria. The research and policy implications are discussed.
Originality/value
The study accounts for the time-varying effects of fiscal policy.
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Md. Saiful Islam and Abul Kalam Azad
Personal remittance and ready-made garments (RMG) export incomes have emerged as the largest source of foreign income for Bangladesh's economy. The study investigates their impact…
Abstract
Purpose
Personal remittance and ready-made garments (RMG) export incomes have emerged as the largest source of foreign income for Bangladesh's economy. The study investigates their impact on income inequality and gross domestic product (GDP) as a control variable, using time-series yearly data from 1983 to 2018.
Design/methodology/approach
It employs the Autoregressive Distributed Lag (ARDL) estimation and the Toda-Yamamoto (T-Y) causality approach. The ARDL estimation outcomes confirm a long-run association among the above variables and validate the autoregressive characteristic of the model.
Findings
Personal remittances positively contribute to reducing the income gap among the people of the society and declining income inequality. In contrast, RMG export income and economic growth contribute to further income inequality. The T-Y causality analysis follows the ARDL estimation outcomes and authenticates their robustness. It reveals a feedback relationship between remittance inflow and the Gini coefficient, unidirectional causalities from RMG export income to income inequality and economic growth to income inequality.
Research limitations/implications
The finding has important policy implications to limit the income gaps between low and high-income groups by channeling incremental income to the lower-income group people. The policymakers may facilitate further international migration to attract further remittances and may upgrade the minimum wage of the RMG workers.
Originality/value
The study is original. As far as the authors' knowledge goes, this is a maiden attempt to investigate the impact of personal remittances and RMG export income on income disparity in the case of Bangladesh.
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Mohammad Rifat Rahman, Md. Mufidur Rahman, Athkia Subat and Tanzika Imam Tarin
This study empirically aims to examine the relationship between Bangladesh’s pharmaceutical industry growth and macroeconomic indicators such as the inflation rate, gross domestic…
Abstract
Purpose
This study empirically aims to examine the relationship between Bangladesh’s pharmaceutical industry growth and macroeconomic indicators such as the inflation rate, gross domestic product (GDP) growth, foreign direct investment (FDI) inflows, exchange rate and export growth through the long- and short-run relationship.
Design/methodology/approach
Using the time series data from 1986 to 2020, this study was developed based on the autoregressive distributed lag (ARDL) framework for co-integration. In contrast, the Toda–Yamamoto Granger Causality approach was also used for finding the direction of causality.
Findings
This study used the ARDL bounds test, which found strong co-integration among the variables, indicating a long-term relationship between them. In the long run, inflation, exchange rate and export growth significantly positively influence the pharmaceutical industry’s growth. Surprisingly, an FDI inflow has a negative impact. In the short term, the exchange rate and GDP growth were found to influence the growth of the pharmaceutical industry positively. Bidirectional causality between the growth of the pharmaceutical industry and the exchange rate was also identified using the Granger causality approach.
Research limitations/implications
This paper emphasizes developing the policy as well as making concrete decisions regarding the development of the pharmaceutical industry and economic development in Bangladesh. The results also highlight the necessity for strategic macroeconomic management to support this sector’s long-term development and global competitiveness.
Originality/value
To the best of the authors’ knowledge, this paper is conducted to identify the short- and long-run relationship of pharmaceutical industry development with the economic indicators and progress, where no study has been found on this dimension.
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Jeunesse Noumga, Flavian Emmanuel Sapnken, Aubin Kinfack Jeutsa and Jean Gaston Tamba
This research paper aims to examine the asymmetric impact of income and price on household consumption of kerosene in Cameroon.
Abstract
Purpose
This research paper aims to examine the asymmetric impact of income and price on household consumption of kerosene in Cameroon.
Design/methodology/approach
The methodological approach consists of testing for stationarity using the augmented Dickey–Fuller and Andrews and Zivot tests, determining cointegration using nonlinear autoregressive distributed lag (NARDL) test approach and finally examining asymmetry using the Wald test.
Findings
Results of the stationarity tests reveal that variables are all integrated of order less than two I(2). The NARDL approach indicates that the (positive and negative) income shock and the positive price boom negatively influence consumption in the long- and short-run. The same is true for the negative price shock, but the latter remains insignificant. Furthermore, the Wald test carried out in the study confirms that the cumulative effects of the positive and negative income and price shocks are asymmetric.
Originality/value
The increase in the price of kerosene due to the lifting of subsidies has led to a decrease in household consumption and an unfortunate increase in the loss of tree cover in Cameroon. According to the results, this phenomenon will persist even if the price is reduced. Actions aimed at reducing its production at the expense of liquefied petroleum gas, electricity and renewable energy should be encouraged to limit the loss of vegetation cover. Thus, this study could contribute to solving the problem of deforestation and desertification in Cameroon.
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Pramath Nath Acharya, Srinivasan Kaliyaperumal and Rudra Prasanna Mahapatra
In the research of stock market efficiency, it is argued that the stock market moves randomly and absorbs all the available information. As a result, it is quite impossible to…
Abstract
Purpose
In the research of stock market efficiency, it is argued that the stock market moves randomly and absorbs all the available information. As a result, it is quite impossible to make predictions about the possible future movement by the investors. But literatures have detected certain calendar anomalies where a day(s) in a week or month(s) in a year or a particular event in a year becomes conducive for investors to earn more than the normal. Hence, the purpose of this study is to find out the month of the year effect in the Indian stock market.
Design/methodology/approach
In this study, daily time series data of Sensex and Nifty from 1996 to 2021 is used. The study uses month dummies to capture the effect. Different variants of generalised autoregressive conditional heteroskedasticity (GARCH) models, both symmetric and asymmetric, are used in the study to model the conditional volatility in the presence month effect.
Findings
This study found the September effect in the return series of both the stock market. Apart from that, asymmetric GARCH models are found to be the best fit model to estimate conditional volatility.
Originality/value
This study is an endeavour to study month of the year effect in the Indian context. This research will provide valuable insight for studying the different calendar anomalies.
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