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Article
Publication date: 5 October 2020

Satish Kumar, Riza Demirer and Aviral Kumar Tiwari

This study aims to explore the oil–stock market nexus from a novel angle by examining the predictive role of oil prices over the excess returns associated with the market…

Abstract

Purpose

This study aims to explore the oil–stock market nexus from a novel angle by examining the predictive role of oil prices over the excess returns associated with the market, size, book-to-market and momentum factors via bivariate cross-quantilograms.

Design/methodology/approach

This study makes use of the bivariate cross-quantilogram methodology recently developed by Han et al. (2016) to analyze the predictability patterns across the oil and stock markets by focusing on various quantiles that formally distinguish between normal, bull and bear as well as extreme market states.

Findings

The study analysis of systematic risk premia across the four regions shows that crude oil returns indeed capture predictive information regarding excess factor returns in stock markets, particularly those associated with market, size and momentum factors. However, the predictive power of oil return over excess factor returns is asymmetric and primarily concentrated on extreme quantiles, suggesting that large fluctuations in oil prices capture markedly different predictive information over stock market risk premia during up and down states of the oil market.

Practical implications

The findings have significant implications for the profitability of factor- or style-based active portfolio strategies and suggest that the predictive information contained in oil market fluctuations could be used to enhance returns via conditional strategies based on these predictability patterns.

Originality/value

This study contributes to the vast literature on the oil–stock market nexus from a novel perspective by exploring the effect of oil price fluctuations on the risk premia associated with the systematic risk factors including market, size, value and momentum.

Details

Studies in Economics and Finance, vol. 37 no. 4
Type: Research Article
ISSN: 1086-7376

Keywords

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Article
Publication date: 22 May 2020

Rajesh Pathak, Ranjan Das Gupta, Cleiton Guollo Taufemback and Aviral Kumar Tiwari

This paper aims to examine the weak form of efficiency for price series of four precious metals, i.e. gold, silver, platinum and palladium, using a generalized spectral method.

Abstract

Purpose

This paper aims to examine the weak form of efficiency for price series of four precious metals, i.e. gold, silver, platinum and palladium, using a generalized spectral method.

Design/methodology/approach

The method has the advantage of detecting both linear and non-linear serial dependence in the conditional mean, and it is robust to various forms of conditional heteroscedasticity. The authors use three different rolling windows for the purpose of robustness.

Findings

The authors report weak form of efficiency across metals series for almost all rolling windows. The optimum efficiency for Gold and Palladium is achieved through 250 days rolling window estimates whereas it is 500 days rolling window for silver. Platinum has similar efficiency levels across rolling windows. The degree of efficiency for metal prices is observed to be varying over time with silver market possessing highest levels of efficiency. The efficiency synchronization also varies across rolling windows and metals.

Research limitations/implications

The results reveal that metal markets are efficient for most times implying the low predictability and the low likelihood of earning abnormal returns by speculating in these markets.

Originality/value

The study uses a relatively new statistical technique, the generalized spectral test, to capture linear and non-linear serial dependence. Therefore, the results possess adequate power against departure from market efficiency.

Details

Studies in Economics and Finance, vol. 37 no. 2
Type: Research Article
ISSN: 1086-7376

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Article
Publication date: 4 May 2021

Amit Shankar, Aviral Kumar Tiwari and Manish Gupta

This study aims at identifying critical success factors of a sustainable mobile banking application using text mining approach.

Abstract

Purpose

This study aims at identifying critical success factors of a sustainable mobile banking application using text mining approach.

Design/methodology/approach

A total of 6,073 consumer reviews relating to a mobile banking application were collected and analyzed to meet the study objective. Latent Semantic Analysis (LSA) was done to identify the critical success factors of a sustainable mobile banking application.

Findings

The results indicated that privacy and security, navigation, customer support, convenience and efficiency are the key factors.

Research limitations/implications

The study findings enrich the mobile banking and sustainable service delivery channel literature.

Practical implications

The results are expected to benefit the bankers in delivering effective banking services through a mobile banking application.

Originality/value

Studies in the sustainability are few yet promising particularly the ones that use rigorous statistics suitable on thousands of data points to accomplish the study objectives.

Details

Journal of Enterprise Information Management, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1741-0398

Keywords

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Article
Publication date: 19 March 2021

Rabeh Khalfaoui, Aviral Kumar Tiwari, Faisal Alqahtani, Shawkat Hammoudeh and Suleman Sarwar

This study aims to investigate the dynamic co-movement and interconnection among 69 security investment indices in China using the multi-time scale framework.

Abstract

Purpose

This study aims to investigate the dynamic co-movement and interconnection among 69 security investment indices in China using the multi-time scale framework.

Design/methodology/approach

The authors first use the multiple coherence analysis method to exhibit the degree of relationships among the variables under study. In addition, the wavelet multiple correlation and wavelet multiple cross-correlation analyses are used to examine the time-frequency synchronization interdependence structure among the variables.

Findings

From the empirical findings, one may infer less opportunity for portfolio diversification at higher time scales. Obviously, at these scales, the authors find that the 69 Chinese investment indices generate a simple security investment class, as indicated by higher interconnection between the indices.

Research limitations/implications

Further research can increase the sample size to re-investigate the empirical relationship for security investment indices.

Practical implications

In the nutshell, the results demonstrate the potential for Chinese investors to invest in security investment indices to earn from portfolio diversification at lower time frequencies. The Chinese investment market indices under study yield further opportunities of portfolio diversification toward the short-term investors than the long-term investors.

Originality/value

To the best of the authors’ knowledge, this is the first paper to examine the dynamic co-movement and interconnection for security investment indices in China.

Details

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

Keywords

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Article
Publication date: 11 June 2018

Subhendu Datta, Aviral Kumar Tiwari and C.S. Shylajan

According to the 70th round of the National Sample Survey published by the Government of India in 2014, the incidence of indebtedness among households in the rural areas…

Abstract

Purpose

According to the 70th round of the National Sample Survey published by the Government of India in 2014, the incidence of indebtedness among households in the rural areas of Telangana state, India, is twice that of rural all-India. Around 59 per cent of rural households are indebted in Telangana as against 31 per cent all-India. The purpose of this paper is to examine the extent and magnitude of indebtedness among rural households in the Medak district of Telangana state. Further, the authors wanted to identify the sources of credit to these households and for what purpose the loans were utilised.

Design/methodology/approach

To achieve the objective, the authors conducted a primary-level household survey in one of the distressed districts in newly formed state. The authors applied the Bayesian and the Lasso regression methods to identify the factors that impact indebtedness of a household.

Findings

The OLS results based on the Lasso regression results show that among all the explanatory variables, principal occupation, use of modern technology, the rate of interest, household medical expenditure and source of loan are significant, indicating that these variables significantly affect the loan taken by the farmers in the study area. The study shows that alternative sources of non-farm income and promotion of modern technology in agriculture can reduce the incidence of farmers’ indebtedness in India.

Originality/value

The paper contains significant information with regard to indebtedness. It focusses on the issue troubling the authorities the most. It provides the ground realities of the incidence of indebtedness in Medak, one of the most distressed districts of Telangana, a Southern Indian state. There have been very few similar studies done in the newly formed state. The paper has employed an advanced statistical technique, i.e. Heckman’s selection regression technique, to study farmers’ indebtedness in India. It provides a means of correcting for non-randomly selected samples, which otherwise can lead to erroneous conclusions and poor policy.

Details

International Journal of Social Economics, vol. 45 no. 6
Type: Research Article
ISSN: 0306-8293

Keywords

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Article
Publication date: 9 April 2020

Aviral Kumar Tiwari, Christophe André and Rangan Gupta

Assessing the strength and time variation of spillovers between returns on residential real estate, real estate investment trusts (REITs), stocks and bonds in the United…

Abstract

Purpose

Assessing the strength and time variation of spillovers between returns on residential real estate, real estate investment trusts (REITs), stocks and bonds in the United States. Spillovers reduce the benefits of portfolio diversification, especially in crisis times, when asset returns tend to be more correlated.

Design/methodology/approach

The Diebold–Yilmaz approach in the time domain and the Baruník–Krehlík methodology in the frequency domain are used. The latter allows distinguishing spillovers generating only short-lived volatility from those with a more persistent effect.

Findings

On average, spillovers between housing, stock and bond returns are relatively modest and shocks to stock and bond markets affect housing returns more than the other way round, even though with variations over time. Spillovers in both directions are much stronger between REITs and stocks than between REITs and housing. Shocks originating in the housing market are most persistent, particularly in the aftermath of the subprime crisis.

Practical implications

Housing provides a hedge against volatility in financial (including REITs) markets. However, hedging strategies involving housing need to take into account potential tail events such as the GFC and the investment horizon.

Originality/value

To the best of the knowledge of the authors, this paper is the first to apply the Baruník–Krehlík methodology to real estate price spillovers. Although the Diebold–Yilmaz methodology has been used in several studies on spillovers between residential real estate and financial asset returns, this paper covers a new set of variables and time span.

Details

Journal of Property Investment & Finance, vol. 38 no. 6
Type: Research Article
ISSN: 1463-578X

Keywords

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Article
Publication date: 3 October 2016

David G. McMillan and Aviral Kumar Tiwari

This paper seeks to examine the nature of spillovers between output and stock prices using both a long annual time series spanning 200 years and a shorter but quarterly…

Abstract

Purpose

This paper seeks to examine the nature of spillovers between output and stock prices using both a long annual time series spanning 200 years and a shorter but quarterly observed data set.

Design/methodology/approach

The authors’ particular interest is to examine both the time-varying nature of the spillovers and spillovers across the frequency using wavelet analysis.

Findings

The results reveal an interesting detail that is missed when considering spillovers for the raw data. Using annual long run data, spillovers in the raw data are in the order of approximately 10 per cent for stocks to output and 25 per cent for output to stocks. But this increases up to 50 per cent and above (in both directions) when considering different frequencies. Similar results are reported with the quarterly data, although the differences between the raw data and the wavelets are smaller in nature. Finally, output explains more of the variation in stocks than stocks explains in output.

Originality/value

The nature of these results is important for policy-makers, market participants and academics alike, while the use of wavelets provides information across different frequencies.

Details

Studies in Economics and Finance, vol. 33 no. 4
Type: Research Article
ISSN: 1086-7376

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Article
Publication date: 28 January 2014

Olayeni Olaolu Richard and Aviral Kumar Tiwari

The present study aims to analyse the sustainability of the trade deficits in the Association of Southeast Asian Nations (ASEAN)-5 countries using panel framework during…

Abstract

Purpose

The present study aims to analyse the sustainability of the trade deficits in the Association of Southeast Asian Nations (ASEAN)-5 countries using panel framework during the period from 1965 to 2011.

Design/methodology/approach

The paper applied a battery of first- and second-generation panel unit root tests and Pedroni's, Kao and Chiang's, Westerlund, and Di Iorio and Fachin cointegration tests to achieve the objective.

Findings

The paper found the evidence of sustainable trade deficit in ASEAN-5 countries while utilizing panel unit root tests as well as panel cointegration tests.

Research limitations/implications

The findings have important macroeconomic policies implication for ASEAN-5 countries that these policies had been effective in leading exports and imports to long-run steady-state equilibrium relationship among the ASEAN-5 countries.

Originality/value

The main contribution of the paper is to show that the macroeconomic policies of ASEAN-5 countries had been effective in leading exports and imports to long-run steady-state equilibrium relationship. To the authors' best knowledge, in this area, this is the first study in the panel framework for ASEAN countries.

Details

Journal of Chinese Economic and Foreign Trade Studies, vol. 7 no. 1
Type: Research Article
ISSN: 1754-4408

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Article
Publication date: 1 January 2013

Aviral Kumar Tiwari

The purpose of this paper is to examine the long‐run sustainability of trade deficits for the ASEAN‐five economies, viz., Indonesia, Malaysia, the Philippines, Myanmar and…

Abstract

Purpose

The purpose of this paper is to examine the long‐run sustainability of trade deficits for the ASEAN‐five economies, viz., Indonesia, Malaysia, the Philippines, Myanmar and Thailand, in the presence of structural breaks.

Design/methodology/approach

It utilizes the Saikkonen and Lütkepohl cointegration procedure, allowing for structural breaks in the series. To determine endogenous structural breaks, the Lanne et al. unit root test is applied.

Findings

The study confirms a long run relation between exports and imports for Indonesia, Myanmar and Thailand; and finds sustainable long‐run trade deficit only for Myanmar.

Research limitations/implications

The results suggest that macroeconomic policies in Myanmar have been sustainable and effective in leading exports and imports to the long‐run steady state equilibrium. However, the paper did not find cointegration between exports and imports for Malaysia and the Philippines. This result suggests that macroeconomic policies have failed to establish; a long‐run equilibrium; and sustainable external (import and export) balance. For Indonesia and Thailand while the macroeconomic policies may give the appearance of being effective in establishing a long‐run equilibrium, the relation may not be sustainable, however.

Originality/value

The paper finds that despite the presence of structural breaks, Myanmar represents the only economy among the ASEAN‐five that is on a long‐run sustainable trade deficit. To the author's knowledge this the only work that examines sustainability of trade deficits using time series techniques that incorporates structural breaks in the context of ASEAN‐five with implication for trade openness policy. From that perspective the work can be seen as an original contribution to the literature.

Details

International Journal of Social Economics, vol. 40 no. 1
Type: Research Article
ISSN: 0306-8293

Keywords

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Article
Publication date: 7 January 2014

Aviral Kumar Tiwari and K.G. Suresh

This study aims to examine the stationarity characteristics of per capita GDP of 17 Asian countries and subpanels for South Asia, East Asia, and high income Asian…

Abstract

Purpose

This study aims to examine the stationarity characteristics of per capita GDP of 17 Asian countries and subpanels for South Asia, East Asia, and high income Asian countries in nonlinear framework.

Design/methodology/approach

The authors employed a recently developed nonlinear panel unit root test suggested by Ucar and Omaga in PESTAR framework for full panel and the subpanels.

Findings

The results indicate that per capita GDP for the full panel of Asian countries and panel of South Asian countries are linear nonstationary, whereas for the panel of East Asia and high income developed countries have a nonlinear data generating process and are stationary.

Originality/value

The use of newly developed nonlinear panel unit root test for Asian countries is the main contribution of the study. In that aspect, this is the first study to employ such a test in this area.

Details

Journal of Economic Studies, vol. 41 no. 1
Type: Research Article
ISSN: 0144-3585

Keywords

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