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1 – 5 of 5Nicolene Hamman and Andrew Phiri
The purpose of the study is to evaluate whether nighttime luminosity sourced from the Defense Meteorological Satellite Program-Operational Linescan System satellite sensors is a…
Abstract
Purpose
The purpose of the study is to evaluate whether nighttime luminosity sourced from the Defense Meteorological Satellite Program-Operational Linescan System satellite sensors is a suitable proxy for measuring poverty in Africa.
Design/methodology/approach
Our study performs wavelet coherence analysis to investigate the time-frequency synchronization between the nightlight data and “income-to-wealth” ratio for 39 African countries between 1992 and 2012.
Findings
All-in-all, the authors find that approximately a third of African countries produce positive synchronizations between nighttime data and “income-to-wealth” ratio and hence conclude that most African countries are not at liberty to use nighttime data to proxy conventional poverty statistics.
Originality/value
In differing from previous studies, the authors examine the suitability of nightlight intensity as a proxy of poverty for individual African countries using much more rigorous analysis.
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Keywords
Trang Nguyen, Taha Chaiechi, Lynne Eagle and David Low
Growth enterprise market (GEM) in Hong Kong is acknowledged as one of the world’s most successful examples of small and medium enterprise (SME) stock market. The purpose of this…
Abstract
Purpose
Growth enterprise market (GEM) in Hong Kong is acknowledged as one of the world’s most successful examples of small and medium enterprise (SME) stock market. The purpose of this paper is to examine the evolving efficiency and dual long memory in the GEM. This paper also explores the joint impacts of thin trading, structural breaks and inflation on the dual long memory.
Design/methodology/approach
State-space GARCH-M model, Kalman filter estimation, factor-adjustment techniques and fractionally integrated models: ARFIMA–FIGARCH, ARFIMA–FIAPARCH and ARFIMA–HYGARCH are adopted for the empirical analysis.
Findings
The results indicate that the GEM is still weak-form inefficient but shows a tendency towards efficiency over time except during the global financial crisis. There also exists a stationary long-memory property in the market return and volatility; however, these long-memory properties weaken in magnitude and/or statistical significance when the joint impacts of the three aforementioned factors were taken into account.
Research limitations/implications
A forecasts of the hedging model that capture dual long memory could provide investors further insights into risk management of investments in the GEM.
Practical implications
The findings of this study are relevant to market authorities in improving the GEM market efficiency and investors in modelling hedging strategies for the GEM.
Originality/value
This study is the first to investigate the evolving efficiency and dual long memory in an SME stock market, and the joint impacts of thin trading, structural breaks and inflation on the dual long memory.
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This paper investigates the relationship between domestic gold prices and inflation in Vietnam based on the monthly series of the gold price index and consumer price index over…
Abstract
Purpose
This paper investigates the relationship between domestic gold prices and inflation in Vietnam based on the monthly series of the gold price index and consumer price index over the period of December 2001–July 2020.
Design/methodology/approach
The co-integration between the domestic gold price and inflation is examined within the autoregressive distributed lag-error correction (ARDL bounds testing) framework. This paper also applies the vector error correction model (VECM) and impulse response function analysis to explore the causal relationship between these two variables. Moreover, since both gold and inflation series are likely to have structural changes over time, a unit root test controlling for significant breaks is employed in this paper.
Findings
Findings from the ARDL bounds testing model suggest the presence of a co-integration between the underlying variables. The VECM indicates that shocks in inflation lead to a negative response to gold prices in the long run. In the short term, only fluctuations in gold prices impact inflation, and this causality is unidirectional.
Research limitations/implications
Gold is regarded as a critical financial asset to preserve wealth from inflation pressure in the case of Vietnam. These findings propose implications for both investors and policymakers.
Originality/value
Empirical results suggest that inflation has a long-term impact on gold prices in the Vietnamese market. In the existence of a permanent inflationary shock, domestic prices of gold respond negatively to this shock; hence, gold can act as a good hedge against inflation in Vietnam.
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