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1 – 10 of 269Everton Anger Cavalheiro, Kelmara Mendes Vieira and Pascal Silas Thue
This study probes the psychological interplay between investor sentiment and the returns of cryptocurrencies Bitcoin and Ethereum. Employing the Granger causality test, the…
Abstract
Purpose
This study probes the psychological interplay between investor sentiment and the returns of cryptocurrencies Bitcoin and Ethereum. Employing the Granger causality test, the authors aim to gauge how extensively the Fear and Greed Index (FGI) can predict cryptocurrency return movements, exploring the intricate bond between investor emotions and market behavior.
Design/methodology/approach
The authors used the Granger causality test to achieve research objectives. Going beyond conventional linear analysis, the authors applied Smooth Quantile Regression, scrutinizing weekly data from July 2022 to June 2023 for Bitcoin and Ethereum. The study focus was to determine if the FGI, an indicator of investor sentiment, predicts shifts in cryptocurrency returns.
Findings
The study findings underscore the profound psychological sway within cryptocurrency markets. The FGI notably predicts the returns of Bitcoin and Ethereum, underscoring the lasting connection between investor emotions and market behavior. An intriguing feedback loop between the FGI and cryptocurrency returns was identified, accentuating emotions' persistent role in shaping market dynamics. While associations between sentiment and returns were observed at specific lag periods, the nonlinear Granger causality test didn't statistically support nonlinear causality. This suggests linear interactions predominantly govern variable relationships. Cointegration tests highlighted a stable, enduring link between the returns of Bitcoin, Ethereum and the FGI over the long term.
Practical implications
Despite valuable insights, it's crucial to acknowledge our nonlinear analysis's sensitivity to methodological choices. Specifics of time series data and the chosen time frame may have influenced outcomes. Additionally, direct exploration of macroeconomic and geopolitical factors was absent, signaling opportunities for future research.
Originality/value
This study enriches theoretical understanding by illuminating causal dynamics between investor sentiment and cryptocurrency returns. Its significance lies in spotlighting the pivotal role of investor sentiment in shaping cryptocurrency market behavior. It emphasizes the importance of considering this factor when navigating investment decisions in a highly volatile, dynamic market environment.
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This study aims to revisit the empirical debate about the asymmetric relationship between oil prices, energy consumption, CO2 emissions and economic growth in a panel of 184…
Abstract
Purpose
This study aims to revisit the empirical debate about the asymmetric relationship between oil prices, energy consumption, CO2 emissions and economic growth in a panel of 184 countries from 1981 to 2020.
Design/methodology/approach
A relatively new research method, the PVAR system GMM, is applied.
Findings
The outcome of the PVAR system GMM model at the group level in the study suggests that oil prices exert a positive but statistically insignificant effect on economic growth. Energy consumption is inversely related to economic growth but statistically significant, and the correlation between CO2 emissions and economic growth is negative but statistically insignificant. The Granger causality test indicates that oil prices, CO2 emissions, oil rents, energy consumption and savings jointly Granger-cause economic growth. A unidirectional causality runs from energy consumption, savings and economic growth to oil prices. At countries’ income grouping levels, oil prices, oil rent, CO2 emissions, energy consumption and savings jointly Granger-cause economic growth for the high-income and upper-middle-income countries groups only, while those variables did not jointly Granger-cause economic growth for the low-income and lower-middle-income countries groups. The modulus emanating from the eigenvalue stability condition with the roots of the companion matrix indicates that the model is stable. The results support the asymmetric impacts of oil prices on economic growth and aid policy formulation, particularly the cross-country disparities regarding the nexus between oil prices and growth.
Originality/value
From a methodological perspective, to the best of the author’s knowledge, the study is the first attempt to use the PVAR system GMM and such a large sample group of 184 economies in the post-COVID-19 era to examine the impacts of oil prices on countries’ growth while controlling for other crucial variables, which is noteworthy. Two, using the World Bank categorisation of countries according to income groups, the study adds another layer of contribution to the literature by decomposing the 184 sample economies into four income groups: high-income, low-income, upper-middle-income and lower-middle-income groups to investigate the potential for asymmetric effects of oil prices on growth, the first of its kind in the post-COVID-19 period.
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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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Omer Cayirli, Koray Kayalidere and Huseyin Aktas
The purpose of this paper is to investigate the impact of changes in credit stock on real and financial indicators in Turkey with a focus on conditional and time-varying dynamics.
Abstract
Purpose
The purpose of this paper is to investigate the impact of changes in credit stock on real and financial indicators in Turkey with a focus on conditional and time-varying dynamics.
Design/methodology/approach
In addition to lag-augmented vector autoregression (LA-VAR) based time-varying Granger causality tests, threshold models and a research setting that identifies high/low states of credit growth based on 24-month moving averages are used to explore regime-dependent behavior. For investigating the asymmetric dynamics, the authors use a methodology that identifies good/bad news in credit growth based on 24-month moving averages and standard deviations.
Findings
Results strongly suggest that the impact of changes in credit stock induces conditional responses. Moreover, we find evidence for asymmetric responses. In the case of Turkey, efforts to spur growth through credit produce a strong negative byproduct, a depreciation in the exchange rate. The authors also find that changes in credit stock have become more relevant for uncertainties in inflation and exchange rate expectations, particularly in the era after mid-2018 in which credit growth volatility has increased noticeably.
Originality/value
This study provides a comprehensive analysis of time-varying and conditional responses to a change in credit stock in a major emerging economy. Using a moving threshold based only on the available information in the analysis of state-dependency represents a new approach.
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Government spending plays a crucial role in fiscal policy in any country, both as a tool for implementing individual government policies and as a possible instrument for…
Abstract
Government spending plays a crucial role in fiscal policy in any country, both as a tool for implementing individual government policies and as a possible instrument for mitigating uneven economic developments and economic shocks. This chapter provides direct empirical evidence on the development and structure of general government expenditure and its relationship with real economic growth in Czechia and the European Union countries. Compared to theoretical recommendations, general government expenditure has not been used as a stabiliser in Czechia and EU countries and has been observed to be pro-cyclical in the period under review. Granger causality analysis identified the direction of causality between the macroeconomic variables analysed and found that in most cases economic growth came first, followed by government spending.
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Mondher Bouattour and Anthony Miloudi
The purpose of this paper is to bridge the gap between the existing theoretical and empirical studies by examining the asymmetric return–volume relationship. Indeed, the authors…
Abstract
Purpose
The purpose of this paper is to bridge the gap between the existing theoretical and empirical studies by examining the asymmetric return–volume relationship. Indeed, the authors aim to shed light on the return–volume linkages for French-listed small and medium-sized enterprises (SMEs) compared to blue chips across different market regimes.
Design/methodology/approach
This study includes both large capitalizations included in the CAC 40 index and listed SMEs included in the Euronext Growth All Share index. The Markov-switching (MS) approach is applied to understand the asymmetric relationship between trading volume and stock returns. The study investigates also the causal impact between stock returns and trading volume using regime-dependent Granger causality tests.
Findings
Asymmetric contemporaneous and lagged relationships between stock returns and trading volume are found for both large capitalizations and listed SMEs. However, the causality investigation reveals some differences between large capitalizations and SMEs. Indeed, causal relationships depend on market conditions and the size of the market.
Research limitations/implications
This paper explains the asymmetric return–volume relationship for both large capitalizations and listed SMEs by incorporating several psychological biases, such as the disposition effect, investor overconfidence and self-attribution bias. Future research needs to deepen the analysis especially for SMEs as most of the literature focuses on large capitalizations.
Practical implications
This empirical study has fundamental implications for portfolio management. The findings provide a deeper understanding of how trading activity impact current returns and vice versa. The authors’ results constitute an important input to build and control trading strategies.
Originality/value
This paper fills the literature gap on the asymmetric return–volume relationship across different regimes. To the best of the authors’ knowledge, the present study is the first empirical attempt to test the asymmetric return–volume relationship for listed SMEs by using an accurate MS framework.
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Dezhao Tang, Qiqi Cai, Tiandan Nie, Yuanyuan Zhang and Jinghua Wu
Integrating artificial intelligence and quantitative investment has given birth to various agricultural futures price prediction models suitable for nonlinear and non-stationary…
Abstract
Purpose
Integrating artificial intelligence and quantitative investment has given birth to various agricultural futures price prediction models suitable for nonlinear and non-stationary data. However, traditional models have limitations in testing the spatial transmission relationship in time series, and the actual prediction effect is restricted by the inability to obtain the prices of other variable factors in the future.
Design/methodology/approach
To explore the impact of spatiotemporal factors on agricultural prices and achieve the best prediction effect, the authors innovatively propose a price prediction method for China's soybean and palm oil futures prices. First, an improved Granger Causality Test was adopted to explore the spatial transmission relationship in the data; second, the Seasonal and Trend decomposition using Loess model (STL) was employed to decompose the price; then, the Apriori algorithm was applied to test the time spillover effect between data, and CRITIC was used to extract essential features; finally, the N-Beats model was selected as the prediction model for futures prices.
Findings
Using the Apriori and STL algorithms, the authors found a spillover effect in agricultural prices, and past trends and seasonal data will impact future prices. Using the improved Granger causality test method to analyze the unidirectional causality relationship between the prices, the authors obtained a spatial effect among the agricultural product prices. By comparison, the N-Beats model based on the spatiotemporal factors shows excellent prediction effects on different prices.
Originality/value
This paper addressed the problem that traditional models can only predict the current prices of different agricultural products on the same date, and traditional spatial models cannot test the characteristics of time series. This result is beneficial to the sustainable development of agriculture and provides necessary numerical and technical support to ensure national agricultural security.
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Mohd Nadeem Bhat and Mohd Hammad Naeem
The study aims to find the synchronization between foreign agriculture investment (FAI) and Sustainable Development Goals (SDGs) related to agriculture as classified by the Food…
Abstract
Purpose
The study aims to find the synchronization between foreign agriculture investment (FAI) and Sustainable Development Goals (SDGs) related to agriculture as classified by the Food and Agriculture Organization (FAO). The study tries to find such an association in India over 2 decades from 2001.
Design/methodology/approach
The Toda-Yamamoto Granger using the M-Wald test for the non-causality procedure is applied to find the synchronization. Stationarity is tested using the Augmented Dickey-Fuller, Phillips-Perron and Kwiatkowski, Phillips, Schmidt and Shin (KPSS) tests. The Johanson methodology with MacKinnon-Haug-Michelis P-value is employed for the Cointegration test.
Findings
The empirical results indicate that the FAI Granger cause SDG2 “Zero hunger” and “Overall sustainability”, but SDG13 “Climate Change”, SDG6 “Clean water and sanitation”, SDG12 “Responsible production and consumption” and SDG15 “Life on Land” granger cause global investments. Notwithstanding, SDG5 “Gender equality” and SDG14 “Life below water” found no-way causality with FAI.
Practical implications
Host governments should prioritize sector-level sustainable development, notably agricultural SDGs, to attract global investments. Foreign agriculture investment is influenced differently by various SDGs; thus, policymakers should concentrate on specific agricultural SDGs to enhance the flow of capital into the agriculture sector. Global investors should take sustainability into account while framing foreign investment plans, and the supra-national organization may consider global agricultural investments while addressing the problems related to global food security.
Originality/value
The distinguishing feature of the study is that SDGs classified by the FAO from a global investment perspective have not been studied so far.
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Housing market research involves observing the relationships between housing value and its indicators. However, recent literature indicates that the disruption of the COVID-19…
Abstract
Purpose
Housing market research involves observing the relationships between housing value and its indicators. However, recent literature indicates that the disruption of the COVID-19 pandemic could have an impact on the forecasting properties of some of the housing indicators. This paper aims to observe the relationships between the home value index and three potential indicators to verify their forecasting properties pre- and post-COVID-19 and provide general recommendations for time series research post-pandemic.
Design/methodology/approach
This study features three vector autoregression (VAR) models constructed using the home value index of the USA, together with three indicators that are of interest according to recent literature: the national unemployment rate, private residential construction spending (PRCS) and the housing consumer price index (HCPI).
Findings
Unemployment, one of the prevalent indicators for housing values, was compromised as a result of the COVID-19 pandemic, and a new indicator for housing value in the USA, PRCS, whose relationship with housing value is robust even during the COVID-19 pandemic and HCPI is a more significant indicator for housing value than the prevalently cited All-Item consumer price index (CPI).
Originality/value
The study adds residential construction spending into the pool of housing indicators, proves that the finding of region-specific study indicating the unbounding of housing prices from unemployment is applicable to the aggregate housing market in the USA, and improves upon such widely accepted belief that overall inflation is a key indicator for housing prices and proves that the CPI for housing is a vastly more significant indicator.
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This paper analyses the direct relationship between budget deficits and economic growth, the channels through which budget deficits inhibit growth and finally, the Granger…
Abstract
Purpose
This paper analyses the direct relationship between budget deficits and economic growth, the channels through which budget deficits inhibit growth and finally, the Granger causality between budget deficit and economic growth in South Africa over the period 1975 to 2020.
Design/methodology/approach
In a bid to control for endogeneity that is common in economic growth regressions, the author employed the dynamic ordinary least squares (DOLS) approach.
Findings
Towards analysing the direct relationship between budget deficit and economic growth, results show that a 10-percentage rise in the budget deficit slows economic growth by 0.2 percentage points. Results show that the growth inhibiting consequences of the budget deficit in South Africa are principally driven by negatively affecting private and public physical capital accumulation growth, as well as a drop in gross national savings. However, results show no evidence of a deficit reduction effect through long term-real interest rate. The findings reveal a one-way Granger causality running from budget deficits to economic growth.
Practical implications
Based on the findings in this article, expanding the fiscal deficit to support growth is not a viable policy option for the South African economy.
Originality/value
The originality of this paper lies in establishing the Granger causality between budget deficit and economic growth, thus adding to the scant literature, as well as establishing the channels through which budget deficit retards economic growth for the South African economy.
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