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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.

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.

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.

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.

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.

This paper aims to investigate asymmetric pricing behaviour and impact of coronavirus (Covid-19) pandemic shocks on house price index (HPI) of Turkey and Kazakhstan.

Monthly HPIs and consumer price index (CPI) data ranges from 2010M1 to 2020M5 are used. This study uses a nonlinear autoregressive distributed lag model for empirical analysis.

The findings of this study reveal that the Covid-19 pandemic exerted both long-run and short-run asymmetric relationship on HPI of Turkey while in Kazakhstan, the long-run impact of Covid-19 pandemic shock is symmetrical long-run positive effect is similar in both HPI markets.

The main limitations of this study are the study scope and data set due to data constraint. Several other macroeconomic variables may affect housing prices; however, variables used in this study satisfy the focus of this study in the presence of data constraint. HPI and CPI variables were made available on monthly basis for a considerably longer period which guaranteed the ranges of data set used in this study.

Despite the limitation, this study provides necessary information for authorities and prospective investors in HPI to make a sound investment decision.

This is the first study that rigorously and simultaneously examines the pricing behaviour of Turkey and Kazakhstan HPIs in relation to the Covid-19 pandemic shocks at the regional level. HPI of Kazakhstan is recognized in the global real estate transparency index but the study is rare. The study contributes to regional studies on housing price by bridging this gap in the real estate literature.

The objective of this chapter is to study the symmetric and asymmetric impact of macroeconomic variables on the Indian stock prices (SPs) of the Bombay Stock Exchange index. This chapter further investigates whether the asymmetric impact of macroeconomic variables on SP is due to the impact of any tail events like the global financial recession. An autoregressive distribution lag and non-autoregressive distribution lag approach is used for the full sample covering the period from January 2000 to June 2019 and later this sample is further subdivided into before and after the crisis period to study the variations in result. The findings show that macroeconomic variables and SP have a symmetric relation in the long run whereas an asymmetric relationship in the short run when the whole sample is analyzed. However when data are segregated into “before and after” crisis period this relationship turns to be asymmetric in long run too, meaning that in the long run, the negative and positive changes in a macroeconomic variable do not affect SPs similarly.

This study aims to critically examine the pricing of Islamic financial assets (Sharīʿah-compliant assets, Sharīʿah-compliant securities, Sharīʿah-compliant financing and Sukuk) in the three South-East Asia countries such as Malaysia, Indonesia and Brunei to provide necessary information to the policymakers and Islamic finance investors for making a sound decision.

This study used secondary data and used the nonlinear autoregressive distributed lags (NARDL) model to estimate the reaction of Islamic financial assets in South-East Asia towards price changes. Wald-test was used to diagnose the final model.

The result of this study shows that the majority of Islamic financial assets in the three South-East Asia countries exhibit positive and negative long-run effects. The findings reveal a long-run asymmetric relationship that supports rockets and feathers effects. The indication is that Islamic financial assets pricing deviates from weak form EMH. Pricing of Islamic financial assets reveals unfair pricing.

Price adjustment of Islamic financial assets requires urgent attention of policymakers to prevent Sharīʿah non-compliant risk. Therefore, the Shariah advisory board in those countries, Accounting and Auditing Organization for Islamic Financial Institutions and Islamic Financial Services Board are hereby advised to act on the factors that might enable rockets and feathers effects on the pricing of Islamic financial assets, as the long-run asymmetric relationship is established.

This study is novel as it critically and simultaneously examines the pricing behaviour of Islamic financial assets in the three South-East Asian countries. The findings from the study provide vital information on the pricing behaviour of Islamic financial assets to the policymakers and investors.

The purpose of this paper is to examine the pricing efficiency of the Malaysian crude palm oil (CPO) market before and after the structural break. This study uses the daily closing price of CPO and CPO futures (CPO-F) for the period ranging from June 2009 to August 2016 while taking structural breaks into account.

In this study, symmetric and asymmetric long-run relationship model are employed, such as the Johansen cointegration, VECM, TAR and M-TAR models, to examine the impact of structural breaks on the pricing efficiency of the Malaysian CPO market.

This finding establish that Malaysian CPO price is efficient before and after the structural break. The consistent efficiency of the Malaysian CPO market supports the trading of the CPO-F in Globex and the use of Malaysian CPO pricing as the reference price. This study establishes that a structural break in the Malaysian CPO price series does not affect the pricing efficiency of the market.

This study shows that using Malaysian CPO price as a reference price is sustainable even in the event of a structural break. Therefore, market participants in the Malaysian CPO market have less to worry about the CPO price as it supports the weak form of efficiency. Price deviation in the short run may not lead to arbitrage profit as transaction cost may not be covered.

This study implies that if there is distortion in the price due to shocks, both manufacturers and producers need to hedge their positions in the futures market (subject to their positions in the underlying market). By entering into the futures market, pricing is locked in advance; hence, price risk is eliminated. Such a distortion could also affect the efficiency of the CPO price, therefore this study also addresses the issue of efficiency of the local CPO market.

Previous studies on Malaysian CPO pricing efficiency did not take the effect of structural break into consideration, making it difficult for these studies to show consistency in the efficiency of the Malaysian CPO market.

Homeownership provides shelter and is a vital component of wealth, and house purchase signifies a lifetime achievement for many households. For South Africa confronted with social and structural challenges, homeownership by the low and lower middle-income household is pivotal for its structural transformation process. In spite of these potential benefits, research on the affordable housing market in the context of South Africa is limited. This study aims to contribute to this knowledge gap by answering the question “do changes in household income per capita have a symmetric or asymmetric effect on affordable house prices?”

A survey of the international literature on house prices and income revealed that linear modelling that assumes symmetric reaction of macroeconomic variables dominates the empirical strategy. This linearity assumption is restrictive and fails to capture possible asymmetric dynamics inherent in the housing market. The authors address this empirical limitation by using asymmetric non-linear autoregressive distributed lag models that can test and detect the existence of asymmetry in both the long and short run using data from 1985Q1 to 2016Q3.

The results revealed the presence of an asymmetric long-run relationship between affordable house prices and household income per capita. The estimated asymmetric long-run coefficients of logIncome[+] and logIncome[−] are 1.080 and −4.354, respectively, implying that a 1% increase/decrease in household income per capita induces a 1.08% rise/4.35% decline in affordable house prices everything being equal. The positive increase in affordable house prices creates wealth, helps low and middle-income household climb the property ladder and can reduce inequality, which provides support for the country’s structural transformation process. Conversely, a decline in affordable house prices tends to reduce wealth and widen inequality.

This paper recommends both supply- and demand-side policies to support affordable housing development. Supply-side stimulants should include incentives to attract developers to affordable markets such as municipal serviced land and tax credit. Demand-side policy should focus on asset-based welfare policy; for example, the current Finance Linked Income Subsidy Programme (FLISP). Efficient management and coordination of the FLISP are essential to enhance the affordability of first-time buyers. Given the enormous size of the affordable property market, the practice of mortgage securitization by financial institutions should be monitored, as a persistent decline in income can trigger a systemic risk to the economy.

The study results illustrate the importance of homeownership by low- and middle-income households and that the development of the affordable market segment can boost wealth creation and reduce residential segregation. This, in turn, provides support to the country’s structural transformation process.

The affordable housing market in South Africa is of strategic importance to the economy, accounting for 71.4% of all residential properties. Homeownership by low and lower middle-income households creates wealth, reduces wealth inequality and improves revenue collection for local governments. This paper contributes to the empirical literature by modelling the asymmetric behaviour of affordable house prices to changes in household income per capita and other macroeconomic fundamentals. Based on available evidence, this is the first attempt to examine the dynamic asymmetry between affordable house prices and household income per capita in South Africa.

This paper examines the relationship between sovereign credit default swaps (CDS) and several macroeconomic factors in an asymmetric setting and distinguishes between short-run and long-run impacts. Country-specific factors (e.g. equity index, international reserves, interest rate and industrial production) and global factors (e.g. US stock volatility [VIX], geopolitical risk and oil price) are the main explanatory variables.

This analysis uses a nonlinear autoregressive distributed lag approach that enables us to study both long-run and short-run dynamics.

This study results show that two country-specific factors (equity index and international reserves) and two global factors (VIX and oil price) are the most important factors and affect CDS asymmetrically.

The asymmetric relationships between sovereign CDS and variables in bull and bear markets can also be studied. Consideration of asymmetries in the variance could also be a fruitful step taken for further research.

The findings imply that investors and portfolio managers should design their investment and hedging decisions related to government bonds by taking into account the existence of an asymmetric relationship.

Moreover, policymakers can benefit from this asymmetric information in the timing of debt issuance.

This paper examines the relationship between sovereign CDS and several macroeconomic factors in an asymmetric setting and distinguishes between short-run and long-run impacts.

The purpose of this study is to empirically investigate the asymmetric effects of financial risk on Sukuk market development for a sample of Malaysian countries over the period of 2010–2021.

This study refers to the International Country Risk Guide (ICRG) in determining the financial risk factors to be studied in addition to the Malaysia financial stress index (FSI) to capture changes in financial risk level. The authors use the nonlinear autoregressive distributed lag (NARDL) model to tackle the nonlinear relationships between identified financial risk variables and Sukuk market development.

The results suggest the existence of a long-run relationship between foreign debt service stability, international liquidity stability (ILS), exchange rate stability (ERS) and financial stress level with the Sukuk market development in Malaysia. Indeed, higher ILS and ERS will boost Sukuk market size, whereas higher foreign debt services and financial stress are negatively related to Sukuk market development. Findings also indicate that the long-run positive and negative impacts of identified financial risk components on Sukuk market development are statistically different. Taking into account the role of the Sukuk market in facilitating Malaysia’s economic growth, the country should aim to keep the foreign debt-to-GDP ratio at a sustainable level.

This study points to three possible directions for future research. The first is the differential impact of financial risk components on Sukuk issuance for different Sukuk structures. As more data becomes available in the future, this area could be further explored by conducting the above analysis for different combinations of Sukuk structures and currency denominations. In addition, future researchers could also consider exploring the variability of financial risk impacts through comparative studies of the leading Sukuk-issuing countries to account for differences in regulatory frameworks and supporting infrastructure.

This study provides valuable practical and policy implications for strengthening the growth of the Sukuk market. While benefiting from the diversification benefits of funding sources to finance private or government projects and developments, Malaysia should remain vigilant to global economic conditions, foreign exchange markets and financial stress levels, as all of these factors may significantly influence investor sentiment and the rate of return offered by Sukuk issuance.

The use of the NARDL approach, which investigates the long-run effects of financial risk factors on Sukuk market development in Malaysia, makes this study a valuable addition to the literature, as there has been little research into the asymmetric effects of those variables on Sukuk market development using samples from emerging Asian markets.

This study investigates if the causal relationships between the exchange rates and selected inbound markets’ tourism demand are temporary or permanent, and compares market reactions in Türkiye.

Tourism demand is examined with a regional approach, focusing on the geographical markets, namely Europe, Commonwealth of Independent States (CIS) members and Asian countries, as the top inbound tourism markets, in addition to the total number of inbound tourists to Türkiye. Granger, frequency-domain causality, asymmetric Toda–Yamamoto, and asymmetric frequency-domain causality tests were employed to investigate and compare markets on exchange rate–tourism demand relationship for 2008M01-2020M02.

The results indicate that exchange rates affect European tourism demand both in the short and long run. The meaning of this Frequency Domain Causality (FDC) analysis finding shows that the exchange rate has both permanent and temporary effects on European tourists. The relationships are statistically insignificant for CIS members and Asian countries. The exchange rates also permanently affect total inbound tourism demand, but the independent variable has no short-run (temporary) effects on total demand. Asymmetric causality tests confirmed a permanent causality relationship from the positive and negative components of exchange rates to the positive and negative components of European and total tourism demand.

The Granger causality test provides information on the presence of a causal relation, while the FDC test, an extended version of Granger causality, enlightens the short- (temporary) and long-run (permanent) relationships and allows for analyzing the duration of the impact. In addition, asymmetric causality relationships are also investigated in the study. Besides, this study is the first in the literature to examine the relationship between tourism demand and the exchange rate regionally (continentally) for Türkiye.

This paper attempts to examine the transmission of exchange rate changes into the domestic prices together with other important determinants of later, in case of a developing country, namely, India.

In an open economy Philips curve framework, a symmetric model developed by Pesaran et al. (2001) together with a complete asymmetric model developed by Shin et al. (2014) has been applied to assess the transmission of exchange rate changes into the domestic prices (inflation) of India. In addition, non-linear cumulative dynamic multipliers are used to portray the route between disequilibrium position of short run and new long-run equilibrium of the system. The multipliers highlight the asymmetric adjustment paths and/or duration of disequilibrium and therefore add valuable information to the long and short-run asymmetry.

In symmetric framework, exchange rate pass-through is reported to be incomplete and short-run pass through is found to be lower than the long-run pass through. A contractionary monetary policy stance is observed to decrease inflation in the long-run only and in the short-run, a case for price puzzle is observed, although the coefficient is statistically insignificant. Similarly, the impact of output growth is positive in both the short and long-run and both the coefficients are statically significant. Finally, the oil price inflation is also found to escalate the domestic inflationary pressures in both the short and long run, although the pass-through transmission is lower in the short-run than in the long-run. In case of an asymmetric setting, evidence in favour of directional asymmetry is reported whereby long-run impact of currency appreciation is found to be higher than depreciation. Similarly, a contractionary monetary policy action lowers the inflation, the easy one increases it; however, the impact of both the positive and negative changes in interest rate is found to be symmetric. An increase in GR is found to increase the inflation by a relatively appreciable magnitude than is observed when the fall in GR is reported. The possible reason for this asymmetric response of inflation may be explained in terms of asymmetric behaviour of demand conditions during economic upturns and downturns and downward inflexibility of prices. Finally, the transmission of oil price inflation to domestic inflation is also found to be asymmetric. An increase in oil price inflation leads to an increase in domestic inflation by a higher magnitude. whereas a decrease in it lowers inflation only marginally.

From a policy perspective, it is certainly important for the central banks to monitor the exchange rate changes so as to design the appropriate policy actions to resist any inflationary pressures resulting from the external sector. More importantly, a gauge on the factors that lead to destabilizing exchange rate movements or large currency price fluctuations is highly warranted. The results also highlight the relevance of proper domestic demand management and lowering dependence on oil imports to avoid the unnecessary inflation pressures in the economy.

While some studies have explored the possibilities of asymmetric interactions in the case of India, however, these studies have considered only the partial asymmetric model specifications and have not included a well-established theoretical base to include the other potential determinants of inflation as well. In this regard, the authors applied a complete asymmetric model specification developed by Shin et al. (2014) in an open economy Philips curve framework to assess the transmission of exchange rate changes into the domestic prices (inflation) of India. This paper will enrich the existing literature from a viewpoint of a comprehensive analysis of exchange rate pass-through by taking note of potential asymmetries coupled with other important determinants of inflation.