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Article
Publication date: 3 March 2023

Enoch Atinga, Richard Kwasi Bannor and Daniel Akoto Sarfo

This study aims to examine the market structure and the factors influencing the price of fuelwood in the Dormaa Municipal in the Bono region of Ghana.

Abstract

Purpose

This study aims to examine the market structure and the factors influencing the price of fuelwood in the Dormaa Municipal in the Bono region of Ghana.

Design/methodology/approach

A total of 200 fuelwood harvesters, 20 wholesalers and 20 retailers were sampled by using probability and non-probability sampling methods. Gini coefficient was used to analyse the market structure, whereas quantile regression was used to analyse the factors influencing the pricing of fuelwood.

Findings

The study results indicated that the fuelwood harvesters’ market is less concentrated, with a Gini coefficient of 0.22, likewise the fuelwood intermediaries’ market, with Gini coefficients of 0.22 and 0.32 for wholesalers and retailers, respectively. The price of fuelwood decreased when sold through the retailer and wholesaler outlets, but the price increased when sold via the end-user outlet. Less smoky fuelwood species attracted higher prices, whereas easy-to-light fuelwood species were sold at lower prices. Furthermore, fuelwood from Perpewa (Celtis zenkeri) and Acacia (Senna siamea) species received the highest prices in the market. It is recommended that fuelwood harvesters establish woodlots with acacia (Senna siamea), especially and Perpewa (Celtis zenkeri), both of which emit less smoke and have high calorific value with fast rotation period. This will ensure fuelwood availability and offer better prices to the harvesters, as such species command high prices in the market.

Originality/value

There is paucity or near unavailability of literature on the market structure and the influence of the hedonic attributes on different quartile prices of fuelwood; the result of this study provides the foundational springboard for future studies on fuelwood marketing.

Details

International Journal of Energy Sector Management, vol. 18 no. 2
Type: Research Article
ISSN: 1750-6220

Keywords

Article
Publication date: 15 March 2022

Vanita Tripathi and Aakanksha Sethi

The purpose of this study is to ascertain how foreign and domestic Exchange Traded Funds (ETFs) investing in Indian equities affect their return volatility and pricing efficiency…

Abstract

Purpose

The purpose of this study is to ascertain how foreign and domestic Exchange Traded Funds (ETFs) investing in Indian equities affect their return volatility and pricing efficiency. Further, we investigate how the difference in market timings affect the impact of ETFs on their constituents. Lastly, we examine how these effects vary during tranquil and turmoil periods in the ETF markets.

Design/methodology/approach

The study is based on quarterly data for stocks comprising the CNX Nifty 50 Index from 2009Q1 to 2019Q3. The data on holdings of 45 domestic and 196 foreign ETFs in the sample stocks were obtained from Thomson Reuters' Eikon. The paper employs a panel-regression methodology with stock and time fixed effects and robust standard errors.

Findings

Foreign ETFs from North America and the Asia Pacific largely have an adverse impact on stocks' return volatility. In times of turmoil, stocks with higher coverage of European, North American and Domestic funds are susceptible to volatility shocks emanating from these regions. European and Asia Pacific ETFs are associated with improved price discovery while North American funds impound a mean-reverting component in stock prices. However, in turbulent markets, both positive and negative impacts of ETFs on pricing efficiency coexist.

Originality/value

To the best of the authors' knowledge, this is the first study that examines the impact of domestic as well as foreign ETFs on the equities of an emerging market. Furthermore, the study is unique as we investigate how the effects of ETFs vary in turbulent and tranquil markets. Moreover, the paper examines the role of asynchronous market timings in determining the ETF impact. The paper adds to the growing literature on the unintended consequences of index-linked products.

Details

International Journal of Emerging Markets, vol. 18 no. 11
Type: Research Article
ISSN: 1746-8809

Keywords

Article
Publication date: 2 January 2024

Amel Belanès, Abderrazek Ben Maatoug and Mohamed Bilel Triki

The paper investigates the dynamic relationship between oil prices, the USA dollar exchange rate and the Saudi stock market index.

Abstract

Purpose

The paper investigates the dynamic relationship between oil prices, the USA dollar exchange rate and the Saudi stock market index.

Design/methodology/approach

The authors perform a novel dynamic simulated the autoregressive distributed lag (ARDL) on weekly data from 2010 to 2021.

Findings

The authors' work reveals three main results: First, a cointegration relationship exists between oil prices and the Saudi stock market index. Second, the Saudi stock market is strongly affected by fluctuations in oil prices in both the short and long run. Third, the exchange rate of the USA dollar has a slight influence on the movements of the Saudi stock market. The simulations show that the Saudi stock market index has a long-run upward trend after an oil price shock, while the dollar index rises moderately after a similar shock. Moreover, the first months of the COVID-19 pandemic coincided with a significant decline in the Saudi stock market index, particularly the substantial drop in oil prices.

Practical implications

These findings encourage domestic and foreign investors to benefit from an upward trend in oil prices, especially after the opening of the Saudi market to foreign investment. On the other hand, it raises questions about the Saudi economy's dependence on oil as the sole vehicle for output growth. It highlights the urgent need for diversification and productivity growth in the non-oil sector and other renewable natural resources to increase Saudi competitiveness.

Originality/value

The novelty of the research lies in the following. First, the authors apply one of the latest developments in time-series modeling techniques. This dynamic ARDL simulation model provides a worthwhile alternative way to explore dynamic correlations in the short and long run and assess the choc effects. Secondly, the study would enable us to track the impact of the COVID-19 health crisis on the Saudi stock market.

Details

The Journal of Risk Finance, vol. 25 no. 1
Type: Research Article
ISSN: 1526-5943

Keywords

Article
Publication date: 25 January 2024

Komla D. Dzigbede

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.

Article
Publication date: 6 December 2023

Z. Göknur Büyükkara, İsmail Cem Özgüler and Ali Hepsen

The purpose of this study is to explore the intricate relationship between oil prices, house prices in the UK and Norway, and the mediating role of gold and stock prices in both…

Abstract

Purpose

The purpose of this study is to explore the intricate relationship between oil prices, house prices in the UK and Norway, and the mediating role of gold and stock prices in both the short- and long-term, unraveling these complex linkages by employing an empirical approach.

Design/methodology/approach

This study benefits from a comprehensive set of econometric tools, including a multiequation vector autoregressive (VAR) system, Granger causality test, impulse response function, variance decomposition and a single-equation autoregressive distributed lag (ARDL) system. This rigorous approach enables to identify both short- and long-run dynamics to unravel the intricate linkages between Brent oil prices, housing prices, gold prices and stock prices in the UK and Norway over the period from 2005:Q1 to 2022:Q2.

Findings

The findings indicate that rising oil prices negatively impact house prices, whereas the positive influence of stock market performance on housing is more pronounced. A two-way causal relationship exists between stock market indices and house prices, whereas a one-way causal relationship exists from crude oil prices to house prices in both countries. The VAR model reveals that past housing prices, stock market indices in each country and Brent oil prices are the primary determinants of current housing prices. The single-equation ARDL results for housing prices demonstrate the existence of a long-run cointegrating relationship between real estate and stock prices. The variance decomposition analysis indicates that oil prices have a more pronounced impact on housing prices compared with stock prices. The findings reveal that shocks in stock markets have a greater influence on housing market prices than those in oil or gold prices. Consequently, house prices exhibit a stronger reaction to general financial market indicators than to commodity prices.

Research limitations/implications

This study may have several limitations. First, the model does not include all relevant macroeconomic variables, such as interest rates, unemployment rates and gross domestic product growth. This omission may affect the accuracy of the model’s predictions and lead to inefficiencies in the real estate market. Second, this study does not consider alternative explanations for market inefficiencies, such as behavioral finance factors, information asymmetry or market microstructure effects. Third, the models have limitations in revealing how predictors react to positive and negative shocks. Therefore, the results of this study should be interpreted with caution.

Practical implications

These findings hold significant implications for formulating dynamic policies aimed at stabilizing the housing markets of these two oil-producing nations. The practical implications of this study extend to academics, investors and policymakers, particularly in light of the volatility characterizing both housing and commodity markets. The findings reveal that shocks in stock markets have a more profound impact on housing market prices compared with those in oil or gold prices. Consequently, house prices exhibit a stronger reaction to general financial market indicators than to commodity prices.

Social implications

These findings could also serve as valuable insights for future research endeavors aimed at constructing models that link real estate market dynamics to macroeconomic indicators.

Originality/value

Using a variety of econometric approaches, this paper presents an innovative empirical analysis of the intricate relationship between euro property prices, stock prices, gold prices and oil prices in the UK and Norway from 2005:Q1 to 2022:Q2. Expanding upon the existing literature on housing market price determinants, this study delves into the role of gold and oil prices, considering their impact on industrial production and overall economic growth. This paper provides valuable policy insights for effectively managing the impact of oil price shocks on the housing market.

Details

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

Keywords

Open Access
Article
Publication date: 28 November 2023

Sérgio Kannebley Júnior, Diogo de Prince and Daniel Quinaud Pedron da Silva

Brazil uses the dollar as a vehicle currency to invoice its exports. This fact produces a tendency toward equalizing the prices of products in dollars in the international market…

Abstract

Purpose

Brazil uses the dollar as a vehicle currency to invoice its exports. This fact produces a tendency toward equalizing the prices of products in dollars in the international market and reducing the ability of firms to practice pricing-to-market (PTM). This study aims to evaluate the hypothesis by estimating error correction models in panel data, obtaining estimates of PTM for 25 manufacturing products exported by Brazil between 2010 and 2020.

Design/methodology/approach

This study uses the correlated common effect estimator proposed by Pesaran (2006) and Chudik and Pesaran (2015b) to estimate the PTM coefficients.

Findings

Results of this study indicate that exporters practice local-currency pricing stability for dollar prices. This study obtains that Brazilian exporters tend to stabilize their dollar price for exports, reducing heterogeneity between destination markets. The results are in agreement with the hypothesis of the prevalence of the coalescing effect of Goldberg and Tille (2008) and lower sensitivity of the markup adjustment to the specific market, as pointed out by Corsetti et al. (2018). The pricing of Brazilian exports in dollars reflects a profit maximization strategy that considers an international price system based on global demand for products.

Originality/value

In addition to analyzing the dollar role in the pricing of Brazilian exports through the triangular decomposition, this study also shows the importance of examining the cross-section dependence of errors, considering the heterogeneous cointegration in export pricing models and producing PTM estimates for short-term and long-term.

Details

EconomiA, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1517-7580

Keywords

Article
Publication date: 21 December 2023

Steven D. Silver and Marko Raseta

The intention of the empirics is to contribute to the general understanding of investor responses to market price shocks. The authors review assumptions about investor behavior in…

Abstract

Purpose

The intention of the empirics is to contribute to the general understanding of investor responses to market price shocks. The authors review assumptions about investor behavior in response to price shocks and investigate alternative rebalancing heuristics.

Design/methodology/approach

The authors use market data over 40 years to define market shocks. Portfolio rebalancing implements constrained Markowitz mean-variance (MV) heuristics.

Findings

Momentum rebalancing in portfolio management outperforms contrarian rebalancing in the study interval. Sensitivity analysis by decade, sector constraints and proportion of security holdings bought or sold continue to support momentum rebalancing.

Research limitations/implications

The results are consistent with under-responding to price shocks at consensus levels in financial markets. The theoretical background provides a basis for experimental lab studies of shocks of different magnitudes under conditions in which participants have information on the levels of other participants and a condition in which they can only observe their previous estimates.

Practical implications

Managing portfolios in the face of price disturbances of different magnitudes is informed by empirical studies and their implications for investor behavior.

Originality/value

This is the first study the authors can locate that uses market data with alternative rebalancing heuristics to estimate price returns from the respective heuristics over a time interval of 40 years. The authors support the results with sensitivity estimates and consider implications for the underlying agent heuristics in light of background studies.

Details

Managerial Finance, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 0307-4358

Keywords

Article
Publication date: 20 April 2023

Dipankar Das

This paper gives a model of collusion formation and a method of measuring the degree of it among the traders/bidders in the agricultural commodity markets in India. The important…

Abstract

Purpose

This paper gives a model of collusion formation and a method of measuring the degree of it among the traders/bidders in the agricultural commodity markets in India. The important assumption is that the bidding is repetitive with a set of common bidders. The theory has been derived based on the behavior of the wholesale market of agricultural commodities in India. The paper is based on full information in the collusion formation. The paper first derives the theoretical structure of the bidders' behavior and thereafter derives a measure of collusion formation with the help of real-life data.

Design/methodology/approach

The paper used the standard theory of optimization and the theory of auction and probability statistics.

Findings

This is a complete information model of cartel formation. The bidding is repetitive and continues forever in discrete time. Hence bidders behavior is observable. Using the proposed method, if the APMC measures for each market and publishes on a periodic basis, say weekly basis, then it will be easier to break the collusion in the market where relative collision is present. For example, if a farmer has three options to sell in three different markets, then the published data would help them to select the market where the degree of collusion is relatively lower. Moreover, the undesirable loss can be avoided based on the right choice of market. As a result, transaction costs will be optima.

Originality/value

The paper first derives the theoretical structure of the bidders' behavior and thereafter derives a measure of collusion formation with the help of real-life data.

Details

Journal of Economic Studies, vol. 50 no. 8
Type: Research Article
ISSN: 0144-3585

Keywords

Article
Publication date: 7 April 2023

Pedro Bento, Sílvio Mariano, Pedro Carvalho, Maria do Rosário Calado and José Pombo

This study is a targeted review of some of the major changes in European regulation that guided energy policy decisions in the Iberian Peninsula and how they may have aggravated…

Abstract

Purpose

This study is a targeted review of some of the major changes in European regulation that guided energy policy decisions in the Iberian Peninsula and how they may have aggravated the problem of lack of flexibility. This study aims to assess some of the proposed short-term solutions to address this issue considering the underlying root causes and suggests a different course of action, that in turn, could help alleviate future market strains.

Design/methodology/approach

The evolution of the most important (macro) energy and price-related variables in both Portugal and Spain is assessed using market and grid operator data. In addition, the authors present critical viewpoints on some of the most recent EU and national regulation changes (official document analysis).

Findings

The Iberian energy policy and regulatory agenda has successfully promoted a rapid adoption of renewables (main goal), although with insufficient diversification of generation technologies. The compulsory closings of thermal plants and an increased tax (mainly carbon) added pressure toward more environmentally friendly thermal power plants. However, inevitably, this curbed the bidding price competitiveness of these producers in an already challenging market framework. Moving forward, decisions must be based on “a bigger picture” that does not neglect system flexibility and security of supply and understands the specificities of the Iberian market and its generation portfolio.

Originality/value

This work provides an original account of unprecedented spikes in energy prices in 2021, specifically in the Iberian electricity market. This acute situation worries consumers, industry and governments. Underlining the instability of the market prices, for the first time, this study discusses how some of the most important regulatory changes, and their perception and absorption by involved parties, contributed to the current environment. In addition, this study stresses that if flexibility is overlooked, the overall purpose of having an affordable and reliable system is at risk.

Details

International Journal of Energy Sector Management, vol. 18 no. 2
Type: Research Article
ISSN: 1750-6220

Keywords

Article
Publication date: 4 October 2022

Roozbeh Balounejad Nouri

The purpose of this study, the nonlinear relationship between the real estate market and the stock market was investigated in Iran. For this intent, the monthly data from 2012:4…

Abstract

Purpose

The purpose of this study, the nonlinear relationship between the real estate market and the stock market was investigated in Iran. For this intent, the monthly data from 2012:4 to 2022:5 is used.

Design/methodology/approach

In this study, the quantile-on-quantile estimation method is used, which is a combination of the nonparametric estimation methods and the quantile regression.

Findings

The research results show that, in the low quantiles, the effect of stock market return on the housing market return is negative or zero. In fact, in this situation, the increasing returns in the stock market will shift part of the financial resources of the economy to the market and create stagnation or even negative returns in the housing market. This situation is seen more strongly in some other quantiles, including the 0.25 and 0.75 quantiles; in contrast, the effect of high quantiles of stock market returns is positive on the housing market.

Originality/value

It seems that the demand in the housing market increase in a situation where the returns of the stock market are growing, and the market is in a bullish condition, and this causes an increase in the price and returns in this market. In addition, the results show that the effect of stock market returns on capital market returns is asymmetric and nonlinear.

Details

International Journal of Housing Markets and Analysis, vol. 17 no. 2
Type: Research Article
ISSN: 1753-8270

Keywords

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