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1 – 10 of over 3000Animesh Bhattacharjee and Joy Das
The present study examines the long-run and short-run effects of monetary factors (money supply, interest rate, inflation and foreign currency exchange rate) on the Indian stock…
Abstract
Purpose
The present study examines the long-run and short-run effects of monetary factors (money supply, interest rate, inflation and foreign currency exchange rate) on the Indian stock market.
Design/methodology/approach
The study used sophisticated econometric tools to analyse monthly observations from January 1993 to December 2019.
Findings
The augmented Dickey–Fuller (ADF) test indicates that the variables involved in the present study are either I(0) or I(1). The Bai–Perron test multiple break point test identifies four breakpoint dates in the Indian stock market index series. The breakpoint dates are incorporated as different dummy variables in the autoregressive distributed lag-error correction model (ARDL-ECM) regression. The F-bounds test reveals that the variables in the study are cointegrated within the time period under consideration. This study’s findings show that the interest rate, which is a proxy for monetary policy instrument, and the foreign currency exchange rate have a negative impact on the Indian stock market. Furthermore, the authors find that structural changes significantly affect the performance of Indian stock market.
Practical implications
The study's outcomes indicate that economic factors should be taken into account by investors and portfolio managers when formulating long-term investment strategies. The government, through the Reserve Bank of India, should exercise caution in avoiding discretionary actions that could increase interest rates since the flow of funds to the stock market will be disrupted. To reduce risk, investors should keep a close eye on how interest rates and foreign exchange rates are rising.
Originality/value
The study covers a long period of time, which the majority of previous work did not consider. Furthermore, the study uses different dummy variables in the ARDL model to represent structural breaks (as determined by the Bai–Perron multiple break point test).
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This paper aims to understand the issue of interest rate benchmarking in Islamic financial institutions (IFIs) from a macro-economic perspective and assessing the relevance of…
Abstract
Purpose
This paper aims to understand the issue of interest rate benchmarking in Islamic financial institutions (IFIs) from a macro-economic perspective and assessing the relevance of creating a Sharīʿah-compliant profit rate benchmark to solve this issue. This paper also aims at suggesting an Islamic alternative that will handle both the negative economic impact on IFIs as well as on their financial performance.
Design/methodology/approach
The paper is based on literature review of conventional finance and Islamic finance theories to construct a theoretical model to assess the impact of interest rate benchmarking on the ability of IFIs to achieve the objectives of the Islamic economy.
Findings
The macro-economic perspective concludes that conceiving a profit rate benchmark for the Islamic finance industry is not relevant to raising the Sharīʿah credibility of the industry. Indeed, several adjustments need to be introduced in terms of the business model.
Research limitations/implications
The recommendations of this paper require the involvement of financial authorities and governments for their implementation. Indeed, the adjustments require a macro-economic review.
Practical implications
The paper considers a profit rate benchmark irrelevant and inefficient. Instead, it suggests the necessary adjustments in terms of business model and economic approach for IFIs to achieve their objectives.
Social implications
The paper considers zakat implementation and the adjustment of IFIs as the real path to implement a fair wealth distribution in the society.
Originality/value
The creation of a profit rate benchmark has always been the only solution for the pricing issue in IFIs. This paper challenges this idea and tries to give a deeper understanding of the situation.
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In 2022, US financial regulators proposed to mandate a single central clearing mechanism for treasury bonds and repo transactions to stabilize financial markets. The systemic…
Abstract
In 2022, US financial regulators proposed to mandate a single central clearing mechanism for treasury bonds and repo transactions to stabilize financial markets. The systemic risks inherent in repo markets were first highlighted by the global financial crisis and, as a response, global financial authorities such as the Financial Stability Board (FSB) and Bank for International Settlements (BIS) have advocated for the introduction of a central counterparty (CCP). This study examines the structural characteristics of Korean repo markets and proposes the introduction of CCPs as a way to mitigate systemic risk. To this end, the author analyzes the structural differences between US and European repo markets and estimates the potential consequences of introducing CCP clearing in local repo markets. In general, CCPs offer two benefits: they can reduce required capital through netting in multilateral transactions, and they can mitigate the effects of risk transfer by isolating counterparty risk during periods of turbulence. In Korea, the latter effect is expected to play a pivotal role in mitigating potential risks.
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The most prominent and persistent problems of our global monetary system are instability and imbalances. We propose an international monetary model to solve these problems while…
Abstract
Purpose
The most prominent and persistent problems of our global monetary system are instability and imbalances. We propose an international monetary model to solve these problems while at the same time move the model closer to Maqāṣid Sharīʿah (objectives of Sharīʿah). We name this an organic global monetary model or abbreviated as OGM. OGM is an international monetary model directly built on the national monetary system of each member country so that the two can co-exist.
Design/methodology/approach
Model design, theory and literature.
Findings
The model can eliminate interest rates at the central bank level, create non-tradable international money, and make a more stable international monetary system.
Originality/value
Original.
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María del Mar Miralles-Quirós, José Luis Miralles-Quirós and Celia Oliveira
The aim of this paper is to examine the role of liquidity in asset pricing in a tiny market, such as the Portuguese. The unique setting of the Lisbon Stock Exchange with regards…
Abstract
Purpose
The aim of this paper is to examine the role of liquidity in asset pricing in a tiny market, such as the Portuguese. The unique setting of the Lisbon Stock Exchange with regards to changes in classification from an emerging to a developed stock market, allows an original answer to whether changes in the development of the market affect the role of liquidity in asset pricing.
Design/methodology/approach
The authors propose and compare two alternative implications of liquidity in asset pricing: as a desirable characteristic of stocks and as a source of systematic risk. In contrast to prior research for major stock markets, they use the proportion of zero returns which is an appropriated measure of liquidity in tiny markets and propose the separated effects of illiquidity in a capital asset pricing model framework over the whole sample period as well as in two sub-samples, depending on the change in classification of the Portuguese market, from an emerging to a developed one.
Findings
The overall results of the study show that individual illiquidity affects Portuguese stock returns. However, in contrast to previous evidence from other markets, they show that the most traded stocks (hence the most liquid stocks) exhibit larger returns. In addition, they show that the illiquidity effects on stock returns were higher and more significant in the period from January 1988 to November 1997, during which the Portuguese stock market was still an emerging market.
Research limitations/implications
These findings are relevant for investors when they make their investment decisions and for market regulators because they reflect the need of improving the competitiveness of the Portuguese stock market. Additionally, these findings are a challenge for academics because they exhibit the need for providing alternative theories for tiny markets such as the Portuguese one.
Practical implications
The results have important implications for individual and institutional investors who can take into account the peculiar effect of liquidity in stock returns to make proper investment decision.
Originality/value
The Portuguese market provides a natural experimental area to analyse the role of liquidity in asset pricing, because it is a tiny market and during the period studied it changed from an emerging to a developed stock market. Moreover, the authors have to highlight that previous evidence almost exclusively focuses on the US and major European stock markets, whereas studies for the Portuguese one are scarce. In this context, the study provides an alternative methodological approach with results that differ from those theoretically expected. Thus, these findings are a challenge for academics and open a theoretical and a practical debate.
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Thang Ngoc Doan, Dong Phu Do and Dat Van Luong
This paper analyzes the effects of the monetary stance on the media's favorable (or otherwise) attitude to the State Bank of Vietnam's (SBV) monetary policy using monthly data…
Abstract
Purpose
This paper analyzes the effects of the monetary stance on the media's favorable (or otherwise) attitude to the State Bank of Vietnam's (SBV) monetary policy using monthly data from 2011 to 2021. Monetary stance is a multivariate index based on the growth rates of money supply and domestic credit. A large set of articles published in five Vietnam daily newspapers are utilized to construct a view of the media's favorableness to the monetary policy.
Design/methodology/approach
This paper uses hand-collected data from 211 articles published in five newspapers from December 2011 to September 2021 in order to examine the relationship between the monetary stance and the media's favorableness to monetary policy. Following the studies of He and Pauwels (2008) and Xiong (2012), the authors constructed a multivariate stance index to capture most of the important changes in the SBV's monetary policy stance.
Findings
The study's main findings are that a change in monetary stance from easing to neutral/tightening, or from neutral to tightening, is greatly appreciated by the media. The study's findings are robust, especially in terms of alternative measures of the media's favorableness and monetary policy variables.
Research limitations/implications
These findings have important policy implications for implementing SBV's monetary policy.
Originality/value
The main contribution of this paper is that the authors are the first to study the nexus of multivariate monetary stance and the media's favorableness to a central bank's non-inflation-targeting mandate. In particular, the study’s findings confirm that the SBV's multivariate monetary stance affects the media's favorableness, whereas the effect of inflation is statistically insignificant.
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The purpose of this paper is to examine and analyze the exchange rate pass-through into inflation (ERPT) in Vietnam.
Abstract
Purpose
The purpose of this paper is to examine and analyze the exchange rate pass-through into inflation (ERPT) in Vietnam.
Design/methodology/approach
The paper examines and analyzes the ERPT in Vietnam by applying vector autoregression model over the period 2008‒2018.
Findings
The key finding of the research is that from the impulse response results, the transmission of exchange rate shocks to inflation is significant in Vietnam, and this is incomplete exchange rate pass-through. Moreover, the evidence from variance decompositions argues that exchange rate is an important factor to explain the fluctuation of inflation.
Originality/value
In overall, the depreciation or appreciation of exchange rate in Vietnam will considerably impact inflation.
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Seda Yıldırım, Durmus Cagrı Yıldırım and Pelin Diboglu
This paper aims to explain the relationship between sukuk market and economic growth. In this context, the study investigates the impact of sukuk market development on economic…
Abstract
Purpose
This paper aims to explain the relationship between sukuk market and economic growth. In this context, the study investigates the impact of sukuk market development on economic growth for nine countries (Brunei, Indonesia, Jordan, Kuwait, Malaysia, Nigeria, Saudi Arabia, Pakistan and Turkey) which have Islamic finance and banking system.
Design/methodology/approach
The study analyzed the data of nine countries as Brunei, Indonesia, Jordan, Kuwait, Malaysia, Nigeria, Saudi Arabia, Pakistan and Turkey for periods between 2014Q1 and 2017Q4. As a part of gross domestic product, total sukuk export measured by the sukuk market and the sukuk density which was considered as annual sukuk export per country were used to determine sukuk market development. Inflation, trade deficit and financial stress series were used as control variables.
Findings
It was determined that there was a long-term cointegrated relationship between sukuk market development and economic growth. Sukuk volume and sukuk density had a positive effect on growth in the long run. One unit increase in sukuk volume increased growth by 0.5%, while increase in sukuk density increased growth by 1.7%. According to short-term relationships, it was seen that sukuk variables did not have an effect on growth. However, sukuk exports contributed positively to growth rates in the long run.
Research limitations/implications
The findings of this study are limited with nine countries (Brunei, Indonesia, Jordan, Kuwait, Malaysia, Nigeria, Saudi Arabia, Pakistan and Turkey). Also, the accessible data of sukuk market was used and the periods of 2014Q1–2017Q4 was analyzed in a study. Accordingly, future studies can find different results for different countries which has Islamic finance and banking system for different periods in the global market.
Originality/value
This study provides empirical findings to the related literature, and it proves that sukuk market development contributes positively to the economic growth of countries including Islamic finance and banking system in the long run.
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Ignacio Manuel Luque Raya and Pablo Luque Raya
Having defined liquidity, the aim is to assess the predictive capacity of its representative variables, so that economic fluctuations may be better understood.
Abstract
Purpose
Having defined liquidity, the aim is to assess the predictive capacity of its representative variables, so that economic fluctuations may be better understood.
Design/methodology/approach
Conceptual variables that are representative of liquidity will be used to formulate the predictions. The results of various machine learning models will be compared, leading to some reflections on the predictive value of the liquidity variables, with a view to defining their selection.
Findings
The predictive capacity of the model was also found to vary depending on the source of the liquidity, in so far as the data on liquidity within the private sector contributed more than the data on public sector liquidity to the prediction of economic fluctuations. International liquidity was seen as a more diffuse concept, and the standardization of its definition could be the focus of future studies. A benchmarking process was also performed when applying the state-of-the-art machine learning models.
Originality/value
Better understanding of these variables might help us toward a deeper understanding of the operation of financial markets. Liquidity, one of the key financial market variables, is neither well-defined nor standardized in the existing literature, which calls for further study. Hence, the novelty of an applied study employing modern data science techniques can provide a fresh perspective on financial markets.
流動資金,無論是在金融市場方面,抑或是在實體經濟方面,均為市場趨勢最明確的預報因素之一
因此,就了解經濟週期和經濟發展而言,流動資金是一個極其重要的概念。本研究擬在安全資產的價格預測方面取得進步。安全資產代表了經濟的實際情況,特別是美國的十年期國債。
研究目的
流動資金的定義上面已說明了; 為進一步了解經濟波動,本研究擬對流動資金代表性變量的預測能力進行評估。
研究方法
研究使用作為流動資金代表的概念變項去規劃預測。各機器學習模型的結果會作比較,這會帶來對流動資金變量的預測值的深思,而深思的目的是確定其選擇。
研究結果
只要在私營部門內流動資金的數據比公營部門的流動資金數據、在預測經濟波動方面貢獻更大時,我們發現、模型的預測能力也會依賴流動資金的來源而存在差異。國際流動資金被視為一個晦澀的概念,而它的定義的標準化,或許應是未來學術研究的焦點。當應用最先進的機器學習模型時,標桿分析法的步驟也施行了。
研究的原創性
若我們對有關的變量加深認識,我們就可更深入地理解金融市場的運作。流動資金,雖是金融市場中一個極其重要的變量,但在現存的學術文獻裏,不但沒有明確的定義,而且也沒有被標準化; 就此而言,未來的研究或許可在這方面作進一步的探討。因此,本研究為富有新穎思維的應用研究,研究使用了現代數據科學技術,這可為探討金融市場提供一個全新的視角。
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The purpose of this study is to investigate the impact of government policies adopted by the Tunisian government to cope with the COVID-19 sanitary crisis on stock market return.
Abstract
Purpose
The purpose of this study is to investigate the impact of government policies adopted by the Tunisian government to cope with the COVID-19 sanitary crisis on stock market return.
Design/methodology/approach
The author uses daily data from March 2, 2020, to July 23, 2021.
Findings
The author finds that policies interventions have a negative impact on Tunisia's stock market, particularly stock market returns due to stringency, confinement and health measures. Also, Government announcements regarding economic has a negative impact on Tunisia's stock market but this impact is insignificant. By conducting an additional analysis, the author shows that the government interventions policies amplify the negative effect of COVID-19 on stock returns.
Research limitations/implications
These results will be useful for policy authorities seeking to consider the advantages and drawbacks of government measures. Finally, a legislative proposal about the audit of public debt should be included in the Constitution to spur Tunisia's economic and social recovery.
Originality/value
This study contributes to the related literature in two ways: First, it is the first study to examine the impact of government actions on stock market performance. Second, it bridges a gap in the literature by investigating the case of Tunisia, because most studies focus on developed and emerging economies.
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