Search results

This paper aims to investigate the impact of global macro and other risk factors of the New York Stock Exchange (NYSE)- and National Association of Securities Dealers Automated Quotation (NASDAQ)-listed shipping companies’ stock returns from January 2001 to December 2019.

The methodological design includes multi-factor regressions for individual companies, augmented versions of these regressions to examine the likely impact of additional factors and finally panel regressions to assess the impact risk factors on all companies simultaneously. Estimations are done via ordinary least squares and the generalized method of moments.

Multi-factor model results showed that some of the US-specific and global macro risk factors surfaced as statistically significant for most of the companies and appeared to exhibit a consistent pattern in the way they affected shipping stocks. Thus, these companies’ exposures emanate mostly from the general US market’s movements and to a lesser extent from other firm-specific factors. Second, from the results of panel specifications, this study observes that domestic risk factors such as unemployment, inflation rates and industrial production growth emerged as significant for the NYSE-listed companies. As regard, the NASDAQ-listed ones, it was found that Libor and the G20 inflation rate were also affecting their stock returns.

Companies examined are listed only in the US’s NYSE and NASDAQ. Hence, companies listed elsewhere were excluded. It may be concluded that these US exchange-listed companies abide mostly by domestic fundamentals and to some extent to selected global factors.

The significance of the findings in this study pertains to global investors and shipping companies’ managers alike. Specifically, given the differential sensitivities of the shipping companies to various risk factors (and the global business cycle, in general), it is possible to view the shipping companies’ stocks as a separate, alternate asset class in a global, well-diversified portfolio. Thus, such a broader portfolio would permit investors to earn positive returns and reduce overall risk. Managers of shipping companies would also benefit from the findings in this study in the sense that they should better understand the varying exposures of their companies to changing global and domestic macro conditions and successfully navigate their companies through business cycles.

Research on the global shipping industry has lagged behind and was mainly concentrated on the investigation of the sources of shipping finance and capital structure of shipping companies, investment and valuation, corporate governance and risk measurement and management. Empirical research on the potential micro and macro determinants of the stock returns of shipping companies, however, is scant. This paper fills the gap in the literature of identifying and evaluating the various macroeconomic, US and international risk, factors that affect shipping companies’ stock returns in a highly financially integrated world.

The purpose of this paper is to re-examine the relationship between a country’s aggregate stock market and general economic development for 14 emerging economies for the period from 1995 to 2014.

The methodological approach of the paper is multifold. First, the authors use cointegration analysis to determine the simple dynamics among the variables. Second, the authors utilize vector autoregression analysis to study the dynamics among the variables for the 14 countries. Third, the authors employ panel analysis to determine common variations among the variables and across countries.

When examining the linkage between the stock market and economic development, proxied by gross domestic product growth or with gross fixed capital formation growth, the authors did not find a meaningful relationship between them. However, when the authors included additional control variables strong, dynamic interactions between the two magnitudes surfaced. Specifically, it was found that the stock market is positively and robustly correlated with contemporaneous and future real economic development and, thus, it directly contributed to a country’s economic development either through the production of goods and services or the accumulation of real capital. Thus, it can be inferred that the stock market alone is not capable of boosting economic development in these countries unless being part of a comprehensive financial system (which includes banks) as well as investment in real capital.

The policy implications are clear. Government authorities must recognize that the stock market alone is not a driver of economic development and that a sound, efficient financial system (which includes banks) must be present in order to contribute and foster economic development.

The study is original in the sense that it examines various financial and economic variables to determine the degree of (or dynamic interactions among) the stock market and the real economy for each and all emerging markets in the sample.

The purpose of this paper is to investigate the short- and long-run dynamic linkages between selected cryptocurrencies, several major world currencies and major equity indices. The results show that despite sharing some common characteristics, the cryptocurrencies do not reveal any short- and long-term stochastic trends with exchange rates and/or equity returns. The dynamics of each cryptocurrency with the Chinese Yuan appears to be more turbulent than that with the other exchange rates. Each cryptocurrency appears to follow its own trend in the global financial market and is independent of the exchange rates or the global stock markets, thus making them suitable for inclusion in global investment portfolios.

The cryptocurrencies examined are Bitcoin, Dash, Ethereum, Monero, Stellar and XRP. In addition, data were collected on major exchange rates with respect to the US dollar, namely, the euro, British pound, Japanese yen and Chinese Yuan. Finally, the following major stock market indices were selected: SP500, DAX, DJIA, CAC, FTSE, NIKKEI, Hang Seng and Shanghai. The study applied vector autoregressive (VAR) model and Engle’s (2002) dynamic conditional correlation generalized autoregressive conditional heteroskedasticity (DCC-GARCH) specification.

First, it was found that cryptocurrencies do not interact with each other because their correlations are weak and do not share a common long-run path; thus they are not cointegrated. Second, impulse response analysis from the VAR models indicate different reactions of each cryptocurrency to both exchange rate and equity shocks and that cryptocurrencies appear to be isolated from market-driven shocks. Third, the ups and downs in the cryptocurrencies’ dynamic conditional correlations (from the DCC-GARCH models) indicate that all cryptocurrencies were susceptible to speculative attacks and market events.

This paper examines the dynamic linkages among the most important cryptocurrencies with major exchange rates and equity markets and, to the best of the authors’ knowledge, is the first paper to do so. Thus, interested market agents would gain valuable insights as to whether this new form of asset might be used for conducting monetary policies and portfolio construction on a global setting.

The paper contributes to the scant literature on the dynamic linkages among major cryptocurrencies and global financial assets. In general, given the differential relationships of each crypto with the equity markets, one could infer that they represent a decent short-run investment vehicle within a well-diversified, global asset portfolio (as they may increase the returns and reduce the overall risk of the portfolio).

The paper explores the implications for monetary policy from the greater integration of major capital markets since 1980 using long‐term interest rates. The empirical approach is the multivariate vector moving average GARCH model, which examines the nature of the spillover mechanism across markets. The results have shown that since 1990 there has been a stronger linkage among major bond markets at the volatility level. Evidence that globalization has seriously affected the behavior of interest rates and made them more synchronized across countries is suggested from the way disturbances in a major market spill over fast and heavily, at times, to other related markets thereby affecting the conduct of monetary policy in all involved parties. This happens because investors now have more information about and choices of bonds from many countries and that makes them efficient in their assessment of assets. Therefore, their concerted actions generate more volatility as they continuously rebalance their global portfolios.

The purpose of this paper is to re‐examine the relationship between real investment and stock prices for the USA for 1960‐2005 in view of distinct economic regimes during the 40‐year period.

The paper employs simple models of investment, checks for cointegration, and applies the value at risk (VAR) methodology.

First, it was found that during the 1960‐1990 period investment and the stock market exhibited a good relationship and shared a common stochastic trend. Second, during the 1990‐2005 period this relationship broke down. Finally, extending the model to include the long‐term interest rate did not produce significant impacts on or feedbacks from and to either variable. It is concluded that the 1990‐2005 period has been distinct from the previous periods in that the stock market did not always abide by the fundamentals such as interest rates and/or investment expenditures. It is thus concluded that the high stock market growth rates of the 1990s have adversely impacted real investment expenditures.

Lack of influence of the real long‐term interest rate on either the investment of the stock price equations for the 1990‐2005 period. This implies that both investment and the stock market did not “take into account” a fundamental variable, the discount rate, instead they had a run on their own (especially the stock market).

The value of the paper is in showing that interest rates and investment expenditures do not always move as economic theory predicts or that economic fundamentals do not always rule.

This paper investigates the issue of whether financial market liberalization announcements in emerging economies have had any effects on the efficient operation of their equity markets. The issue is empirically examined in the case of Greece, and its emerging stock market, the Athens Stock Exchange (ASE). The sequence of tests conducted, ranging from tests of structural change to several efficiency tests, suggest that the Greek equity market was weak‐form efficient before these announcements were made. Hence, the ASE was operating as a random walk hinting that investors could not engage in systematically profitable ventures because future long‐term returns were independent of past returns. In other words, foreign and local investors guided their strategies based on the fundamentals and not on speculative grounds.

The purpose of this paper is to investigate the linkages among real estate investment trusts (REITs), the stock market, and real economic activity for the USA for the 1971‐2007 period. In view of the fact that when the economy performs well the equity and REIT markets also do well, it is easy to see why one needs to examine the dynamic interactions among these magnitudes and understand the implications of market movements or policy changes on the returns of REIT.

The empirical investigation is conducted via the vector autoregressive (VAR) methodology coupled with Granger causality and cointegration analyses. VAR analysis permits inferences to be drawn about how a particular variable, say, the stock market, helps to explain a REIT's return and to see how a shock from the same variable affects that return. In other words, the magnitudes which are more relevant in explaining the REIT return can be deduced so as to determine the driving forces behind the return. Finally, some robustness tests are performed and some other relative magnitudes are experimented with so as to have a more comprehensive picture of the dynamic interactions among the three variables.

First, the equity and the mortgage REIT categories display essentially similar patterns with their interactions with the general stock market and/or industrial production movements. Specifically, in the case of the equity REIT, it is revealed that a reciprocal linkage between the two exists, whereas for the mortgage REIT a uni‐directional one run from the REIT to the stock market. Second, when substituting the general stock market returns with two sub index returns (the small‐ and the mid‐cap excess returns) it is found that the two REIT categories are more closely related to a sub index than the general stock market index. Overall, significant short‐run interactions are seen among the three magnitudes since the 1970s.

The results are important for investors and policymakers. For investors, the finding of the close relationship between the equity and mortgage REIT categories and the general stock market is that there may not be a profitable reallocation of portfolios within these two asset classes. For policymakers, it can be suggested that they take notice of how changes in monetary policy (via changes in interest rates or money supply) influence REIT investments and what the impact of that would be on the reallocation of such investments by professional investors and managers.

This paper explored the new features of emerging stock markets, in order to point out the most associated indicators of increasing stock return volatility, which may lead to instability of emerging markets. The study covers a sample of five geographical areas of emerging economies, including Mexico, Korea, South Africa, Turkey, and Malaysia. It used the backward multiple‐regression technique to examine the relationship between monthly changes of stock price indices as dependent variable and the associated predicting local as well as international variables, which represent possible causes of increasing price volatility and initiating crises in emerging stock markets. The study covered monthly data for a period of forty‐eight months from January 1997 to December 2000. The study revealed that stock trading volume and currency exchange rate respectively represent the highest positive correlation to the emerging stock price changes; thus represent the most predicting variables of increasing price volatility. International stock price index, deposit interest rate, and bond trading volume were moderate predicting variables for emerging stock price volatility. While changes in inflation rate showed the least positive correlation to stock price volatility, thus represents the least predicting variable.

The purpose of this paper is to estimate the bond market linkages between emerging markets (EM) and advanced markets (AM) yields by estimating yield equations for EMs as a function of AM yields and illustrating the quantitative macroeconomic effects on EMs of global yield shocks in a multi-country dynamic stochastic general equilibrium modeling model.

The research used a monthly sample of 45 advanced and EM economies covering the period 1998Q1 to 2010Q6. In this paper, the authors have shown that, indeed, there is a spillover effect from AD to EM countries and that most transmission channels, although they vary in significance, are all economically relevant. The main results of the paper underline the importance of international spillover across countries in the financial market. The strongest international transmission of shocks to EM is from the USA and the UK.

The authors find evidence that shocks in the volatility index and commodity fuels have a positive and significant impact on EM bond yield. Moreover, shocks in three-month US treasury bills, credit default swap, the London gold price and the Brent petrol price have a significant negative impact on EM bond yield. Finally, the result shows that global external shocks are found to be significant in determining bond yield and causing spillover into the EM.

These findings are especially important for policy makers in understanding the transmission of shocks in the bond market across different countries, as well as for risk management.