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1 – 10 of over 2000Monsurat Ayojimi Salami and Razali Haron
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…
Abstract
Purpose
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.
Design/methodology/approach
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.
Findings
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.
Research limitations/implications
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.
Practical implications
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.
Originality/value
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.
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Ebru Çağlayan Akay, Zamira Oskonbaeva and Hoşeng Bülbül
This study aims to examine the hysteresis hypothesis in unemployment using monthly data from 13 countries in transition.
Abstract
Purpose
This study aims to examine the hysteresis hypothesis in unemployment using monthly data from 13 countries in transition.
Design/methodology/approach
Stationarity in the unemployment rate of selected transition economies was analyzed using four different group unit root tests, namely, linear, structural breaks, non-linear and structural breaks and non-linear.
Findings
The empirical results show that the unemployment hysteresis hypothesis is valid for the majority of transition economies, including Bulgaria, Croatia, the Czech Republic, Estonia, Hungary, the Kyrgyz Republic, Latvia, Lithuania, Poland, Romania and Slovenia. However, the results strongly reject the null hypothesis of unemployment hysteresis for the Kazakhstan and the Slovak Republics.
Originality/value
This study revealed that, for countries in transition, advanced unit root tests exhibit greater validity when compared to standard tests
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Aiza Shabbir, Shazia Kousar and Syeda Azra Batool
The purpose of the study is to find out the impact of gold and oil prices on the stock market.
Abstract
Purpose
The purpose of the study is to find out the impact of gold and oil prices on the stock market.
Design/methodology/approach
This study uses the data on gold prices, stock exchange and oil prices for the period 1991–2016. This study applied descriptive statistics, augmented Dickey–Fuller test, correlation and autoregressive distributed lag test.
Findings
The data analysis results showed that gold and oil prices have a significant impact on the stock market.
Research limitations/implications
Following empirical evidence of this study, the authors recommend that investors should invest in gold because the main reason is that hike in inflation reduces the real value of money, and people seek to invest in alternative investment avenues like gold to preserve the value of their assets and earn additional returns. This suggests that investment in gold can be used as a tool to decline inflation pressure to a sustainable level. This study was restricted to use small sample data owing to the availability of data from 1991 to 2017 and could not use structural break unit root tests with two structural break and structural break cointegration approach, as these tests require high-frequency data set.
Originality/value
This study provides information to the investors who want to get the benefit of diversification by investing in gold, oil and stock market. In the current era, gold prices and oil prices are fluctuating day by day, and investors think that stock returns may or may not be affected by these fluctuations. This study is unique because it focusses on current issues and takes the current data in this research to help investment institutions or portfolio managers.
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Gustavo Barboza, Laura Gavinelli, Valerien Pede, Alice Mazzucchelli and Angelo Di Gregorio
The purpose is to detect the nonlinearity wholesale rice price formation process in Italy in the 1995–2017 period.
Abstract
Purpose
The purpose is to detect the nonlinearity wholesale rice price formation process in Italy in the 1995–2017 period.
Design/methodology/approach
A nonlinear smooth transition autoregressive (STAR)-type dynamics model is used.
Findings
Wholesale rice prices are significantly affected by variations in the international price of rice as well as variations in Arborio price.
Research limitations/implications
The limitations include policy recommendations for the production and commercialization of rice in Italy.
Practical implications
Understanding rice pricing dynamics and nonlinearity behavior is pivotal for the survival of the entire European and Italian rice supply chain.
Originality/value
In the extant literature, no evidence exists on non-linearity of rice prices in Italy.
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Noha Hesham Ghazy, Hebatallah Ghoneim and Dimitrios Paparas
One of the main theories regarding the relationship between government expenditure and gross domestic product (GDP) is Wagner’s law. This law was developed in the late-19th…
Abstract
Purpose
One of the main theories regarding the relationship between government expenditure and gross domestic product (GDP) is Wagner’s law. This law was developed in the late-19th century by Adolph Wagner (1835–1917), a prominent German economist, and depicts that an increase in government expenditure is a feature often associated with progressive states. This paper aims to examine the validity of Wagner’s law in Egypt for 1960–2018. The relationship between real government expenditure and real GDP is tested using three versions of Wagner’s law.
Design/methodology/approach
To test the validity of Wagner in Egypt, law time-series analysis is used. The methodology used in this paper is: unit-root tests for stationarity, Johansen cointegration approach, error-correction model and Granger causality.
Findings
The results provide strong evidence of long-term relationship between GDP and government expenditure. Moreover, the causal relationship is found to be bi-directional. Hence, this study provides support for Wagner’s law in the examined context.
Research limitations/implications
It should be noted, however, that there are some limitations to this study. For instance, in this paper, the government’s size was measured through government consumption expenditure rather than government expenditure due to data availability, which does not fully capture the government size. Moreover, the data available was limited and does not fully cover the earliest stages of industrialization and urbanization for Egypt. Furthermore, although time-series analysis provides a more contextualized results and conclusions, the obtained conclusions suffer from their limited generalizability.
Originality/value
This paper aims to specifically make a contribution to the empirical literature for Wagner’s law, by testing the Egyptian data using time-series econometric techniques for the longest time period examined so far, which is 1960–2018.
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Anupam Dutta, Naji Jalkh, Elie Bouri and Probal Dutta
The purpose of this paper is to examine the impact of structural breaks on the conditional variance of carbon emission allowance prices.
Abstract
Purpose
The purpose of this paper is to examine the impact of structural breaks on the conditional variance of carbon emission allowance prices.
Design/methodology/approach
The authors employ the symmetric GARCH model, and two asymmetric models, namely the exponential GARCH and the threshold GARCH.
Findings
The authors show that the forecast performance of GARCH models improves after accounting for potential structural changes. Importantly, we observe a significant drop in the volatility persistence of emission prices. In addition, the effects of positive and negative shocks on carbon market volatility increase when breaks are taken into account. Overall, the findings reveal that when structural breaks are ignored in the emission price risk, the volatility persistence is overestimated and the news impact is underestimated.
Originality/value
The authors are the first to examine how the conditional variance of carbon emission allowance prices reacts to structural breaks.
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Alfonso Camba-Crespo, José García-Solanes and Fernando Torrejón-Flores
This study aims to identify structural breaks in the current account and the periods between these breaks, which the authors name stability spells, and study their characteristics…
Abstract
Purpose
This study aims to identify structural breaks in the current account and the periods between these breaks, which the authors name stability spells, and study their characteristics and determinants.
Design/methodology/approach
Using data from the IMF and the World Bank, this study applies the Lee and Strazicich test to endogenously identify breaks and the Heckman selection model to simultaneously study the determinants of structural breaks and current-account changes after breaks.
Findings
This study identifies 212 significant structural breaks and 341 stability spells. These spells become shorter and more volatile the further they are from equilibrium, and half of them last 10 years or less. The results show that economic growth and foreign-exchange piling are particularly useful to prevent breaks, while lower per capita income increases exposure to break risks.
Originality/value
This study introduces the concept of current-account stability spells to refer to the periods between structural breaks. These spells are then studied to determine their main characteristics. The authors also apply a global perspective in their analysis, using a wide sample of 181 economies between 1980 and 2018 and considering positive and negative breaks in both level and trend.
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