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11 – 20 of over 1000L.L. Leachman, Christie H. Paksoy and J.B. Wilkinson
This research applies vector autoregression to estimate a system composed of market share and relative advertising expenditures of the seven major competitors in the U. S…
Abstract
This research applies vector autoregression to estimate a system composed of market share and relative advertising expenditures of the seven major competitors in the U. S. replacement passenger tire market between 1972 and 1983. The results of the study suggest that a company's market share in this market cannot be predicted from its relative advertising expenditures.
Chiraz Ayadi and Houda Ben Said
This paper aims to explore the impact of the coronavirus on the volatility spillovers of 10 selected developed markets hit by this pandemic (e.g. the USA, Canada, Korea, Japan…
Abstract
Purpose
This paper aims to explore the impact of the coronavirus on the volatility spillovers of 10 selected developed markets hit by this pandemic (e.g. the USA, Canada, Korea, Japan, the UK, Germany, Italy, Spain, France and China).
Design/methodology/approach
The database consists of daily data from January 1, 2020, to December 31, 2022. The data used are the precise daily closing prices of various indices of selected markets gathered from the DataStream and Investing.com databases. The authors use the VAR model to study the transmission of volatility between stock markets and analyze the dynamic links between them. Then, the Granger causality test is used to study the volatility movements and determine which of these markets is likely to influence the others. Then, impulse response functions are used to understand the reactions of the studied markets following shocks in the two most important markets, namely, the American and Chinese markets. Finally, forecast errors variance decomposition is used to measure the dynamic interactions that characterize the relationships between the studied markets.
Findings
Empirical results reveal instability in the returns of various indexes and the existence of causal relationships between standardized volatility of markets. The reactions of some markets following a shock in American and Chinese markets differ among markets. The empirical results also show that forecast errors variance of some markets begin coming from their own innovations during first periods. These shares decrease then in favor of other markets interventions.
Practical implications
The findings have significant practical implications for governments around the world as well as for financial investors. The successful practice of China’s pandemic prevention and control efforts may inspire governments to determine how to overcome panic and strengthen confidence in victory. Policymakers can use the insights from our study to design more effective economic policies and regulations to mitigate the negative impact of future pandemics on the financial system. Regulators can use these results to identify areas of weakness in the financial system and take proactive measures to address them. Financial investors may use the outcomes of our result to better understand the impact of global pandemics on financial markets. They may know which markets are the most active, which ones are causing considerable effects on the others and which ones show resilience and an anti-risk capacity. This may help them to make appropriate decisions about their investments.
Originality/value
It has become imperative to estimate the impact of this pandemic on the behavior of financial markets to prevent the deterioration and dysfunction of the global financial system. The findings have important implications for financial investors and governments who should know which markets are the most shaken, which cause remarkable effects on others and which show resilience and anti-risk capacity. Countries could follow China in some measures taken to moderate the negative effects of this epidemic on national economies.
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Masoud Mohammed Albiman, Najat Nassor Suleiman and Hamad Omar Baka
The purpose of this study is to investigate the dynamic relationship that exists between energy consumption, environmental pollution and per capita economic growth in Tanzania…
Abstract
Purpose
The purpose of this study is to investigate the dynamic relationship that exists between energy consumption, environmental pollution and per capita economic growth in Tanzania. The energy consumption is represented by electricity usage in kilowatt hours (kWh) per capita, while environmental pollution is represented by carbon emission per metric tons and economic growth by gross domestic product (GDP) per capita.
Design/methodology/approach
This investigation is made based on the Environmental Kuznets Curve using time series annual data from 1975 to 2013 by applying the more robust causality technique of Toda and Yamamoto non-Causality test (1995), Impulse response and Variance Decomposition, Augumented and Dickey–Fueller test and Philips and Perron Test of unit root tests.
Findings
Economic growth rate (LGDP) and energy consumption per capita (LENGY), both being unidirectional, cause environmental pollution through carbon emission (LCO2) in Tanzania. Interestingly, after using impulse response, a significant and positive economic growth (GDP per capita) was found due to shocks from electricity per capita (energy consumption) and carbon emission (LCO2) with time. The Variance Decomposition suggested that the percentage of the variations due to shocks or innovations of economic growth (LGDP) and energy consumption (LENGY) to carbon emission is very high and significant, accounting to 46 and 41 per cent, respectively, in 10 years to come.
Research limitations/implications
The study recommends that, in the future, the relationship be examined using super-exogeneity causality tests that takes into consideration the changes in policy or regime in contrast to Toda and Yamamoto. Furthermore, the addition of other variables such as fixed capital formation and labor force, which were not considered in this study, may result in strong correlation.
Practical implications
The results imply that the government of Tanzania can adopt environment conservation and energy saving policies without affecting its economic growth. As a matter of fact, to put a stop to persistent environmental pollution in Tanzania, the energy saving policy should be put in place rather quickly. It is imperative that the government implements policies and strategies that ensure continuous economic growth without forsaking the environment.
Originality/value
Despite the increase in carbon emissions, energy consumption and economic growth in Tanzania since 2000, to date, no previous work has been done to investigate their multivariate relationship. This is the first study that uses the Toda and Yamamoto non-Causality test, Impulse Response and Variance Decomposition Analysis to investigate a trivariate relationship of the variables mentioned above.
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Amira Mohamed Emara and Nashwa Mostafa Ali Mohamed
This paper aims to investigate the relationship between global economic fluctuations and human development through four transmission channels (foreign direct investment (FDI)…
Abstract
Purpose
This paper aims to investigate the relationship between global economic fluctuations and human development through four transmission channels (foreign direct investment (FDI), official development aid (ODA), remittances and export earnings) in Egypt as an open developing economy, in the period 1990–2015.
Design/methodology/approach
The paper uses a vector autoregressive model, which implies examining the impulse response functions and variance decompositions.
Findings
The results indicate that human development is negatively affected by global economic fluctuations through the four channels, namely, ODA, FDI, export earnings and remittances. In addition, the most effective transmission channels are FDI in the short run and export earnings in the long run.
Originality/value
While a large body of literature addresses the direct impact of business cycles and economic shocks on human development, only some studies focus on the indirect impact. The contribution is to identify the indirect impact of global economic fluctuations on human development in a developing economy, considering four transmission channels and to determine the most important of these channels. Moreover, using the human development index is an addition in this paper as most previous literature depends on other human development indicators such as children’s health, employment and schooling.
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The relationship between short selling, market volatility and liquidity remains an object of intensive research. However, empirical evidence is yet to provide a conclusive…
Abstract
Purpose
The relationship between short selling, market volatility and liquidity remains an object of intensive research. However, empirical evidence is yet to provide a conclusive elucidation of this relationship by examining aspects of market fragmentation in the form of different market settings, different timing and different stocks under coverage, among others. This paper aims to contribute to the debate by investigating the impact of short selling on market volatility and liquidity in the Athens Exchange (ATHEX) under three different periods of short sales restrictions.
Design/methodology/approach
Two hypotheses are tested using econometric methodologies (co-integration and Granger-causality tools).
Findings
The empirical results indicate that when short selling is allowed, aggregate stock returns are in the short-term more volatile, but the liquidity of the market is not significantly affected. This might be the result of significant imbalances between supply and demand of stock caused by short-selling restrictions, leading to market price fluctuations.
Research limitations/implications
The analysis of empirical evidence needs further expansion and association with institutional firm-level and country-level elements to provide a more comprehensive understanding of the impact of short selling on market volatility and liquidity.
Practical implications
Stock market regulation involving short-selling restrictions have different implications according to extent and degree of stringency of the restrictions as well as the market on which they are imposed. That is especially important for the assessment of the market impact of the recent European Union regulation on short selling that has been imposed upon all EU member-States alike.
Social implications
Financial regulation policy must balance the benefits and costs for retail investors of imposing short-selling restrictions on stock market trading.
Originality/value
First-time empirical evidence is provided on the impact of short selling regulations on market volatility and liquidity of ATHEX highlighting the potential effectiveness of regulation policy.
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The purpose of this paper is to explore and analyse the dynamic relationship between remittances inflows of Egyptians working abroad and asymmetric oil price shocks.
Abstract
Purpose
The purpose of this paper is to explore and analyse the dynamic relationship between remittances inflows of Egyptians working abroad and asymmetric oil price shocks.
Design/methodology/approach
This study uses a vector autoregressive (VAR) model to explain the impulse response functions (IRFs) and the forecast error variance decomposition (FEVD). The rationale behind using these tools is its ability to examine the dynamic effects of our variables of interest.
Findings
The impulse response functions confirmed that remittance inflows have various responses to asymmetric oil price shocks. For instance, inflowing remittances increase in response to positive oil price shocks, while it decreases in response to negative oil price shocks. Also, the results indicate that the responses are significant in the short and medium-run and insignificant in the long run. The magnitude of these responses reaches its peak or trough in the third year. Further, the variance decomposition reveals that oil price decreases are more influential than oil price increases.
Originality/value
This means that remittances inflows in Egypt are pro-cyclical with oil price shocks. That explained by the fact that more than one-half of those remittances sent from GCC countries where real economic growth is very pro-cyclical with the oil prices. This empirical assessment will help policymakers to determine the behaviour of remittances and highlights the impact of different kinds of oil prices shocks on remittances. Unlike the little existing literature, this study is the first study applied the VAR model using a novel dataset spanning 1960-2016.
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Yutaro Inoue and Shinsaku Nakajima
This study aims to investigate the relationship between consumer awareness of Zespri International Limited (Zespri™) and its sales promotion in Japan and the recent expansion of…
Abstract
Purpose
This study aims to investigate the relationship between consumer awareness of Zespri International Limited (Zespri™) and its sales promotion in Japan and the recent expansion of New Zealand (NZ) kiwifruit imported into Japan.
Design/methodology/approach
Tweets mentioning Zespri™ were utilised as a proxy of such awareness. They were first summarised using two text-mining techniques: tf-idf scoring and a co-occurrence network graph. Afterwards, the authors estimated a tri-variate vector autoregression (VAR) model consisting of the net imports of NZ kiwifruit in Japan, unit import price and number of tweets. Additionally, the occurrence frequency of tweets with “Kiwi Brothers”, promotional characters for Zespri™’s sales, was added to the model, and a tetra-variate VAR model was estimated. Finally, Granger-causality tests, an estimation of the impulse response function and forecast error variance decomposition was conducted.
Findings
All these variables were found to Granger-cause each other. Furthermore, a shock in the document frequency of “Kiwi Brothers” significantly affected Japan’s kiwifruit imports from NZ, explaining approximately 20% of future imports. Zespri™’s distinctive sales promotion was, thus, found to contribute in part to the recent increase in NZ’s kiwifruit export to Japan.
Originality/value
This paper is the first to apply text-regression methodology to food consumption research; it contributes to food consumption research by proposing a practical way to combine tweets with outcome variables using a time-series analysis.
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Verena Tandrayen Ragoobur and Jason Narsoo
The paper investigates into the human capital–economic growth nexus by arguing that investment in early education and health helps in achieving higher economic growth. Early…
Abstract
Purpose
The paper investigates into the human capital–economic growth nexus by arguing that investment in early education and health helps in achieving higher economic growth. Early investment in human capital matters most for economic growth than the increase in human capital over the years.
Design/methodology/approach
A dynamic vector error correction model (VECM) together with the impulse response function and variance decomposition are used on data for Mauritius from 1983 to 2019. The paper distinguishes between the short-run and the long-run effects of human capital measured by the pupil–teacher ratio in pre-primary education and life expectancy at birth.
Findings
This study’s findings reveal that investment in early education and health has contributed positively to growth performance. There is evidence for long-run growth effects arising from a positive shock in the education and health indicators.
Originality/value
This paper contributes to both the theoretical and empirical literature on the human capital–growth nexus. Mauritius as a natural resource poor small economy is an important case study as it has started early in investing in its people to promote economic growth.
Peer review
The peer review history for this article is available at: https://publons.com/publon/10.1108/IJSE-11-2021-0674.
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Ronald Djeunankan and Honoré Tekam
This study aims to contribute to the growing literature on the effects of remittances and the determinants of health outcomes by analysing for the first time the effect of…
Abstract
Purpose
This study aims to contribute to the growing literature on the effects of remittances and the determinants of health outcomes by analysing for the first time the effect of remittances on health outcomes in developing countries using a panel vector autoregression (PVAR) model.
Design/methodology/approach
This study uses panel data from 107 developing countries over the period from 1990 to 2018 to examine the effect of remittances on health outcome in developing countries.
Findings
The main findings from study is that remittances improve health outcomes in developing countries. Another finding of this study is that income, trade, foreign direct investment and financial devlopment improve health outcome.
Originality/value
The contribution of this study is fourfold. Firstly, it adopts the PVAR methodology in a Generalized Method of Moments framework proposed by Abrigo and Love (2016). Secondly, it analyses the implications of remittances on health outcomes by relying on two comprehensive measures of health outcomes commonly used in the literature which are life expectancy at birth and the rate of under-five mortality rates. Thirdly, we identify governance and maternal education as the channels through which remittances improve health outcomes in developing countries. Finally, the current paper covers an extensive time span (29 years) and focuses on a large sample (107 countries).
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Yue Shen, Eddie Chi‐man Hui and Hongyu Liu
This study investigates whether there was a housing price bubble in Beijing and Shanghai in 2003. The existence of a bubble can be interpreted from (abnormal) interactions between…
Abstract
Purpose
This study investigates whether there was a housing price bubble in Beijing and Shanghai in 2003. The existence of a bubble can be interpreted from (abnormal) interactions between housing prices and market fundamentals.
Design/methodology/approach
With monthly data from the two cities, this paper employs standard econometric methodologies: i.e. Granger causality tests and generalized impulse response analysis, and the reduced form of housing price determinants.
Findings
Our findings suggest that there appeared a bubble in Shanghai in 2003, accounting for 22 percent of the housing price. By contrast, Beijing had no sign of a bubble in the same year. The bubble phenomenon, of course, should not be taken without caution for the constraints of data. Nonetheless, this study has laid the ground work for further investigation into abnormal housing price phenomena in Mainland China.
Originality/value
Our findings may help foreign investors better understand the Chinese housing markets and make better housing investment decisions in the two cities.
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