Does good news cover bad news? We show evidence from the Chinese stock market in which the fiscal year of a firm is always the same as the calendar year. Listed firms are required to announce their annual reports by the end of April, the same date of the deadline for announcements of first quarterly reports. We find that firms with low earnings in the previous year are more likely to delay the announcements of annual reports until the announcements of first quarterly reports. They are also more likely to manipulate their earnings in the first quarterly reports to make up good news. Indeed, combined disclosure has higher abnormal returns in short term, thus weakening the market responses of bad news in annual reports.
{"title":"Does Good News Cover Bad News?","authors":"Qingbin Meng, Shaojing Ke, Daxuan Zhao, Yongqiang Chu","doi":"10.2139/ssrn.3117257","DOIUrl":"https://doi.org/10.2139/ssrn.3117257","url":null,"abstract":"Does good news cover bad news? We show evidence from the Chinese stock market in which the fiscal year of a firm is always the same as the calendar year. Listed firms are required to announce their annual reports by the end of April, the same date of the deadline for announcements of first quarterly reports. We find that firms with low earnings in the previous year are more likely to delay the announcements of annual reports until the announcements of first quarterly reports. They are also more likely to manipulate their earnings in the first quarterly reports to make up good news. Indeed, combined disclosure has higher abnormal returns in short term, thus weakening the market responses of bad news in annual reports.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"119 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133752943","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
K. Prempeh, A. M. Sekyere, Eric Kwame Amponsah Addy
This study seeks to examine the determinants of profitability of manufacturing companies in Ghana. The study covered the period 2005- 2015 using data gathered from five selected manufacturing companies listed on the Ghana Stock Exchange (GSE). The Study employed the Multivariate Regression Analysis Technique. Return on Assets, a measure of profitability, was used as the dependent variable whereas leverage, liquidity, firm size, tangibility, GDP, inflation and interest rate were used as the predictor variables. The findings of the study established that there is a statistically significant positive relationship between profitability, liquidity and firm size whereas leverage and interest rate show a statistically significant negative relationship with profitability. The macroeconomic environment in Ghana plays an essential role in the survival and profitability of manufacturing companies in Ghana as evident in the empirical results. Thus, it is vital that managers of the economy keep a close eye on the implications of their policies and their impact on the manufacturing sector in their attempt to grow the economy. Future research should consider the other equally important sectors of the economy. It should also include more variables such as taxation and regulation indicators, exchange rates, management quality and corporate governance to give room for a more robust result and findings.
{"title":"A Multivariate Analysis of Determinants of Profitability: Evidence from Selected Manufacturing Companies Listed on the Ghana Stock Exchange","authors":"K. Prempeh, A. M. Sekyere, Eric Kwame Amponsah Addy","doi":"10.2139/ssrn.3096972","DOIUrl":"https://doi.org/10.2139/ssrn.3096972","url":null,"abstract":"This study seeks to examine the determinants of profitability of manufacturing companies in Ghana. The study covered the period 2005- 2015 using data gathered from five selected manufacturing companies listed on the Ghana Stock Exchange (GSE). The Study employed the Multivariate Regression Analysis Technique. Return on Assets, a measure of profitability, was used as the dependent variable whereas leverage, liquidity, firm size, tangibility, GDP, inflation and interest rate were used as the predictor variables. The findings of the study established that there is a statistically significant positive relationship between profitability, liquidity and firm size whereas leverage and interest rate show a statistically significant negative relationship with profitability. The macroeconomic environment in Ghana plays an essential role in the survival and profitability of manufacturing companies in Ghana as evident in the empirical results. Thus, it is vital that managers of the economy keep a close eye on the implications of their policies and their impact on the manufacturing sector in their attempt to grow the economy. Future research should consider the other equally important sectors of the economy. It should also include more variables such as taxation and regulation indicators, exchange rates, management quality and corporate governance to give room for a more robust result and findings.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126982666","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This research analyzes and extends the study of contagion for BRICS emerging stock markets in the context of the last two international financial crises: the Lehman Brothers Bankruptcy Crisis and the European Sovereign Debt Crisis. We investigate changes in the relationship and the co-movements between BRICS markets in response to international shocks that are originated in advanced markets like USA and Europe. Employing data of daily stock market indices of BRICS countries, this research tests for contagion, examining the interactions and characteristics of price movements of BRICS stock markets by applying cointegration, causality and VECM/Gonzalo-Granger statistic and variance decomposition methodology on stock returns as a measure of perceived country risk. The results exhibit that both long-run and short-run relationships patterns exist between BRICS stock markets and have drastically changed during turbulent periods compared with tranquil period, pointing towards the occurrence of contagion phenomenon among BRICS markets during the last two crises. These findings also indicate that changes in the USA and the Euro Zone indices affect BRICS stock markets in the short-run, acting as a leading indicator for investing in BRICS markets. Also imply an increasing degree of global market integration, bringing major implications for portfolio diversification and policy makers.
{"title":"Financial Contagion in the BRICS Stock Markets: An Empirical Analysis of the Lehman Brothers Collapse and European Sovereign Debt Crisis","authors":"D. Pereira","doi":"10.2139/ssrn.3096517","DOIUrl":"https://doi.org/10.2139/ssrn.3096517","url":null,"abstract":"This research analyzes and extends the study of contagion for BRICS emerging stock markets in the context of the last two international financial crises: the Lehman Brothers Bankruptcy Crisis and the European Sovereign Debt Crisis. We investigate changes in the relationship and the co-movements between BRICS markets in response to international shocks that are originated in advanced markets like USA and Europe. Employing data of daily stock market indices of BRICS countries, this research tests for contagion, examining the interactions and characteristics of price movements of BRICS stock markets by applying cointegration, causality and VECM/Gonzalo-Granger statistic and variance decomposition methodology on stock returns as a measure of perceived country risk. The results exhibit that both long-run and short-run relationships patterns exist between BRICS stock markets and have drastically changed during turbulent periods compared with tranquil period, pointing towards the occurrence of contagion phenomenon among BRICS markets during the last two crises. These findings also indicate that changes in the USA and the Euro Zone indices affect BRICS stock markets in the short-run, acting as a leading indicator for investing in BRICS markets. Also imply an increasing degree of global market integration, bringing major implications for portfolio diversification and policy makers.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-01-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122621219","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The purpose of this study is to provide a contribution to the analysis of foreign cross-listing behaviour in general, and on the state of the integration of the Asian-Pacific region's capital markets and economies in specific; while also examining the market preferences of Asian-Pacific firms in the Americas and around the world in the context of their integration within the Americas. A logistic regression model is developed which takes into consideration exchange, firm, geographic, and industrial regressors in order to determine whether firms prefer listing on which American stock exchanges. Logistic regressions are also run on foreign corporations operating in the Asia-Pacific region. Unit-root causality tests and ARCH regressions are run on the economic specific characteristics of the Asian-Pacific economies to analyse currency union and finance market integration possibilities. The Asian-Pacific governments do look to their home exchanges first for their financing needs, though the Asian-Pacific governments then look to the world capital markets before the regional capital markets, which demonstrates an operating efficiency by the Asian-Pacific governments in the capital markets. That said, the Asian-Pacific markets are arguably not as established as the European markets, and thus using the European markets may in fact be more efficient for the Asia-Pacific countries.
{"title":"Analysis of the Asia~Pacific Region's Corporate Presence in the Americas in Context to the Congruence of Their Stock Markets and Economies","authors":"K. Sleem","doi":"10.2139/SSRN.3091421","DOIUrl":"https://doi.org/10.2139/SSRN.3091421","url":null,"abstract":"The purpose of this study is to provide a contribution to the analysis of foreign cross-listing behaviour in general, and on the state of the integration of the Asian-Pacific region's capital markets and economies in specific; while also examining the market preferences of Asian-Pacific firms in the Americas and around the world in the context of their integration within the Americas. A logistic regression model is developed which takes into consideration exchange, firm, geographic, and industrial regressors in order to determine whether firms prefer listing on which American stock exchanges. Logistic regressions are also run on foreign corporations operating in the Asia-Pacific region. Unit-root causality tests and ARCH regressions are run on the economic specific characteristics of the Asian-Pacific economies to analyse currency union and finance market integration possibilities. The Asian-Pacific governments do look to their home exchanges first for their financing needs, though the Asian-Pacific governments then look to the world capital markets before the regional capital markets, which demonstrates an operating efficiency by the Asian-Pacific governments in the capital markets. That said, the Asian-Pacific markets are arguably not as established as the European markets, and thus using the European markets may in fact be more efficient for the Asia-Pacific countries.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121896203","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Due to their volatility differences, yield differences and low correlations with equity markets, metal futures are held for diversification in the international investors’ portfolios. Beginning with dot.com bubble and following global crisis, the mutual movement of equity markets caused investors to canalize alternative investment vehicles. The study aims to investigate if there are bubbles in metal futures in The Multi Commodity Exchange of India Limited (MCX) related the period beginning from January 2010 to August 2017 for copper, lead, nickel and zinc; and March 2010 to August 2017 for aluminum in a weekly data range. Using Sup Augmented Dickey Fuller (SADF) and Generalized Sup Augmented Dickey Fuller (GSADF) tests, no evidence on bubble could be found in any metal market in the used MCX sample. The precious metal markets are out of the sample because of their relatively high volatility.
{"title":"Testing Multi Bubbles for Commodity Derivative Markets: A Study on MCX","authors":"Ayben Koy","doi":"10.20409/berj.2018.105","DOIUrl":"https://doi.org/10.20409/berj.2018.105","url":null,"abstract":"Due to their volatility differences, yield differences and low correlations with equity markets, metal futures are held for diversification in the international investors’ portfolios. Beginning with dot.com bubble and following global crisis, the mutual movement of equity markets caused investors to canalize alternative investment vehicles. The study aims to investigate if there are bubbles in metal futures in The Multi Commodity Exchange of India Limited (MCX) related the period beginning from January 2010 to August 2017 for copper, lead, nickel and zinc; and March 2010 to August 2017 for aluminum in a weekly data range. Using Sup Augmented Dickey Fuller (SADF) and Generalized Sup Augmented Dickey Fuller (GSADF) tests, no evidence on bubble could be found in any metal market in the used MCX sample. The precious metal markets are out of the sample because of their relatively high volatility.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"65 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127998950","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We decided to see if there was a correlation between the unemployment rate and the Stock Exchange of Thailand (SET) from 1975-2015. We discovered that there is an overall negative correlation between the two variables. While this was expected, there is a notable positive correlation during 1979-1981, leading us to believe that this correlation during these years is due to potential slowed economic change. The overall negative correlation shows that, generally speaking, a high SET leads to low unemployment rate and vice versa in Thailand.
{"title":"Thailand Unemployment Regression Model","authors":"M. Webber, Stuart Beeksma, Ryan Kingma","doi":"10.2139/SSRN.3084157","DOIUrl":"https://doi.org/10.2139/SSRN.3084157","url":null,"abstract":"We decided to see if there was a correlation between the unemployment rate and the Stock Exchange of Thailand (SET) from 1975-2015. We discovered that there is an overall negative correlation between the two variables. While this was expected, there is a notable positive correlation during 1979-1981, leading us to believe that this correlation during these years is due to potential slowed economic change. The overall negative correlation shows that, generally speaking, a high SET leads to low unemployment rate and vice versa in Thailand.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"09 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127142724","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2017-11-30DOI: 10.3929/ethz-b-000230784
H. Mikosch, L. Solanko
GDP forecasters face tough choices over which leading indicators to follow and which forecasting models to use. To help resolve these issues, we examine a range of monthly indicators to forecast quarterly GDP growth in a major emerging economy, Russia. Numerous useful indicators are identified and forecast pooling of three model classes (bridge models, MIDAS models and unrestricted mixed-frequency models) are shown to outperform simple benchmark models. We further separately examine forecast accuracy of each of the three model classes. Our results show that differences in performance of model classes are generally small, but for the period covering the Great Recession unrestricted mixed-frequency models and MIDAS models clearly outperform bridge models. Notably, the sets of top-performing indicators differ for our two subsample observation periods (2008Q1–2011Q4 and 2012Q1–2016Q4). The best indicators in the first period are traditional real-sector variables, while those in the second period consist largely of monetary, banking sector and financial market variables. This finding supports the notion that highly volatile periods of recession and subsequent recovery are driven by forces other than those that prevail in more normal times. The results further suggest that the driving forces of the Russian economy have changed since the global financial crisis.
{"title":"Should One Follow Movements in the Oil Price or in Money Supply? Forecasting Quarterly GDP Growth in Russia with Higher-Frequency Indicators","authors":"H. Mikosch, L. Solanko","doi":"10.3929/ethz-b-000230784","DOIUrl":"https://doi.org/10.3929/ethz-b-000230784","url":null,"abstract":"GDP forecasters face tough choices over which leading indicators to follow and which forecasting models to use. To help resolve these issues, we examine a range of monthly indicators to forecast quarterly GDP growth in a major emerging economy, Russia. Numerous useful indicators are identified and forecast pooling of three model classes (bridge models, MIDAS models and unrestricted mixed-frequency models) are shown to outperform simple benchmark models. We further separately examine forecast accuracy of each of the three model classes. Our results show that differences in performance of model classes are generally small, but for the period covering the Great Recession unrestricted mixed-frequency models and MIDAS models clearly outperform bridge models. Notably, the sets of top-performing indicators differ for our two subsample observation periods (2008Q1–2011Q4 and 2012Q1–2016Q4). The best indicators in the first period are traditional real-sector variables, while those in the second period consist largely of monetary, banking sector and financial market variables. This finding supports the notion that highly volatile periods of recession and subsequent recovery are driven by forces other than those that prevail in more normal times. The results further suggest that the driving forces of the Russian economy have changed since the global financial crisis.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123339195","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In the financial literature Efficient Market Hypothesis (EMH) has been one of the dominant topics. An implication of weak-form of efficiency/random walk is that the trading rules will not generate economic profits. The purpose of this study is to analyze results of application of trading range breakout (TRB) test on daily stock prices of Indian Markets, thus investigating its efficiency at the weak form level (Fama,1970). The results from the trading rule tests indicated that the technical trading rules do not yield statistically significant forecasting power. It means that forecasting of returns based on trading rules cannot be employed to earn abnormal returns.
{"title":"Trading Range Breakout Test on Daily Stocks of Indian Markets","authors":"Uttam B Sapate","doi":"10.2139/ssrn.3068852","DOIUrl":"https://doi.org/10.2139/ssrn.3068852","url":null,"abstract":"In the financial literature Efficient Market Hypothesis (EMH) has been one of the dominant topics. An implication of weak-form of efficiency/random walk is that the trading rules will not generate economic profits. The purpose of this study is to analyze results of application of trading range breakout (TRB) test on daily stock prices of Indian Markets, thus investigating its efficiency at the weak form level (Fama,1970). The results from the trading rule tests indicated that the technical trading rules do not yield statistically significant forecasting power. It means that forecasting of returns based on trading rules cannot be employed to earn abnormal returns.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116079677","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
French Abstract: L’objectif de cet article est d’étudier le lien de causalité entre l’approfondissement financier de l’intermédiation financière bancaire et la croissance économique dans le cas de la Tunisie. Les données utilisées sont de périodicités annuelles et s’étalent de 1980 à 2016. La méthode économétrique choisie pour effectuer le test de causalité est celle de l’approche de Toda-Yamamoto considérée, souvent, par la littérature existante comme plus robuste qu’au test de causalité ordinaire de Granger. Les résultats empiriques montrent d’une part qu’il existe une causalité unidirectionnelle allant des crédits aux entreprises privées et des crédits aux ménages vers la croissance économique ; d’autre part une relation causale bidirectionnelle entre passif bancaire et la croissance économique. Ces résultats sont fort intéressants dans le sens où ils peuvent aider les gouvernements des pays similaires à la Tunisie à établir des priorités dans toutes réformes financières. English Abstract: The purpose of this article is to study the causal link between the financial deepening represented by the banking financial intermediation sector and the economic growth in the case of Tunisia. The data are of annual periodicity and range from 1985 to 2015. The econometric method chosen to carry out the causality test is that of the Toda-Yamamoto approach, which is often considered by the existing literature to be superior to the usual Granger causality test. The empirical results generally suggest that the process of economic growth contributes to the process of financial deepening. On the other hand, unidirectional causality has been detected, ranging from private enterprises credits relative to GDP and households credits relative to GDP, to economic growth measured by the growth rate of real GDP Finally, a bidirectional causal relationship was confirmed only between the share of bank credits to the non-financial private sector relative to total domestic credits, and the rate of economic growth.
摘要:本文的目的是研究突尼斯金融银行中介的金融深化与经济增长之间的因果关系。使用的数据是1980年至2016年的年度数据。用于因果检验的计量经济学方法是道达-山本方法，在现有文献中经常被认为比格兰杰的普通因果检验更稳健。实证结果表明，对私营企业和家庭的信贷与经济增长之间存在单向因果关系;另一方面，银行负债与经济增长之间存在双向因果关系。这些结果非常有趣，因为它们可以帮助像突尼斯这样的国家的政府确定任何金融改革的优先次序。英文摘要:本文的目的是研究以突尼斯为例，银行金融中介部门所代表的金融深化与经济增长之间的因果关系。该数据是1985年至2015年的年度频率和范围。选择采用因果检验的计量经济学方法是Toda-Yamamoto方法，现有文献经常认为该方法优于通常的格兰杰因果检验。实证结果一般表明，经济增长的过程有助于金融深化的过程。On the other hand, unidirectional causality has been骨化、ranging from private enterprises拨款相对to gdm and to gdm相对家庭拨款重建,脾to economic growth四旬by the growth of real gdm enfin bidirectional了因果关系,fut confirmed only between the share of bank to the欧元区单一拨款(private sector度相对国内信贷总额,and the脾of economic growth)。
{"title":"Approfondissement Financier et Croissance Economique en Tunisie: Evidence Empirique Moyennant l'Approche de Causalité de Toda Yamamoto (Financial Deepening and Economic Growth in Tunisia: Empirical Evidence through Toda Yamamoto's Causal Approach)","authors":"Badry Hechmy","doi":"10.2139/ssrn.3066587","DOIUrl":"https://doi.org/10.2139/ssrn.3066587","url":null,"abstract":"<b>French Abstract:</b> L’objectif de cet article est d’étudier le lien de causalité entre l’approfondissement financier de l’intermédiation financière bancaire et la croissance économique dans le cas de la Tunisie. Les données utilisées sont de périodicités annuelles et s’étalent de 1980 à 2016. La méthode économétrique choisie pour effectuer le test de causalité est celle de l’approche de Toda-Yamamoto considérée, souvent, par la littérature existante comme plus robuste qu’au test de causalité ordinaire de Granger. Les résultats empiriques montrent d’une part qu’il existe une causalité unidirectionnelle allant des crédits aux entreprises privées et des crédits aux ménages vers la croissance économique ; d’autre part une relation causale bidirectionnelle entre passif bancaire et la croissance économique. Ces résultats sont fort intéressants dans le sens où ils peuvent aider les gouvernements des pays similaires à la Tunisie à établir des priorités dans toutes réformes financières. <b>English Abstract:</b> The purpose of this article is to study the causal link between the financial deepening represented by the banking financial intermediation sector and the economic growth in the case of Tunisia. The data are of annual periodicity and range from 1985 to 2015. The econometric method chosen to carry out the causality test is that of the Toda-Yamamoto approach, which is often considered by the existing literature to be superior to the usual Granger causality test. The empirical results generally suggest that the process of economic growth contributes to the process of financial deepening. On the other hand, unidirectional causality has been detected, ranging from private enterprises credits relative to GDP and households credits relative to GDP, to economic growth measured by the growth rate of real GDP Finally, a bidirectional causal relationship was confirmed only between the share of bank credits to the non-financial private sector relative to total domestic credits, and the rate of economic growth.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126865247","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This study investigates whether religious belief creates stock market return seasonality, focusing on the Muslim holy month “Ramadan�?. We use data from 12 stock markets in countries with a Muslim majority, and employ both deterministic and stochastic seasonality tests. We find there is no Ramadan return seasonality in the majority of these stock markets in neither deterministic nor stochastic tests. However, further analysis of the risk-adjusted returns reveals that the significant drop in market volatility during Ramadan leads to higher risk-adjusted returns.
{"title":"The Vanishing Ramadan Effect: A Structural Time-Series Test","authors":"Abdullah M. Al-Awadhi, Ahmad Bash, F. Jamaani","doi":"10.2139/ssrn.3051226","DOIUrl":"https://doi.org/10.2139/ssrn.3051226","url":null,"abstract":"This study investigates whether religious belief creates stock market return seasonality, focusing on the Muslim holy month “Ramadan�?. We use data from 12 stock markets in countries with a Muslim majority, and employ both deterministic and stochastic seasonality tests. We find there is no Ramadan return seasonality in the majority of these stock markets in neither deterministic nor stochastic tests. However, further analysis of the risk-adjusted returns reveals that the significant drop in market volatility during Ramadan leads to higher risk-adjusted returns.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124184595","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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