Pub Date : 2015-07-01DOI: 10.21863/IJFM/2015.5.3.017
Deepa Mangala, Anita Rani
The relationship between stock prices and macroeconomic variables varies across countries, time periods, datasets used, and the frequency of data used. Thus, an in-depth study to reinvestigate the relationship between selected macroeconomic variables i.e. inflation rate, exchange rate, index of industrial production, gold price, money supply and yields on treasury bills, and Indian stock market for the period of April 2005 to March 2014 has been carried out. In this study Johansen’s cointegration test, vector error correction model (VECM), impulse response functions (IRFs), and variance decomposition (VDCs) test have been applied. The results of Johansen cointegration test indicates a significant negative relationship between exchange rate, inflation rate, and index of industrial production with stock prices whereas there exists a significantly positive relationship of money supply and yield on treasury bills with stock prices. Vector error correction model helps to determine both short and long run causal relationship between macroeconomic variables and stock price. The results found short run causality runs from exchange rate to Nifty, Nifty to money supply, and inflation rate whereas long run causality found from Nifty to short term interest rate and money supply.
{"title":"Revisiting the Dynamic Relationship between Macroeconomic Fundamentals and Stock Prices: An Evidence from Indian Stock Market","authors":"Deepa Mangala, Anita Rani","doi":"10.21863/IJFM/2015.5.3.017","DOIUrl":"https://doi.org/10.21863/IJFM/2015.5.3.017","url":null,"abstract":"The relationship between stock prices and macroeconomic variables varies across countries, time periods, datasets used, and the frequency of data used. Thus, an in-depth study to reinvestigate the relationship between selected macroeconomic variables i.e. inflation rate, exchange rate, index of industrial production, gold price, money supply and yields on treasury bills, and Indian stock market for the period of April 2005 to March 2014 has been carried out. In this study Johansen’s cointegration test, vector error correction model (VECM), impulse response functions (IRFs), and variance decomposition (VDCs) test have been applied. The results of Johansen cointegration test indicates a significant negative relationship between exchange rate, inflation rate, and index of industrial production with stock prices whereas there exists a significantly positive relationship of money supply and yield on treasury bills with stock prices. Vector error correction model helps to determine both short and long run causal relationship between macroeconomic variables and stock price. The results found short run causality runs from exchange rate to Nifty, Nifty to money supply, and inflation rate whereas long run causality found from Nifty to short term interest rate and money supply.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122959796","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 paper examines the impact of the recent global financial crisis on the cost of debt capital (syndicated loans) in a leading emerging market, namely China, using difference-in-differences and GARCH approaches. Before the crisis China adopted banking reforms allowing entry of foreign banks and more domestic participation in the syndicated loan market. As a result, during the crisis the volume of syndicated loans grew steadily, in contrast to other countries. In addition, the amount of foreign syndicated loans decreased and average maturity increased compared to the pre-crisis period. Our findings provide useful information to policy makers to devise effective responses to financial crises.
{"title":"How Has the Global Financial Crisis Affected Syndicated Loan Terms in Emerging Markets? Evidence from China","authors":"G. Caporale, S. Lodh, M. Nandy","doi":"10.2139/ssrn.2605815","DOIUrl":"https://doi.org/10.2139/ssrn.2605815","url":null,"abstract":"This paper examines the impact of the recent global financial crisis on the cost of debt capital (syndicated loans) in a leading emerging market, namely China, using difference-in-differences and GARCH approaches. Before the crisis China adopted banking reforms allowing entry of foreign banks and more domestic participation in the syndicated loan market. As a result, during the crisis the volume of syndicated loans grew steadily, in contrast to other countries. In addition, the amount of foreign syndicated loans decreased and average maturity increased compared to the pre-crisis period. Our findings provide useful information to policy makers to devise effective responses to financial crises.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122347143","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 study the effect of country-specific noise on stock price comovement. Using a sample of dual-listed stocks, we show that the effect persists over time for some largest A-shares traded in China, but diminishes quickly for their H-shares traded in Hong Kong. We then examine whether the noise source of this cross-country difference can be traced to the aggregate demand shock of unsophisticated investors, as proxied by trading imbalance variables, or the feedback structure underlying the interactions between individual decisions, as proxied by trading interdependence variables. Our trade-based empirical tests confirm the predictions of the latter view. The results suggest that exogenous noise provides an incomplete basis for understanding emerging-market-specific price behavior, and may need to be expanded to allow for richer foundations based on endogenous feedback.
{"title":"Exogenous Noise or Endogenous Feedback? Exploring the Sources of Excess Comovement in an Emerging Stock Market","authors":"Jing Yao","doi":"10.2139/ssrn.2426937","DOIUrl":"https://doi.org/10.2139/ssrn.2426937","url":null,"abstract":"We study the effect of country-specific noise on stock price comovement. Using a sample of dual-listed stocks, we show that the effect persists over time for some largest A-shares traded in China, but diminishes quickly for their H-shares traded in Hong Kong. We then examine whether the noise source of this cross-country difference can be traced to the aggregate demand shock of unsophisticated investors, as proxied by trading imbalance variables, or the feedback structure underlying the interactions between individual decisions, as proxied by trading interdependence variables. Our trade-based empirical tests confirm the predictions of the latter view. The results suggest that exogenous noise provides an incomplete basis for understanding emerging-market-specific price behavior, and may need to be expanded to allow for richer foundations based on endogenous feedback.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114257102","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 answer to the question posed in the title is mostly yes. Using sorting and crosssection, we investigate the impact of illiquidity and transaction costs on value, size and momentum premiums in 11 CEE stock markets (Bulgaria, Croatia, Czech Republic, Estonia, Hungary, Latvia, Lithuania, Poland, Romania, Slovakia and Slovenia) for the years 2000–2013. We find very high value and size premiums and strong synergy effects between value and momentum strategies. However, the impact of illiquidity and transaction costs is almost lethal. After accounting for varying bid-ask spreads and liquidity, only the value premium survives. The size and momentum effects get obliterated.
{"title":"Are Value, Size and Momentum Premiums in CEE Emerging Markets Only Illusionary?","authors":"Adam Zaremba, P. Konieczka","doi":"10.2139/ssrn.2375454","DOIUrl":"https://doi.org/10.2139/ssrn.2375454","url":null,"abstract":"The answer to the question posed in the title is mostly yes. Using sorting and crosssection, we investigate the impact of illiquidity and transaction costs on value, size and momentum premiums in 11 CEE stock markets (Bulgaria, Croatia, Czech Republic, Estonia, Hungary, Latvia, Lithuania, Poland, Romania, Slovakia and Slovenia) for the years 2000–2013. We find very high value and size premiums and strong synergy effects between value and momentum strategies. However, the impact of illiquidity and transaction costs is almost lethal. After accounting for varying bid-ask spreads and liquidity, only the value premium survives. The size and momentum effects get obliterated.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-02-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115826032","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}
Vathana Roth T.M.S, Dalis Phann, Vutha Hing, Sreymom Sum
Using propensity score matching with the 2009 Cambodia Socio-Economic Survey of households, this study examines the effects of remittances on indicators of household wellbeing: poverty, consumption and labour participation of non-migrant members. The theoretical framework is built upon a “new economics of labour migration”, hypothesising that the emigration decision is jointly determined by households and individual migrants and that remittances basically represent a form of contractual arrangements between them. The results indicate that households with at least one migrant member and which receive remittances could reduce their poverty headcount rate by 3-7 percentage points vis-a-vis their matched controls. Remittances also reduce depth and severity of poverty of treated households. On the contrary, remittances generate a 5-9 percent “dependency effect” on working age adults who are employed due to reduced weekly hours worked. The impact of remittances on labour participation and salary income is, however, vulnerable to unobservable factors.
{"title":"Estimating the Economic Effects of Remittances on the Left-Behind in Cambodia","authors":"Vathana Roth T.M.S, Dalis Phann, Vutha Hing, Sreymom Sum","doi":"10.2139/ssrn.3167401","DOIUrl":"https://doi.org/10.2139/ssrn.3167401","url":null,"abstract":"Using propensity score matching with the 2009 Cambodia Socio-Economic Survey of households, this study examines the effects of remittances on indicators of household wellbeing: poverty, consumption and labour participation of non-migrant members. The theoretical framework is built upon a “new economics of labour migration”, hypothesising that the emigration decision is jointly determined by households and individual migrants and that remittances basically represent a form of contractual arrangements between them. The results indicate that households with at least one migrant member and which receive remittances could reduce their poverty headcount rate by 3-7 percentage points vis-a-vis their matched controls. Remittances also reduce depth and severity of poverty of treated households. On the contrary, remittances generate a 5-9 percent “dependency effect” on working age adults who are employed due to reduced weekly hours worked. The impact of remittances on labour participation and salary income is, however, vulnerable to unobservable factors.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"97 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115737224","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 aims to solve the ambiguities that arise from stock risk estimation of an emerging market. Risk is not defined as variability but as a possibility of loss or of a weaker than market performance. Stock risk is estimated through the analysis of the underlying business, respectively its real value. The research is conducted on the Croatian stock market and results show that stock risk can be better estimated through real value analysis than by the beta coefficient or by the Fama and French three factor model. A unique real value risk factor is created and proved robust in theory and applicable in practice.
{"title":"A Real Value Risk Estimation Model for an Emerging Market","authors":"Sven Carlin","doi":"10.2139/ssrn.2553858","DOIUrl":"https://doi.org/10.2139/ssrn.2553858","url":null,"abstract":"This research aims to solve the ambiguities that arise from stock risk estimation of an emerging market. Risk is not defined as variability but as a possibility of loss or of a weaker than market performance. Stock risk is estimated through the analysis of the underlying business, respectively its real value. The research is conducted on the Croatian stock market and results show that stock risk can be better estimated through real value analysis than by the beta coefficient or by the Fama and French three factor model. A unique real value risk factor is created and proved robust in theory and applicable in practice.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131423510","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 recent years, many emerging market countries have developed or are in the process of developing SME Exchanges to provide financing to SMEs, but few have succeeded. This paper aims to help stock exchanges and policy makers think through the key questions to be addressed to determine if, when, how and for whom to develop an SME Exchange in emerging market countries. It takes stock of some of the actions that exchanges can take to reduce issuance costs, in time and money for SMEs, without compromising the prudential needs of investors. The paper draws on the experience of seven SME Exchanges and the World Federation of Exchanges that participated in a workshop organized and led by the WBG to discuss these and other questions. It does not recommend a specific model to follow and does not address specific context issues, however the analysis suggests approaches that are widespread and/or could be beneficial to consider such as (1) focus on SMEs with a sizeable growth rate, (2) have the SME exchange legally related to the main board, (3) do not reduce disclosure content to reduce costs, (4) allow private placements, (5) have well regulated advisors to vet issuers and provide comfort to investors about the quality of the issue, (6) have outreach, public awareness campaign and training for SMEs, (7) consider tax incentives for investors. The report is the first in a series on this topic, and subsequent reports will address and expand on related and broader issues.
{"title":"SME Exchanges in Emerging Market Economies: A Stocktaking of Development Practices","authors":"Alison Harwood, Tanya Konidaris","doi":"10.1596/1813-9450-7160","DOIUrl":"https://doi.org/10.1596/1813-9450-7160","url":null,"abstract":"In recent years, many emerging market countries have developed or are in the process of developing SME Exchanges to provide financing to SMEs, but few have succeeded. This paper aims to help stock exchanges and policy makers think through the key questions to be addressed to determine if, when, how and for whom to develop an SME Exchange in emerging market countries. It takes stock of some of the actions that exchanges can take to reduce issuance costs, in time and money for SMEs, without compromising the prudential needs of investors. The paper draws on the experience of seven SME Exchanges and the World Federation of Exchanges that participated in a workshop organized and led by the WBG to discuss these and other questions. It does not recommend a specific model to follow and does not address specific context issues, however the analysis suggests approaches that are widespread and/or could be beneficial to consider such as (1) focus on SMEs with a sizeable growth rate, (2) have the SME exchange legally related to the main board, (3) do not reduce disclosure content to reduce costs, (4) allow private placements, (5) have well regulated advisors to vet issuers and provide comfort to investors about the quality of the issue, (6) have outreach, public awareness campaign and training for SMEs, (7) consider tax incentives for investors. The report is the first in a series on this topic, and subsequent reports will address and expand on related and broader issues.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125856416","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 the long run relation among Stock Returns and four major Foreign Exchanges in India over a period of 14 ½ year period starting from January, 2000 to June, 2014. On applying the techniques of Unit – root test, Multiple Break Point test, Johansen’s Cointegration and Vector Error Correction Model, the result suggest that US dollar and Euro has long-term relation with Sensex, Nifty and CNX 500 which was found statistically significant. Tests depict no long term cointegration with GPB and Yen.
{"title":"Examination of Long Term Effect of Exchange Rate on Indian Stock Market","authors":"R. Raman, Srindhi","doi":"10.2139/ssrn.2697974","DOIUrl":"https://doi.org/10.2139/ssrn.2697974","url":null,"abstract":"This study investigates the long run relation among Stock Returns and four major Foreign Exchanges in India over a period of 14 ½ year period starting from January, 2000 to June, 2014. On applying the techniques of Unit – root test, Multiple Break Point test, Johansen’s Cointegration and Vector Error Correction Model, the result suggest that US dollar and Euro has long-term relation with Sensex, Nifty and CNX 500 which was found statistically significant. Tests depict no long term cointegration with GPB and Yen.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-12-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121996392","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 : 2014-12-01DOI: 10.21107/INFESTASI.V10I2.532
Ira Febrianti, T. Lubis, Wirmie Eka Putra
This study aims to determine the differences before and after the implementation of IFRS on the financial statements of companies listed on the Stock Exchange. By looking at the difference in net income, equity and abnormal stock returns to firms in Indonesia in the IFRS convergence process using the Event Window is analyzed with nonparametric statistics: two paired sample test - Wilcoxon Signed Rank Test. The study population was all the companies listed on the Stock Exchange in 2011 and 2012. The research sample was determined using purposive and judgment sampling, obtained 78 sample firms. The results showed that there were significant differences on net income, equity and firm abnormal stock returns after implementation of IFRS.
{"title":"Perbedaan Sebelum Dan Sesudah Penerapan Ifrs Terhadap Laba Bersih, Ekuitas Dan Abnormal Return. (Differences Before and After the Application of Ifrs on Net Income, Equity and Abnormal Return)","authors":"Ira Febrianti, T. Lubis, Wirmie Eka Putra","doi":"10.21107/INFESTASI.V10I2.532","DOIUrl":"https://doi.org/10.21107/INFESTASI.V10I2.532","url":null,"abstract":"This study aims to determine the differences before and after the implementation of IFRS on the financial statements of companies listed on the Stock Exchange. By looking at the difference in net income, equity and abnormal stock returns to firms in Indonesia in the IFRS convergence process using the Event Window is analyzed with nonparametric statistics: two paired sample test - Wilcoxon Signed Rank Test. The study population was all the companies listed on the Stock Exchange in 2011 and 2012. The research sample was determined using purposive and judgment sampling, obtained 78 sample firms. The results showed that there were significant differences on net income, equity and firm abnormal stock returns after implementation of IFRS.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116985190","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 investigate cross-sectional patterns related to dividends in the CEE stock market. We investigate a broad sample of 1153 companies from 11 countries in years 2002-2014. We use sorting and tests based on cross-sectional regression, and apply tests of monotonic relation. The principal findings are as follows. The high dividend stocks perform markedly better on a risk-adjusted basis, even after applying the classical three- and four factor models. This observation is supplemented with the evidence of monotonic relation: the higher dividend yields, the higher mean returns. However, the abnormal returns related to dividend yields are characteristic largely only for big- and midcaps. We find very weak evidence for the dividend premium across the micro stocks.
{"title":"The Dividend Premium in the CEE Stock Market","authors":"P. Konieczka, Adam Zaremba","doi":"10.2139/ssrn.2521051","DOIUrl":"https://doi.org/10.2139/ssrn.2521051","url":null,"abstract":"We investigate cross-sectional patterns related to dividends in the CEE stock market. We investigate a broad sample of 1153 companies from 11 countries in years 2002-2014. We use sorting and tests based on cross-sectional regression, and apply tests of monotonic relation. The principal findings are as follows. The high dividend stocks perform markedly better on a risk-adjusted basis, even after applying the classical three- and four factor models. This observation is supplemented with the evidence of monotonic relation: the higher dividend yields, the higher mean returns. However, the abnormal returns related to dividend yields are characteristic largely only for big- and midcaps. We find very weak evidence for the dividend premium across the micro stocks.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"72 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115512243","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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