Journal of Economic Asymmetries最新文献

This paper aims to examine the influence of the Ukraine invasion by Russia on Turkish markets, namely the Istanbul stock market index, Turkish real estate market index, Turkish gold market and Turkish foreign exchange market. This study used daily frequency data between February 24 and June 14, 2022. The variables used are BIST100, Turkey real estate index (XGMYO), Turkish gold commodity (XAU/TRY), Turkish foreign currency such as EURO/TRY, GBP/TRY, USD/TRY, TRY/UAH, TRY/RUB, and macro-economic variable RFR/TRY. The study employed Johansen cointegration, Impulse Response Functions and Markov-regime switching for the analysis. The findings established a long-run co-integration relationship among the Turkish markets. The finding also indicated that the shock from the Ukraine invasion by Russia has a positive effect on developed foreign currencies and a negative effect on currencies from emerging countries such as Turkey. The finding revealed that BIST100, XGMYO, and XAU/TRY shifted to regime 2 during the Ukraine invasion by Russia. The lack of need for more commodities such as wheat, gas and oil from the Turkish market prevented focusing on them, which may attract global attention. Despite this, the significance of this finding remains relevant in Turkey. Therefore, future research may focus on other markets with sufficient trading data for wheat and gas in Russia or Ukraine and any other countries of their study. This study established that Ukraine's invasion by Russia has a worldwide impact on the global markets. The effect is felt globally as a consequence, has been experienced across different developed and emerging markets due to the large market share of Russia on essential commodities such as gas and oil. Turkish foreign exchange markets experienced more storms during the Ukraine invasion by Russia even more than it was during the COVID-19 pandemic.

This study investigates return spillovers in APEC region stock markets influenced by three major crises (the global financial crisis (GFC), the COVID-19 Pandemic, and the Russia- Ukraine conflict). The Diebold and Yilmaz (2012) approach with the Baruník and Křehlík (2018) methodology is employed. The results indicate that the spillover effect is crisis-sensitive, time-varying, and frequency-dependent across the APEC countries' equity markets. The GFC had the most significant spillover effect, followed by COVID-19 and the Russia-Ukraine conflict. While New Zealand, Vietnam, and the Philippines are the net risk recipients, the larger economies of the US, Canada, and Mexico are net risk contributors. Moreover, we analyzed return spillover across three different frequencies for three sub-periods, revealing that the GFC dominates short-term spillovers (five days/one week), while COVID-19 dominates long-term (above five days). Results reveal a fascinating aspect of hedging, highlighting that its costs are higher over the long term than the short term. Interestingly, hedging proves to be more effective over a long time, particularly during crises, thus emphasizing the crucial role played by the time-investment horizon factor.

This study investigates the influence of the U.S. financial crisis on the relationship between ownership holdings and stock performance by assessing the asymmetries between the effects of insider and institutional ownership before, during and after the U.S. financial crisis. The study examines NIFTY 500-listed companies over a period of 16 years, from 2002 to 2017, and distinguishes between three economic phases, namely the pre-crisis (2002–2007), the crisis (2008–2009) and the post-crisis (2010–2017) period. To test our hypothesis, we employ the panel-data techniques of feasible generalised least squares and system-generalised methods of moments to control for autocorrelation, heteroscedasticity and endogeneity issues. The findings reveal that insider ownership had significant U-shaped and inverted-U-shaped effects during the pre-crisis and the post-crisis phase, respectively, which confirms the existence of the monitoring and expropriation effects of insiders. The favourable effect of domestic institutions during the crisis phase supports the notion that such owners engage in efficient monitoring during periods of economic turbulence. The adverse effect of foreign institutional ownership during the pre-crisis period implies either a conflict of interest or capital-gain motives that resulted in selling behaviour when the market economy was growing. The time-variant effects of insider and institutional ownership are noted. Our findings have immense significance for investors and executives who wish to understand the varied effects of insider and institutional ownership as they pertain to the management of a crisis that is caused by an exogenous shock.

In this study, we empirically assess both linear and nonlinear relationships between the total tax burden and various tax items with real per capita GDP growth rates for 41 developing countries between 1990 and 2019. We use panel data techniques to evaluate the impact of taxation, as a percentage of GDP, on economic growth in both the short and long run perspectives, and to identify threshold values for different types of taxes. In addition to contributing to previous evidence on the linear effects, our results support the existence of nonlinearities and motivate policies aimed at raising certain tax revenues without hindering economic growth.

This study focuses on the Chicago Board Options Exchange Oil Volatility Index (CBOEOVX)'s volatility transmission to the European stock markets. In the first section, to determine the contingent connection between market returns and CBOEOVX and to examine if CBOEOVX return Granger causes economic capital rates of return, the Dynamic Conditional Correlation (DCC) GARCH model has been used. Then, the study examined the asymmetric effects of fluctuations in estimated unpredictability on markets' profitability as the last step of the methoology. In this regard, the study applies quantile regression to examine the asymmetrical effect of the CBOEOVX on the market's daily returns. We have discovered a statistically significant inverse link that changes over time across our various sample markets. This hints at and supports CBOEOVX ‘s influence on the European stock market as a source of primary energy risk. In addition, we find substantial evidence of an asymmetric effect of fluctuations in the CBOEOVX on very negative market profits in the lowest quartile. Our findings not only build on and support previous research and add to the existing body of knowledge but also have evident consequences for future research, regulatory authorities, and practitioners. Practitioners and regulators may use these findings to better comprehend the connection between all crises and pave the path for the future.

Financial markets are frequently exposed to a variety of crises at the national, regional, and global levels, with potentially heterogeneous effects on market performance. To make sound investment and policy choices, investors and policymakers are constantly concerned about the market's behavior during such times of extreme stress. This article explores the impact of the two recent crises—the Russian–Ukraine war and the COVID-19 pandemic—on equity markets using Karavias et al.’s (2022) panel data approach and daily data from January 2020 to April 2022. Unlike conventional panel data models, this novel technique assesses the presence and location of common structural breaks across the studied countries while accommodating unobserved heterogeneity and panel dependency. We hypothesize that the conflict's impact on global equity markets is heterogeneous and based on countries' economic-political connection or proximity to the war zone, notably among sanctioning countries (the G7) and non-sanctioning countries (the Russia-China-India triple or RIC). Our results suggest that the G7's financial markets are more sensitive to country-specific macroeconomic factors and commodity price changes during extreme market stress than those of the RIC triad. Moreover, the war has a stronger influence on the G7 stock markets through commodity prices, with a greater impact of natural gas and wheat prices for this group. These findings are consistent with the fact that markets in developed economies with an extreme reliance on commodities are more sensitive to crises and international conflicts.

This study identifies empirically Lebanon's fiscal asymmetries and shocks and traces their effects on GDP using a sign-restricted structural VAR approach. Following Arias et al.’s (2018) identification procedure of sign and zero restrictions, our empirical findings point to a sluggish effect of fiscal policy on economic activity, stipulating that fiscal policy is conducted with non-Keynesian features. The study also documents evidence in favor of crowding out effects given that central government's borrowings are mainly from the local financial market. Moreover, with a non-Keynesian effect of fiscal policy, policy makers should refrain from using fiscal tools to counteract business-cycle fluctuations. It is shown that in order to break through government expenditure's inefficiency, the government must curb a rising budget deficit, which is harnessing an increasing cost of capital and impinging negatively on debt and its service. A rising sovereign debt, in turn, has subsequently triggered a sovereign debt crisis in October 2019.

Using NARDL model and Hatemi-j-asymmetric causality test, this work scrutinizes the asymmetric interactions between income inequality and financial development in India. The empirical findings support the existence of asymmetric structures in the finance-inequality nexus. It is found that negative shocks in financial development ameliorate income inequality while as, positive shocks in financial development exacerbate income inequality in an asymmetric manner. Wald's test and asymmetric cumulative dynamic multipliers used in the study also lend credence to the presence of asymmetric structures in the finance-inequality relationship demonstrating the robustness of our estimates. Furthermore, asymmetric causality tests reveal a unidirectional asymmetric causality between positive shocks in financial development and income inequality. The study divulges need to account for asymmetry in finance–inequality which previous studies neglected. National strategies for financial education, financial inclusion for unbanked segments of the population by expanding financial services network to hitherto unbanked areas, tailoring of financial products and services as per the specific needs of people, reducing interest rates on loans to businesses that qualify as small and medium enterprises must be among the top priorities of policy makers.

This study investigates the COVID-19 pandemic's impact on investor behavior in the currency options market, emphasizing its relationship with underlying exchange rates. Using a sample of daily data from select futures continuous calls from September 22, 2016, to December 31, 2021, we introduce a novel variable, “market imperfections,” to quantify the gap between observed and theoretical currency option prices based on the Garman and Kohlhagen model. Through the application of a Markov switching model, we identify pandemic-related changes in investor behavior, characterized by patterns of divergence and convergence. Our research distinguishes between two key behavioral types in the market: fundamentalists and chartists. This study enriches the literature by clarifying how crises, specifically the COVID-19 period, influence investor dynamics and affect market responses. Overall, we provide critical insights into the factors shaping behavior during challenging periods.

Our study aims to explore interactions between equity market returns and exchange rates at different market risk zones proxied by the Chicago Board Options Exchange Volatility Index (VIX). We analyze comovements between daily S&P 500 returns and three different USD exchange rates: the Federal Reserve's Nominal Broad U.S. Dollar Index, the Nominal Advanced Foreign Economies U.S. Dollar Index, and the USD in euro. The comovements are examined at three VIX zones (low, intermediate, and high) that we identify by employing the self-exciting threshold autoregressive SETAR(2,p) tests on daily data from January 03, 2006 to January 23, 2023. We subsequently employ VAR and conditional least square tests for S&P 500 returns and log changes in USD exchange rates with all showing the most robust transmission of shocks between equity returns and exchange rates in the high VIX zone. We further run Markov switching tests to identify specific jump periods from low to high responsiveness of equity returns to the USD exchange rate. Our tests show that interactions between equity returns and exchange rates are asymmetric, i.e., the exchange rate elasticity of equity returns is pronounced during periods of high market volatility and indiscernible at periods of low volatility. These findings may be useful for forecasting equity returns, exchange rates, as well as for asset pricing and portfolio diversification.