Pub Date : 2022-07-06DOI: 10.1142/s201049522250018x
A. Singh, R. Shrivastav, A. Mohapatra
This study aims to explore dynamic linkages and integration among emerging markets of BRICS, especially comparing the pre- and post-BRICS formation period behaviors and further comment upon the portfolio diversification opportunities available for global investors. Weekly closing indices of BRICS stock markets for the period 2000–2020 have been taken. Considering BRICS formation year, total period is divided into two sub-periods, pre- and post-BRICS periods. Short-run relationship has been measured through Granger causality, VAR, IRF and VDC. For long-run co-movement, Johansen co-integration is applied. To explain asymmetrical response of the market, E-GARCH Model is applied. Both Granger causality and VAR model confirm presence of short-run inter-linkages among BRICS during post-BRICS period. Johansen co-integration test also establishes more co-integrating equations during post-BRICS. E-GARCH result indicates a strong presence of asymmetry effect in the volatility of BRICS stock returns during post-BRICS and concludes the presence of leverage effect in all the BRICS markets. By integrating the findings with relevant literature, authors propose a framework that establishes BRICS formation, trade agreements and collaboration with each other has resulted into a strong relationship among BRICS nations during post-BRICS period and hints a little opportunity to global investors for portfolio diversification in short-run but no opportunity in the long-run.
{"title":"DYNAMIC LINKAGES AND INTEGRATION AMONG FIVE EMERGING BRICS MARKETS: PRE- AND POST-BRICS PERIOD ANALYSIS","authors":"A. Singh, R. Shrivastav, A. Mohapatra","doi":"10.1142/s201049522250018x","DOIUrl":"https://doi.org/10.1142/s201049522250018x","url":null,"abstract":"This study aims to explore dynamic linkages and integration among emerging markets of BRICS, especially comparing the pre- and post-BRICS formation period behaviors and further comment upon the portfolio diversification opportunities available for global investors. Weekly closing indices of BRICS stock markets for the period 2000–2020 have been taken. Considering BRICS formation year, total period is divided into two sub-periods, pre- and post-BRICS periods. Short-run relationship has been measured through Granger causality, VAR, IRF and VDC. For long-run co-movement, Johansen co-integration is applied. To explain asymmetrical response of the market, E-GARCH Model is applied. Both Granger causality and VAR model confirm presence of short-run inter-linkages among BRICS during post-BRICS period. Johansen co-integration test also establishes more co-integrating equations during post-BRICS. E-GARCH result indicates a strong presence of asymmetry effect in the volatility of BRICS stock returns during post-BRICS and concludes the presence of leverage effect in all the BRICS markets. By integrating the findings with relevant literature, authors propose a framework that establishes BRICS formation, trade agreements and collaboration with each other has resulted into a strong relationship among BRICS nations during post-BRICS period and hints a little opportunity to global investors for portfolio diversification in short-run but no opportunity in the long-run.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49593596","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 : 2022-06-22DOI: 10.1142/s2010495222500178
N. Khan, H. Zada, I. Yousaf
The objective of this study is to explore Roy and Shijin [(2018). A six factor assets pricing model. Borsa Istanbul Review, 18(3), 205–217] six-factor-model of asset pricing by extending Fama and French five-factor model to include human capital as a sixth factor in the context of Pakistan — an emerging country in Asia, and to test the validity of the six-factor asset pricing model in explaining time-series variations in portfolio returns of Pakistan equity market. For this purpose, we use Fama and Macbeth’s two-pass time series regression technique to test the validity and applicability of the six-factor model. The findings indicate that the six factors model is an appropriate asset pricing model for explaining time-series variations in Pakistan. Furthermore, the human capital (labor income growth rate) is significant for most of the portfolios constructed in this study, which implies that the human capital significantly explains time-series variations in portfolio returns. The empirical results encourage all types of investors and academics to incorporate human capital into asset pricing models. It helps in more accurately estimating the required rate of return, which can improve asset pricing models.
本研究的目的是探索Roy和Shijin[（2018）。六因素资产定价模型。Borsa Istanbul Review，18（3），205–217]通过扩展Fama和法国的五因素模型，将人力资本作为第六因素纳入亚洲新兴国家巴基斯坦的背景下，并检验了六因素资产定价模型在解释巴基斯坦股市投资组合收益时间序列变化方面的有效性。为此，我们使用Fama和Macbeth的两次时间序列回归技术来检验六因素模型的有效性和适用性。研究结果表明，六因素模型是解释巴基斯坦时间序列变化的一个合适的资产定价模型。此外，人力资本（劳动收入增长率）对本研究构建的大多数投资组合都是显著的，这意味着人力资本显著解释了投资组合回报的时间序列变化。实证结果鼓励所有类型的投资者和学者将人力资本纳入资产定价模型。它有助于更准确地估计所需的回报率，从而改进资产定价模型。
{"title":"DOES PREMIUM EXIST IN THE STOCK MARKET FOR LABOR INCOME GROWTH RATE? A SIX-FACTOR-ASSET-PRICING MODEL: EVIDENCE FROM PAKISTAN","authors":"N. Khan, H. Zada, I. Yousaf","doi":"10.1142/s2010495222500178","DOIUrl":"https://doi.org/10.1142/s2010495222500178","url":null,"abstract":"The objective of this study is to explore Roy and Shijin [(2018). A six factor assets pricing model. Borsa Istanbul Review, 18(3), 205–217] six-factor-model of asset pricing by extending Fama and French five-factor model to include human capital as a sixth factor in the context of Pakistan — an emerging country in Asia, and to test the validity of the six-factor asset pricing model in explaining time-series variations in portfolio returns of Pakistan equity market. For this purpose, we use Fama and Macbeth’s two-pass time series regression technique to test the validity and applicability of the six-factor model. The findings indicate that the six factors model is an appropriate asset pricing model for explaining time-series variations in Pakistan. Furthermore, the human capital (labor income growth rate) is significant for most of the portfolios constructed in this study, which implies that the human capital significantly explains time-series variations in portfolio returns. The empirical results encourage all types of investors and academics to incorporate human capital into asset pricing models. It helps in more accurately estimating the required rate of return, which can improve asset pricing models.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-06-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47850368","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 : 2022-05-26DOI: 10.1142/s2010495222500166
D. Yeung, Wing-Keung Wong
This paper formulates an informational theory of the evolving value of the firm under uncertainties and unknowns in the future payoff structures. In general, the horizon of business firms would last for an indefinitely long period of time, and events in the considerably far future are intrinsically unknown. The existing study of indefinite horizon firms often relies on the assumption of time-invariant structures for the derivation of an optimal solution. In this paper, information about the firm’s future payoffs will be revealed as time goes by. The firm will revise its strategies accordingly, and the process will continue indefinitely. This new approach for the analysis of infinite horizon firms via information updating provides a more realistic and practical alternative to the study of the dynamic value of the firm. Finally, information-based option pricing formulae and non-random walks and cycles in asset price can also be generated with this theory.
{"title":"AN INFORMATIONAL THEORY OF THE DYNAMIC VALUE OF THE FIRM","authors":"D. Yeung, Wing-Keung Wong","doi":"10.1142/s2010495222500166","DOIUrl":"https://doi.org/10.1142/s2010495222500166","url":null,"abstract":"This paper formulates an informational theory of the evolving value of the firm under uncertainties and unknowns in the future payoff structures. In general, the horizon of business firms would last for an indefinitely long period of time, and events in the considerably far future are intrinsically unknown. The existing study of indefinite horizon firms often relies on the assumption of time-invariant structures for the derivation of an optimal solution. In this paper, information about the firm’s future payoffs will be revealed as time goes by. The firm will revise its strategies accordingly, and the process will continue indefinitely. This new approach for the analysis of infinite horizon firms via information updating provides a more realistic and practical alternative to the study of the dynamic value of the firm. Finally, information-based option pricing formulae and non-random walks and cycles in asset price can also be generated with this theory.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48865283","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 : 2022-05-21DOI: 10.1142/s2010495222500142
Faisal Mahmood, Umeair Shahzad, Ali Nazakat, Zahoor Ahmed, Husam Rjoub, Wing-Keung Wong
This study examines the moderating role of the cash conversion cycle (CCC) while investigating the effects of working capital finance (WCF) on firm performance. Using more than 18000 observations from Chinese manufacturing firms, we computed several proxies for each variable of the study and merged these proxies via Principal Component Analysis (PCA) to create one master proxy for each variable. These master proxies contain all the essential information of individual proxies. Hence, they are more useful in producing reliable results than individual proxies. We also compared the predicting power of 15 econometric and machine learning estimators to select the best estimator. Based on the highest [Formula: see text] value, we used two machine learning estimators, K-Nearest Neighbors (KNN), and Artificial Neural Networks (ANN) for subsequent analysis. To strengthen the empirical analysis, we employed another machine learning technique, i.e., the Bagging method, which is an ensembling technique that uses multiple estimators simultaneously to improve the accuracy and generalization of results. We used the Bagging method with 50[Formula: see text]KNN estimators. The findings unfold that the sensitivity level of firm performance to short-term debts shifts when the CCC period of firms fluctuates. More precisely, the WCF–performance relationship in firms with extended CCC is more sensitive compared with this relationship in the full sample. On segregating the three elements of CCC, we observe that the WCF–performance relationship in firms carrying extended account receivable (AR) days or extended Inventory days is more sensitive than the full sample. These findings are useful for firms’ management for revising the optimal level of short-term debts according to CCC fluctuation. Also, the lending agencies can use these results for the assessment of firms’ risk levels and adjustment of the interest rate.
{"title":"THE NEXUS BETWEEN CASH CONVERSION CYCLE, WORKING CAPITAL FINANCE, AND FIRM PERFORMANCE: EVIDENCE FROM NOVEL MACHINE LEARNING APPROACHES","authors":"Faisal Mahmood, Umeair Shahzad, Ali Nazakat, Zahoor Ahmed, Husam Rjoub, Wing-Keung Wong","doi":"10.1142/s2010495222500142","DOIUrl":"https://doi.org/10.1142/s2010495222500142","url":null,"abstract":"This study examines the moderating role of the cash conversion cycle (CCC) while investigating the effects of working capital finance (WCF) on firm performance. Using more than 18000 observations from Chinese manufacturing firms, we computed several proxies for each variable of the study and merged these proxies via Principal Component Analysis (PCA) to create one master proxy for each variable. These master proxies contain all the essential information of individual proxies. Hence, they are more useful in producing reliable results than individual proxies. We also compared the predicting power of 15 econometric and machine learning estimators to select the best estimator. Based on the highest [Formula: see text] value, we used two machine learning estimators, K-Nearest Neighbors (KNN), and Artificial Neural Networks (ANN) for subsequent analysis. To strengthen the empirical analysis, we employed another machine learning technique, i.e., the Bagging method, which is an ensembling technique that uses multiple estimators simultaneously to improve the accuracy and generalization of results. We used the Bagging method with 50[Formula: see text]KNN estimators. The findings unfold that the sensitivity level of firm performance to short-term debts shifts when the CCC period of firms fluctuates. More precisely, the WCF–performance relationship in firms with extended CCC is more sensitive compared with this relationship in the full sample. On segregating the three elements of CCC, we observe that the WCF–performance relationship in firms carrying extended account receivable (AR) days or extended Inventory days is more sensitive than the full sample. These findings are useful for firms’ management for revising the optimal level of short-term debts according to CCC fluctuation. Also, the lending agencies can use these results for the assessment of firms’ risk levels and adjustment of the interest rate.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":"1 1","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41377071","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 : 2022-05-14DOI: 10.1142/s2010495222500105
Oghenovo A. Obrimah, Wing-Keung Wong
Let [Formula: see text], [Formula: see text], [Formula: see text] and [Formula: see text] denote, respectively, the current stock price, the future stock price that is conditioned on information, the minimum stock market tick size and the realized future stock price. Formal theoretical proofs in this study show modeling of stock returns in continuous time induces stock returns that have parameterization as gambles over lotteries. Stock returns have parameterization as gambles because in the presence of fairness of formation of [Formula: see text], regardless arrival of liquidity and speculative trades feasibly induces [Formula: see text]. Evolution of ‘(conditional) trade imbalances’ as random walks is shown to be a necessary and sufficient condition for parameterization of stock returns as gambles over lotteries. Suppose, on the contrary, a resort to modeling of stock returns in discrete time. The formal theory arrives at two dichotomous sufficiency conditions, which predict directionality and sizes of price changes, and facilitate evolution of stock returns as random walks. In presence of the two dichotomous conditions, fairness of formation of [Formula: see text] necessarily induces, regardless of arrival of liquidity and speculative trades, [Formula: see text]. Risk is parameterized by [Formula: see text], because all else constant, an inversion of the perturbing conditionally positive trade imbalance induces [Formula: see text]. Whereas then, [Formula: see text] has parameterization as ‘materialization of risk’, always, it is [Formula: see text] that is statistic for risk; risk, as such is well parameterized, that is, does not coincide with its materialization (note that whereas volatility is statistic for risk, it is not a statistic for materialization of risk; a statistic for risk necessarily is robust to non-materialization of risk). Given modeling in continuous time does not facilitate either of the two sufficiency conditions, always, risk has parameterization as the probability that [Formula: see text]. Since risk, as such coincides qualitatively with its materialization, it is not well parameterized. Given study findings parameterize general equilibrium, formal theoretical predictions have characterization as axiomatic statements, as opposed to propositional (parameter-dependent) statements.
{"title":"MODELING OF STOCK RETURNS IN CONTINUOUS VIS-À-VIS DISCRETE TIME IS EQUIVALENT, RESPECTIVELY, TO THE CONDITIONING OF STOCK RETURNS ON A RANDOM WALK PROCESS FOR TRADE IMBALANCES VIS-À-VIS A RANDOM WALK PROCESS FOR EVOLUTION OF INFORMATION","authors":"Oghenovo A. Obrimah, Wing-Keung Wong","doi":"10.1142/s2010495222500105","DOIUrl":"https://doi.org/10.1142/s2010495222500105","url":null,"abstract":"Let [Formula: see text], [Formula: see text], [Formula: see text] and [Formula: see text] denote, respectively, the current stock price, the future stock price that is conditioned on information, the minimum stock market tick size and the realized future stock price. Formal theoretical proofs in this study show modeling of stock returns in continuous time induces stock returns that have parameterization as gambles over lotteries. Stock returns have parameterization as gambles because in the presence of fairness of formation of [Formula: see text], regardless arrival of liquidity and speculative trades feasibly induces [Formula: see text]. Evolution of ‘(conditional) trade imbalances’ as random walks is shown to be a necessary and sufficient condition for parameterization of stock returns as gambles over lotteries. Suppose, on the contrary, a resort to modeling of stock returns in discrete time. The formal theory arrives at two dichotomous sufficiency conditions, which predict directionality and sizes of price changes, and facilitate evolution of stock returns as random walks. In presence of the two dichotomous conditions, fairness of formation of [Formula: see text] necessarily induces, regardless of arrival of liquidity and speculative trades, [Formula: see text]. Risk is parameterized by [Formula: see text], because all else constant, an inversion of the perturbing conditionally positive trade imbalance induces [Formula: see text]. Whereas then, [Formula: see text] has parameterization as ‘materialization of risk’, always, it is [Formula: see text] that is statistic for risk; risk, as such is well parameterized, that is, does not coincide with its materialization (note that whereas volatility is statistic for risk, it is not a statistic for materialization of risk; a statistic for risk necessarily is robust to non-materialization of risk). Given modeling in continuous time does not facilitate either of the two sufficiency conditions, always, risk has parameterization as the probability that [Formula: see text]. Since risk, as such coincides qualitatively with its materialization, it is not well parameterized. Given study findings parameterize general equilibrium, formal theoretical predictions have characterization as axiomatic statements, as opposed to propositional (parameter-dependent) statements.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47798710","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 : 2022-05-07DOI: 10.1142/s2010495222500129
C. Archer, Peterson Owusu Junior, A. Adam, Emmanuel Asafo-Adjei, S. Baffoe
An increase in globalization and financial integration has induced countries to depend on each other to survive. This has facilitated trade and investments among economies across the globe. It is expected that countries’ international economic activities would contribute to the rate of exchange between the countries. However, uncertainties may alter the dynamics of exchange rate movements, thereby minimizing the contribution of its economic activities at various market conditions. In this regard, we examine the influence of variations in prices of commodities on nominal exchange rate in Ghana. Hence, we employ quantile regression with monthly data spanning from September 2007 to December 2020 for the variables — nominal exchange rate, cocoa, gold and Brent crude oil prices. We find a significant connection among the variables for most quantiles. Also, the study reveals that an upsurge in the price of crude oil corresponds to an appreciation of the Ghana Cedi during turbulent conditions. Conversely, cocoa price tends to appreciate the Ghana Cedi for both normal and extreme market conditions. We recommend that for the country to enjoy favorable exchange rate at all market conditions, there is a need for the producers of these exported commodities to be incentivized by the government in the form of subsidies, new technological equipment and education in order for the producers to increase their efficiency and add value to these commodities while effective inflation targeting policies are deployed. Implications for the study are further provided.
{"title":"ASYMMETRIC DEPENDENCE BETWEEN EXCHANGE RATE AND COMMODITY PRICES IN GHANA","authors":"C. Archer, Peterson Owusu Junior, A. Adam, Emmanuel Asafo-Adjei, S. Baffoe","doi":"10.1142/s2010495222500129","DOIUrl":"https://doi.org/10.1142/s2010495222500129","url":null,"abstract":"An increase in globalization and financial integration has induced countries to depend on each other to survive. This has facilitated trade and investments among economies across the globe. It is expected that countries’ international economic activities would contribute to the rate of exchange between the countries. However, uncertainties may alter the dynamics of exchange rate movements, thereby minimizing the contribution of its economic activities at various market conditions. In this regard, we examine the influence of variations in prices of commodities on nominal exchange rate in Ghana. Hence, we employ quantile regression with monthly data spanning from September 2007 to December 2020 for the variables — nominal exchange rate, cocoa, gold and Brent crude oil prices. We find a significant connection among the variables for most quantiles. Also, the study reveals that an upsurge in the price of crude oil corresponds to an appreciation of the Ghana Cedi during turbulent conditions. Conversely, cocoa price tends to appreciate the Ghana Cedi for both normal and extreme market conditions. We recommend that for the country to enjoy favorable exchange rate at all market conditions, there is a need for the producers of these exported commodities to be incentivized by the government in the form of subsidies, new technological equipment and education in order for the producers to increase their efficiency and add value to these commodities while effective inflation targeting policies are deployed. Implications for the study are further provided.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44687177","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 : 2022-04-30DOI: 10.1142/s2010495222500130
T. Adebayo, Derviş Kırıkkaleli, Husam Rjoub
This paper addresses a deficiency in the existing literature by examining the time–frequency domain association between economic risk (ER) and financial risk (FR) for the Mexico, Indonesia, Nigeria and Turkey (MINT) nations using dataset from 1984 to 2018. To the authors’ awareness, the relationship between economics and finance has not been thoroughly investigated in the context of risk for the MINT nations. As a result, the outcomes of this research are anticipated to provide an insight on and initiate a fresh discussion regarding the financial-economic nexus. The Breitung and Candelon (BC) causality and the wavelet coherence (WTC) techniques are used to inspect the combined time–frequency causal interrelationship between FR and ER, in accordance with the study goals. The findings from the wavelet revealed the following: (i) a one-way causality exists from ER to FR in Mexico; (ii) a one-way causality exists from FR to ER in Indonesia; (iii) a unidirectional causality exists from ER to FR in Nigeria and (iv) a one-way causality exists from FR to ER in Turkey. Furthermore, the BC causality outcomes validate the WTC outcomes. The study findings are critical for both researchers and macroeconomic policymakers and can be utilized to make appropriate measures, if necessary, by adopting alternative or more appropriate financial and economic decisions.
{"title":"TIME–FREQUENCY ANALYSIS BETWEEN ECONOMIC RISK AND FINANCIAL RISK IN THE MINT NATIONS: WHAT CAUSES WHAT?","authors":"T. Adebayo, Derviş Kırıkkaleli, Husam Rjoub","doi":"10.1142/s2010495222500130","DOIUrl":"https://doi.org/10.1142/s2010495222500130","url":null,"abstract":"This paper addresses a deficiency in the existing literature by examining the time–frequency domain association between economic risk (ER) and financial risk (FR) for the Mexico, Indonesia, Nigeria and Turkey (MINT) nations using dataset from 1984 to 2018. To the authors’ awareness, the relationship between economics and finance has not been thoroughly investigated in the context of risk for the MINT nations. As a result, the outcomes of this research are anticipated to provide an insight on and initiate a fresh discussion regarding the financial-economic nexus. The Breitung and Candelon (BC) causality and the wavelet coherence (WTC) techniques are used to inspect the combined time–frequency causal interrelationship between FR and ER, in accordance with the study goals. The findings from the wavelet revealed the following: (i) a one-way causality exists from ER to FR in Mexico; (ii) a one-way causality exists from FR to ER in Indonesia; (iii) a unidirectional causality exists from ER to FR in Nigeria and (iv) a one-way causality exists from FR to ER in Turkey. Furthermore, the BC causality outcomes validate the WTC outcomes. The study findings are critical for both researchers and macroeconomic policymakers and can be utilized to make appropriate measures, if necessary, by adopting alternative or more appropriate financial and economic decisions.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48598482","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 : 2022-04-20DOI: 10.1142/s2010495222500099
Afees A. Salisu, Rangan Gupta, Rıza Demirer
Utilizing a mixed data sampling (MIDAS) approach, we show that a daily newspaper-based index of uncertainty associated with infectious diseases can be used to predict, both in- and out-of-samples, low-frequency movements of output growth for the United States (US). The predictability of monthly industrial production growth and quarterly real Gross Domestic Product (GDP) growth during the current period of heightened economic uncertainty due to the COVID-19 pandemic is likely to be of tremendous value to policymakers.
{"title":"A NOTE ON UNCERTAINTY DUE TO INFECTIOUS DISEASES AND OUTPUT GROWTH OF THE UNITED STATES: A MIXED-FREQUENCY FORECASTING EXPERIMENT","authors":"Afees A. Salisu, Rangan Gupta, Rıza Demirer","doi":"10.1142/s2010495222500099","DOIUrl":"https://doi.org/10.1142/s2010495222500099","url":null,"abstract":"Utilizing a mixed data sampling (MIDAS) approach, we show that a daily newspaper-based index of uncertainty associated with infectious diseases can be used to predict, both in- and out-of-samples, low-frequency movements of output growth for the United States (US). The predictability of monthly industrial production growth and quarterly real Gross Domestic Product (GDP) growth during the current period of heightened economic uncertainty due to the COVID-19 pandemic is likely to be of tremendous value to policymakers.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49070241","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 : 2022-02-24DOI: 10.1142/s2010495222500087
T. Adebayo, S. Akadiri, Husam Rjoub
{"title":"On the Relationship Between Economic Policy Uncertainty, Geopolitical Risk and Stock Market Returns in South Korea: A Quantile Causality Analysis","authors":"T. Adebayo, S. Akadiri, Husam Rjoub","doi":"10.1142/s2010495222500087","DOIUrl":"https://doi.org/10.1142/s2010495222500087","url":null,"abstract":"","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48150335","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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