Pub Date : 2022-05-31DOI: 10.1108/jefas-04-2021-0025
H. Yıldırım, Saffet Akdağ, A. Alola
PurposeThe last decades have experienced increasingly integrated global political and economic dynamics ranging especially from the influence of exchange rates and trade amid other sources of uncertainties. The purpose of this study is to examine the exchange rate dynamics of Brazil, Russia, India, China, and South Africa (BRICS) and the Republic of Turkey.Design/methodology/approachGiven this perceived global dynamics, the current study examined the BRICS countries and the Republic of Turkey's exchange rate dynamics by using the United States (US) monthly dollar exchange rate data between January 2002 and August 2019. The price bubble which is expressed as exceeding the real value of assets' prices which is observably caused by speculative movements is investigated by using the Supremum Augmented Dickey-Fuller (SADF) and the Generalized Supremum Augmented Dickey-Fuller (GSADF) approaches.FindingsAccordingly, the GSADF test results opined that there are price bubbles in the dollar exchange rate of other countries except for the United States Dollar (USD)/Indian Rupee (INR) exchange rate. As the related countries are classified as developing countries in terms of their structure, they are also expectedly the subject of speculative exchange rate movements. Speculative movements in exchange rates may cause serious problems in national economies.Originality/valueThus, the current study provides a policy framework to the BRICS countries and the Republic of Turkey.
{"title":"Is there a price bubble in the exchange rates of the developing countries? The case of BRICS and Turkey","authors":"H. Yıldırım, Saffet Akdağ, A. Alola","doi":"10.1108/jefas-04-2021-0025","DOIUrl":"https://doi.org/10.1108/jefas-04-2021-0025","url":null,"abstract":"PurposeThe last decades have experienced increasingly integrated global political and economic dynamics ranging especially from the influence of exchange rates and trade amid other sources of uncertainties. The purpose of this study is to examine the exchange rate dynamics of Brazil, Russia, India, China, and South Africa (BRICS) and the Republic of Turkey.Design/methodology/approachGiven this perceived global dynamics, the current study examined the BRICS countries and the Republic of Turkey's exchange rate dynamics by using the United States (US) monthly dollar exchange rate data between January 2002 and August 2019. The price bubble which is expressed as exceeding the real value of assets' prices which is observably caused by speculative movements is investigated by using the Supremum Augmented Dickey-Fuller (SADF) and the Generalized Supremum Augmented Dickey-Fuller (GSADF) approaches.FindingsAccordingly, the GSADF test results opined that there are price bubbles in the dollar exchange rate of other countries except for the United States Dollar (USD)/Indian Rupee (INR) exchange rate. As the related countries are classified as developing countries in terms of their structure, they are also expectedly the subject of speculative exchange rate movements. Speculative movements in exchange rates may cause serious problems in national economies.Originality/valueThus, the current study provides a policy framework to the BRICS countries and the Republic of Turkey.","PeriodicalId":53491,"journal":{"name":"Journal of Economics, Finance and Administrative Science","volume":"35 1","pages":""},"PeriodicalIF":2.4,"publicationDate":"2022-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89923360","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 : 2022-05-25DOI: 10.1108/jefas-03-2021-0011
H. Wong
PurposeThe study examines the impact of real exchange rates and asymmetric real exchange rates on real stock prices in Malaysia, the Philippines, Singapore, Korea, Japan, the United Kingdom (UK), Germany, Hong Kong and Indonesia.Design/methodology/approachThis study uses the asymmetric autoregressive distributed lag (ARDL) approach and non-linear autoregressive distributed lag (NARDL) approach.FindingsThe asymmetric ARDL approach shows more economic variables are found to be statistically significant than the ARDL approach. The asymmetric real exchange rate is mostly found to have a significant impact on the real stock price. Moreover, real output and real interest rates are found to have a significant impact on the real stock price. The Asian financial crisis (1997–1998) and the global financial crisis (2008–2009) are found to have a significant impact on the real stock price in some economies.Research limitations/implicationsEconomic variables are important in the determination of stock prices.Originality/valueIt is important to examine the impact of asymmetric real exchange rate on the real stock price as the depreciation of real exchange rate could have different impacts than the appreciation of real exchange rate on the real stock price. The previous studies in the literature mostly found the significant impact of nominal exchange rate on the nominal stock price.
{"title":"The impact of real exchange rates on real stock prices","authors":"H. Wong","doi":"10.1108/jefas-03-2021-0011","DOIUrl":"https://doi.org/10.1108/jefas-03-2021-0011","url":null,"abstract":"PurposeThe study examines the impact of real exchange rates and asymmetric real exchange rates on real stock prices in Malaysia, the Philippines, Singapore, Korea, Japan, the United Kingdom (UK), Germany, Hong Kong and Indonesia.Design/methodology/approachThis study uses the asymmetric autoregressive distributed lag (ARDL) approach and non-linear autoregressive distributed lag (NARDL) approach.FindingsThe asymmetric ARDL approach shows more economic variables are found to be statistically significant than the ARDL approach. The asymmetric real exchange rate is mostly found to have a significant impact on the real stock price. Moreover, real output and real interest rates are found to have a significant impact on the real stock price. The Asian financial crisis (1997–1998) and the global financial crisis (2008–2009) are found to have a significant impact on the real stock price in some economies.Research limitations/implicationsEconomic variables are important in the determination of stock prices.Originality/valueIt is important to examine the impact of asymmetric real exchange rate on the real stock price as the depreciation of real exchange rate could have different impacts than the appreciation of real exchange rate on the real stock price. The previous studies in the literature mostly found the significant impact of nominal exchange rate on the nominal stock price.","PeriodicalId":53491,"journal":{"name":"Journal of Economics, Finance and Administrative Science","volume":"57 1","pages":""},"PeriodicalIF":2.4,"publicationDate":"2022-05-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85085792","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 : 2022-05-17DOI: 10.1108/jefas-06-2021-0082
A. Mishra, Saksham Agrawal, Jash Ashish Patwa
PurposeThe study uses the multivariate GARCH-BEKK model (which was first proposed by Baba et al. (1990) and then further developed by Engle and Kroner (1995)) to examine the return and volatility spillover between India and four leading Asian (namely, China, Japan, Singapore and Hong Kong) and two global (namely, the United Kingdom and the United States) equity markets.Design/methodology/approachThe study employs a multivariate GARCH-BEKK model to quantify return correlation and volatility transmission across the pre- and post-2008 global financial crisis periods (apart from other conventional time series modelling like cointegration, Granger causality using vector error correction model (VECM)).FindingsThe results show a tendency of the Indian stock market index to move along with the US and Hong Kong market indices. The decrease in the value of the co-integration coefficient during the recession was explained by reduced investor confidence in developing countries. The result further shows a clear distinction in terms of volatility spillover between the Asian market vis-a-vis US and UK markets. Volatility transmission from India to Asian markets was found to be significantly higher as compared to the US and UK. So also, the study’s results show a puzzling result giving us comparable co-integration ranks for phase 2 (expansion) and phase 3 (slow-down) of the business cycle in most cases.Research limitations/implicationsIn Granger causality testing, the results were unable to ascertain the difference between phase 2 (expansion) and phase 3 (slowdown). However, the multivariate GARCH (MGARCH)-BEKK model showed a clear reduction in volatility transmission to NIFTY50 (is the flagship index on the National Stock Exchange of India Ltd. (NSE)) as India entered slow-down. This shows that the Indian economy does go through different business cycles, and the changes in parameters hence prove hypothesis 3 to be true with respect to volatility transmission to India from International markets.Originality/valueThe results show that for all countries, the volatility transmitted to India increases significantly going from phase 1 (recession) to phase 2 (expansion) and reduces again once the countries enter slow-down in phase 3 (slowdown). This shows that during expansion shocks and impulses in international markets affect the Indian markets significantly, supporting the increase in co-integration in phase 2 (expansion). During expansion, developing markets like India become profitable for investors, due to the high growth rate when compared to developed countries. This implies that a significant amount of capital enters Indian markets, which is susceptible to the volatility of international markets. The volatility transmission from India to the US and UK was insignificant in phase 1 (recession and recovery) and phase 3 (slow-down) showing a weak linkage between the markets during volatile time periods.
{"title":"Return and volatility spillover between India and leading Asian and global equity markets: an empirical analysis","authors":"A. Mishra, Saksham Agrawal, Jash Ashish Patwa","doi":"10.1108/jefas-06-2021-0082","DOIUrl":"https://doi.org/10.1108/jefas-06-2021-0082","url":null,"abstract":"PurposeThe study uses the multivariate GARCH-BEKK model (which was first proposed by Baba et al. (1990) and then further developed by Engle and Kroner (1995)) to examine the return and volatility spillover between India and four leading Asian (namely, China, Japan, Singapore and Hong Kong) and two global (namely, the United Kingdom and the United States) equity markets.Design/methodology/approachThe study employs a multivariate GARCH-BEKK model to quantify return correlation and volatility transmission across the pre- and post-2008 global financial crisis periods (apart from other conventional time series modelling like cointegration, Granger causality using vector error correction model (VECM)).FindingsThe results show a tendency of the Indian stock market index to move along with the US and Hong Kong market indices. The decrease in the value of the co-integration coefficient during the recession was explained by reduced investor confidence in developing countries. The result further shows a clear distinction in terms of volatility spillover between the Asian market vis-a-vis US and UK markets. Volatility transmission from India to Asian markets was found to be significantly higher as compared to the US and UK. So also, the study’s results show a puzzling result giving us comparable co-integration ranks for phase 2 (expansion) and phase 3 (slow-down) of the business cycle in most cases.Research limitations/implicationsIn Granger causality testing, the results were unable to ascertain the difference between phase 2 (expansion) and phase 3 (slowdown). However, the multivariate GARCH (MGARCH)-BEKK model showed a clear reduction in volatility transmission to NIFTY50 (is the flagship index on the National Stock Exchange of India Ltd. (NSE)) as India entered slow-down. This shows that the Indian economy does go through different business cycles, and the changes in parameters hence prove hypothesis 3 to be true with respect to volatility transmission to India from International markets.Originality/valueThe results show that for all countries, the volatility transmitted to India increases significantly going from phase 1 (recession) to phase 2 (expansion) and reduces again once the countries enter slow-down in phase 3 (slowdown). This shows that during expansion shocks and impulses in international markets affect the Indian markets significantly, supporting the increase in co-integration in phase 2 (expansion). During expansion, developing markets like India become profitable for investors, due to the high growth rate when compared to developed countries. This implies that a significant amount of capital enters Indian markets, which is susceptible to the volatility of international markets. The volatility transmission from India to the US and UK was insignificant in phase 1 (recession and recovery) and phase 3 (slow-down) showing a weak linkage between the markets during volatile time periods.","PeriodicalId":53491,"journal":{"name":"Journal of Economics, Finance and Administrative Science","volume":"15 1","pages":""},"PeriodicalIF":2.4,"publicationDate":"2022-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84893624","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 : 2022-04-05DOI: 10.1108/jefas-04-2020-0150
Burcu Kartal, M. Sert, Melih Kutlu
PurposeThis study aims to provide preliminary information to the investor by determining which indices co-movement, with the data mining method.Design/methodology/approachIn this context, data sets containing daily opening and closing prices between 2001 and 2019 have been created for 11 stock market indexes in the world. The association rule algorithm, one of the data mining techniques, is used in the analysis of the data.FindingsIt is observed that the US stock market indices take part in the highest confidence levels between association rules. The XU100 stock index co-movement with both the European stock market indices and the US stock indices. In addition, the Hang Seng Index (HSI) (Hong Kong) takes part in the association rules of all stock market indices.Originality/valueThe important issue for data sets is that the opening/closing values of the same day or the previous day are taken into account according to the open or closed status of other stock market indices by taking the opening time of the stock exchange index to be created. Therefore, data sets are arranged for each stock market index, separately. As a result of this data set arranging process, it is possible to find out co-movements of the stock market indexes. It is proof that the world stock indices have co-movement, and this continues as a cycle.
{"title":"Determination of the world stock indices' co-movements by association rule mining","authors":"Burcu Kartal, M. Sert, Melih Kutlu","doi":"10.1108/jefas-04-2020-0150","DOIUrl":"https://doi.org/10.1108/jefas-04-2020-0150","url":null,"abstract":"PurposeThis study aims to provide preliminary information to the investor by determining which indices co-movement, with the data mining method.Design/methodology/approachIn this context, data sets containing daily opening and closing prices between 2001 and 2019 have been created for 11 stock market indexes in the world. The association rule algorithm, one of the data mining techniques, is used in the analysis of the data.FindingsIt is observed that the US stock market indices take part in the highest confidence levels between association rules. The XU100 stock index co-movement with both the European stock market indices and the US stock indices. In addition, the Hang Seng Index (HSI) (Hong Kong) takes part in the association rules of all stock market indices.Originality/valueThe important issue for data sets is that the opening/closing values of the same day or the previous day are taken into account according to the open or closed status of other stock market indices by taking the opening time of the stock exchange index to be created. Therefore, data sets are arranged for each stock market index, separately. As a result of this data set arranging process, it is possible to find out co-movements of the stock market indexes. It is proof that the world stock indices have co-movement, and this continues as a cycle.","PeriodicalId":53491,"journal":{"name":"Journal of Economics, Finance and Administrative Science","volume":"27 1","pages":""},"PeriodicalIF":2.4,"publicationDate":"2022-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75453679","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 : 2022-04-05DOI: 10.1108/jefas-04-2021-0040
R. Elangovan, Francis Gnanasekar Irudayasamy, Satyanarayana Parayitam
PurposeDespite volumes of research on the efficient market hypothesis (EMH) over the last six decades, the results are inconclusive as some studies supported the hypothesis, and some studies rejected it. The study aims to examine the market efficiency of the Indian stock market.Design/methodology/approachFor analysis, nine Bombay Stock Exchange (BSE) broad market indices were selected covering the study period from 01 January 2011 to 31 December 2020. The data collected for this study are daily open, high, low and closing prices of selected indices. The tools used in this study are: (1) unit root test to check the stationarity of time series, (2) descriptive statistics, (3) autocorrelation and (4) runs test.FindingsThe empirical findings of the study reveal that BSE broad market indices do not follow a random walk and Indian stock market is as weak-form inefficient.Research limitations/implicationsThe findings from this study provide several avenues for future research. One of the research implications is that anomalies in the statistical results by different academicians in the finance area need to be explained by future researchers.Practical implicationsInvestment companies need to understand that extraordinary skills are required to beat the market to make abnormal returns. In an inefficient market where securities do not reflect the complete available information, it is challenging for the investment brokers to convince the customers about the portfolios they recommend to the public that the rate of return would be more than expected.Social implicationsAs economic growth is related to the growth in the financial sector, developing countries like India depend on the accuracy of the information. In the presence of asymmetric information, the fluctuations in the stock market would have serious harmful consequences on the economy.Originality/valueAmid several controversies surrounding the EMH testing, this study is a modest attempt to provide evidence that the Indian stock market is in weak-form inefficient. However, it is essential to link investors' behaviour and trends observed in the financial sector to fully understand the implications of EMH.
{"title":"Testing the market efficiency in Indian stock market: evidence from Bombay Stock Exchange broad market indices","authors":"R. Elangovan, Francis Gnanasekar Irudayasamy, Satyanarayana Parayitam","doi":"10.1108/jefas-04-2021-0040","DOIUrl":"https://doi.org/10.1108/jefas-04-2021-0040","url":null,"abstract":"PurposeDespite volumes of research on the efficient market hypothesis (EMH) over the last six decades, the results are inconclusive as some studies supported the hypothesis, and some studies rejected it. The study aims to examine the market efficiency of the Indian stock market.Design/methodology/approachFor analysis, nine Bombay Stock Exchange (BSE) broad market indices were selected covering the study period from 01 January 2011 to 31 December 2020. The data collected for this study are daily open, high, low and closing prices of selected indices. The tools used in this study are: (1) unit root test to check the stationarity of time series, (2) descriptive statistics, (3) autocorrelation and (4) runs test.FindingsThe empirical findings of the study reveal that BSE broad market indices do not follow a random walk and Indian stock market is as weak-form inefficient.Research limitations/implicationsThe findings from this study provide several avenues for future research. One of the research implications is that anomalies in the statistical results by different academicians in the finance area need to be explained by future researchers.Practical implicationsInvestment companies need to understand that extraordinary skills are required to beat the market to make abnormal returns. In an inefficient market where securities do not reflect the complete available information, it is challenging for the investment brokers to convince the customers about the portfolios they recommend to the public that the rate of return would be more than expected.Social implicationsAs economic growth is related to the growth in the financial sector, developing countries like India depend on the accuracy of the information. In the presence of asymmetric information, the fluctuations in the stock market would have serious harmful consequences on the economy.Originality/valueAmid several controversies surrounding the EMH testing, this study is a modest attempt to provide evidence that the Indian stock market is in weak-form inefficient. However, it is essential to link investors' behaviour and trends observed in the financial sector to fully understand the implications of EMH.","PeriodicalId":53491,"journal":{"name":"Journal of Economics, Finance and Administrative Science","volume":"20 1","pages":""},"PeriodicalIF":2.4,"publicationDate":"2022-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88130915","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 : 2022-03-21DOI: 10.1108/jefas-04-2021-0033
S. Olavarrieta
PurposeDespite the general recommendation of using a combination of multiple criteria for research assessment and faculty promotion decisions, the raise of quantitative indicators is generating an emerging trend in Business Schools to use single journal impact factors (IFs) as key (unique) drivers for those relevant school decisions. This paper aims to investigate the effects of using single Web of Science (WoS)-based journal impact metrics when assessing research from two related disciplines: Business and Economics, and its potential impact for the strategic sustainability of a Business School.Design/methodology/approachThis study collected impact indicators data for Business and Economics journals from the Clarivate Web of Science database. We concentrated on the IF indicators, the Eigenfactor and the article influence score (AIS). This study examined the correlations between these indicators and then ranked disciplines and journals using these different impact metrics.FindingsConsistent with previous findings, this study finds positive correlations among these metrics. Then this study ranks the disciplines and journals using each impact metric, finding relevant and substantial differences, depending on the metric used. It is found that using AIS instead of the IF raises the relative ranking of Economics, while Business remains basically with the same rank.Research limitations/implications This study contributes to the research assessment literature by adding substantial evidence that given the sensitivity of journal rankings to particular indicators, the selection of a single impact metric for assessing research and hiring/promotion and tenure decisions is risky and too simplistic. This research shows that biases may be larger when assessment involves researchers from related disciplines – like Business and Economics – but with different research foundations and traditions.Practical implicationsConsistent with the literature, given the sensibility of journal rankings to particular indicators, the selection of a single impact metric for assessing research, assigning research funds and hiring/promotion and tenure decisions is risky and simplistic. However, this research shows that risks and biases may be larger when assessment involves researchers from related disciplines – like Business and Economics – but with different research foundations and trajectories. The use of multiple criteria is advised for such purposes.Originality/valueThis is an applied work using real data from WoS that addresses a practical case of comparing the use of different journal IFs to rank-related disciplines like Business and Economics, with important implications for faculty tenure and promotion committees and for research funds granting institutions and decision-makers.
尽管普遍建议在研究评估和教师晋升决策中结合使用多种标准，但定量指标的增加正在商学院中产生一种新趋势，即使用单一期刊影响因子(if)作为相关学院决策的关键(独特)驱动因素。本文旨在探讨使用基于Web of Science (WoS)的期刊影响指标评估商业和经济学两个相关学科研究的效果，以及其对商学院战略可持续性的潜在影响。设计/方法/方法本研究从Clarivate Web of Science数据库中收集商业和经济期刊的影响指标数据。我们重点研究了影响因子指标、特征因子和文章影响评分(AIS)。本研究检查了这些指标之间的相关性，然后使用这些不同的影响指标对学科和期刊进行排名。研究结果与先前的研究结果一致，本研究发现这些指标之间存在正相关。然后，本研究使用每个影响指标对学科和期刊进行排名，根据所使用的指标找到相关的和实质性的差异。结果发现，用AIS代替IF提高了经济学的相对排名，而商科的排名基本保持不变。本研究为研究评估文献做出了贡献，增加了大量证据，表明鉴于期刊排名对特定指标的敏感性，选择单一的影响指标来评估研究、招聘/晋升和终身教职决策是有风险的，而且过于简单。这项研究表明，当评估涉及来自相关学科(如商业和经济学)但研究基础和传统不同的研究人员时，偏见可能会更大。实际意义与文献一致，考虑到期刊排名对特定指标的敏感性，选择单一的影响指标来评估研究、分配研究经费、雇用/晋升和终身教职决策是有风险和简单的。然而，这项研究表明，当评估涉及来自相关学科(如商业和经济学)但具有不同研究基础和轨迹的研究人员时，风险和偏差可能更大。为此，建议使用多个标准。原创性/价值这是一项应用工作，使用WoS的真实数据，解决了一个实际案例，比较了不同期刊IFs与排名相关学科(如商业和经济学)的使用情况，对教师终身教职和晋升委员会以及研究基金授予机构和决策者具有重要意义。
{"title":"Using single impact metrics to assess research in business and economics: why institutions should use multi-criteria systems for assessing research","authors":"S. Olavarrieta","doi":"10.1108/jefas-04-2021-0033","DOIUrl":"https://doi.org/10.1108/jefas-04-2021-0033","url":null,"abstract":"PurposeDespite the general recommendation of using a combination of multiple criteria for research assessment and faculty promotion decisions, the raise of quantitative indicators is generating an emerging trend in Business Schools to use single journal impact factors (IFs) as key (unique) drivers for those relevant school decisions. This paper aims to investigate the effects of using single Web of Science (WoS)-based journal impact metrics when assessing research from two related disciplines: Business and Economics, and its potential impact for the strategic sustainability of a Business School.Design/methodology/approachThis study collected impact indicators data for Business and Economics journals from the Clarivate Web of Science database. We concentrated on the IF indicators, the Eigenfactor and the article influence score (AIS). This study examined the correlations between these indicators and then ranked disciplines and journals using these different impact metrics.FindingsConsistent with previous findings, this study finds positive correlations among these metrics. Then this study ranks the disciplines and journals using each impact metric, finding relevant and substantial differences, depending on the metric used. It is found that using AIS instead of the IF raises the relative ranking of Economics, while Business remains basically with the same rank.Research limitations/implications This study contributes to the research assessment literature by adding substantial evidence that given the sensitivity of journal rankings to particular indicators, the selection of a single impact metric for assessing research and hiring/promotion and tenure decisions is risky and too simplistic. This research shows that biases may be larger when assessment involves researchers from related disciplines – like Business and Economics – but with different research foundations and traditions.Practical implicationsConsistent with the literature, given the sensibility of journal rankings to particular indicators, the selection of a single impact metric for assessing research, assigning research funds and hiring/promotion and tenure decisions is risky and simplistic. However, this research shows that risks and biases may be larger when assessment involves researchers from related disciplines – like Business and Economics – but with different research foundations and trajectories. The use of multiple criteria is advised for such purposes.Originality/valueThis is an applied work using real data from WoS that addresses a practical case of comparing the use of different journal IFs to rank-related disciplines like Business and Economics, with important implications for faculty tenure and promotion committees and for research funds granting institutions and decision-makers.","PeriodicalId":53491,"journal":{"name":"Journal of Economics, Finance and Administrative Science","volume":"26 1","pages":""},"PeriodicalIF":2.4,"publicationDate":"2022-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89443884","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 : 2022-03-15DOI: 10.1108/jefas-06-2021-0098
Sana Tauseef, Philippe Dupuy
Purpose This paper aims to expand foreign investors' understanding of potential return enhancement and risk diversification advantages offered by equity market of Pakistan through comparing its performance to performances in other markets and investigating what matters for investing in Pakistan's market.Design/methodology/approachComparative analysis of Pakistan Stock Exchange is performed using data for 22 developed and 22 emerging markets over the period 1993–2019. Cross-sectional analysis is performed using data for 130 non-financial firms from Pakistan and Carhart (1997) and Fama and French (2015) models are applied. The role of liquidity with five-factor model is analyzed using turnover rate and Amihud (2002) illiquidity cost as liquidity measures.FindingsPakistan's equity offers substantial diversification benefits if added to developed market portfolios. However, observed large returns come together with inverted premia for most traditional factors indicating that investors may want to invest preferably in big stocks with low book-to-market and momentum. Finally, global investors can invest in high yielding stocks with low liquidity risk owing to positive connection between liquidity and returns.Practical implicationsThis study will provide investment model for foreign investors to enhance their portfolio returns. Policy makers in Pakistan must identify regulatory steps to facilitate foreign investments.Originality/valueTo the best of the authors' knowledge, this is the first study which identifies efficiency gains offered by Pakistan's equity for global investors.
{"title":"Pakistan: a study of market's returns and anomalies","authors":"Sana Tauseef, Philippe Dupuy","doi":"10.1108/jefas-06-2021-0098","DOIUrl":"https://doi.org/10.1108/jefas-06-2021-0098","url":null,"abstract":"Purpose This paper aims to expand foreign investors' understanding of potential return enhancement and risk diversification advantages offered by equity market of Pakistan through comparing its performance to performances in other markets and investigating what matters for investing in Pakistan's market.Design/methodology/approachComparative analysis of Pakistan Stock Exchange is performed using data for 22 developed and 22 emerging markets over the period 1993–2019. Cross-sectional analysis is performed using data for 130 non-financial firms from Pakistan and Carhart (1997) and Fama and French (2015) models are applied. The role of liquidity with five-factor model is analyzed using turnover rate and Amihud (2002) illiquidity cost as liquidity measures.FindingsPakistan's equity offers substantial diversification benefits if added to developed market portfolios. However, observed large returns come together with inverted premia for most traditional factors indicating that investors may want to invest preferably in big stocks with low book-to-market and momentum. Finally, global investors can invest in high yielding stocks with low liquidity risk owing to positive connection between liquidity and returns.Practical implicationsThis study will provide investment model for foreign investors to enhance their portfolio returns. Policy makers in Pakistan must identify regulatory steps to facilitate foreign investments.Originality/valueTo the best of the authors' knowledge, this is the first study which identifies efficiency gains offered by Pakistan's equity for global investors.","PeriodicalId":53491,"journal":{"name":"Journal of Economics, Finance and Administrative Science","volume":"19 6 1","pages":""},"PeriodicalIF":2.4,"publicationDate":"2022-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83041612","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 : 2022-03-08DOI: 10.1108/jefas-08-2020-0282
León Padilla
PurposeThis paper analyses the possibility of Latin America's (LA) major economies adopting dollarization, considering that in the last decade macroeconomic instability has once again challenged the ability of certain economies to properly manage their own currency.Design/methodology/approachTo determine the feasibility of adopting the US dollar as official currency, the author uses the framework of optimum currency area (OCA) theory, since, in fact, dollarization is an incomplete monetary union. The author uses a structural vector autoregressive (SVAR) model to identify what type of structural shock — country-specific, regional or global — prevails in LA economies. For this purpose, the US output is used to represent the global output and determine how the shocks of the US influence the output trajectory of each LA nation. The higher the influence of the US product, the lower the costs of adopting the US dollar.FindingsThe results of the variance decomposition show that the influence of the US shocks in the gross domestic product (GDP) trajectory of LA countries has significantly decreased over the last two decades, even in the currently dollarized economies. The estimates for Venezuela and Argentina show that the importance of US shocks in the trajectory of their GDP is low. Therefore, the cost of adopting the US dollar as the official currency would be high.Originality/valueIn view of hyperinflation and macroeconomic imbalances in certain LA nations, the dollarization debate has resurfaced in recent years. However, the literature that empirically evaluates the feasibility of adopting dollarization as a monetary system under current economic conditions is limited.
{"title":"Reassessing the feasibility of adopting dollarization in Latin America","authors":"León Padilla","doi":"10.1108/jefas-08-2020-0282","DOIUrl":"https://doi.org/10.1108/jefas-08-2020-0282","url":null,"abstract":"PurposeThis paper analyses the possibility of Latin America's (LA) major economies adopting dollarization, considering that in the last decade macroeconomic instability has once again challenged the ability of certain economies to properly manage their own currency.Design/methodology/approachTo determine the feasibility of adopting the US dollar as official currency, the author uses the framework of optimum currency area (OCA) theory, since, in fact, dollarization is an incomplete monetary union. The author uses a structural vector autoregressive (SVAR) model to identify what type of structural shock — country-specific, regional or global — prevails in LA economies. For this purpose, the US output is used to represent the global output and determine how the shocks of the US influence the output trajectory of each LA nation. The higher the influence of the US product, the lower the costs of adopting the US dollar.FindingsThe results of the variance decomposition show that the influence of the US shocks in the gross domestic product (GDP) trajectory of LA countries has significantly decreased over the last two decades, even in the currently dollarized economies. The estimates for Venezuela and Argentina show that the importance of US shocks in the trajectory of their GDP is low. Therefore, the cost of adopting the US dollar as the official currency would be high.Originality/valueIn view of hyperinflation and macroeconomic imbalances in certain LA nations, the dollarization debate has resurfaced in recent years. However, the literature that empirically evaluates the feasibility of adopting dollarization as a monetary system under current economic conditions is limited.","PeriodicalId":53491,"journal":{"name":"Journal of Economics, Finance and Administrative Science","volume":"91 1","pages":""},"PeriodicalIF":2.4,"publicationDate":"2022-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80396761","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 : 2022-03-08DOI: 10.1108/jefas-05-2021-0063
Flavio Cesar Valerio Roncagliolo, Ricardo Norberto Villamonte Blas
PurposeThe purpose of the paper is to examine the differences in the impact of financial stress in advanced and emerging economies.Design/methodology/approachThe authors employ a panel vector autoregression model (PVAR) for a comparative analysis of the relationship between financial stress, economic growth and monetary stability in 14 advanced and emerging economies. A homogeneous measure of financial stress is constructed and measured as an index that provides signals of stress episodes in an economy.FindingsThe impact of financial stress shocks is greater on the economic growth of advanced economies; likewise, financial stress shocks are significant only in advanced economies. The interbank interest rate is negatively affected by financial stress in emerging economies. In general, the results show a clear view of the importance of financial stability and the economic relevance of financial stress measures in the context of macro-prudential regulation.Originality/valueThe results can be extended to monetary policy to implement measures that mitigate the impact of future financial crises.
{"title":"Impact of financial stress in advanced and emerging economies","authors":"Flavio Cesar Valerio Roncagliolo, Ricardo Norberto Villamonte Blas","doi":"10.1108/jefas-05-2021-0063","DOIUrl":"https://doi.org/10.1108/jefas-05-2021-0063","url":null,"abstract":"PurposeThe purpose of the paper is to examine the differences in the impact of financial stress in advanced and emerging economies.Design/methodology/approachThe authors employ a panel vector autoregression model (PVAR) for a comparative analysis of the relationship between financial stress, economic growth and monetary stability in 14 advanced and emerging economies. A homogeneous measure of financial stress is constructed and measured as an index that provides signals of stress episodes in an economy.FindingsThe impact of financial stress shocks is greater on the economic growth of advanced economies; likewise, financial stress shocks are significant only in advanced economies. The interbank interest rate is negatively affected by financial stress in emerging economies. In general, the results show a clear view of the importance of financial stability and the economic relevance of financial stress measures in the context of macro-prudential regulation.Originality/valueThe results can be extended to monetary policy to implement measures that mitigate the impact of future financial crises.","PeriodicalId":53491,"journal":{"name":"Journal of Economics, Finance and Administrative Science","volume":"258 1","pages":""},"PeriodicalIF":2.4,"publicationDate":"2022-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77077632","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 : 2022-03-08DOI: 10.1108/jefas-05-2021-0074
Thu Thi Nguyen, Hung M. Le, L. Hoi, H. Pham
PurposeThis study estimates impact of remittances from internal migration on households' use of bank services in Vietnam.Design/methodology/approachThis study uses data from the Vietnam Household Living Standards Survey and the two-stage least squares method (2SLS).FindingsThe results show that receiving internal remittance increases households' probability of having bank accounts and using card services. However, these impacts are different between rural and urban areas.Research limitations/implicationsThe results of this study reveal the useful role of internal remittance in increasing the probability of households using bank services, thereby enhancing financial inclusion in Vietnam.Originality/valueDifferent from the previous studies, the purpose of this paper is to analyse the impact of internal remittance on the use of bank services in Vietnam at the household level. This paper targets internal migration because it is the main type of migration in Vietnam. Besides, to the best of the authors’ knowledge, this research is the first one that compares the role of internal remittance on households' use of bank services in rural and urban areas in Vietnam.
{"title":"Impact of internal remittance on households' use of bank services: evidence from Vietnam","authors":"Thu Thi Nguyen, Hung M. Le, L. Hoi, H. Pham","doi":"10.1108/jefas-05-2021-0074","DOIUrl":"https://doi.org/10.1108/jefas-05-2021-0074","url":null,"abstract":"PurposeThis study estimates impact of remittances from internal migration on households' use of bank services in Vietnam.Design/methodology/approachThis study uses data from the Vietnam Household Living Standards Survey and the two-stage least squares method (2SLS).FindingsThe results show that receiving internal remittance increases households' probability of having bank accounts and using card services. However, these impacts are different between rural and urban areas.Research limitations/implicationsThe results of this study reveal the useful role of internal remittance in increasing the probability of households using bank services, thereby enhancing financial inclusion in Vietnam.Originality/valueDifferent from the previous studies, the purpose of this paper is to analyse the impact of internal remittance on the use of bank services in Vietnam at the household level. This paper targets internal migration because it is the main type of migration in Vietnam. Besides, to the best of the authors’ knowledge, this research is the first one that compares the role of internal remittance on households' use of bank services in rural and urban areas in Vietnam.","PeriodicalId":53491,"journal":{"name":"Journal of Economics, Finance and Administrative Science","volume":"33 1","pages":""},"PeriodicalIF":2.4,"publicationDate":"2022-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83815459","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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