Download or read book A Study of Causality and Co Integration Effect Among the BRICS Countries Stock Exchanges A Relationship Study written by Raman Singh and published by . This book was released on 2015 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: Development of financial system of one of the important determinants of global integration. Indian capital markets integration and co-movement with other International markets has grown rapidly. This paper deals with Stock market returns by five emerging international countries in the world which are popularly called BRICS countries i.e. Brazil, Russia, India, China, and South Africa. The authors tries to find out the linkages and relationship between the returns of these BRICS Stock Exchanges and to examine the effect of changes in the stock index of one country affects the stock index of other country or not. The monthly Index returns of all the five nations are taken from 2002 to 2013. We will try to test the long term relationship using Johansen Co-integration test to show long run association between the Stock Exchange Index returns. The analysis also provides the evidences of cause and effect relationship between the Nifty Index and BRICS Stock Exchanges Index. For that we apply Augmented Dickey fuller-test and Granger Causality test. The findings have important implications for investment and speculative decisions.
Download or read book Contagion Effect Among the BRICS Stock Market Indices written by Nawal Kishor and published by . This book was released on 2017 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper deals with Stock market returns of five emerging economies i.e. Brazil, Russia, India, China, and South Africa (BRICS). The paper attempts to establish the linkages and relationship among the returns of these BRICS Stock Exchanges and examines the effect of the stock index of one country on the stock index of other country. The daily Index returns of all the five stock exchanges are taken from 2007 to 2014. Long term relationship has been tested by Johansen Co-integration test to show long run association among BRICS stock exchange indices. ADF, Unit Root Test and Granger Causality have been applied to find out the cause and effect relationship among the Nifty Index and BRICS Stock Exchanges Indices. Further Vector Auto Regression in the form of Impulse Response Function and Variance Decomposition Model are applied to validate the results obtained from Granger Causality Test. The study shows that there is a significant and positive correlation among Nifty and other BRICS indices. However long run association was not found among Nifty and rest of the stock indices. Unidirectional causality is observed in Nifty with South African and Chinese Stock Indices whereas bidirectional relationship was found among Indian, Brazil and Russian Stock Indices. The results reveal that there are visible effects of stock exchanges indices return on each other's stock returns. Since the study is confined to BRICS Stock Market only effect of FIIs investment and influence of leading Stock Market cannot be ruled out, which requires further study. The results suggest less co integration in the long run, therefore international investors can reap benefits from portfolio diversification. This paper offers insight into the inter linkages among the BRICS indices and provides important insights for investment and speculative decisions.
Download or read book Stock Market Integration Among BRICS Nations An Empirical Analysis written by Mohammad Irshad VK and published by . This book was released on 2017 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: A study on integration among stock markets from different countries has an enormous importance in a globalized economic world. Being an awful economic force BRICS group of nations can change the economic climate of the world if they are highly financially integrated. The primary objective of this paper is to investigate the integration among BRICS nations during the past 10 years (2005 to 2015) by considering daily price histories of IBrX 50, RTSI, Nifty Index, Shanghai Composite Index, and FTSI - Africa Index for Brazil, Russia, India, China and South Africa respectively. It has been applied Johansen Co-integration Test (1988) and Pairwise Granger Causality test to remark interdependencies and dynamic linkages among selected markets. Surprisingly, Even though it is a Hulking economic force in the world, It has no long run relationship between them and some unidirectional cause and effect relationship only existed. Finally, this paper alleges better candidacy of the stock exchanges in multi-nationally diversified portfolios.
Download or read book Cointegration and Causal Relationship Between Exchange Rates and Stock Returns written by Satish Batchu and published by . This book was released on 2015 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present study investigate the relationship between sensex returns and Indian-USD Exchange rates and the impact of the time series on each other. Exchange rate fluctuation will effect international trades, thus influence the stock market. The study is based on the secondary sources obtained from BSE and RBI database for the period from 1st January 2005 to 30th June, 2015. In the course of analysis, appropriate econometrics tools are used. ADF and PP Unit root test shows stationarity at level. Johansen cointegration test result indicates that there exist a long term relationship among the select variables. Correlation between exchange rates and stock rates was found to be negative. Granger causality test highlighted unidirectional relationship running from stock returns to exchange rates.
Download or read book An Empirical Study of Cointegration and Causality in the Asia Pacific Stock Markets written by Wenzhong Fan and published by . This book was released on 2003 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: The primary aim of this study is to examine both the integration hypothesis and the short- and long-term dynamic causal linkage in the Asia-Pacific region. Employing recently advanced unit root and cointegration techniques that accommodate structural breaks and GARCH effects, this analysis will provide not only an indication of the direction of interaction but a quantitative assessment of the degree of interdependence among specific markets, in particular the intra-regional impact in Asia-Pacific. Our empirical results suggest that Asia-Pacific stock market indices are highly integrated, and the stock market crash in 1987, as well as the Asian financial crises had a statistically significant impact on the long-term relations among Asian emerging stock markets.
Download or read book Interpretive Research Economics and Administration Sciences written by Erkan USTAOĞLU and published by Livre de Lyon. This book was released on 2022-10-15 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: Interpretive Research: Economics and Administration Sciences , Livre de Lyon
Download or read book Causal Relationship Between Foreign Direct Investment and Growth written by Vijayakumar Narayanamoorthy and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we examine the causal relationship between Foreign Direct Investment (FDI) and Growth of the BRICS countries. We employed Industrial Production Index (IPI) as a measure of Economic Growth. The stationarity of the data series are checked using Augmented Dickey Fuller (ADF) Test and tested for the existence of co-integration. Johansen Co-integration model found that the Brazil alone co-integrated among the selected countries at levels. The Vector Error Correction Model (VECM) employed to trace the existence of long run relationship. The results of VECM found that Growth leads FDI bi-directionally for Brazil, Russia and South Africa and FDI leads Growth uni-directionally for India and China respectively.
Download or read book Cointegration and Priority Relationships between Stock Market of Turkey Brazil and Argentina written by Erman Erbaykal and published by . This book was released on 2008 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this study is to expose the relationships between Istanbul (Turkey), Merval (Argentina) and Bovespa (Brazil) stock exchange markets using monthly data covering the period 1997:03-2007:06. The long term co-movement of the stock exchanges has been tested by cointegration test developed by Johansen (1998) and Johansen Juselius (1990). Besides, the priority relationships and direction of the relation among the variables have been examined by impulse-response functions and variance decomposition. A long run relationship has been detected between the stock markets as a conclusion. According to the variance decomposition results, Bovespa has a major effect on ISE. In addition to this, even Bovespa has also an effect on Merval, it itself is not affected by the other two stock exchanges.
Download or read book Recent Advances in Economics and Administration Sciences Concepts Researches and Applications written by Ahmet Niyazi ÖZKER and published by Livre de Lyon. This book was released on 2023-03-25 with total page 301 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent Advances in Economics and Administration Sciences Concepts, Researches and Applications
Download or read book Foreign Direct Investment Aggregate Demand Conditions and Exchange Rate Nexus written by Muhammad Ali Nasir and published by . This book was released on 2018 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, we attempt to provide underlying theoretical and empirical explanations for exchange rate appreciation due to foreign capital influx and aggregate demand conditions in the BRICS economies. The empirical analysis is based on a panel dataset of BRICS countries over the time period 1992-2013 to substantiate our theoretical findings. For panel co-integration, Pedroni and Johansen-Fisher panel co-integration tests are conducted to compare co-integration among panel countries. We also analyze the results from Dumitrescu-Hurlin panel causality test among variables and use Granger Causality to test for the causal patterns in each of the individual countries. Our findings showed that the exchange rate volatility is directly affected by the flows of FDI, GDP per capita, Capital formulation and House hold consumption. The results have profound implications in terms of exchange rate stability in the BRICS countries and associated risks.
Download or read book Recent Perspectives and Case Studies in Finance Econometrics written by Ozan Gönüllü and published by IJOPEC PUBLICATION. This book was released on 2018-11-30 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Study of Co integration and Direction of Causality Among International Trade GDP and Foreign Exchange Rate in India written by Preeti Sharma and published by . This book was released on 2020 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: India's international trade is growing at a faster rate compared to the growth of GDP over the past two decades. As a result the ratio of international trade to GDP has gone up over the years. The magnitude of India's international trade is usually dependent on several macroeconomic factors. GDP is one of them. A large number of factors are responsible for effecting country's trade in a significant manner. To find out the impact of these factors in international trade the current study has been undertaken. The paper focuses on India's international trade dynamics under the influence of taken macroeconomic variables. The paper aims to investigate the possible co-integration and direction of causality among Gross domestic product, international trade, and exchange rate in India (for the period of 1991-2018).Granger causality tests among international trade, GDP and foreign exchange rate (Indian rupee vs US $) has been appliedafter employing Phillip Perron test to check unit root in the series. Vector Auto regression test has been conducted to check the impact of lags (till lag 2) of taken variables on each other and OLS regression has been used to create the Model of international under taken variables.
Download or read book Uncertainty and Challenges in Contemporary Economic Behaviour written by Ercan Özen and published by Emerald Group Publishing. This book was released on 2020-09-25 with total page 235 pages. Available in PDF, EPUB and Kindle. Book excerpt: Every day presents new challenges as the face of global economics changes. In this first book in the Emerald Studies in Finance, Insurance, and Risk Management, expert editors and contributors come together to discuss global response to new uncertainty and challenges.
Download or read book Handbook of Research on Strategic Developments and Regulatory Practice in Global Finance written by Olgu, Özlem and published by IGI Global. This book was released on 2014-11-30 with total page 459 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global financial crisis has called to attention the importance of financial development to economic growth as modern countries continue to struggle with debt, unemployment, and slow growth. However, a lack of agreement on how to define and measure financial development slows the development of global financial systems and markets. The Handbook of Research on Strategic Developments and Regulatory Practice in Global Finance creates a common framework for not only identifying but discussing the key factors in establishing a strong global market and financial system. This book will be a valuable reference for those interested in an in-depth understanding of the financial markets and global finance, including academics, professionals, and government agencies and institutions.
Download or read book Fintech Ecosystem Transformation and Market Dynamics written by Ms.Veenu Joy Ms.ShivakamiRajan and published by Archers & Elevators Publishing House. This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Applied Econometric Analysis Emerging Research and Opportunities written by Sloboda, Brian W. and published by IGI Global. This book was released on 2020-06-01 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: Professionals are constantly searching for competitive solutions to help determine current and future economic tendencies. Econometrics uses statistical methods and real-world data to predict and establish specific trends within business and finance. This analytical method sustains limitless potential, but the necessary research for professionals to understand and implement this approach is lacking. Applied Econometric Analysis: Emerging Research and Opportunities explores the theoretical and practical aspects of detailed econometric theories and applications within economics, political science, public policy, business, and finance. Featuring coverage on a broad range of topics such as cointegration, machine learning, and time series analysis, this book is ideally designed for economists, policymakers, financial analysts, marketers, researchers, academicians, and graduate students seeking research on the various techniques of econometric concepts.
Download or read book Administrative and Economic Science Research Theory written by Yüksel Akay Ünvan and published by Livre de Lyon. This book was released on 2021-12-15 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: Administrative and Economic Science Research, Theory
