scholarly journals Market integration of selected cotton markets in Haryana

2019 ◽  
Vol 38 (4) ◽  
Author(s):  
V. Mahesh ◽  
R.K. Grover ◽  
R.S. Geetha
Keyword(s):  
Granger Causality ◽  
Market Integration ◽  
Granger Causality Test ◽  
Causality Test ◽  
Domestic Markets ◽  
Price Series ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Integration Test ◽  
Adf Test

The present study aimed to paper the co-integration among the selected cotton markets in Haryana. The monthly data on prices of cotton were collected for the period from 2005-06 to 2016-17. The advanced econometric tools like ADF test, Johansen co-integration test and Granger Causality test were used to study market integration. The price series of commodity namely cotton in selected markets showed the consequences of unit root and were stationary at first difference. The long run equilibrium relationship among the selected markets indicated that these were integrated with each other. This implies that prices in domestic markets of Haryana move together in response to changes in the demand and supply and cost of a product. Granger Causality test resulted Dabwali market as lead cotton market because it influenced the prices of most of selected cotton markets.

scholarly journals Global Financial Crisis and Islamic Capital Market Integration among 5-ASEAN Countries

2015 ◽  
Vol 2 (3) ◽  
pp. 207
Author(s):  
Ibnu Qizam ◽  
Abdul Qoyum ◽  
Misnen Ardiansyah
Keyword(s):  
Granger Causality ◽  
Capital Markets ◽  
Capital Market ◽  
Market Integration ◽  
Global Financial Crisis ◽  
Granger Causality Test ◽  
Causality Test ◽  
Long Run ◽  
Integration Test ◽  
Asean Countries

Islamic Capital Market is important part of Financial System in ASEAN countries especially in the context of AEC. The objective of this paper is to investigate interconnection long run equilibrium of Islamic Capital Market in ASEAN Countries. Using daily closing price for from September 2007 to October 2012, this study examine five Islamic Capital markets in ASEAN namely Indonesia, Malaysia, Philippines, Singapore and Thailand. This study examines on Integration among these Islamic Capital markets by relies a simple correlation test, Granger causality test and co-integration test using error correction model. This research documents some interesting finding. First, Using Johansen estimation technique, there is co-integration between the considered Islamic indices namely; Indonesia, Malaysia, Philippines, Singapore and Thailand. Second, Since the co-integration exists, granger causality test shows that there is three bi-directional causalities namely; between Malaysia Islamic Capital Market and Singapore Islamic Capital Market; between Thailand Islamic Capital Market and Singapore Islamic Capital Market; and between Singapore Islamic Capital Market and Philippines Islamic Capital Market. However, there is a unidirectional between Indonesia Islamic Market (MCIINA) and Malaysia Islamic Market (MCIMY), MCIINA and Philippines Islamic Market (MCIPhil), MCIINA and Thailand Islamic Market (MCITHAI), it implies that MCIINA affects MCIMY, MCIPhil, and MCIThai but not vice versa. Third, based on VECM suggest that all Islamic indexes are inter-related in the long run that can be explained due to the similarity of structure bring about by its stock as required by shariah in the process stock screening.

scholarly journals Co-integration of Groundnut Markets in India with Special Reference to Karnataka State

2020 ◽  
pp. 14-22
Author(s):  
Akshata Nayak ◽  
H. Lokesha ◽  
C. P. Gracy
Keyword(s):  
Market Integration ◽  
Unit Root Test ◽  
Groundnut Oil ◽  
Step Method ◽  
Causality Test ◽  
Price Series ◽  
Long Run ◽  
Oil Markets ◽  
Integration Test ◽  
The Government

Aims: Market integration is an indicator that explains how different markets are related to each other. The main aim of the paper is to examine the market integration of groundnut seed and oil markets in India.  Study Design: This paper examines the market integration in six major groundnut oil markets and four groundnut pod markets using monthly wholesale prices of groundnut. Methodology: Test for stationarity was done using Dickey Fuller Test. The Engle-Granger two-step method is used to test for co-integration between the variables. Johansen co-integration test was applied to analyse the long run equilibrium among the groundnut markets. Results: Unit root test indicated that the price series in each location are non-stationary at their levels and stationary at their first differences. The Granger causality test indicated that all the market pairs are well co-integrated, some of the markets have bidirectional relationship and some have unidirectional relationship at five per cent level of significance, which implies that the groundnut prices have an equally long run association. Conclusion: In overall, the study suggests that regional markets for groundnut in India are strongly co-integrated. Therefore, the Government can stabilize the price in one key market and rely on commercialization to produce a similar outcome in other markets. This reduces the cost of stabilization considerably.

Dynamic linkages among international crude oil, exchange rate and Norwegian stock market: evidence from ARDL bound testing approach

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Shelly Singhal ◽  
Sangita Choudhary ◽  
Pratap Chandra Biswal
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Crude Oil ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Oil Price ◽  
Causality Test ◽  
Content Type ◽  
Long Run ◽  
Integration Test

Purpose The purpose of this paper is to examine the long-run association and short-run causality among oil price, exchange rate and stock market in Norwegian context. Design/methodology/approach This work uses auto regressive distributed lag (ARDL) bound co-integration test to examine the long-run association among international crude oil, exchange rate and Norwegian stock market. Further to test the causality, Toda–Yamamoto Granger causality test is used. Daily data ranging from 1 January, 2011 to 31 December, 2018 is used in this study. Findings Findings of this study suggest the existence of long-run equilibrium relationship among oil price, exchange rate and Norwegian stock market when oil price is taken as dependent variable. Further, this study observes the bi-directional causality between Norwegian stock market and exchange rate and unidirectional causality between oil and Norwegian stock market (from oil to stock market). Originality/value To the best of the authors’ knowledge, this the first study in context of Norway to explore the long-run association and causal relationships among international crude oil price, exchange rate and stock market index. Particularly, association of exchange rate and stock market largely remains unexplored for Norwegian economy. Further, majority of studies conducted in Norwegian setup have considered the period up to year 2010 and association of these variables is found to be time varying. Finally, this study uses ARDL bound co-integration test and Toda–Yamamoto Granger causality test. These methodologies have been used in literature in context of other countries like India and Mexico but not yet applied to study the Norwegian case.

scholarly journals Stochastic Pattern of Major Indices of Bombay Stock Exchange

2019 ◽  
Vol 8 (3) ◽  
pp. 6774-6779
Keyword(s):  
Granger Causality ◽  
Stock Exchange ◽  
Granger Causality Test ◽  
Short Term ◽  
Causality Test ◽  
Policy Makers ◽  
Long Run ◽  
Integration Test ◽  
Augmented Dickey Fuller ◽  
Portfolio Managers

It is interesting to get inside and draw a meaningful inference by studying the movement of various stock indices. Portfolio managers, analysts, and investors are very keen to know about the technical pattern of indices. They consider the stock market is one of the economic barometers or market indicators of an economy. Indian financial market has undergone radical and vital change during the past few years. The purpose of this study is to check stochastic movements in selected indices and to signify nexus and interdependency among one another by the virtue of econometric analysis. The study comprises of daily closing value from 1st April 2014-1st April 2018, including major indices i.e. S&P-BSE 100; S&P-BSE-200, S&P BSE-500, S&P-BSE:Large cap, S&P-BSE:Mid-cap, S&P-BSE:small-cap, and BSE-SENSEX. Moreover, typical econometrics tool Augmented Dickey-Fuller Test, Granger Causality Test, and Johansen Co-integration Test were implemented to conclude the result. The study is one of its kinds to analyze the static and pair wise relationship among seven BSE indices along with the direction of their expected future movement that would help practitioners, policy makers and investors in anticipating the future movement of the indices. The Dickey-Fuller and Johanson test administered to analyze unit root and co-integration among the series in long run, followed by Granger causality test to observe the route of the short term relationship among various indices. The tests reveal uni-directional and in some cases bi-directional causality in selected indices. Further, it has been observed that due to co-integration, prices of different indices can’t move far away from one another [1]. This stochastic study delves volatility pattern of some major indices of Bombay stock exchange with the help of econometric tools. It clearly delineates nexus of all the indices and provided an explanation to appreciate concrete conduct of one series into a mutual relationship. Hence, investors or analyst may predict the movements, interdependency and their relationship in a significant manner.

scholarly journals Examining the Causal Relationship between Private Sector Credit Extended and Economic Growth in Namibia

2019 ◽  
Vol 11 (2(J)) ◽  
pp. 23-29
Author(s):  
Andreas . ◽  
J P S Sheefeni
Keyword(s):  
Economic Growth ◽  
Private Sector ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Test Results ◽  
Causality Test ◽  
Long Run ◽  
Integration Test ◽  
Stationarity Test ◽  
Lending Rates

The paper examined causality between Private Sector Credit Extension (PSCE) and Economic growth using quarterly data for the period 2000:Q1-2017:Q4, in Namibia. The variables employed were Gross Domestic Product (GDP), Private Sector Credit Extended, Broad Money Supply (M2) and lending rates. The study tested for stationarity in order to determine the order of integration. Furthermore, a co-integration test was conducted on different sets of variables to establish the long run relationship. Granger causality test was also conducted to establish the direction of the relationships between the variables. The results for the stationarity test showed a combination of different orders of integration. The co-integration test revealed a stable long-run relationship among the variables. The Granger causality test results revealed one-directional causality running from PSCE to GDP. Therefore, one can conclude that that change in private sector credit extended can help predict economic growth.

scholarly journals An Empirical Study on Export, Import and Economic Growth in Bhutan

2019 ◽  
Author(s):  
Shibli A. Khan ◽  
Gazi Salah Uddin ◽  
Md. Mahmudul Alam
Keyword(s):  
Granger Causality ◽  
Granger Causality Test ◽  
Annual Data ◽  
Causality Test ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Causal Nexus ◽  
Stochastic Properties ◽  
Casual Relationship ◽  
Integration Analysis

This paper focuses on the casual relationship between export, import and Gross Domestic Product (GDP) for Bhutan using annual data from 1980 to 2005. The Granger causality test and Co-integration Models are employed taking care of stochastic properties of the variables. The co-integration analysis suggests that there is a long-run equilibrium relationship. The results of Granger causality test shows that there is a causal relationship between the examined variables. The causal nexus is unidirectional from export to import and GDP, and GDP to import only. Here export led growth is empirically proven in Bhutan.

Why export competitiveness differs within Indian textile industry? Determinants and empirical evidence

2020 ◽  
Vol 30 (3) ◽  
pp. 375-397 ◽  
Author(s):  
Rahul Dhiman ◽  
Vinod Kumar ◽  
Sudhir Rana
Keyword(s):  
Exchange Rate ◽  
Granger Causality ◽  
Textile Industry ◽  
Granger Causality Test ◽  
Real Effective Exchange Rate ◽  
Causality Test ◽  
Content Type ◽  
Long Run ◽  
Integration Test ◽  
Export Competitiveness

Purpose This study aims to examine whether export competitiveness (EC) in the two groups of the Indian textile industry i.e. “textiles” and “textile products” group differ. Design/methodology/approach The study examines how exchange rate (ER), real effective exchange rate (REER) and EC of both the groups are related in the long run over the period 1991-1992 to 2018-2019 using Granger causality test and Johansen and Juselius co-integration test. Findings The study confirms that EC is a challenge that needs to be addressed to sustain in the international market, as the volatile trend can be found for EC in both groups. The econometric framework shedding light on both groups of the textile industry suggest that select determinants have different relationships with the EC for two groups. The findings of the Granger causality test reveal that the presence of unidirectional causality running from ER to EC in the case of both the groups. Also, the select variables are found to be co-integrated in the long run. However, in the case of REER, no causality is found running from REER to EC. Originality/value ER is a vital determinant of EC and exporters can sustain competitiveness in global markets by reducing their profit mark-up in the face of an appreciating currency.

The relationship between financial development and economic growth in Eswatini (formerly Swaziland)

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Siphe-okuhle Fakudze ◽  
Asrat Tsegaye ◽  
Kin Sibanda
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Financial Development ◽  
Granger Causality Test ◽  
Causality Test ◽  
Content Type ◽  
Distributed Lag ◽  
Long Run ◽  
Short Run ◽  
The Relationship

PurposeThe paper examined the relationship between financial development and economic growth for the period 1996 to 2018 in Eswatini.Design/methodology/approachThe Autoregressive Distributed Lag bounds test (ARDL) was employed to determine the long-run and short-run dynamics of the link between the variables of interest. The Granger causality test was also performed to establish the direction of causality between financial development and economic growth.FindingsThe ARDL results revealed that there is a long-run relationship between financial development and economic growth. The Granger causality test revealed bidirectional causality between money supply and economic growth, and unidirectional causality running from economic growth to financial development. The results highlight that economic growth exerts a positive and significant influence on financial development, validating the demand following hypothesis in Eswatini.Practical implicationsPolicymakers should formulate policies that aims to engineer more economic growth. The policies should strike a balance between deploying funds necessary to stimulate investment and enhancing productivity in order to enliven economic growth in Eswatini.Originality/valueThe study investigates the finance-growth linkage using time series analysis. It determines the long-run and short-run dynamics of this relationship and examines the Granger causality outcomes.

The Relationship Between Stock Market Indices of the Biggest Six Economies of the European Union and BIST 100

2020 ◽  
pp. 257-275
Author(s):  
Serdar Ögel ◽  
Fatih Temizel
Keyword(s):  
European Union ◽  
Stock Market ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Var Model ◽  
The European Union ◽  
Causality Test ◽  
Integration Test ◽  
Causality Relationship ◽  
The Relationship

This chapter examines the relationship between stock market indices of the biggest six economies of the European Union and BIST 100. In this context, this study used the daily time series regarding indices of DAX for Germany, CAC 40 for France, FTSE MIB for Italy, IBEX 35 for Spain, AEX for Holland, FTSE 100 for United Kingdom, and BIST 100 for Turkey from 2014 to 2018. To test whether there is a co-integration relationship among indices, Johansen co-integration test was used. Since a co-integration relationship was not found between series, causality relationship between the European stock market indices and Turkey was tested with Granger causality test by establishing standard VAR model. As a result, a unidirectional Granger causality relationship was found from DAX, FTSE 100, CAC 40, IBEX 35, and AEX to BIST 100 according to lag length 1 and 2. However, a unidirectional Granger causality relationship was only found from FTSE MIB to BIST 100 for lag length 1. For lag length 1 and 2, no causality relationship was found from BIST 100 to the selected European stock market indices.

scholarly journals TRADE OPENNESS AND ECONOMIC GROWTH: EMPIRICAL EVIDENCE FROM INDIA

2014 ◽  
Vol 16 (1) ◽  
pp. 188-205 ◽  
Author(s):  
Qazi Muhammad Adnan Hye ◽  
Wee-Yeap Lau
Keyword(s):  
Economic Growth ◽  
Human Capital ◽  
Granger Causality ◽  
Trade Openness ◽  
Granger Causality Test ◽  
Causality Test ◽  
Long Run ◽  
Rolling Window ◽  
Short Run ◽  
The Impact

The main objective of this study is to develop first time trade openness index and use this index to examine the link between trade openness and economic growth in case of India. This study employs a new endogenous growth model for theoretical support, auto-regressive distributive lag model and rolling window regression method in order to determine long run and short run association between trade openness and economic growth. Further granger causality test is used to determine the long run and short run causal direction. The results reveal that human capital and physical capital are positively related to economic growth in the long run. On the other hand, trade openness index negatively impacts on economic growth in the long run. The new evidence is provided by the rolling window regression results i.e. the impact of trade openness index on economic growth is not stable throughout the sample. In the short run trade openness index is positively related to economic growth. The result of granger causality test confirms the validity of trade openness-led growth and human capital-led growth hypothesis in the short run and long run.

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