scholarly journals MODELLING VOLATILITY SPILLOVER BETWEEN CONVENTIONAL AND ISLAMIC STOCK INDEX IN MALAYSIA

2020 ◽  
Vol 10 (2) ◽  
pp. 26-32
Author(s):  
Edin Djedović ◽  
◽  
Ugur Ergun ◽  
Irfan Djedović ◽  
◽  
...  
Keyword(s):  
Garch Model ◽  
Stock Index ◽  
Cointegration Test ◽  
Volatility Spillover ◽  
Long Run ◽  
Johansen Cointegration ◽  
Short Run ◽  
Two Indices ◽  
Johansen Cointegration Test ◽  
The Relationship

This paper analyzes the vollatility spillover between the conventional index in Malaysia FTSE Malaysia KLCI (KLSE) and the Islamic index in Malaysia FTSE Bursa Malaysia Shariah Index (FTFBMHS). Monthly observations spanning in a period from 2002 to 2018 are obtained from investing.com database. GARCH model and Johansen cointegration test are used to investigate volatility spillover and the relationship between two indices. The results of the analysis indicate that in the short-run there is volatility spillover between FTSE Malaysia KLCI and FTSE Bursa Malaysia Shariah Index, while in the long-run there is no relationship between the two indices. The methodology of compiling Islamic indeces is based on Shariah law. Keywords: Conventional

Determinants of Budget Deficit in Nigeria

2021 ◽  
Vol 6 (1) ◽  
pp. 1
Author(s):  
Maimuna M Shehu ◽  
Ibrahim M Adamu
Keyword(s):  
Budget Deficit ◽  
Budget Deficits ◽  
Cointegrating Vector ◽  
Long Run ◽  
Johansen Cointegration ◽  
Short Run ◽  
Johansen Cointegration Test ◽  
The Government ◽  
One Year ◽  
High Level

This paper investigates the factors governing the determination of budget deficit in Nigeria from 1981q1 through 2016q4. Our methodology is based on Johansen cointegration and Vector Error Correction model (VECM) approach. The result from the Johansen cointegration test suggests one cointegrating vector, which indicates the existence of a long run cointegrating relationship. Evidence from the long run and short run parameters suggest that exchange rate, interest rate and one year lag of budget deficit are the major determinants of budget deficit. Therefore, to achieve a realistic fiscal surplus, the government should determine a high level of accountability in its fiscal operations. In addition, any fiscal surplus should be channeled into productive investments to diversify the economy and reduce the likelihood of potential budget deficits.

scholarly journals ANALISIS HUBUNGAN PENDAPATAN WISATAWAN DAN HARGA PARIWISATA TERHADAP PERMINTAAN PARIWISATA DENGAN VECM

2016 ◽  
Vol 5 (2) ◽  
pp. 44
Author(s):  
MERARY SIANIPAR ◽  
NI LUH PUTU SUCIPTAWATI ◽  
KOMANG DHARMAWAN
Keyword(s):  
Unit Root ◽  
Unit Root Test ◽  
Cointegration Test ◽  
Tourism Demand ◽  
Long Run ◽  
Negative Effect ◽  
Short Run ◽  
The Relationship ◽  
Positive Effect

Tourism demand is focused on estimating variables which influence tourist visit. The tourism demand that we discuss on this research is the tourism demand to Bali of the major tourism-generating country was Australia. The aim of this research is to analyze the relationship between tourist income and tourism price to tourism demand using VECM. VECM requires that the variables in the model must be stationary and fulfilled a cointegration condition. In order to make it valid, the stationarity of variables in the model have to be checked using ADF unit root test. In additon, cointegration between these variables are examined using Johansen’s cointegration test. The results of ADF unit root test show that indicated the tourist income, the tourism price and the tourism demand for Australia data are stationary in first lag or I(1). Cointegration test shows that all variables are cointegrated, i.e. have a long-run relationship. In the long-run, the tourist income and tourism price give positive effect to the tourism demand. This means, the increase of tourist income and tourism price will contribute to the increase in tourism demand. In addition, in the short-run, the tourist income and the tourism price give negative effect to the tourism demand. This means, the increase of tourist income and tourism price will contribute to the decrease in tourism demand.

scholarly journals Effects of Foreign Debt and Foreign Aid on Economic Growth in Somalia

2018 ◽  
Vol 10 (11) ◽  
pp. 95
Author(s):  
Ali Yassin Sheikh Ali ◽  
Mohamed Saney Dalmar ◽  
Ali Abdulkadir Ali
Keyword(s):  
Economic Growth ◽  
Foreign Aid ◽  
Unit Root ◽  
Foreign Debt ◽  
Ordinary Least Squares ◽  
Policy Implications ◽  
Cointegration Test ◽  
Long Run ◽  
Johansen Cointegration ◽  
Johansen Cointegration Test

This paper aims to assess the effects of foreign debt and foreign aid on economic growth in Somalia from 1970 to 2014. The ordinary least squares (OLS) method was used and basic model assumption tests were also employed. We used the Augmented Dickey−Fuller (ADF) and Philip-Perron (PP) tests for the unit root and the Johansen cointegration test to determine the long-run relationship between the variables. The results of the study show that, in Somalia, foreign debt has an insignificant effect on economic growth, while the foreign aid has positive significant effect on economic growth. The results also indicate that the cointegration method confirms the incidence of long-run association among the variables. There is little research regarding the exact relationship between increasing foreign debt and foreign aid on economic growth in Somalia. This study is also different from previous studies as we used ADF and PP tests for the unit root and the Johansen cointegration test for the long-run relationship between the variables. Additionally, the study used multivariate techniques. The paper concludes that foreign aid is essential in economic growth and several policy implications are proposed.

scholarly journals Energy Consumption, Environmental Degradation and Growth: A Panel Data Analysis

2020 ◽  
pp. 1-6
Author(s):  
Sayed Kushairi Sayed Nordin ◽  
Siok Kun Sek
Keyword(s):  
Economic Growth ◽  
Carbon Dioxide ◽  
Energy Consumption ◽  
Environmental Degradation ◽  
Low Income ◽  
Cointegration Test ◽  
Low Income Countries ◽  
Long Run ◽  
Short Run ◽  
The Relationship

Energy is essential as an input to develop economic, although it could bring negative effect on environmental quality. The relationship between energy consumption, environmental degradation and economic growth have been widely studied, but there is no consistency in the relationship. The objectives of this study are to determine the short-run relationship (one-way or bidirectional) and to reveal the long-run relationship for each pair of variables. The second-generation panel unit root and cointegration test were used in the analysis. Breusch-Pagan LM test suggests that there is a cross-sectional dependency for all the models and integrated of order one, I (1). Cointegration test indicates that economic growth has long-relationship with carbon dioxide and energy consumption in high-income countries. In low-income countries, carbon dioxide has a long-run relationship with energy consumption and economic growth. In the short run, we have evidence of a bidirectional relationship between energy consumption and economic growth in high-income countries but a one-way relationship in low-income countries. Overall, it can be concluded that the three variables are related. This study develops a deeper awareness and understanding of the relationship between the variables in distinct levels of economies. Keywords: energy consumption; CO2, economic growth

scholarly journals Banking Sector Intermediation Development and Growth of a Developing Economy: An Empirical Investigation of Nigeria

2020 ◽  
Author(s):  
Chukwuebuka Bernard Azolibe
Keyword(s):  
Economic Growth ◽  
Banking Sector ◽  
Developing Economies ◽  
Least Square ◽  
Cointegration Test ◽  
Development Indicators ◽  
Bank Branches ◽  
Long Run ◽  
Short Run ◽  
Johansen Cointegration Test

Abstract In developing economies, banks act as a conduit for the efficient mobilization of financial resources from the surplus sectors for effective allocation to the deficit sectors for productive investment that will in turn lead to economic growth. Thus, the study is aimed at evaluating whether development in the banking sector intermediation process in the form of increase in the number of branches, credit to private sectors, intermediation efficiency and total assets stimulates economic growth in Nigeria during the period of 1987 to 2018. The study employed the Johansen cointegration test, dynamic ordinary least square (DOLS) regression and error correction model in determining the relationship between the variables. The results of the cointegration test confirmed the existence of long-run relationship between banking sector development indicators and economic growth in Nigeria. Whereas, in the short run, only number of bank branches and bank’s total asset have a positive and significant impact on economic growth signifying that much of Nigeria’s superior growth performance is attributed to increase in the number of bank branches and growth in bank’s assets. Credit to private sector has negative and insignificant relationship with economic growth while bank’s intermediation efficiency has positive and insignificant relationship with economic growth.

scholarly journals Cointegration test for the long-run economic relationships of East Africa community: evidence from a meta-analysis

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Yussuf Charles Yussuf
Keyword(s):  
East Africa ◽  
Meta Analysis ◽  
Policy Implications ◽  
Cointegration Test ◽  
Member States ◽  
Content Type ◽  
Economic Relationships ◽  
Long Run ◽  
Johansen Cointegration ◽  
Short Run

PurposeThe purpose of the paper is to test and analyze the equilibrium economic relationships of the East Africa Community (EAC).Design/methodology/approachTo attain the study's purpose the authors applied the Johansen cointegration test, including long-run structural modeling (LRSM), vector-error-correlation-model (VECM) and variance-decomposition (VDC).FindingsAt I(1), both Philips‐Peron (PP) and Kwiatkowski–Phillips–Schmidt–Shin (KPSS) tests show that the East Africa member states' economies are cointegrated. The result was further substantiated by the tests based on Johansen cointegration and VECM procedures, showing significant long-run and short-run economic relations. The result further reveals that despite some uncommon issues among member states such as Tanzania and Kenya, however, their economic relationships remain significant though it is negative. Moreover, the finding revealed positive and significant short-run economic relationships between Kenya, Burundi and Rwanda.Originality/valueThe paper applies the cointegration techniques in the context of EAC. The result is likely to be adding value to the policymaker and also to the existing literature on the subject. This may trigger policy implications and open new research direction within the region and out.

scholarly journals Climate change impacts on cereal crops production in Pakistan

2020 ◽  
Vol 12 (2) ◽  
pp. 257-269 ◽  
Author(s):  
Faiza Ahsan ◽  
Abbas Ali Chandio ◽  
Wang Fang
Keyword(s):  
Energy Consumption ◽  
Positive Impact ◽  
Labour Force ◽  
Cointegration Test ◽  
Cereal Crops ◽  
Causality Test ◽  
Content Type ◽  
Long Run ◽  
Johansen Cointegration ◽  
Johansen Cointegration Test

Purpose This paper aims to examine the effects of CO2 emissions, energy consumption, cultivated area and the labour force on the production of cereal crops in Pakistan from the period 1971-2014. Design/methodology/approach The study used the Johansen cointegration test, the autoregressive distributed lag (ARDL) approach and Granger causality test to estimate the long-run cointegration and direction of the relationship between the dependent and independent variables. Findings The outcomes of the Johansen cointegration test confirmed the existence of a long-term cointegrating relationship between the production of cereal crops, CO2 emissions, energy consumption, cultivated area and the labour force. The results of the long-run coefficients of CO2 emissions, energy consumption, cultivated area and labour force have a positive impact on cereal crops production. The long-run relationships reveal that a 1 per cent increase in CO2 emissions, energy consumption, cultivated area and labour force will increase cereal crops production by 0.20, 0.11, 0.56 and 0.74 per cent, respectively. Moreover, the findings show that there is a bidirectional causality running from CO2 emissions and cultivated area to cereal crops production. Moreover, there is a unidirectional causality running from energy consumption to cereal crops production. Originality/value The present study also fills the literature gap for applying the ARDL procedure to examine this relevant issue for Pakistan.

Can country risks predict Islamic stock index? Evidence from Indonesia

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Masrizal ◽  
Raditya Sukmana ◽  
Muhammad Ubaidillah Al Mustofa ◽  
Sri Herianingrum
Keyword(s):  
Capital Market ◽  
Financial Risk ◽  
Critical Role ◽  
Country Risk ◽  
Stock Index ◽  
Macroeconomic Factors ◽  
Content Type ◽  
Long Run ◽  
Short Run ◽  
Johansen Cointegration Test

Purpose This study aims to examine the relationship between the Indonesian Islamic capital market, the country's risk and macroeconomic factors. Design/methodology/approach This study uses the Johansen cointegration test and the vector error correction model (VECM) on monthly data from January 2003 to March 2016 to examine the variables that influenced the Islamic capital market proxied by the Jakarta Islamic Index (JII). Findings The findings indicate the existence of short-term and long-term cointegrations between country risk (political, economic and financial risks), macroeconomic variables (industrial production index, inflation and oil price) and JII. In the long run, financial risk positively affects the JII, whereas economic risks and inflation are negatively related. In the short run, only inflation affect negatively the JII. Practical implications The study emphasizes the critical role of financial risk in affecting the Islamic capital market. Investors negatively respond to higher financial risk and react positively to more increased economic threats. The variable of financial risk has the highest coefficient, indicating that the investors favour a conducive financial environment in deriving JII. Originality/value This study extends the previous literature with an attempt to empirically examine the influence of Indonesia's country risk on the Islamic stock market through VECM.

scholarly journals The Relationship between Spot and Futures Prices in Brent Oil Crude Market

2014 ◽  
Vol 39 ◽  
pp. 15-19 ◽  
Author(s):  
Mohsen Mehrara ◽  
Monire Hamldar
Keyword(s):  
Crude Oil ◽  
Unit Root Test ◽  
Futures Prices ◽  
Explanatory Variables ◽  
Long Run ◽  
Daily Data ◽  
Short Run ◽  
Futures Price ◽  
Johansen Cointegration Test ◽  
The Relationship

This paper investigates the relationship between spot and futures prices in Brent Crude Oil Market using daily data over the period 1990/17/8-2014/11/3. The results of unit root test indicate that both of the spot and futures prices variables are non-stationary. The results of the Johansen cointegration test suggest that there is a long-run relationship between these variables. The dynamic Granger causality captured from the vector error correction model indicates strong bidirectional effects between the spot and futures price of Brent Crude Oil. The coefficient of the ECT and lagged explanatory variables are significant in both equations which indicates that long-run as well as short-run bidirectional causalities between log of spot and futures price.

scholarly journals Inter-Sectorial Linkage of Economic Sectors and Their Contribution to Economic Growth: A Time Series Evidence from Ethiopia and China

2018 ◽  
Vol 5 (1) ◽  
pp. 25-32
Author(s):  
Abrham Tezera Gessesse ◽  
Zheng Xungang ◽  
He Ge
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
Time Series Data ◽  
Least Square ◽  
Series Data ◽  
Economic Sectors ◽  
Long Run ◽  
Johansen Cointegration ◽  
Short Run ◽  
Johansen Cointegration Test

Purpose: The aim of this paper is to investigate the inter-sectorial linkage of economic sectors and their contribution to the economic growth using time series data from 1978-2014 and 1992-2014. Design/methodology/approach: This study employed a Johansen cointegration test and Ordinary Least Square (OLS) model. Findings: The Johansen cointegration and multiple regression results indicate that all economic sectors have strong, positive and significant long-run and short-run relationship with economic growth during the study period in both countries. The result revealed that MNF giant is an engine for Chinese economic growth while agriculture took the lion-share for Ethiopian economy. The MNF has bi-directional Granger cause with economic growth, agriculture and SRV for China, while GDP and AGR are the only bi-directional Granger causes variables for Ethiopia. Implications: Therefore, from a policy perspective, Ethiopian policymakers need to formulate agro-processing industries to ensure the transformation of the AGR to the MNF as well as maintain inter-sectorial linkage and sustain the country’s economic growth.  

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