scholarly journals Is Socially Responsible Indices Weak Form of Efficient Market? Evidences from Developing Economies

2020 ◽  
Vol 16 (2) ◽  
pp. 55
Author(s):  
Sabyasachi Mondal ◽  
Ranjit Singh
Keyword(s):  
South Africa ◽  
Developing Economies ◽  
Weak Form ◽  
The Other ◽  
Socially Responsible ◽  
Long Run ◽  
Augmented Dickey Fuller ◽  
Short Run ◽  
Test Of Randomness ◽  
Daily Returns

The study is an attempt to identify the presence of randomness in the socially responsible indices (SRI) of the stock markets of developing countries. Five developing economies are considered for the test of randomness on daily, weekly, monthly, quarterly and semiannual return of socially responsible indices and their benchmark indices. Shapiro-Wilk test is used to test the normality of the data whereas Runs test and Augmented Dickey-Fuller test are used depending on the randomness of the data. It is observed that India, Arab and Egypt show non-randomness whereas Brazil and South Africa show randomness in daily returns. Weekly returns on the other hand are random in Brazil, Arab, South Africa, and non-random in India and Egypt. Monthly and quarterly returns show randomness in India, Arab, Egypt, South Africa and non-randomness in Brazil whereas semiannual returns show randomness for all economies. It is also observed that most socially responsible indices resonate the randomness patterns of their benchmark indices. Most of the non-randomness is seen in short-run indicating inefficiency in the market. However, in long-run, the market goes random or efficient which is an indication that more than average profit can be earned by resorting to technical trading in the short run. Moreover, the similarity in randomness between socially responsible indices and their benchmark indices indicates that similar trading strategy can be applied by traders in both these indices to garner profit.

scholarly journals Socially Responsible Funds and Traditional Energy Commodities: A Diversification Perspective for Investments

2021 ◽  
Vol 9 ◽  
Author(s):  
Mobeen Ur Rehman ◽  
Muhammad Kashif ◽  
Nader Naifar ◽  
Syed Jawad Hussain Shahzad
Keyword(s):  
Spectral Analysis ◽  
Energy Market ◽  
Individual Investors ◽  
Socially Responsible ◽  
Market Conditions ◽  
Long Run ◽  
Investment Opportunities ◽  
Short Run ◽  
The Relationship ◽  
Daily Returns

Our work examines the relationship between socially responsible funds and the traditional energy market over daily returns data ranging from December 2015 to April 2019. We apply quantile cross-spectral analysis to measure returns correlation under different market conditions in the short, medium, and long run to measure the connectedness between both markets. Our results highlight that correlation based on different quantile distributions yields different investment opportunities. In the short run, investors can benefit from diversifying assets under extreme market conditions. No significant diversification opportunities are available in the medium- and long-run periods. Our findings provide implications for individual investors making investments under different horizons and dynamic market conditions.

An Econometric Analysis on the Relationship between Globalisation and Inequality in South Africa

2020 ◽  
Vol 11 (1) ◽  
pp. 89-89
Author(s):  
Jacques de Jongh
Keyword(s):  
South Africa ◽  
Well Being ◽  
Causality Analysis ◽  
Global Integration ◽  
Development Indicators ◽  
Long Run ◽  
The World ◽  
Distribution Of Resources ◽  
Short Run ◽  
The Impact

Globalisation has had an unprecedented impact on the development and well-being of societies across the globe. Whilst the process has been lauded for bringing about greater trade specialisation and factor mobility many have also come to raise concerns on its impact in the distribution of resources. For South Africa in particular this has been somewhat of a contentious issue given the country's controversial past and idiosyncratic socio-economic structure. Since 1994 though, considerable progress towards its global integration has been made, however this has largely coincided with the establishment of, arguably, the highest levels of income inequality the world has ever seen. This all has raised several questions as to whether a more financially open and technologically integrated economy has induced greater within-country inequality (WCI). This study therefore has the objective to analyse the impact of the various dimensions of globalisation (economic, social and political) on inequality in South Africa. Secondary annual time series from 1990 to 2018 were used sourced from the World Bank Development indicators database, KOF Swiss Economic Institute and the World Inequality database. By using different measures of inequality (Palma ratios and distribution figures), the study employed two ARDL models to test the long-run relationships with the purpose to ensure the robustness of the results. Likewise, two error correction models (ECM) were used to analyse the short-run dynamics between the variables. As a means of identifying the casual effects between the variables, a Toda-Yamamoto granger causality analysis was utilised. Keywords: ARDL, Inequality, Economic Globalisation; Social Globalisation; South Africa

scholarly journals The Integration of Conventional Equity Indices with Environmental, Social, and Governance Indices: Evidence from Emerging Economies

2021 ◽  
Vol 13 (2) ◽  
pp. 676
Author(s):  
Ramiz ur Rehman ◽  
Muhammad Zain ul Abidin ◽  
Rizwan Ali ◽  
Safwan Mohd Nor ◽  
Muhammad Akram Naseem ◽  
...  
Keyword(s):  
South Africa ◽  
Function Analysis ◽  
Impulse Response Function ◽  
Decomposition Analysis ◽  
Individual Country ◽  
Brics Countries ◽  
Long Run ◽  
Integration Test ◽  
Short Run ◽  
Equity Indices

This study investigates the integration of environmental, social, and governance (ESG) equity indices with conventional indices in Brazil, Russia, India, China, and South Africa (BRICS) individually and across all BRICS countries to better understand regional economic cooperation. Accordingly, we look at daily returns from 13 July 2013 to 28 February 2018 for the Morgan Stanley Capital International (MSCI) ESG indices and MSCI composite indices of the respective countries. To analyze the integration between the ESG equity indices of the sampled countries with their regional and across regional conventional counterparts, the Johansen Co-integration test is employed in this study. Further, the vector error correction model (VECM) is applied to test the causality between the sampled time-series. The impulse response function analysis further explains the impulse responses of each country’s MSCI ESG returns to one standard deviation of innovations to MSCI composite returns of the same country and across countries. Finally, the extent of the MSCI composite returns’ impact on the MSCI ESG returns in the same country indices, and cross-regional indices is examined with variance decomposition analysis. The results suggest that all ESG equity indices are integrated with conventional indices in all BRICS countries. Furthermore, there is a short-or long-run causality between MSCI ESG and MSCI composite equity indices of China and South Africa. Moreover, the study finds only short-run causality between conventional and non-conventional equity indices of Brazil and Russia, whereas we find only long-run causality between India’s non-conventional and conventional equity indices. Finally, the study finds that the all-individual country MSCI ESG equity indices shows a long-run causality with MSCI composite equity indices of all other BRICS countries. The findings also confirm the economic and financial cooperation between the BRICS countries.

scholarly journals LABOR MARKET DYNAMICS UNDER TECHNOLOGY SHOCKS: THE ROLE OF SUBSISTENCE CONSUMPTION

2021 ◽  
pp. 1-29
Author(s):  
Sangyup Choi ◽  
Myungkyu Shim
Keyword(s):  
Labor Market ◽  
Business Cycle ◽  
Developing Economies ◽  
Structural Var ◽  
Market Dynamics ◽  
Technology Shocks ◽  
Structural Factors ◽  
Long Run ◽  
Labor Market Dynamics ◽  
Short Run

This paper establishes new stylized facts about labor market dynamics in developing economies, which are distinct from those in advanced economies, and then proposes a simple model to explain them. We first show that the response of hours worked and employment to a technology shock—identified by a structural VAR model with either short-run or long-run restrictions—is substantially smaller in developing economies. We then present compelling empirical evidence that several structural factors related to the relevance of subsistence consumption across countries can jointly account for the relative volatility of employment to output and that of consumption to output. We argue that a standard real business cycle (RBC) model augmented with subsistence consumption can explain the several salient features of business cycle fluctuations in developing economies, especially their distinct labor market dynamics under technology shocks.

The Effect of Real Exchange Rate on Trade Balance in a Resource-Rich Economy: The Case of Mongolia

2018 ◽  
Vol 53 (4) ◽  
pp. 211-224 ◽  
Author(s):  
Gan-Ochir Doojav
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Trade Balance ◽  
Developing Economies ◽  
Jel Classification ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Short Run ◽  
Exchange Rate Depreciation

For resource-rich developing economies, the effect of real exchange rate depreciation on trade balance may differ from the standard findings depending on country specific characteristics. This article employs vector error correction model to examine the effect of real exchange rate on trade balance in Mongolia, a resource-rich developing country. Empirical results show that exchange rate depreciation improves trade balance in both short and long run. In particular, the well-known Marshall–Lerner condition holds in the long run; however, there is no evidence of the classic J-curve effects in the short run. The results suggest that the exchange rate flexibility may help to deal effectively with current account deficits and exchange rate risk. JEL Classification: C32, C51, F14, F32

scholarly journals Dynamic Causal Relationships among GDP, Exports, and Foreign Direct Investment (FDI) in the Developing Countries

2013 ◽  
Vol 14 ◽  
pp. 1-19 ◽  
Author(s):  
Mohsen Mehrara ◽  
Amin Haghnejad ◽  
Jalal Dehnavi ◽  
Fereshteh Jandaghi Meybodi
Keyword(s):  
Economic Growth ◽  
Developing Countries ◽  
Foreign Direct Investment ◽  
Strong Evidence ◽  
Direct Investment ◽  
The Other ◽  
Fdi Inflows ◽  
Long Run ◽  
Short Run ◽  
Growth Hypothesis

Using panel techniques, this paper estimates the causality among economic growth, exports, and Foreign Direct Investment (FDI) inflows for developing countries over the period of 1980 to 2008. The study indicates that; firstly, there is strong evidence of bidirectional causality between economic growth and FDI inflows. Secondly, the exports-led growth hypothesis is supported by the finding of unidirectional causality running from exports to economic growth in both the short-run and the long-run. Thirdly, export is not Granger caused by economic growth and FDI inflow in either the short run or the long run. On the basis of the obtained results, it is recommended that outward-oriented strategies and policies of attracting FDI be pursued by developing countries to achieve higher rates of economic growth. On the other hand, the countries can increase FDI inflows by stimulating their economic growth.

scholarly journals Monetary Policy Channels and Industrial Production in Pakistan: Evidences based on ARDL Approach

2020 ◽  
Vol 6 (3) ◽  
pp. 713-721
Author(s):  
Muhammad Tariq Mahmood ◽  
Sadaf Shahab ◽  
Saad Ali Rabbani
Keyword(s):  
Monetary Policy ◽  
Money Supply ◽  
Industrial Production ◽  
Industrial Sector ◽  
The Other ◽  
Economic Management ◽  
Long Run ◽  
Consumer Prices ◽  
Short Run ◽  
Bound Test

Monetary policy is a significant component of economic management, with which we can control higher inflation, boost the economic growth and stabilize the other macroeconomic activities. This study investigates the channels of monetary policy affecting the industrial production using monthly data of Pakistan. In this regard, we have applied Bound test for co-integration to investigate the dynamic behaviour of the variables. Our results indicate that the consumer prices, money supply and money market rates are negatively effective for industrial production in the short-run. On the other hand, exchange rate has positive effect in short-run. The results also indicate that there is statistically significant and positive relationship between industrial output and money supply in the long-run, too. The adjustment mechanism suggests stability in the system and is statistically significant. Our results imply that the authorities should use expansionary monetary stance through money supply channel to boost the industrial sector.

scholarly journals FDI location and exchange rates. is there really a relationship between the two?

2015 ◽  
Vol 13 (1) ◽  
pp. 642-651
Author(s):  
Kunofiwa Tsaurai
Keyword(s):  
South Africa ◽  
Exchange Rates ◽  
Coming Out ◽  
Causal Relation ◽  
Exact Nature ◽  
Bounds Testing ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Short Run

The exchange rate led foreign direct investment (FDI), FDI led exchange rates and feedback effect hypotheses summarise the literature around the nature of the relationship between FDI and exchange rates. So many authors on this subject over a long period have been found to generally side with of the above-mentioned hypothesis or another without a consensus. Despite this lack of consensus with regard to the exact nature of the causal relation between these two variables, what is coming out clearly from the literature is that there indeed exist a relationship between FDI and exchange rates. The lack of consensus has prompted this current study that used the ARDL (Autoregressive distributed lag)-bounds testing approach. The study revealed the existence of causality from (1) the rand value to FDI in the long run and (2) FDI to the rand value only in the short run in South Africa. The author recommends that policies which strengthen the value of the rand should be put in place in order to attract FDI in the long run. The flow of FDI into South Africa will in turn not only stabilises the value of the rand.

scholarly journals An Empirical Analysis of the Monetary Transmission Mechanism of Developing Economies: Evidence from Ghana

2018 ◽  
Vol 10 (4) ◽  
pp. 72
Author(s):  
Felix S. Nyumuah
Keyword(s):  
Developing Economies ◽  
Transmission Mechanism ◽  
Monetary Transmission ◽  
Clear Understanding ◽  
Monetary Transmission Mechanism ◽  
Developed Economies ◽  
Transmission Mechanisms ◽  
Long Run ◽  
Short Run ◽  
The Interest Rate

Policymakers need a clear understanding of their monetary transmission mechanisms for effective implementation of monetary policy. The aim of this study is to carry out an econometric analysis of the channels of monetary transmission mechanism in less developed economies so as to determine their effectiveness. The study uses Ghana macroeconomic data and finds the money supply channel to be the strongest in the long run while the exchange rate channel seems the strongest in transmitting monetary impulses in the short run. The interest rate and the bank credit to private sector channels emerge as very weak channels of monetary transmission.

scholarly journals Empirical Evidence on Korea’s Import Demand Behavior Revisited

2015 ◽  
Vol 7 (2) ◽  
pp. 11 ◽  
Author(s):  
Jungho Baek
Keyword(s):  
Empirical Evidence ◽  
Import Demand ◽  
The Other ◽  
Distributed Lag ◽  
Other Hand ◽  
Long Run ◽  
Ardl Approach ◽  
Short Run ◽  
Econometric Technique

<p>This paper attempts to re-examine Korea’s import demand behavior with an enhanced<br />econometric technique and an up-to-date dataset. To achieve the goal, an autogressive<br />distributed lag (ARDL) approach is adopted. Our results show the existence of the long-run<br />relationship between Korea’s imports and its major determinants such as income and price. It<br />is also found that income plays an important role in influencing Korea’s imports in both the<br />short- and long-run. On the other hand, price is found to have a significant impact on Korea’s<br />imports only in the short-run.</p>

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