Adjustment dynamics between broker–dealer leverage and stock market: a threshold cointegration analysis

2020 ◽  
Author(s):  
M. Iqbal Ahmed ◽  
Quazi Fidia Farah
Keyword(s):  
Stock Market ◽  
Cointegration Analysis ◽  
Threshold Cointegration ◽  
Adjustment Dynamics

Dynamic interactions between stock markets and the real economy

2016 ◽  
Vol 11 (4) ◽  
pp. 715-746 ◽  
Author(s):  
Nikiforos T. Laopodis ◽  
Andreas Papastamou
Keyword(s):  
Economic Development ◽  
Stock Market ◽  
Methodological Approach ◽  
Financial System ◽  
Cointegration Analysis ◽  
Policy Implications ◽  
Real Economy ◽  
Dynamic Interactions ◽  
Content Type ◽  
The Real

Purpose The purpose of this paper is to re-examine the relationship between a country’s aggregate stock market and general economic development for 14 emerging economies for the period from 1995 to 2014. Design/methodology/approach The methodological approach of the paper is multifold. First, the authors use cointegration analysis to determine the simple dynamics among the variables. Second, the authors utilize vector autoregression analysis to study the dynamics among the variables for the 14 countries. Third, the authors employ panel analysis to determine common variations among the variables and across countries. Findings When examining the linkage between the stock market and economic development, proxied by gross domestic product growth or with gross fixed capital formation growth, the authors did not find a meaningful relationship between them. However, when the authors included additional control variables strong, dynamic interactions between the two magnitudes surfaced. Specifically, it was found that the stock market is positively and robustly correlated with contemporaneous and future real economic development and, thus, it directly contributed to a country’s economic development either through the production of goods and services or the accumulation of real capital. Thus, it can be inferred that the stock market alone is not capable of boosting economic development in these countries unless being part of a comprehensive financial system (which includes banks) as well as investment in real capital. Research limitations/implications The policy implications are clear. Government authorities must recognize that the stock market alone is not a driver of economic development and that a sound, efficient financial system (which includes banks) must be present in order to contribute and foster economic development. Originality/value The study is original in the sense that it examines various financial and economic variables to determine the degree of (or dynamic interactions among) the stock market and the real economy for each and all emerging markets in the sample.

Threshold Cointegration Analysis of Crude Oil Benchmarks

2008 ◽  
Vol 29 (4) ◽  
Author(s):  
Shawkat M. Hammoudeh ◽  
Bradley T. Ewing ◽  
Mark A. Thompson
Keyword(s):  
Crude Oil ◽  
Cointegration Analysis ◽  
Threshold Cointegration

scholarly journals Exchange Rates And Equity Markets: Evidence From Some European Countries

2010 ◽  
Vol 26 (6) ◽  
Author(s):  
Oana Ariana Batori ◽  
Dimitrios Tsoukalas ◽  
Paolo Miranda
Keyword(s):  
Stock Market ◽  
Exchange Rates ◽  
Cointegration Analysis ◽  
Integrated System ◽  
Vector Autoregressive ◽  
Vector Error Correction ◽  
Vector Error ◽  
Daily Data ◽  
Causality Tests ◽  
Market Indexes

<p class="MsoNormal" style="text-align: justify; line-height: normal; margin: 0in 0.5in 0pt; mso-pagination: none;"><span style="font-size: 10pt;"><span style="font-family: Times New Roman;">This paper employs cointegration analysis, vector error correction and vector autoregressive modeling along with Granger causality tests to examine the effect of exchange rates on the stock market indexes for a group of<span style="mso-spacerun: yes;">&nbsp; </span>European Union countries using daily data from 1999-2009. <span style="mso-spacerun: yes;">&nbsp;</span>The results suggest that the transmitting mechanism for the influence of the exchange rate in the stock market is foreign investment.<span style="mso-spacerun: yes;">&nbsp; </span>Evidence also highlights that there is no clear causality from stock market to exchange rates, or vice versa, for the direction of the causation, suggesting that exchange rates and stock markets operate as an integrated system continuously influencing each other.</span></span></p>

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