The Persistence of Stock Market Returns during the Presidential elections in Nigeria

Following empirical evidences that political activities impact stock market performance, this present paper examines efficiency and volatility of Nigerian stock market during presidential elections. We use a 5-month event window approach to obtain the data for each election period. This implies that for each election period, we obtain the daily stock price index for the election month (4 weeks) and two months (8 weeks) before and after it. Our fractional integration technique reveals that the stock price index was persistent during most of the election years, with the exemptions of 2011 and 2019 election year, while 2015 election period recorded the highest volatility. However, accounting for structural breaks following the approach of Enders and Lee (2012a,b) that inculcates nonlinear smooth breaks in the Fourier function, the stock market seemed to be efficient only during the 1999, 2011 and 2019 presidential election periods. The 2011 and 2019 are periods when the elections produced candidates that ran for a two-term each. On the other hand, the highest stock market volatility is still maintained at the 2015 election which was also interestingly the year that the recent 2015/2016 recession in the country kick-started. Our findings have important policy implications for potential investors

Testing Fractional Persistence and Nonlinearity in Infant Mortality Rates of Asia Countries

The infant mortality rates in 45 Asian countries (1960-2018), obtained from the Federal Reserve Bank of St. Louis database, are investigated using the I(d) framework, which allows for simultaneous estimation of the degree of persistence and nonlinearities in infant mortality rates as well as their growth rates. A high degree of persistence in the decreases of mortality rate is found with nonlinear evidence in the majority of the cases, confirming nonlinear dynamics of mortality rates. In the growth of mortality rates, we find ten countries (Armenia, Indonesia, Israel, Japan, Kuwait, Myanmar, Saudi Arabia, Sri Lanka, Thailand, and UAE) with evidence of mean reversion. Health management in those listed countries needs to kick start interventions that improve the survival rates of infants

Market Efficiency of Asian Stocks: Evidence based on Narayan-Liu-Westerlund GARCH-based Unit root test

This study uses the recently developed Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model-based unit root test of Narayan et al. (2016) to examine the stock market efficiency of 19 Asian countries, using daily prices. The model flexibly accounts for heteroskedasticity and two structural breaks, the presence of which can lead to inaccurate results if neglected. Our results disclose the stock markets of 14 countries as inefficient following the rejection of the unit root null hypothesis. However, the stock markets of China, Hong Kong, Japan and the Korea Republic are adjudged efficient. We further extend the model to accommodate a maximum of five breaks to check the robustness of our results to higher breaks. We observe that the results are largely consistent except for Lebanon and Singapore. For completeness, we compare the results with those of conventional GARCH models that do not account for structural breaks and discover differing results for some countries. Hence, the role of structural breaks is not negligible in assessing market efficiency. Future studies should also incorporate heteroskedasticity and structural breaks in their modelling framework to obtain accurate results

Convergence among themselves and Middle-income trap of South-East Asian Nations: Findings from a New approach

This paper investigates the possibility of middle-income convergence among seven members of Southeast Asian nations (Indonesia, Laos, Malaysia, Myanmar, Philippines, Thailand, and Vietnam), with Malaysia being in upper-middle-income rank and other six countries in lower-middle-income rank. We apply unit root testing framework that allows for smooth nonlinearity, abrupt break, and cross-dependence in the income differences. Results show that these lower-middle-income countries are likely to converge among themselves, and also converge to the income level of Malaysia in the long run. Economic policies capable of stimulating long-run economic growth of these lower-middle-income countries is therefore recommended, and the countries should be ready to take up the challenge of upper-income country, like Malaysia

Factors behind the performance of green bond markets

The market for green bonds has grown dramatically over the past several years, necessitating an understanding of the variables that might forecast its performance. Studies on how the green bond market interacts with other markets are widely discussed in the literature, but little is known about the variables that improve predictions of green bond returns. In this study, we use data on commodity and financial asset prices, as well as speculative factors, to predict the returns on green bonds using the Feasible Quasi-Generalized Least Squares (FQGLS) and the causality-in-quantiles estimators. The findings demonstrate that most factors are significant predictors of the returns on green bonds, with speculative factors having a detrimental predictive influence, and commodity and financial asset prices having a mixed predictive impact. When asymmetries are taken into account, the asymmetric predictive model performs better at predicting the returns on green bonds than its symmetric counterpart in most instances. Finally, all the factors, except investors' sentiment, affect the returns on green bonds in a variety of market situations. The interdependence among the global financial and commodity markets, as well as economic uncertainties justify the established predictive influence, since green bonds are a component of the broader investment bonds

How fearful are Commodities and US stocks in response to Global fear? Persistence and Cointegration analyses

This paper deals with the analysis of long-run relationships of fear indices for US stocks, commodities, and the energy sector with global fear indices for stocks and oil. Departing from the classical literature, fractional integration, and cointegration techniques are used to determine the degree of persistence in the long-run relationship of the indices. Our results are threefold. We first established a fractional cointegrating relationship between each of the global and oil fear indices and other fear indices. However, the long-run relationship tends to be weak for the technology stocks. In addition, the cointegrating framework reveals a nonstationary mean-reverting behaviour in the long-run relationship, implying that the effect of shocks from financial, economic, or other exogenous sources will be temporary though with long-lasting effects. These findings have crucial policy inferences for portfolio managers concerning investment decisions

Long Memory in the Energy Consumption by Source of the United States: Fractional Integration, Seasonality Effect and Structural Breaks

Abstract: In this paper, long memory behavior of the energy consumption by source of the United States has been examined using the fractional integration technique for the three conventional cases of no regressors, an intercept, and an intercept and a linear trend. In addition, this study extends majority of past studies by considering the effects of seasonality and structural breaks. Using monthly data, it is found that across all the sources considered, energy consumption exhibits long memory with the degree of persistence largely ranging between 0 and 1. Also, the estimated results of the models with seasonality effect and structural breaks show that the energy consumption series have significantly strong seasonal pattern and autoregressive components, and the presence of structural breaks significantly alter the degree of persistence of most of the energy sources. The reports of this study have serious policy implications in the aspect of energy consumption mix, energy consumption efficiency and environmental concerns.Resumen: Este trabajo examina el comportamiento de memoria larga del consumo de energía en Estados Unidos utilizando la técnica de integración fraccional. Este estudio extiende trabajos pasados incluyendo un análisis de estacionalidad y de quiebres estructurales. Utilizando datos mensuales se observa que todas las fuentes de consumo de energía consideradas exhiben memoria larga, estacio- nalidad y quiebres

Memoria Larga en el Consumo de Energía en Estados Unidos: Integración Fraccional, Estacionalidad y Quiebres Estructurales

In this paper, long memory behavior of the energy consumption by source of the United States has been examined using the fractional integration technique for the three conventional cases of no regressors, an intercept, and an intercept and a linear trend. In addition, this study extends majority of past studies by considering the effects of seasonality and structural breaks. Using monthly data, it is found that across all the sources considered, energy consumption exhibits long memory with the degree of persistence largely ranging between 0 and 1. Also, the estimated results of the models with seasonality effect and structural breaks show that the energy consumption series have significantly strong seasonal pattern and autoregressive components, and the presence of structural breaks significantly alter the degree of persistence of most of the energy sources. The reports of this study have serious policy implications in the aspect of energy consumption mix, energy consumption efficiency and environmental concernsEste trabajo examina el comportamiento de memoria larga del consumo de energía en Estados Unidos utilizando la técnica de integración fraccional. Este estudio extiende trabajos pasados incluyendo un análisis de estacionalidad y de quiebres estructurales. Utilizando datos mensuales se observa que todas las fuentes de consumo de energía consideradas exhiben memoria larga, estacionalidad y quiebres

Economic policy uncertainty and stock returns among OPEC members: evidence from feasible quasi-generalized least squares

Abstract We examine the predictive ability of economic policy uncertainty on stock returns of selected OPEC countries. In order to deal with certain statistical properties of the predictors, which include serial correlation, persistence, conditional heteroskedasticity, and endogeneity effects, wse utilize the Feasible Quasi-Generalized Least Squares (FQGLS) estimator in order to obtain accurate forecast estimates. As a precondition for forecast analysis, we conduct the predictability test, which shows that economic policy uncertainty is significant only for five countries, namely Kuwait, Nigeria, Saudi Arabia, United Arab Emirates, and Venezuela. Hence, we proceed with the main forecast analysis for only this set of countries. Our results are twofold. We first account for asymmetries in forecasting stock returns by comparing the forecast performance of the symmetric economic policy uncertainty-based predictive model with its asymmetric variant. On the other hand, we compare the performance of the best model from above with the standard ARFIMA model using an alternative forecast test. In both cases, we find that the asymmetric model yields the most accurate forecast returns for stock returns of the five countries. In essence, neglecting the role of asymmetries in forecasting stock returns can lead to bias results. Our findings are not only robust to different sample sizes (i.e., 50%, and 75%) and different forecast horizons (4, 8, and 12 months) but have important policy implications for policymakers and potential investors