Dynamic Relations Between Macroeconomic Factors and the Jordanian Stock Market

Previous research has hypothesized the existence of a long-term equilibrium relation between stock prices and certain macroeconomic variables. The vector error correction model (VECM) (Johansen (1991)) is utilized to determine the impact of selected macroeconomic variables on Amman Stock Exchange (ASE). The variables are the real economic activity, money supply, inflation, and interest rate. The empirical results show that the stock prices and macroeconomics variables have a long-term equilibrium relation.Stock Market, Dynamic Relations, Cointegration, Jordan

Short-Term, Long-Term, and Efficiency Impacts of Recent Mergers and Acquisitions in the U.S. Banking Industry

This dissertation examines the wealth effects of bank mergers on bidder, target, and combined firm shareholders for a sample of 785 mergers during the period 1980-2000. The dissertation employs two unique bank event study methodologies to calculate abnormal returns for bidder, target and combined firms. The first methodology is a modified market model that controls for shocks common to the banking industry. The second is an EGARCH (1,1) model that adjusts for the violated regression assumptions of the traditional market model event study. Namely, it controls for the linearity assumption, heteroskedasticity, and the correlation in the error term. The results of both methodologies reveal that target shareholders enjoy significantly positive abnormal returns, whereas the bidder shareholders experience significantly negative abnormal returns. Overall, announcements of bank mergers generate positive wealth effects for the combined shareholders. However, the evidence presented in this dissertation, to some extent, underscores the importance of the choice of models describing stock returns in examining the impact of bank mergers. In addition, when mergers are analyzed to determine the effects of relative size and relative book-to-market values, we find evidence that the relative size significantly affects the target, bidder and combined firm return; method of payment is also found to be significant in abnormal returns. Moreover, we find that the number of bidders affects only the bidder returns, while book-tomarket values are irrelevant factors. Availability Restricted: Release the entire work for camp

Causal relations among different sizes of stock returns, interest rates, real activity, and inflation

This paper investigates the causal relations and dynamic interactions among the different sizes of stock returns, interest rates, real activity, and inflation. The generalized impulse response functions and the generalized forecast error variance decomposition are computed in order to investigate interrelationships within the system. Results reveal that Unrestricted Vector Auto Regression outcome is a function of the size of stock returns. Specifically, the results suggest that the stock returns for the fifth and tenth deciles are leading indicators for future macroeconomic performance. However, stock return for the first decile leads the inflation rate and real interest rate but does not lead the real economic activity as represented by industrial production. © 2010, Banking and Finance Review

An Empirical Analysis of Output, Interest and Money: The Case of Jordan

This paper investigates the dynamic interactions among money, interest rates, and output (GDP). The Generalized Impulse Response Functions and the Generalized Forecast Error Variance Decomposition are computed in order to investigate interrelationships within the system. The results reveal that a shock to the interest rate has a negative impact on money (M2). The negative impact on M2 is inconsistent with the view that a rise in the interest rate leads to an increase in deposits or in bank loans, which in turn results in an increase in money supply. The impact of the interest rate on GDP is positive. The positive effect of the interest rate on GDP is in contradiction with a theoretical relationship where interest rates have a negative impact on output

Banks' total factor productivity growth in a developing economy: does globalisation matter?

The paper provides, for the first time, empirical evidence on the impact of economic globalisation on bank total factor productivity in a developing economy. By employing the Malmquist Productivity Index method, we compute the total factor productivity of the Malaysian banking sector during 1998–2007. Examining different dimensions of economic globalisation, we find evidence supporting for greater trade and capital account restrictions and cultural proximity. On the other hand, personal contacts, information flows, and political globalisation seem to exert significant (negative) influence on banks' total factor productivity levels

Energy densities in the strong-interaction limit of density functional theory

We discuss energy densities in the strong-interaction limit of density functional theory, deriving an exact expression within the definition (gauge) of the electrostatic potential of the exchange-correlation hole. Exact results for small atoms and small model quantum dots are compared with available approximations defined in the same gauge. The idea of a local interpolation along the adiabatic connection is discussed, comparing the energy densities of the Kohn-Sham, the physical, and the strong-interacting systems. We also use our results to analyze the local version of the Lieb-Oxford bound, widely used in the construction of approximate exchange-correlation functionals.Comment: 12 page

Output Responses to Shocks to Interest Rates, Inflation, and Stock Returns: Evidence from Jordan

This paper studies the dynamic relationship between the Jordanian output and other macroeconomics variables such as inflation, interest rate and stock returns. It employs the Vector Auto Regressive (VAR) approach method of Lee (1992) to analyze the relationship and dynamic interaction among variables. The Impulse Response Functions (IRF), and the Forecast Error Variance Decomposition (FEVD) from the VAR model are computed in order to investigate inter-relationships in the system. The results show that the response of output to shocks in stock returns is strongly positive up to the first 6 periods and after which the effect almost dies.

Effects of Measurement on Inferences: An Application to Money Demand and Related Variables in the United States

This paper examines the impact of the choice of a money stock measure on the inference about monetary shocks. To this end, it adopts order-invariant forecast error variance decompositions (FEVD) for an unrestricted vector autoregressive (UVAR) model. This approach does not require orthogonalization of shocks and is invariant to the ordering of the variables in the UVAR. The empirical work is based on estimating UVAR model using different methods of measurement of monetary asset. The results suggest that empirical conclusions from the FEVD analyses differ when money is measured by the flow of monetary services rather than by summation of the dollar amount of monetary asset. Further, the results show that qualitative inference about the money’s effects on the economic activity can depend crucially on the definition of money chosen.Money, Monetary Policy, VAR.

A STUDY OF SIZE EFFECT AND MACROECONOMICS FACTORS IN NEW YORK STOCK EXCHANGE STOCK RETURNS

The purpose of this paper is to look at the ‘size-effect’ question using a large sample drawn from New York Stock Exchange prices. The impact of the stock returns' size is also examined and the validity of models explaining the observed negative relations between asset returns and inflation are addressed. The generalized impulse response functions are adopted. Further, The vector error correction model (VECM) (Johansen (1991)) is utilized to determine the impact of selected macroeconomic variables on NYSE. Results reveal that size had an impact on stock returns. Further, it appears that there is reliable negative relationship between stock prices and inflation. The level of real economic activity affects stock prices positively. Finally, interest rates have a negative relationship with stock pricesInflation, Growth Rate, Stock Returns, Positive Accounting, Market Capitalization and Portfolio Size.

The Impact of Mergers and Acquisitions on the Efficiency of the US Banking Industry: Further Evidence

Using the Stochastic Frontier Approach (SFA), this study investigates the cost and profit efficiency effects of bank mergers on the US banking industry. We also use the non-parametric technique of Data Envelopment Analysis (DEA) to evaluate the production structure of merged and non-merged banks. The empirical results indicate that mergers have improved the cost and profit efficiencies of banks. Further, evidence shows that merged banks have lower costs than non-merged banks because they are using the most efficient technology available (technical efficiency) as well as a cost minimizing input mix (allocative efficiency). The results suggest that there is an economic rational for future mergers in the banking industry. Finally, mergers may allow the banking industry to take advantage of the opportunities created by improved technology. Copyright 2007 The Authors Journal compilation (c) 2007 Blackwell Publishing Ltd.