Md. Reaz, Dorothea Bowyer, Connie Vitale, Masnun Mahi and Ahmed Mohamed Dahir
The paper examines the nexus between agricultural exports and the performance of agricultural firms in Malaysia.
Abstract
Purpose
The paper examines the nexus between agricultural exports and the performance of agricultural firms in Malaysia.
Design/methodology/approach
The dynamic linkage is tested by using system GMM models and the period ranges from 2002 to 2016.
Findings
The results indicate that agricultural exports affect performance positively. However, agricultural raw materials have no significant impact on performance.
Research limitations/implications
The agricultural exports in relation to sectoral performance needs to be considered in the future.
Practical implications
The findings are important for policymakers to formulate policies that promote the agricultural sector. To put it differently, the policies may encourage investments in this sector. Also, the findings have substantial academic implications, bridging the gap between theory and empirical literature in the agricultural sector.
Originality/value
This work highlights the agricultural exports and their impacts on a firm's performance.
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Keywords
Ahmed Mohamed Dahir, Fauziah Mahat, Bany-Ariffin Amin Noordin and Nazrul Hisyam Ab Razak
Recent trends and developments in Bitcoin have led to a proliferation of studies that analyzed the Bitcoin returns and volatility; however, the volatility connectedness between…
Abstract
Purpose
Recent trends and developments in Bitcoin have led to a proliferation of studies that analyzed the Bitcoin returns and volatility; however, the volatility connectedness between Bitcoin and equity market information in emerging countries quietly remains scarce. Regarding this deficiency, the purpose of this paper is to examine the dynamic connectedness between Bitcoin and equity market information.
Design/methodology/approach
Daily data from January 1, 2012 to May 31, 2018 are used. The paper applies a novel time-varying parameter vector autoregression (TVP-VAR) model extended by Antonakakis and Gabauer (2017). This model addresses the biases in coefficient estimates, considering innovations from sources of time variation.
Findings
The findings reveal that the volatility transmission of Bitcoin return is not an important source of shocks of market returns in Brazil, Russia, India, China and South Africa (BRICS), suggesting that Bitcoin return contributes less volatility to equity market information. The results further show that Bitcoin is the main receiver of volatility while market price risk is the dominant transmission catalysts for innovations in the rest of the stock market returns.
Practical implications
Important implications can be derived from these findings, signaling of the demand to develop and implement volatility connectedness policy measures in order to guarantee the stability of financial assets. However, the most significant limitation lies in the fact that the analysis of this paper is restricted to the volatility connectedness between Bitcoin and equity market information in BRICS countries.
Originality/value
By acknowledging the wide range of econometric models, the paper uses TVP-VAR model because this methodology is a useful and relevant tool in modeling the volatility connectedness of financial variables, thus providing meaningful information to policy makers and international investors.
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Ahmed Mohamed Dahir, Fauziah Binti Mahat and Noor Azman Bin Ali
The purpose of this paper is to examine the effects of funding liquidity risk and liquidity risk on the bank risk-taking.
Abstract
Purpose
The purpose of this paper is to examine the effects of funding liquidity risk and liquidity risk on the bank risk-taking.
Design/methodology/approach
This study employs a system generalized method of moments (GMM) estimation technique and a sample of 57 banks operating in BRICS countries over the period from 2006 to 2015.
Findings
The results reveal that liquidity risk has a significant and negative effect on the bank risk-taking, indicating that a decrease in liquidity risk contributes to higher bank risk-taking. The study also reveals that funding liquidity risk has the substantial impact on bank risk-taking, suggesting lower funding liquidity risk results in higher bank risk-taking. These results are consistent with prior assumptions.
Research limitations/implications
The implications of this study highlight the fact that liquidity risk is a risk factor which drives the potential bank default, of which banks tend to take more risks when higher funding liquidity exists.
Practical implications
This study offers a number of valuable implications for the policy makers as well as practitioners. The policy makers should take into account better liquidity risk management framework aimed at preventing banks from taking excessive risks. Bank executives must pay more attention on how banks could hold more liquid securities and cash. Less risk-taking reduces higher borrowing costs undermining earnings through imposing taxes on corporate.
Originality/value
This work uncovered that liquidity risk per se is an important and previously unidentified risk factor, specifically its effects on bank risk-taking and contributes to the view in support of holding more liquid securities than the past.
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SOMALIA: Madobe deal may help ease Jubaland crisis
Details
DOI: 10.1108/OXAN-ES252191
ISSN: 2633-304X
Keywords
Geographic
Topical
The polls have been delayed twice and mired in controversy amid allegations of political interference by the Federal Government of Somalia (FGS) and the resignation of both the…
Details
DOI: 10.1108/OXAN-DB240202
ISSN: 2633-304X
Keywords
Geographic
Topical
Rakesh Kumar Verma and Rohit Bansal
This paper aims to identify various macroeconomic variables that affect the stock market performance of developed and emerging economies. It also investigates the effect of these…
Abstract
Purpose
This paper aims to identify various macroeconomic variables that affect the stock market performance of developed and emerging economies. It also investigates the effect of these factors on the stock markets of both economies. The impact of these variables on broad market indices and sectoral indices is investigated and compared too.
Design/methodology/approach
The publications for the study were retrieved from databases such as Emerald Insight, EBSCO, ScienceDirect and JSTOR using the keywords “Macroeconomic variables” and “Stock market” or “Stock market performance.” The result demonstrated a growing corpus of scholarly work in the domain of stock market. The study was carried out separately for each macroeconomic indicator. Given a large number of articles under consideration, the authors began by reading the titles and abstracts of all publications to identify those that were relevant. The papers are evaluated in Excel and the articles for review range from 1972 to 2021.
Findings
The authors found that gross domestic product (GDP), FDI (Foreign Direct Investment) and FII (Foreign Institutional Investment) have a positive effect on both emerging and developed economies’ stock market while gold price has a negative effect. Interest rates had a negative impact on both economies except for a few developing countries. The relationship with oil prices was positive for oil exporting countries while negative for oil importing countries. Inflation, money supply and GDP are the macroeconomic variables that have the same effect on sectoral indices as they do on broad market indices. The impact was sector-specific for the remaining variables.
Research limitations/implications
This paper gives an overview of relation and effect covering variety of macroeconomic variables and stock market indices. Still, there is a scope for further research to analyze the effect on thematic, strategy and sectoral indices. A longer time horizon with new variables, such as bank deposit growth rate, nonperforming assets of banks, consumer confidence index and investor sentiment, can be studied using high-frequency data. This research may help stakeholders adopt and manage their policies during a crisis or economic slump.
Practical implications
This study will assist investors, researchers and educators in the fields of economics and finance in understanding how macroeconomic factors affect the stock market. Furthermore, this study can guide in portfolio diversification strategy across multiple sectors by examining the impact of macroeconomic factors specific to sectoral indices. This paper provides insight into society and researchers since it integrates a number of macroeconomic variables and their interaction with the stock market. It may also help pension funds and mutual fund firms to hedge their funds and allocate equity portfolios.
Originality/value
With respect to India, this study looked at new macroeconomic variables and sectors. It contrasted the impact of these variables in developed and developing economies. The effect of broad and sectoral stock indexes was also investigated and compared. The authors examined how these variables responded during crisis and economic downturns by using articles from a longer time frame. This research also looked into how changing the frequency of data for the variables altered stock performance. This paper emphasized the need for more research into thematic, strategy and broad market indices, such as small-cap and mid-cap indices.