Asymmetric Causality Research Articles

PARA ARZI VE REEL GELİR ARASINDAKİ İLİŞKİNİN ASİMETRİK BİR ANALİZİ: MIST ÜLKELERİ İÇİN PARASALCI VE REEL İŞ DÖNGÜSÜ HİPOTEZLERİNİN TESTİ

This article aims to examine the asymmetric money-income relationship in MIST countries. For this purpose, Hatemi-J Panel Hidden Cointegration, asymmetric panel causality, FMOLS and DOLS tests were applied. Asymmetric causality test results reveal that there is a bidirectional causality between money supply and real income. The real business cycle hypothesis claims that the growth in the money supply is due to real income and not vice versa. The finding obtained as a result of asymmetric causality supports both monetary and real business cycle hypotheses for MIST countries. The result is that positive and negative cumulative real money supply shocks affect positive and negative cumulative real income in the economy; Similarly, they state that positive cumulative real income shocks also affect positive real income. Monetary authorities should regulate the money supply and real income independently of the positive and negative shocks in the market in order to eliminate the economic problems experienced as a result of sudden shocks in MIST countries and to stabilize the markets.

Testing for Short-run and Long-Run Asymmetric Causality for two Volatile Series: An Extension of Frequency Domain Approach

Testing for Short-run and Long-Run Asymmetric Causality for two Volatile Series: An Extension of Frequency Domain Approach

INVESTIGATING THE RELATIONSHIP BETWEEN MONETARY POLICY UNCERATAINTY INDEX OF US AND THE DOLLAR INDEX

In this paper, we investigate the effect of the monetary policy uncertainty index for the US on the dollar index. In other words, in this study, the relationship between the US MPU (USM) and the Dollar index (XD) was examined. We employ the Hatemi-J (2012) asymmetric causality test from the period January 1986 through August 2020 by using monthly data. The results of the empirical analysis prove a strong non-linear causal relationship between the variable MPU index and XD. The overall result ascertains a positive and negative bidirectional asymmetric and non-linear causality existing between the variables XD and USM index. The results of the empirical investigation endorse important policy inputs for the macroeconomic policy formulators.

Renewable and Non-Renewable Energy Consumption on Economic Growth: Evidence from Asymmetric Analysis across Countries Connected to Eastern Africa Power Pool

Though various studies have examined the energy-growth nexus, the non-linear asymmetry relationship between economic growth and energy use has received little attention. In order to investigate the stratified asymmetric relationship between total, renewable, and nonrenewable energy consumption and economic growth in nine Eastern African nations connected via the Eastern Africa power pool (EAPP) and power trade (EAPT), this study used common correlated effect means group (CCEMG), nonlinear Autoregressive Distributed Lags (NARDL) approaches, and asymmetric causality tests from both a country and regional perspective. The time span is 1980 to 2017. The results from cross-sectional dependence confirms the existence of cross-sectionally dependence, findings from unit root and westerlund cointegration agreed the presence of long-run relations between variables and support the use of NARDL. CCEMG results reveal that energy in total contributes to growth, while nonrenewable energy reduces economic growth across the panel of selected countries. Nonlinear results from positive and negative shocks to energy as total, renewable and nonrenewable energy use have mixed nonlinear effect (positive and negative) on economic growth in long-run across the selected countries, while symmetric effect was unavailable in several countries. Bi-directional causation was noted between growth and all considered energy types at the panel of seven countries, and between energy as total and nonrenewable and growth in Ethiopia and Sudan, while all of the examined nations showed a strong one-way causal relationship between growth and renewable and nonrenewable energy, Rwanda showed a neutral relationship between growth and energy sources. For sustainable economic growth, policymakers, investors, and government officials may use this information to help them develop energy policies that promote renewable energy output while reducing reliance on nonrenewable energy in the region.

BİR YATIRIM ARACI OLARAK BİTCOİN: BİTCOİN İLE GLOBAL TEKNOLOJİ ENDEKSLERİ ARASINDA ASİMETRİK NEDENSELLİK İLİŞKİLERİ

The concept of blockchain and cryptocurrencies is one of the most popular concepts of recent years. Cryptocurrencies were first introduces with Bitcoin in 2008 and now they have an increasing variety and popularity. Recent developments in technology firms have brought into question whether there is a relationship between Bitcoin and technology indexes. To this end, this study investigates the causality relationship between Bitcoin and technology indexes using monthly data between the years 2016 and 2021 in G7 and E7 countries. To test the causality relationship between the variables, the Hatemi-J (2012) asymmetric causality test was used. Hatemi-J (2012) test reveals that the relationship between bitcoin and technology indexes becomes different for G7 and E7 countries. The results suggest that developed countries affect bitcoin prices while developing countries are affected by Bitcoin prices. The conclusion is that findings point out the existence of an asymmetric relationship between the series for G7 and E7 countries.

A configurational perspective of boards' attention structures

AbstractResearch Question/IssueWhat combinations of board attributes and contextual factors explain boards' selective distribution of attention between their dual role of resource provisioning and monitoring? At the board level, we consider board structure and breadth of knowledge, while the context in which boards operate is captured by the degree of external scrutiny, operational complexity, performance, and ownership structure.Research Findings/InsightsOur study demonstrates that there are multiple ways board attributes bundle and combine with important elements of the context to promote similar board attention structures. Our findings provide evidence of the causal complexity underlying this phenomenon and corroborate the notions of equifinality and asymmetric causality among board‐, firm‐, and institution‐level conditions conducive to boards allocating more attention to either their resource provisioning or monitoring roles.Theoretical/Academic ImplicationsOur findings support the attention‐based view (ABV), suggesting that boards' selective distribution of attention is regulated by the combination of skills and knowledge directors bring to the firm and the stimuli provided by contextual factors. In doing so, we underscore the need for an extended theory on board effectiveness, as resource dependence‐ and agency‐based prescriptions about boards' behavior may be incomplete, since there is limited consideration by these theories of the bounded rationality of directors and the complex relationships between the factors that can frame boards' selective distribution of attention.Practitioner/Policy ImplicationsOur study informs efforts to disentangle the conditions under which different attributes combine and regulate boards' distribution of attention, which has implications for nomination committees and powerful actors who have influence on board appointments. Because our results reveal several causal paths that can promote similar board attention structures, decision makers may wish to recruit directors with specific attributes that will be the best fit for the firm's contextual conditions.

The causality relationship between foreign direct investment and economic growth in RCEP countries

PurposeThe direction of the causality relationship between Foreign Direct Investment (FDI) and economic growth is a highly controversial issue in the literature. There are two basic approaches advocating different causal directions between FDI and growth, which are called hypotheses of FDI-led Growth and Growth-led FDI. The aim of this study is to analyze the causality relationship between FDI and economic growth in RCEP countries and thus make a new contribution to the discussions in the relevant literature. In addition, the results of the study are expected to provide important implications for the policies to be designed for economic growth based on FDI flows to RCEP countries. Thus, by examining the direction of causality between FDI and economic growth in RCEP countries, we aim to provide a new contribution to related literature and make some implications for the policy design process of economic growth in the RCEP area.Design/methodology/approachWe empirically examined the direction of a causal link between FDI and economic growth in the context of Regional Comprehensive Economic Partnership (RPEC) countries in order to test the hypothesis of FDI-led growth and Growth-led FDI. Accordingly, as our main variables of interest, we incorporated the inward foreign direct investment stock to gross domestic product ratio (FDI) and gross domestic product per capita (GDP). Hatemi-J (2012) asymmetric causality test has been employed in the investigation of the direction of causality between FDI and GDP over the period of 1980–2020. Thus, unlike most of the studies investigating the direction of causality between FDI and growth using the linear causality analysis method, our study performed a nonlinear causality analysis.FindingsEmpirical results reveal that the causal relationship between FDI and national income in RPEC countries is non-linear or asymmetric . The results of the symmetric causality test for both from FDI to national income and from national income to FDI are statistically insignificant for all countries. Therefore, this finding obtained from the study provided an important guide to the econometric methods to be used in other studies to be conducted in the same region in the future. Concerning the asymmetric causality relationship from FDI to growth, positive FDI shocks are an important cause of national income in most RCEP countries. However, the effect of negative FDI shocks on national income is quite weak compared to positive shocks. Regarding the asymmetric causality relationship from growth to FDI, positive national income shocks do not create a significant causal relationship with FDI. Similarly, the effects of negative national income shocks on FDI are statistically insignificant. Overall, asymmetric causality test results reveal that positive FDI shocks have an important causal impact on economic growth in most RCEP countries. Thus, the results of econometric analysis mostly support the argument that the FDI-led growth hypothesis rather than the Growth-led FDI hypothesis in RCEP countries. Accordingly, policy-makers in most of the RCEP countries should continue to provide more incentives and facilities to multinational companies in order to ensure constant economic growth.Originality/valueOur study brings a significant difference in the econometric method used compared to most of the other studies in the literature. Existing empirical studies on the direction of causality between FDI and growth mostly use standard Granger-linear causality-type tests to detect the direction of causality among FDI and growth. Unlike most of the studies in the literature, our study adopted a different methodological approach, namely the Hatemi J test to detect the non-linear causality between FDI and economic growth in RCEP countries. Therefore, this paper made a new methodological contribution significantly to the literature focusing on the causal relationship between FDI and economic growth by using a non-linear causality method rather than a linear causality one.

Do changes in land use, water bodies, and grazing pastures have a detrimental influence on environmental quality? Opportunities and threats to long-term growth

Land use activities mainly for economic and agricultural purposes have converted one third to one half of our planet's land surface into urban expansion and agricultural practice, which has had significant impacts on natural ecosystems, food production, and environmental quality, attracting the attention of researchers and policymakers. Consequently, land use is emerging as a fundamental issue in global environmental change and sustainable development. This study represents an addition to the prevailing literature by investigating the asymmetric impacts of land-use and land-cover changes on environmental quality in Pakistan using time series data from 1961 to 2016. Carbon dioxide (CO2) emissions were deemed a dependent variable (a proxy for environmental quality), whereas built-up land, cropland, water bodies, and grazing land were considered independent. A nonlinear ARDL bound testing technique (NARDL) was used to investigate dynamic cointegration among the study variables. Moreover, this study used the BDS test and structural break unit root test to confirm nonlinearity and stationarity of the data set. The results confirm that the variables exhibit asymmetrical co-integration. There is a symmetric unidirectional causation, running from built-up land and grazing land towards CO2 emissions with coefficients of 10.570 and 17.045, respectively. Furthermore, asymmetric causality shows that any positive shocks to built-up land (6.134) and water bodies (20.335) significantly cause CO2 emissions. Similarly, a negative shock to grazing land (16.470) also causes CO2 emissions. By contrast, a neutral effect was found between cropland and CO2 emissions.

The Feldstein-Horioka Puzzle in India: Some Asymmetric Evidence

This paper examines the Feldstein-Horioka (FH) hypothesis for India using the non-linear autoregressive distributed lag model and the Hatemi-J asymmetric causality test. The empirical findings show: (1) the validity of the FH puzzle for the Indian economy, which implies the presence of imperfect capital mobility; (2) that positive (negative) saving causes positive (negative) investment; and (3) negative (positive) saving does not cause positive (negative) investment.

Tahvil ve Hisse Senedi Piyasaları Arasında Zamanla Değişen Nedensellik İlişkileri: Hatemi-J Dinamik Nedensellik Testi Bulguları

İktisadi gelişmeler ve risk faktörlerindeki belirsizlik durumu varlık sınıfları arasındaki ilişkileri zamana bağlı olarak değiştirebilmektedir. Finans teorisinde merkezi bir konumda olan tahvil ve hisse senedi piyasaları arasındaki nedensellik ilişkilerine odaklanan bu çalışma, tahvil piyasasından hisse senedi piyasasına doğru simetrik ve asimetrik nedensellik ilişkisinin olup olmadığını ve eğer varsa bu ilişkinin zamana bağlı olarak değişip değişmediğini ortaya koymayı amaçlamaktadır. Analiz yöntemi olarak Hatemi-J (2021) tarafından geliştirilen dinamik simetrik ve asimetrik nedensellik testleri benimsenmiştir. Analiz Ocak 1980 ile Nisan 2022 tarihleri arasında gerçekleştirilmiş ve ABD (Amerika Birleşik Devletleri) tahvil ve hisse senedi piyasası incelenmiştir. Dinamik simetrik ve asimetrik nedensellik testi bulguları tahvil piyasasından hisse senedi piyasasına doğru olan nedensellik ilişkisinin zamana bağlı olarak değiştiğini göstermektedir. Yani tahvil piyasası ile hisse senedi piyasası arasındaki nedensellik ilişkilerinde yapısal değişimler ve zaman bağımlılığı mevcuttur. Bu durumda statik modellerin riskten korunma, çeşitlendirme ve varlık dağılımı gibi kararlarda taraflı yönlendirme yapabileceği ortaya konulmuş olmaktadır.

Elektronik Ürün Senedi (ELÜS) Endeksleri ile ABD Dolar Endeksi ve Dolar Kuru Arasındaki İlişkinin Simetrik ve Asimetrik Nedensellik Testleri ile Analizi

Contractions in production volume and supply chain disruption experienced by all economies in recent years caused by the Covid-19 epidemic or geopolitical tensions together with the factors such as food safety and climate change have been effect instability in agricultural product prices. For these reasons, compulsory transformations in all sectors or disruptions in the markets are also observed in the food sector. This study investigates the causality between the Electronic Warehouse Receipt (EWR) index for Cereal, Wheat, Barley, and Corn products calculated by the Turkish Mercantile Exchange (TMEX) with the US Dollar Index (DXY) and Dollar Lira (USD/TRY) exchange rate using daily datasets for the period 01.04.2021-09.05.2022 with the Toda-Yamamoto causality test and the Hatemi-J asymmetric causality test for the existence of asymmetric information. The results provide evidence of bi-directional causality between the Dollar Lira (USD/TRY) rate and the Grain index and a uni-directional causality from the Dollar Lira (USD/TRY) to the wheat index, barley index, and corn index. Moreover; it has been concluded that the Wheat index reacts with a positive shock if there is a negative shock in the US Dollar Index (DXY) and Dollar Lira (USD/TRY).

Can cryptocurrencies hedge oil price fluctuations? A pandemic perspective

The article aims to verify whether cryptocurrencies can hedge extreme price movements in Brent crude oil. The COVID-19 pandemic revealed that oil prices are heavily influenced by economic uncertainty and the mobility factor. We analyse Brent crude oil prices from February 10, 2020, to February 10, 2022. We consider Bitcoin, BNB, Ether, Tether, and USD Coin, the top five cryptocurrencies by market capitalization, as possible hedges. We explore their potential to protect oil investments using two approaches. The first focuses on price movement, and the second one on minimizing portfolio volatility. We use three modelling techniques: asymmetric causality in prices, a threshold vector-autoregressive model for returns, and dynamic conditional correlation analysis. We show that while stablecoins provide the best protection against downward movements in oil prices, they do not reduce investment volatility.

Foreign Capital Inflows and Stock Market Development in Nigeria: An Asymmetric Causality Approach

The study used the recently developed symmetric and asymmetric Granger causality test by Hatemi-J to investigate the causal relationships between foreign capital inflows and stock market development in Nigeria from 1986 to 2019. The findings show unidirectional symmetric causality between stock market development and foreign direct investment, while no symmetric causality was found between stock market development and foreign portfolio investment. The results show unidirectional asymmetric causality of positive and negative shocks of stock market development to the negative shock of foreign direct investment. In contrast, the negative shock of stock market development shows a unidirectional asymmetric causality to the positive shock of foreign portfolio investment. The results revealed the causality relationship between foreign capital inflows and stock market development, including positive and negative aspects in Nigeria. These findings have implications for portfolio design and strategies that are important to policymakers and investors.How to Cite:Awoleye, E. O., (2022). Foreign Capital Inflows and Stock Market Development in Nigeria: An Asymmetric Causality Approach. Signifikan: Jurnal Ilmu Ekonomi, 11(2), 339-354. https://doi.org/10.15408/sjie.v11i2.26195.JEL Classification: G12, F21, D82, C19

Temettü Veriminin BIST Hisse Senedi Fiyatlarını Tahmin Gücünün Nedensellik Testleriyle Analizi

Bu çalışmada Campbell ve Shiller (1988a) modelinden hareketle, temettü veriminin BIST hisse senedi fiyatlarını tahmin gücü incelenmektedir. Araştırmada, temettü veriminin hisse senedi fiyatlarını tahmin etmede başarılı bir faktör olup olmadığı test edilecektir. Çalışma, teorisyenler, yatırımcılar ve politika yapıcılar açısından önemli çıkarımlara sahiptir. Öncelikle, kâr payı ödemelerinin firma değerine etkisinin ortaya koyulmuş olması, yöneticiler açısından temettü dağıtım politikalarının oluşturulmasında belirleyici olacaktır. Ayrıca, temettü veriminin tahmin gücünün ortaya koyulması durumunda, yatırımcılar ve portföy yöneticileri, bugünkü değer (present value) yaklaşımını kullanarak belirli bir hisse senedinin yüksek veya düşük değerlenmiş olduğunu tespit edebilirler. Temettü ödemelerinin piyasa dinamiklerine olan etkilerinin bilinmesi, düzenleyici otoritelerin politika kararlarında da yol gösterici olacaktır. Araştırma metodolojisi olarak Toda-Yamamoto (1995) ve Hatemi-J (2012) asimetrik bootstrap nedensellik testleri benimsenmiştir. Araştırmada, Aralık 2011–Kasım 2021 tarihlerinde BIST 100 endeksinde devamlılık gösteren ve kesintisiz olarak temettü ödeyen hisse senetlerine ait temettü verimi ve ay sonu kapanış fiyatı serileri kullanılmıştır. Toda-Yamamoto nedensellik testi bulgularına göre AGHOL, BIMAS, EGEEN, INDES, SARKY, SELEC ve TOASO hisse senetlerinde temettü veriminden hisse senedi fiyatlarına doğru nedensellik ilişkisi tespit edilmiştir. Hatemi-J (2012) asimetrik bootstrap nedensellik testi, Toda-Yamamoto testine nazaran daha az sayıda nedensellik ilişkisine işaret etmektedir. İncelenen çoğu hisse senedinde temettü verimi ve fiyat değişkenlerinin pozitif ya da negatif bileşenleri arasında nedensellik ilişkisi saptanmamıştır. Temettü veriminin tahmin gücüyle ilgili karışık bulgulara ulaşılmasının arka planında, incelenen değişkenlerde yapısal kırılmaların görülmesi, temettü veriminin tahmin gücünün zamanla değişen bir yapıda olması, piyasa şartlarına bağlı olarak tahmin gücünün zayıflaması, temettü verimi ve fiyat arasındaki ilişkinin nonlineer yapıda gerçekleşebilmesi, hisse senedi bazında yapılan sınamaların endeks bazında yapılan sınamalara nazaran dezavantajlı olması, aylık frekanstaki gözlemlerden ziyade yıllık frekanstaki gözlemlerin kullanılması durumunda, temettü veriminin tahmin gücünün daha fazla artış gösteriyor olması, firmaların temettü politikasındaki değişikliklerin ve hisse geri alım kararlarının temettü veriminin tahmin gücünü zayıflatıyor olması sayılabilir.

The Relationship Between Economic Growth, Inequality and Redistribution in Selected OECD Countries: Evidences From Panel Cointegration and Asymmetric Causality Analysis

Bu çalışmada, seçili OECD ülkelerinde ekonomik büyüme, eşitsizlik ve yeniden dağılım ilişkisi 1987-2018 dönemi için panel eşbütünleşme ve Panel Hatemi-J asimetrik nedensellik analiz yöntemleri ile incelenmektedir. Yapısal kırılmalı panel eşbütünleşme (Westerlund ve Edgerton, 2008) testi sonuçlarına göre değişkenlerin uzun dönemde birlikte hareket ettiği tespit edilmiştir. Eşbütünleşme tahmincileri Ortalama Grup Dinamik En Küçük Kareler (DOLSMG) yöntemi ile analiz edilmiştir. Elde edilen bulgulara göre söz konusu ülkelerde ekonomik büyüme ile gelir eşitsizliği arasında negatif bir ilişki, ekonomik büyüme ve yeniden dağılım arasında ise pozitif bir ilişki bulunmaktadır. Asimetrik nedensellik sonuçlarına göre ise gelir eşitsizliğinde meydana gelen negatif bir şok ekonomik büyümede pozitif bir şoka neden olurken, yeniden dağılımda meydana gelen pozitif bir şok ekonomik büyümede negatif bir şoka neden olmaktadır.

Covid-19 and oil and gold price volatilities: Evidence from China market

Gold and crude oil are the influential commodities of the stock markets and real economy of the world in financial crises as well as in COVID-19 periods. However literature mainly focused on the effects of these commodities' prices only, and the volatilities in the prices of these commodities altogether with the prices got little attention. To fill in a major research gap, our study intends to estimate the dynamic relationship between oil prices, gold prices, oil prices volatilities and gold prices volatilities on the stock market of China. Using daily data over the period from 2009 to 2021, the study applied Autoregressive Distributed Lag (ARDL) bound test approach for the purpose of empirical estimation. Moreover, Non linear ARDL and asymmetric Causality analysis has also been applied for more comprehensive asymmetric estimation. The findings of our study indicated that gold prices and oil prices negatively affect stock market of China in the long run. In terms of implied volatility index of these commodities, study finds negative impact of price volatility of oil but positive impact of the price volatility of gold on the country's stock market in the long run. However, in the short run, only oil price and gold prices have significant effect on the China's stock market. On the basis of our findings, we recommend the investors to make rational decisions in response to the uncertainties in these markets and should consider gold as a safe haven to hedge themselves in times of uncertainty. Policymakers should take appropriate actions and adopt proper mechanisms for dealing with the quick uncertainty flow of information from the oil to the stock market.

An empirical investigation of the relationships between nuclear energy, economic growth, trade openness, fossil fuels, and carbon emissions in France: fresh evidence using asymmetric cointegration.

The intention behind the current analysis is to join the debate over the main factors to consider in the global fight against climate change. Thereby, the Non-linear Autoregressive Distributed Lag (NARDL) approach is applied to assess the impacts of nuclear energy, fossil fuels, income, and trade on carbon emissions in France from 1980 to 2020. In addition, the relevance of the Environmental Kuznets Curve (EKC) presumption is tested. The main results stipulate that nuclear energy lessens CO2 emissions in France. However, fossil fuels and trade openness enhance these emissions. On the other hand, the current analysis confirms the presence of an inverted U-shaped curve relating economic growth to carbon emissions. Therefore, the EKC hypothesis is supported in our case. Indeed, by calculating the turning point, it is possible to extract the turning year corresponding to 2008. Furthermore, an asymmetric causality test is performed in order to identify the possible non-linear causal links between the potential drivers of carbon emissions. First, the causal linkage between CO2 emissions and GDP is bidirectional. Furthermore, a unidirectional causal link between CO2 emissions and non-renewable energies and a dual directional causal link between pollutant emissions and trade are identified. These empirical results are intended to guide the French government in the implementation of relevant energy and trade-related strategies in order to attain the ambitious targets of carbon emissions reduction. In fact, France should reduce imports of fossil fuels to curtail the positive effect of trade on carbon emissions. In addition, it is recommended to substitute fossil energies with renewable energies gradually by using adequate instruments and boosting research and innovation to mitigate the adverse influences of non-renewable energies on environmental quality. Finally, our findings confirm the positive role played by nuclear energy in the fight against climate change.

Evaluation of the Symmetrical and Asymmetrical Causality Relationship Between Bitcoin Energy Consumption and Stock Values of Technology Companies

Energy production is a phenomenon that has always preserved its importance for the history of humanity, as well as where the energy is spent and its consumption are also important. This study examined the causality relationship between Bitcoin energy consumption and Apple, Dell Technologies, Lenova Group, HP, Quanta Computer, Compal Electronics, Canon, Wistron and Hewlett Packard Enterprise has been taken into account to represent technology companies’ stock market. In the analysis, daily price data for the period 12.02.2017-07.02.2021 were used. Toda-Yamamoto (1995) symmetric causality test and Hatemi-J (2012) asymmetric causality test were used for used to determine the relationship between Bitcoin energy consumption and technology companies’ stock values. According to the results of the Toda-Yamamoto (1995) causality test, it has been found that there is a causality from Bitcoin energy consumption to Apple's stock value; according to the Hatemi-J (2012) asymmetric causality test results, it has been determined that there is a causality from Bitcoin energy consumption positive shocks to Apple, Dell Technologies, Lenova Group, HP, Quanta Computer, Compal Electronics, Canon, Wistron and Hewlett Packard Enterprise stock values negative shocks and from Bitcoin energy expenditure negative shocks to Hewlett Packard Enterprise negative shocks. According to the results of the study in general, it is seen that the change in Bitcoin energy consumption has an effect on the firm returns of the companies that sell the necessary tools for bitcoin energy production. From this, it can be commented that bitcoin mining is also effective on the stock returns of technology companies as well as many financial factors.

Diversification Benefits between Stock Returns from Ghana and Jamaica: Insights from Time-Frequency and VMD-Based Asymmetric Quantile-on-Quantile Analysis

Due to the susceptibility of assets to the dynamism in financial markets, the emergence of new asset classes induces empirical assessments of their risk-reduction abilities. This issue is envisaged from the perspective of new investment combinations that emerge from the new market alliance between Ghana and Jamaica. This study investigates the heterogeneous and asymmetric co-movements between stock market returns from Ghana and Jamaica with data from 04 April 2011 to 17 March 2022. The wavelet analysis is carried out, followed by causality in quantiles and quantile-on-quantile regression (QQR) analysis with decomposed return series using the variational mode decomposition (VMD) approach. The findings from the bi-wavelet analysis divulge low connectedness between stock returns from Ghana and Jamaica. The cone of influence from the coherence plot does not cover the entire spectrum, particularly beyond the annual scale. Hence, co-movements between GSECI and JSEIND beyond a year may be less significant for portfolio management. Findings from the causality test evidenced bi-directional asymmetric causality between the two markets. From the VMD-based QQR analysis, it is revealed that stock returns from Ghana and Jamaica are safe-havens, hedges, and diversifiers for each other. The significant diversification prospects between the two markets signal that the two stock markets could facilitate the inflow of capital assets for extended growth and development of their overall economies. Policymakers and regulators could attract international investors and promote the flow of funds between the two economies through effective regulation of stock markets. Specific implications for market participants and policymakers are discussed.

Examining the macro-determinants of tourist arrivals in India.

The present study analyzes the asymmetric association of exchange rate and world income with inbound tourism demand in India using a recently developed nonlinear autoregressive distributed lag model. For this purpose, the study uses monthly data from January 2003 to December 2020 for inbound tourism demand, real effective exchange rate, and world income as the variables of the model. The study used an asymmetric causality test on the lines of Hatemi-J. The findings confirm the existence of a nonlinear association between exchange rate and tourism demand in the long run. Furthermore, the increases in the world income have a positive and significant effect on tourist arrivals in India. In addition, the findings indicate that exchange rate shocks play a vital role in the long run. The cointegration test is supplemented with nonlinear causality analysis. The causal result depicted positive shocks in the exchange rate and world income sharing a unidirectional causal relationship with tourist arrivals. The result of this research can significantly facilitate the policymakers for devising short-run as well as long-run policies to consolidate the macroeconomic fundamentals such that tourism demand can be enhanced in India.