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Contagion Effects of Covid-19 on Select Stock Market Indices [PDF]
Eurasian Journal of Business and Economics, 2022 We examine the impact of the COVID-19 pandemic on the interlinkages between the Indian stock market and some of the largest indices across the world.
Gopalakrishnan KALPAKAM
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Determinants of Budget Deficit in Nigeria
Journal of International Business, Economics and Entrepreneurship, 2021 This paper investigates the factors governing the determination of budget deficit in Nigeria from 1981q1 through 2016q4. Our methodology is based on Johansen cointegration and Vector Error Correction model (VECM) approach.
Maimuna M. Shehu, Ibrahim M. Adamu
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Johansen‐type cointegration tests with a Fourier function
Journal of Time Series Analysis, 2022 This article extends the pioneering Johansen cointegration test to allow for structural breaks in a cointegration system. Instead of using usual dummy variables, we utilize a Fourier function to control for an unknown number of multiple breaks in the cointegration system.
Razvan Pascalau +3 more
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Хабаршысы. Экономика сериясы, 2023 Turkey adopted a policy of openness with the decisions of January 24, 1980. The openness policy implemented by Turkey has significantly increased the ability of the Turkish economy to attract foreign capital, with the effect of increasing international ...
Yılmaz Ulvi UZUN, Hakan KAYA
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The Effect of Sectoral Bank Loans on Economic Growth in Turkey
İstanbul İktisat Dergisi, 2022 In this study the effect of the loans extended by banks on the growth of the sector on a sectoral basis in the quarter of 2004Q1 and 2021Q2 in Turkey has been examined.
Tacinur Akça
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Cointegration Between Macroeconomic Variables and Sectoral Indices Movement in Bursa Malaysia [PDF]
Global Journal Al-Thaqafah, 2017 This paper examines the cointegration between sectoral indices in Bursa Malaysia and the selected macroeconomic variables, namely, oil price (OP), gold price (GP), and exchange rate (ER), during the period 1995- 2014.
Jaafar Pyeman, Ismail Ahmad
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Medium-Term Horizon Time Photovoltaic Power Generation Prediction for an Island Zone
Engineering Proceedings, 2023 This article presents a Johansen test assessing the predetermined long-term relationships of datasets from a photovoltaic (PV) plant to predict the power output of an island zone. The goal was to use Johansen’s model to predict the PV power generation in
Harry Ramenah +3 more
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Exports and Economic Growth: The Causality Test for ASEAN Countries
Economic Journal of Emerging Markets, 2009 This study proposes to investigate the causality between exports and economic growth in the ASEAN countries over the periods 1966 –2000. The role of the export variable in the investigation of economic growth is emphasized.
Abdul Ghafar Ismail, D. Agus Harjito
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Analisis Kointegrasi Bursa Efek Indonesia, Malaysia dan Singapura: Pendekatan Pair-Case dan Multivariate [PDF]
Jurnal Manajemen Dan Kewirausahaan, 2020 This study aims to examine the stock market cointegration between Indonesia Stock Exchange (IDX), Malaysian Stock Exchange (Bursa Malaysia) and Singapore Stock Exchange (SGX). The weekly stock indexes covering January 2013 to December 2018 are analyzed
Amsal Irmalis, Fajri Hadi
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Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated [PDF]
International Finance Discussion Papers, 2007 We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace tests for cointegration under the empirically relevant situation of near-integrated variables. Using Monte Carlo techniques, we show that in a system with near-integrated variables, the probability of reaching an erroneous conclusion regarding the cointegrating rank ...
Erik Hjalmarsson, Par Osterholm
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