Volume-3, Issue-6, November-2016 ISSN No:
|
|
- Imogene Pitts
- 6 years ago
- Views:
Transcription
1 A STATISTICAL ANALYSIS OF STOCHASTIC DRIFT IN THE MARKET OF METALS PLATINUM AND IRIDIUM Arghajit Mitra Research Scholar, Christ University, Bengaluru, India Subhashis Biswas Research scholar, Christ University, Bengaluru, India Sandeep Kaur Research Scholar, Christ University, Bengaluru, India Abstract The six platinum-group metals are ruthenium, rhodium, palladium, osmium, iridium, and platinum. Their chemical and physical properties are almost similar, and have the tendency to occur together in the same mineral deposits. It is important as a metal because it is estimated that about 20% of products purchased either contain platinum or use it in production. This study concentrates on the stochastic drift between platinum and another metal iridium. The various sectors that can benefit from the study are- automotive, jewellery, chemical processing, electronics, petroleum refining and medical equipment. Predicting stock market behavior has been quite an extensive research domain for many years for now, and particularly when this kind of prediction is done on precious metals, it has got an extensive use. It makes the work easier and quite simple to derive the pattern out of a market movement if both of them are stochastically drifted in a similar direction. Keywords: Granger Causality, stochastic drift, cointegration JEL Classification: C5, C15 I. INTRODUCTION The term stochastic drift has extensively been used in financial glossary to mean the change in the average value of a random process. In other words, if there is a stochastic drift between two time series, they tend to move apart. Time series variables, for example, stock prices, gross domestic product (GDP) etc., generally evolve stochastically and often are non-stationary. This study tries to find a link between the patterns of the prices of two metals platinum and iridium. Wherever a high commonality in the markets of both these precious metals has been spotted, the movement pattern is bound to be similar too. As explained, Stochastic Drift refers to the change in the average value of any random process. As the movement of the prices of both the metals platinum and iridium is random in nature, so, it can be derived that both of them could be measured by Granger Causality, since both of them are falling into the same 37
2 basket of stochastic drift. Granger Causality could be the most apt test here to establish the linkage between their prices because here, one signal is determining the other. So, one signal that determines the other bears the clue for determining the second signal in its past behavioral pattern. Hence, a sound and plausible relationship could be established. II. LITERATURE REVIEW Many researchers in the past have done research based on stochastic drift. In 1998 Daniel, Kent, David Hirshleifer and Avanidhar Subramanyam proposed a theory of security market under and over reaction based on two well-known psychological biases.i.e. Investor confidence about precision of private information and biased self-attribution (which causes shifts in investor confidence as a function of their investment outcomes). In 2003, Chen AS, Leung MT and Daouk H used the probabilistic neural network (PNN) to forecast the direction of index return after it was trained by historical data. They also used generalized methods of moments (GMM) to measure and compare the statistical performance of PNN with Kalman filter. In 2005, one such research was done on liberalization and financial growth by Bekaert, Harvey & Lundblad. The research showed that the equity market liberalization on an average increased economic growth by 1%. A similar work on Brazilian stock market was done by E.L. de Faria, Marcelo P. Albuquerque, J.L. Gonzalez, J.T.P. Cavalcante and Marcio P. Albuquerque in The work is a predictive study of the Brazilian stock market through artificial neural network and adaptive exponential smoothing methods. The objective of the study is to compare the forecasting performances and accuracy of both methods to predict the sign of the market returns. The study shows that both methods produce similar results regarding the prediction of the index returns. On the contrary, the neural networks outperform the adaptive exponential smoothing method in forecasting and predicting the market movements, with relative hit rates similar to the ones found in other developed markets. Ghosh B & Srinivasan P in 2014 studied the impact of FII flows on the domestic stock market. The paper studies the changes in speculative activities and also the volatility that occurs due to such activities in the domestic stock market. The study concluded that though BSE 100 depends on FII & DIIs and their money inflow, but yet neither that impact is substantial nor there is any clear pattern to predict the future trend of BSE 100. III. RESEARCH METHODOLOGY This study tries to find a link between the patterns of the prices of two precious metals platinum and iridium in the New York market. Granger Causality test has been used to identify the link and establish a valid relationship between them. The study is conducted for a period of 24 years starting from 1 st July, 1992 to 4 th July, In this case, both type of Granger Causality tests have been performed which means platinum prices effecting iridium prices and iridium prices effecting platinum prices within the fixed time frame of 24 years. Moreover, Johansen Co-integration test has also been applied to understand the similarity of patterns in between the visual representation of the two waveforms of the prices of the two metals in consideration. Now, the research question lies in the fact that whether they follow the same 38
3 stochastic drift or not, and if so, whether they are co-integrated or not. In case, they are found to be co-integrated, then the arbitrage opportunities within will automatically tend to come down. Obviously, this will make the markets increasingly efficient. But, in case, they are not found to be co-integrated, then the significant arbitrage opportunity within will tend to make both of them a weak form of efficiency. IV. STUDY OUTPUT Table I: NORMALITY TEST (JARQUE-BERA TEST) Platinum Date: 31/07/2016 Time : 07:28 Sample: 01/07/1992 to 04/07/2016 PRICEL Mean Median Maximum Minimum Standard deviation Skewness Kurtosis Jarque-Bera Probability Sum Sum squared deviation Observations 6065 Iridium Date : 31/07/2016 Time : 07:35 Sample : 01/07/1992 to 05/07/2016 PRICEL Mean Median Maximum Minimum Standard deviation Skewness Kurtosis Jarque-Bera
4 Probability Sum Sum squared deviation Observations 6064 Table II: REGRESSION TEST Platinum Dependent variable: PRICEL Method: Least Squares Date: 07/07/2016 Time : 23:23 Sample (adjusted) : 02/07/1992 to 04/07/2016 Included observations: 6064 after adjustments Variable Coefficient Std. Error t-statistic Probability C PRICEL(-1) R-Squared Mean dependent var Adjusted R-Squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criterion F-Statistic Durbin-Watson stat Prob (F-Statistic) Iridium Dependent variable: PRICEL Method: Least Squares Date: 07/07/2016 Time : 21:45 Sample (adjusted) : 02/07/1992 to 05/07/2016 Included observations: 6063 after adjustments Variable Coefficient Std. Error t-statistic Probability C PRICEL(-1)
5 R-Squared Mean dependent var Adjusted R-Squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criterion F-Statistic Durbin-Watson stat Prob (F-Statistic) Table III: AUGMENTED DICKEY-FULLER UNIT ROOT TEST Platinum Null hypothesis: D (PRICEL) has a unit root Exogenous: Constant, Linear Trend Lag length: 0 (Automatic - based on SIC, maxlog = 33) t-statistic probability Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller test equation Dependent Variable: D(Pricel,2) Method: Least Squares Date: 07/07/16 Time: 23:25 Sample: 03/07/1992 to 04/07/2016 Included Observations: 6063 after Adjustments Variable Coefficient Std. Error t-statistic Prob D(PRICEL(-1)) C ( 7/01/1992 ) -5.58E E
6 R-squared Mean Dependent Var 1.07E-06 Adjusted R-squared S.D Dependent var S.E of regression Akaike info criterion Sum Squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob (F-statistic) 0 Iridium Null hypothesis: D (PRICEL) has a unit root Exogenous: Constant, Linear Trend Lag length: 14 (Automatic, Based on SIC, maxlag = 33) t-statistic probability Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller test-equation Dependent Variable: D (Pricel,2) Method: Least Squares Date: 08/01/16 Time: 17:53 Sample (adjusted): 23/07/1992 to 05/07/2016 Included Observations: 6048 after adjustments Variable Coefficient Std.Error t-statistic Prob D(PRICEL(-1)) D(PRICEL(-1),2) D(PRICEL(-2),2) D(PRICEL(-3),2) D(PRICEL(-4),2) D(PRICEL(-5),2) D(PRICEL(-6),2) D(PRICEL(-7),2) D(PRICEL(-8),2) D(PRICEL(-9),2) D(PRICEL(-10),2)
7 D(PRICEL(-11),2) D(PRICEL(-12),2) D(PRICEL(-13),2) D(PRICEL(-14),2) C 1.91E /01/1992 ) 1.37E E R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic) Table IV: JOHANSEN TEST Date: 09/07/16 Time: 18:26 Sample (adjusted): 6064 Included observations: 6059 after adjustments Trend assumption: Quadratic deterministic trend Series: IRL PTL Lags interval (in first differences): 1 to 4 Unrestricted Co-integration Rank Test (Trace) Hypothesized no. of CE(s) Eigenvalue Trace statistic 0.05 critical value Prob.** None At most Trace test indicates no cointegration at the 0.05 level *denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values 43
8 Unrestricted Cointegration Rank Test Hypothesized no. of CE(s) Eigenvalue Max-Eigen Statistic 0.05 critical value Prob.** None At most Max-eigenvalue test indicates no cointegration at 0.05 level *denotes rejection of the hypothesis at 0.05 level **MacKinnon-Haug-Michelis (1999) p-values Unrestricted cointegrating coefficients (normalized by b *S11*b=1) IRL PTL Unrestricted Adjustments coefficients (alpha) D (IRL) D (PTL) Cointegrating equation(s): Log likelihood Normalized cointegrating coefficients (standard error in parentheses) IRL PTL ( ) Adjustment coefficients (standard error in parentheses) D (IRL) ( ) D (PTL) ( ) 44
9 Table V: SINGLE EQUATION TEST Engle-Granger Cointegration Test Series: IRL PTL Sample: Included observations: 6064 Null hypothesis: Series are not cointegrated Co integrating equation deterministic: C Automatic lags specification based on Schwarz criterion (maxlag=33) Dependent tau-statistic Prob.* z-statistic Prob.* IRL PTL MacKinnon (1996) p-values. Intermediate Results: IRL PTL Rho Rho S.E Residual variance Long-run residual variance Number of lags 0 6 Number of observations Number of stochastic trends" 2 2 **Number of stochastic trends in asymptotic distribution Table VI: GRANGER CAUSALITY TEST Pairwise Granger Causality Tests Date: 07/31/16 Time: 22:15 Sample: Lags: 1 Null Hypothesis: Obs F-Statistic Prob. PT_LOG does not Granger Cause IR_LOG IR_LOG does not Granger Cause PT_LOG
10 V. CONCLUSION Jarque-Bera Test: Since, probability in both the cases is , the given datasets are normal and hence time series in both the cases can be predicted. The dataset of Platinum passes the normality test with value Ideally, values greater than 1000 are considered normal and even. In this case, though the value is less than 1000, still it is considered to be normal, but not even, rather odd. Similarly, the dataset of Iridium too passes the normality test at , though fails to qualify to be called an even dataset. Regression Test: In this method, lag 1 is used to predict the original time series. The probabilities of both the time series of the prices of Platinum and Iridium are which means that their level of occurrence are 100% in both the cases. The values for the three information criterions Akaike, Schwarz and Hannan-Quinn show that there is volatility present in the prices of platinum and iridium in the New York market. The value of DW stat for platinum is , which is almost equal to 2. The value of λ 1 from the equation DW = 2(1-λ 1 ) which comes out to be , which is neither close to positive autocorrelation nor negative auto-correlation. Similarly, from the DW stat , λ 1 for iridium can be calculated which comes out to be , thus drawing the same conclusion as of platinum. In both the cases the DW stat values are greater than the values of the respective R squared, which indicates that the datasets are good and there are no trace of spuriousness in them. ADF Test: Probability for Platinum is and for Iridium is Both these values are very low and almost close to zero. Since probability is low, so the datasets are stationary. The log-likelihood value for Platinum is 17,347 and for Iridium is 18,605. Generally the critical value for log likelihood is Since, the values are much more than 2000, it indicates that the datasets are extremely volatile and indeed their respective markets. Johansen Co-integration Test: Trace test indicates that there is no indication of co-integration between Platinum and Iridium market prices at 0.05 level. Thus there arises no question of the impact of co-integration. It is hence revealed in the maximum Eigen-value test which also says that there is no co-integration at 0.05 level. Granger Causality Test: It is seen that p value of the second one is lower. In that instance, for the null hypothesis that Iridium does not cause Platinum, the probability is also high at 6.38%. Thus, null hypothesis is accepted. Hence, prices of iridium have no effect on the prices of platinum. For the other instance, that platinum does not cause iridium, the probability is high at 12.96%. So, null hypothesis is accepted. Hence platinum prices have no effect on the prices of Iridium. 46
11 VI. LIMITATIONS OF THE STUDY AND SCOPE OF FUTURE WORK Artificial Neural Network & Fuzzy Neural Network are better tools for these kind of research works. Henceforth, they could be used in the same study too, and that too from a different perspective. However, the cardinal question remains the same as to whether investors focus more on indexes first and then the stocks or is it the other way round. REFERENCES 1. de faria, e., albuquerque, m.p., & gonzalez, j.l. (2009) predicting the brazilian stock market through neural networks and adaptive exponential smoothing methods. expert systems with applications, 36(10): ghosh, b & srinivasan, p. (2015) a statistical analysis of the stochastic drift between sensex & nifty- an in-depth study. international journal of innovative research and development, an-sing chen, leung,m.t. & daouk, h. application of neural networks to an emerging $nancial market: forecasting and trading the taiwan stock index. 4. gupta, n. & yuan, k. (2008) on the growth effect of stock market liberalizations 5. bekaert, g., harvey, c.r & lundblad, c. (2005) does financial liberalization spur growth? journal of financial economics,
FORECASTING THE GROWTH OF IMPORTS IN KENYA USING ECONOMETRIC MODELS
FORECASTING THE GROWTH OF IMPORTS IN KENYA USING ECONOMETRIC MODELS Eric Ondimu Monayo, Administrative Assistant, Kisii University, Kitale Campus Alex K. Matiy, Postgraduate Student, Moi University Edwin
More informationELECTRICITY CONSUMPTION & ECONOMIC GROWTH IN BANGLADESH: EVIDENCE FROM TIME-SERIES CAUSALITY APPROACH
Romanian Economic and Business Review Vol. 11, number 2 19 ELECTRICITY CONSUMPTION & ECONOMIC GROWTH IN BANGLADESH: EVIDENCE FROM TIME-SERIES CAUSALITY APPROACH Arifuzzaman KHAN 1 Sandip SARKER 2 Delowar
More informationAvailable online at ScienceDirect. Procedia Economics and Finance 24 ( 2015 )
Available online at www.sciencedirect.com ScienceDirect Procedia Economics and Finance 24 ( 2015 ) 353 362 International Conference on Applied Economics, ICOAE 2015, 2-4 July 2015, Kazan, Russia Relationships
More informationPresented at the FIG Congress 2018, May 6-11, 2018 in Istanbul, Turkey
Presented at the FIG Congress 2018, May 6-11, 2018 in Istanbul, Turkey Introduction 1 Real estate and construction sectors have been influenced positively from economic growth and a favorable investment
More informationTHE RELATIONSHIP BETWEEN MONEY STOCK AND ECONOMIC GROWTH OF SRI LANKA: AN AEG TESTING APPROACH
THE RELATIONSHIP BETWEEN MONEY STOCK AND ECONOMIC GROWTH OF SRI LANKA: AN AEG TESTING APPROACH A.L.Mohamed Aslam 1, S.M. Ahamed Lebbe 2 1 Sri Lanka Planning Service, Ministry of National Policy Planning,
More informationThe Short Term and Long Term Relationship between China s Fundamental, Scientific Journal Rates and Gross Domestic Product Sustainability
International Journal of Business and Management; Vol. 8, No. 18; 2013 ISSN 1833-3850 E-ISSN 1833-8119 Published by Canadian Center of Science and Education The Short Term and Long Term Relationship between
More informationFinance & Banking Studies
Journal of Finance & Banking Studies 7(1), 2018: 27-32 Finance & Banking Studies IJFBS, VOL 7 NO 1 Contents available at www.ssbfnet.com/ojs https://doi.org/10.20525/ijfbs.v7i1.837 Impact of working capital
More informationERROR CORRECTION, CO-INTEGRATION AND IMPORT DEMAND FUNCTION FOR NIGERIA
ERROR CORRECTION, CO-INTEGRATION AND IMPORT DEMAND FUNCTION FOR NIGERIA Omoke, Philip Chimobi Department of Economics Ebonyi State University Abakaliki, Nigeria Email philomoke@yahoo.com Abstract The objective
More informationBritish Journal of Economics, Finance and Management Sciences 22 October 2011, Vol. 2 (1)
British Journal of Economics, Finance and Management Sciences 22 Human Capital: Education and Health in Economic Growth and Development of the Nigerian Economy Aminu Umaru Lecturer, Department Of Economics,
More informationTHE SOURCE OF TEMPORARY TECHNOLOGICAL SHOCKS
IJER, Vol. 9, No. 1, January-June, 2012, pp. 53-68 THE SOURCE OF TEMPORARY TECHNOLOGICAL SHOCKS XIANMING MENG University of New England, School of Business, Economics and Public Policy, University of New
More informationAn Analysis of Cointegration: Investigation of the Cost-Price Squeeze in Agriculture
An Analysis of Cointegration: Investigation of the Cost-Price Squeeze in Agriculture Jody L. Campiche Henry L. Bryant Agricultural and Food Policy Center Agricultural and Food Policy Center Department
More informationFactors Affecting the Non-Oil Exports In Iranian Economy
Iranian Economic Review, Vol.15, No.27, Fall 2010 Factors Affecting the Non-Oil Exports In Iranian Economy Ali Farhadi Farhad Ghaffari Mahdi Taghavi Abstract I n this paper we investigate the relationship
More informationAN ECONOMETRIC ANALYSIS OF THE RELATIONSHIP BETWEEN AGRICULTURAL PRODUCTION AND ECONOMIC GROWTH IN ZIMBABWE
AN ECONOMETRIC ANALYSIS OF THE RELATIONSHIP BETWEEN AGRICULTURAL PRODUCTION AND ECONOMIC GROWTH IN ZIMBABWE Alexander Mapfumo, Researcher Great Zimbabwe University, Masvingo, Zimbabwe E-mail: allymaps@gmail.com
More informationEnergy consumption, Income and Price Interactions in Saudi Arabian Economy: A Vector Autoregression Analysis
Advances in Management & Applied Economics, vol.1, no.2, 2011, 1-21 ISSN: 1792-7544 (print version), 1792-7552 (online) International Scientific Press, 2011 Energy consumption, Income and Price Interactions
More informationDoes Energy Consumption Cause Economic Growth? Empirical Evidence From Tunisia
Australian Journal of Basic and Applied Sciences, 5(12): 3155-3159, 2011 ISSN 1991-8178 Does Energy Consumption Cause Economic Growth? Empirical Evidence From Tunisia 1 Monia Landolsi and 2 Jaleleddine
More informationExchange Rate Determination of Bangladesh: A Cointegration Approach. Syed Imran Ali Meerza 1
Journal of Economic Cooperation and Development, 33, 3 (2012), 81-96 Exchange Rate Determination of Bangladesh: A Cointegration Approach Syed Imran Ali Meerza 1 In this paper, I propose and estimate a
More informationWhat Influences Bitcoin s Price? -A VEC Model Analysis
What Influences Bitcoin s Price? -A VEC Model Analysis Zhu Yechen, Central University of Finance and Economics, China. E-mail: yczhu@163.com David Dickinson, University of Birmingham, UK. E-mail: d.g.dickinson@bham.ac.uk
More information55 th Annual AARES National Conference Melbourne, Victoria February 2011
55 th Annual AARES National Conference Melbourne, Victoria February 2011 Author Name: Tichaona Pfumayaramba 1 Paper Title: Analysis of Flue-cured Tobacco Supply Elasticity in Zimbabwe 1980-2010: An Error
More informationForecasting Major Food Crops Production in Khyber Pakhtunkhwa, Pakistan
Journal of Applied and Advanced Research 2017, 2(1): 21 30 doi.: 10.21839/jaar.2017.v2i1.40 http://www.phoenixpub.org/journals/index.php/jaar ISSN 2519-9412 / 2017 Phoenix Research Publishers Research
More informationThe Dynamics of Relationship between Exports, Import and Economic Growth in India
The Dynamics of Relationship between Exports, Import and Economic Growth in India DR. SACHIN N. MEHTA Assistant Professor, D.R. Patel and R. B. Patel Commerce College, Bharthan (Vesu),Surat, Gujarat (India)
More informationVolume-5, Issue-1, June-2018 ISSN No:
FORECASTING EXCHANGE RATE WITH AR(1) AND MA(1) Armi Bakar Lecture at Universitas Indraprasta PGRI, Jakarta, indonesia Abstract In this study has a major problem with the B & J methodology, the problem
More informationA Statistical Analysis on Instability and Seasonal Component in the Price Series of Major Domestic Groundnut Markets in India
International Journal of Current Microbiology and Applied Sciences ISSN: 2319-776 Volume 6 Number 11 (217) pp. 815-823 Journal homepage: http://www.ijcmas.com Original Research Article https://doi.org/1.2546/ijcmas.217.611.96
More informationCan Stock Adjustment Model of Canadian Investment Be Meaningful Case for Multicointegration Analysis?
DOI: 1.7763/IPEDR. 214. V69. 4 Can Stock Adjustment Model of Canadian Investment Be Meaningful Case for Multicointegration Analysis? Onur Tutulmaz 1+ and Peter Victor 2 1 Visiting Post-Doc Researcher;
More informationIMPACT OF AUDIT PLANNING ON AUDIT QUALITY: CASE STUDY OF LOCAL AUDIT FIRMS IN UZBEKISTAN
International Journal of Economics, Commerce and Management United Kingdom Vol. V, Issue 11, November 2017 http://ijecm.co.uk/ ISSN 2348 0386 IMPACT OF AUDIT PLANNING ON AUDIT QUALITY: CASE STUDY OF LOCAL
More informationA Study on Turnover Effect of Housing Asset
, pp.162-166 http://dx.doi.org/10.14257/astl.2015.114.31 A Study on Turnover Effect of Housing Asset HyunWook Ryu 1, SangSu Keum 1 95 Hoam-ro, Uijeongbu, Shinhan University 11644 Gyeonggi, Republic of
More informationSpatial Price Transmission: A Study of Rice Markets in Iran
World Applied Sciences Journal 1 (4): 646-650, 013 ISSN 1818-495 IDOSI Publications, 013 DOI: 10.589/idosi.wasj.013.1.4.175 Spatial Price Transmission: A Study of Rice Markets in Iran 1 1 Forooz Jezghani,
More informationImpact of Non-oil Export on Non-oil Economic Growth in Saudi Arabia
International Journal of Economics and Financial Issues ISSN: 2146-4138 available at http: www.econjournals.com International Journal of Economics and Financial Issues, 2017, 7(3), 389-397. Impact of Non-oil
More informationDeterminants of Food Price Inflation in Ethiopia
Determinants of Food Price Inflation in Ethiopia Zewdu Hilegebrial Research Officer in the National Bank of Ethiopia. Abstract This paper explores determinants of food price inflation in Ethiopia during
More informationAn Analysis of the Relationship between Remuneration (Real Wage) and Labour Productivity in South Africa
An Analysis of the Relationship between Remuneration (Real Wage) and Labour Productivity in South Africa Johannes Tshepiso Tsoku Department of Statistics, North West University, Mafikeng Campus, South
More informationDynamic Impacts of Commodity Prices on the Moroccan Economy and Economic, Political and Social Policy Setting
Doi:10.5901/mjss.2016.v7n2p177 Abstract Dynamic Impacts of Commodity Prices on the Moroccan Economy and Economic, Political and Social Policy Setting Ahmad Baijou (Corresponding author) School of Business
More informationDynamic Linkages among European Carbon Markets: Insights on price transmission
DIME International Conference -3 September, 2008 GRETHA (UMR CNRS 53), University of Bordeaux (France) September, 2008 Dynamic Linkages among European Carbon Markets: Insights on price transmission PRELIMINARY
More informationForecasting Construction Cost Index using Energy Price as an Explanatory Variable
Forecasting Construction Cost Index using Energy Price as an Explanatory Variable Variations of ENR (Engineering News Record) Construction Cost Index (CCI) are problematic for cost estimation and bid preparation.
More informationHuman Capital and Economic Growth in India: A Co-integration and Causality Analysis
Ushus J B Mgt 14, 2 (2015), 1-18 ISSN 0975-3311 doi: 10.12725/ujbm.31.1 Human Capital and Economic Growth in India: A Co-integration and Causality Analysis Preeti Sharma * and Priyanka Sahni Abstract The
More informationFOLLOW-UP NOTE ON MARKET STATE MODELS
FOLLOW-UP NOTE ON MARKET STATE MODELS In an earlier note I outlined some of the available techniques used for modeling market states. The following is an illustration of how these techniques can be applied
More informationModelling and Forecasting the Balance of Trade in Ethiopia
American Journal of Theoretical and Applied Statistics 2015; 4(1-1): 19-23 Published online March 18, 2015 (http://www.sciencepublishinggroup.com/j/ajtas) doi: 10.11648/j.ajtas.s.2015040101.14 ISSN: 2326-8999
More informationAn Analysis of the Relationship between Manufacturing Growth and Economic Growth in South Africa: A Cointegration Approach
An Analysis of the Relationship between Manufacturing Growth and Economic Growth in South Africa: A Cointegration Approach Johannes T. Tsoku, Teboho J. Mosikari, Diteboho Xaba, Thatoyaone Modise Abstract
More informationAnalysis of Logistics Demand of Kashagar Administrative Offices Based on Multiple Linear Regression Model
World Journal of Innovative Research (WJIR) ISSN: 2454-8236, Volume-4, Issue-3, March 2018 Pages 20-25 Analysis of Logistics Demand of Kashagar Administrative Offices Based on Multiple Linear Regression
More informationMacroeconomic Variables and Money Supply: Evidence from Nigeria
288 An International Multidisciplinary Journal, Ethiopia Vol. 9(4), Serial No. 39, September, 2015:288-307 ISSN 1994-9057 (Print) ISSN 2070-0083 (Online) DOI: http://dx.doi.org/10.4314/afrrev.v9i4.22 Macroeconomic
More informationCHAPTER SIX EMPIRICAL ANALYSIS AND PRESENTATION OF ESTIMATED ECONOMETRIC MODELS
CHAPTER SIX EMPIRICAL ANALYSIS AND PRESENTATION OF ESTIMATED ECONOMETRIC MODELS 6.1 Introduction In this chapter, the variables included in the estimated models for agriculture, manufacturing and mining
More informationQuantification of Harm -advanced techniques- Mihail Busu, PhD Romanian Competition Council
Quantification of Harm -advanced techniques- Mihail Busu, PhD Romanian Competition Council mihail.busu@competition.ro Summary: I. Comparison Methods 1. Interpolation Method 2. Seasonal Interpolation Method
More informationTesting the Predictability of Consumption Growth: Evidence from China
Auburn University Department of Economics Working Paper Series Testing the Predictability of Consumption Growth: Evidence from China Liping Gao and Hyeongwoo Kim Georgia Southern University; Auburn University
More informationThe Relationship between Oil, Exchange Rates, and Commodity Prices
Journal of Agricultural and Applied Economics, 41,2(August 2009):501 510 Ó 2009 Southern Agricultural Economics Association The Relationship between Oil, Exchange Rates, and Commodity Prices Ardian Harri,
More informationImpact of SMEs in economic growth in Albania
European Journal of Sustainable Development (2016), 5, 3, 151-158 ISSN: 2239-5938 Doi: 10.14207/ejsd.2016.v5n3p151 Impact of SMEs in economic growth in Albania Grisejda Myslimi 1, Krisdela, Kaçani 1 Abstract
More informationFunctioning and Effectiveness of Monetary Transmission Mechanisms: Turkey Applications
Journal of Finance and Bank Management June 2017, Vol. 5, No. 1, pp. 29-41 ISSN: 2333-6064 (Print), 2333-6072 (Online) Copyright The Author(s). All Rights Reserved. Published by American Research Institute
More informationOil Consumption and Economic Growth Nexus in Tanzania Co integration and Causality Analysis
Oil Consumption and Economic Growth Nexus in Tanzania Co integration and Causality Analysis Benedict Baraka Stambuli Assistant Lecturer, Tanzania Public Service College, P.O. Box 110121 Dar Es Salaam,
More informationSource of Economic Growth in Ethiopia: An Application of Vector Error Correction Model
Australian Academy of Business and Economics Review (AABER) ISSN (Online) 2205-6726 ISSN (Print) 2205-6734 Source of Economic Growth in Ethiopia: An Application of Vector Error Correction Model Khalid
More informationIMPACT OF THE FOREIGN DIRECT INVESTMENT FROM THE MANUFACTURING SECTOR ON THE ROMANIAN IMPORTS OF INTERMEDIATE GOODS AND OF RAW MATERIALS
Annals of the University of Petroşani, Economics, 10(4), 2010, 87-96 87 IMPACT OF THE FOREIGN DIRECT INVESTMENT FROM THE MANUFACTURING SECTOR ON THE ROMANIAN IMPORTS OF INTERMEDIATE GOODS AND OF RAW MATERIALS
More informationAN EVALUATION OF FINANCIAL DEVELOPMENT AND ECONOMIC GROWTH OF NIGERIA: A CAUSALITY TEST
AN EVALUATION OF FINANCIAL DEVELOPMENT AND ECONOMIC GROWTH OF NIGERIA: A CAUSALITY TEST ABSTRACT OSUJI CASMIR CHINAEMEREM DEPARTMENT OF ACCOUNTING, BANKING AND FINANCE FACULTY OF MANAGEMENT SCIENCES DELTA
More informationInvestment in Education and Income Inequality: Testing Inverted U-Shaped Hypothesis for Pakistan
Pakistan Journal of Social Sciences (PJSS) Vol. 36, No. 2 (2016), pp. 751-760 Investment in Education and Income Inequality: Testing Inverted U-Shaped Hypothesis for Pakistan Ghulam Sarwar Assistant Professor,
More informationTHE CAUSAL RELATIONSHIP BETWEEN DOMESTIC PRIVATE CONSUMPTION AND WHOLESALE PRICES: THE CASE OF EUROPEAN UNION
THE CAUSAL RELATIONSHIP BETWEEN DOMESTIC PRIVATE CONSUMPTION AND WHOLESALE PRICES: THE CASE OF EUROPEAN UNION Nikolaos Dritsakis, Antonios Adamopoulos Abstract The purpose of this paper is to investigate
More informationRelationship between Education and Economic Growth: Case Study of Pakistan
Page 1 Relationship between Education and Economic Growth: Case Study of Pakistan Hina Ali Assistant Professor, Department of Economics, The Women University, Multan Pakistan. Ayesha Mahmud M.Phil. Scholar,
More informationInternational Journal of Environmental & Agriculture Research (IJOEAR) ISSN: [ ] [Vol-2, Issue-2, February- 2016]
Agricultural Export, Oil Export and Economic Growth in Nigeria: Multivariate Co-integration Approach Oyetade P. Oluwatoyese 1, Shri DewiApplanaidu 2, NorAzam Abdul Razak 3 School of Economics, Finance
More informationAnalysis Of Spatial Integration Of Citrus Markets In Benue And Kano States, Nigeria
Analysis Of Spatial Integration Of Citrus Markets In Benue And Kano States, Nigeria Ashiko, Felix Terfa Gaase Department of Agribusiness, University of Agriculture, Makurdi, Nigeria Ior Jacobs Adzenga
More informationGross Domestic Capital Formation, Exports and Economic Growth
Gross Domestic Capital Formation, Exports and Economic Growth Sana Iftikhar PhD Scholar, Department of Economics, National College of Business Administration & Economics (NCBA&E), Lahore Fakhar-un-Nisa
More informationAnalyzing the Influence of Electricity Generation on Employment in Pakistan: An Empirical Evidence
Analyzing the Influence of Electricity Generation on Employment in Pakistan: An Empirical Evidence DR. MUHAMMAD OMER CHAUDHRY Assistant Professor of Economics, B. Z. University, Multan. MS. ISMAT NASIM
More informationGlobalization And Its Impacts On Textile Industry s Export Performance In The Nigerian Economy (An Error Correction Approach)
Globalization And Its Impacts On Textile Industry s Export Performance In The Nigerian Economy 1980 2007 (An Error Correction Approach) Margaret A. Loto Abstract The paper investigated the impact of globalization
More informationA Study on the Location Determinants of the US FDI in China
Management Science and Engineering ISSN 1913-0341 Vol.3 No.2 2009 Canadian Research & Development Center of Sciences and Cultures 06/20/2009 E-mail: mse@cscanada.org; caooc@hotmail.com Http://www.cscanada.org
More informationEconometric Analysis of Network Consumption and Economic Growth in China
Econometric Analysis of Network Consumption and Economic Growth in China Yuqi LI, Tingie LV, Xia Chen Beijing University of Posts and Telecommunications Beijing,China Abstract With the rapid development
More informationi. How do you measure the value of a firm? What is the likely impact of further increases in global oil prices on a firm's value? Explain.
PART A INSTRUCTIONS: 1. THERE ARE FOUR (4) QUESTIONS IN THIS PART. 2. ANSWER ALL QUESTIONS. Question 1 a. Given the following news caption: KUALA LUMPUR, June 30, Wednesday - Prime Minister Abdullah Ahmad
More informationShort and Long Run Equilibrium between Electricity Consumption and Foreign Aid
Review of Contemporary Business Research June 2014, Vol. 3, No. 2, pp. 105-115 ISSN: 2333-6412 (Print), 2333-6420 (Online) Copyright The Author(s). 2014. All Rights Reserved. Published by American Research
More informationThe Performance of Unemployment Rate Predictions in Romania. Strategies to Improve the Forecasts Accuracy
REVIEW OF ECONOMIC PERSPECTIVES NÁRODOHOSPODÁŘSKÝ OBZOR, VOL. 13, ISSUE 4, 2013, pp. 161 175, DOI: 10.2478/revecp-2013-0007 The Performance of Unemployment Rate Predictions in Romania. Strategies to Improve
More informationThe Causal-Effect between Carbon Dioxide Emissions and Forestry Production and Trade: A Case Study in Ghana
Article The Causal-Effect between Carbon Dioxide Emissions and Forestry Production and Trade: A Case Study in Ghana Samuel Asumadu-Sarkodie * and Phebe Asantewaa Owusu Sustainable Environment and Energy
More informationAvailable online at ScienceDirect. Procedia Economics and Finance 15 ( 2014 ) globalization
Available online at www.sciencedirect.com ScienceDirect Procedia Economics and Finance 15 ( 2014 ) 1042 1046 Emerging Markets Queries in Finance and Business Education and innovationn in the context of
More informationPRICE-OUTPUT BEHAVIOR AND MONEY SHOCKS MODELLING: CASE STUDY OF PAKISTAN
International Journal of Economics, Commerce and Management United Kingdom Vol. II, Issue 10, Oct 2014 http://ijecm.co.uk/ ISSN 2348 0386 PRICE-OUTPUT BEHAVIOR AND MONEY SHOCKS MODELLING: CASE STUDY OF
More informationManagement by Objectives (MBO) as an Instrument for Organizational Performance of Deposit Money Banks in Nigeria
Management by Objectives (MBO) as an Instrument for Organizational Performance of Deposit Money Banks in Nigeria Felix Francis Department of Business Management Education, Adamawa State Polytechnic, P
More informationAgricultural Technology and Carbon Dioxide Emissions: Evidence from Jordanian Economy
Agricultural Technology and Carbon Dioxide Emissions: Evidence from Jordanian Economy Mohanad Ismael, Fathi Srouji y, Mohamed Amine Boutabba z September 25, 2015 Abstract This paper aims to study the impact
More informationARE MALAYSIAN EXPORTS AND IMPORTS COINTEGRATED? A COMMENT
Sunway Academic Journal 2, 101 107 (2005) ARE MALAYSIAN EXPORTS AND IMPORTS COINTEGRATED? A COMMENT TANG TUCK CHEONG a Monash University Malaysia ABSTRACT This commentary aims to provide an insight on
More informationLiquidity of Short-term Assets Related to Debt Paying Ability: An Empirical Study on Pharmaceuticals Sector of Karachi Stock Exchange
Liquidity of Short-term Assets Related to Debt Paying Ability: An Empirical Study on Pharmaceuticals Sector of Karachi Stock Exchange Muhammad Waseem Ur Rehman (Corresponding Author) MS-Finance Scholar,
More informationEvaluating the Relationship between the Energy Consumption and the Macroeconomic Indicators
Research Journal of Environmental and Earth Sciences 4(12): 1025-1032, 2012 ISSN: 2041-0492 Maxwell Scientific Organization, 2012 Submitted: July 26, 2012 Accepted: October 09, 2012 Published: December
More informationFACTORS AFFECTING THE EXCHANGE RATE IN SUDAN ( )
International Journal of Economics, Commerce and Research (IJECR) ISSN (P): 2250-0006; ISSN (E): 2319-4472 Vol. 8, Issue 2, Apr 2018, 63-70 TJPRC Pvt. Ltd FACTORS AFFECTING THE EXCHANGE RATE IN SUDAN (1972-2013)
More informationMoney Demand in Korea: A Cointegration Analysis,
Trinity College Trinity College Digital Repository Faculty Scholarship 1-2016 Money Demand in Korea: A Cointegration Analysis, 1973-2014 Hyungsun Chloe Cho Trinity College, HYUNG0122@GMAIL.COM Miguel D.
More informationBLACK GOLD & FLUCTUATION: A CRONIC EFFECT ANALYSIS ON OIL IMPORTER AND EXPORTER ECONOMIES ( )
ISSN-L: 2223-9553, ISSN: 2223-9944 Academic Research International BLACK GOLD & FLUCTUATION: A CRONIC EFFECT ANALYSIS ON OIL IMPORTER AND EXPORTER ECONOMIES (1973-2009) MUHAMMAD JAWAD COMSATS Institute
More informationEFFECT OF INTRA-AFRICAN REGIONAL TRADE ON ECONOMIC GROWTH IN EAST AFRICAN COMMUNITY
EFFECT OF INTRA-AFRICAN REGIONAL TRADE ON ECONOMIC GROWTH IN EAST AFRICAN COMMUNITY Diana Ngonyo Kitavi Jomo Kenyatta University of Agriculture and Technology, Nairobi, Kenya dianakitavi@gmail.com ABSTRACT
More informationTemporal Links between the Freight and Ship Markets in both Dry Bulk and Tanker Sectors
Temporal Links between the Freight and Ship Markets in both Dry Bulk and Tanker Sectors Ying Kou 1*, Liming Liu 1 and Yinchun Wu 2 1 Department of Logistics and Maritime Studies, The Hong Kong Polytechnic
More informationEconomics Bulletin, 2013, Vol. 33 No. 4 pp Introduction
1. Introduction Red meat prices have shown considerable increases since 2005 in Turkey. Overall food inflation rose 93 percent, retail beef prices rose 106 percent, and retail sheep prices rose 138 percent
More informationEVALUATION OF FACTORS AFFECTING BROADBAND INTERNET ACCESS USING REGRESSION ANALYSIS
EVALUATION OF FACTORS AFFECTING BROADBAND INTERNET ACCESS USING REGRESSION ANALYSIS Vlasta BAHOVEC University of Zagreb, Faculty of Economics and Business Trg J. F. Kennedyja 6, 0000 Zagreb, Croatia vbahovec@efzg.hr
More informationSource of Economic Growth in Ethiopia: An Application of Vector Error Correction Model (VECM)
Source of Economic Growth in Ethiopia: An Application of Vector Error Correction Model (VECM) Khalid Y. Ahmed and Yokoyama Kenji Ritsumeikan Asia Pacific University (APU), Japan ABSTRACT The primary objective
More information(2) + β + α denotes growth rate of total output, demonstrates the productivity level of total factor, (4)
VFAST Transactions on Education and Social Sciences http://vfast.org/journals/index.php/vtse@ 2015 ISSN(e):2309-3951;ISSN(p):2411-0221 Volume 12, Number 2, March-April, 2017 pp. 01-10 THE NEXUS BETWEEN
More informationImpact of Electricity Consumption and Transport Infrastructure on the Economic Growth of Pakistan
Impact of Electricity Consumption and Transport Infrastructure on the Economic Growth of Pakistan Anam Zahra M.Phil. Scholar, University of Engineering and Technology, Lahore, Pakistan. Sadaf Razzaq Lecturer,
More informationThe Price Linkages Between Domestic and World Cotton Market
American-Eurasian J. Agric. & Environ. Sci., 13 (3): 35-356, 013 ISSN 1818-6769 IDOSI Publications, 013 DOI: 10.589/idosi.aejaes.013.13.03.1936 The Price Linkages Between Domestic and World Cotton Market
More informationAnalysis of the Impact of Deforestation on Agricultural Productivity in Nigeria: An Error Correction Modeling Approach
Analysis of the Impact of Deforestation on Agricultural Productivity in Nigeria: An Error Correction Modeling Approach Ibrahim. A. Bila. Y I. M. Sulumbe Department of Agricultural Economics, Faculty of
More informationEmployment, Trade Openness and Capital Formation: Time Series Evidence from Pakistan
37 J. Glob. & Sci. Issues, Vol 1, Issue 4, (December 2013) ISSN 2307-6275 Employment, Trade Openness and Capital Formation: Time Series Evidence from Pakistan Muhammad Imran 1, Maqbool Hussian Sial 2 and
More informationEconomic Growth and Income Inequality Nexus: An Empirical Analysis for Pakistan
MPRA Munich Personal RePEc Archive Economic Growth and Income Inequality Nexus: An Empirical Analysis for Pakistan Muhammad Tariq Majeed Quaid-i-Azam University, Islamabad. 30 June 2016 Online at https://mpra.ub.uni-muenchen.de/89705/
More informationEstimation of Short and Long Run Equilibrium Coefficients in Error Correction Model: An Empirical Evidence from Nepal
International Journal of Econometrics and Financial Management, 2014, Vol. 2, No. 6, 214-219 Available online at http://pubs.sciepub.com/ijefm/2/6/1 Science and Education Publishing DOI:10.12691/ijefm-2-6-1
More informationImpact of EU membership process on equity market integration: the case of Turkey
Impact of EU membership process on equity market integration: the case of Turkey Abstract Halil Kiymaz Rollins College This paper examines the linkages and dynamic interaction among Turkey and eleven original
More informationIs There an Environmental Kuznets Curve: Empirical Evidence in a Cross-section Country Data
Is There an Environmental Kuznets Curve: Empirical Evidence in a Cross-section Country Data Aleksandar Vasilev * Abstract: This paper tests the effect of gross domestic product (GDP) per capita on pollution,
More informationThe Trade Structure of the Total Manufactured Goods: A New Perspective of Research on the RMB Real Exchange Rate Model
International Journal of Economics and Finance; Vol. 6, No. 7; 2014 ISSN 1916-971X E-ISSN 1916-9728 Published by Canadian Center of Science and Education The Trade Structure of the Total Manufactured Goods:
More informationBritish Journal of Economics, Finance and Management Sciences 45 OPEC countries succeeded in stabilizing oil prices between $2.50 and $3 per barrel un
British Journal of Economics, Finance and Management Sciences 44 Is This the End of Efficient Oil Markets? New Evidence Naser I. Abumustafa Director of Programs & Professor of Finance Qatar Finance and
More informationThe Role of Education for the Economic Growth of Bulgaria
MPRA Munich Personal RePEc Archive The Role of Education for the Economic Growth of Bulgaria Mariya Neycheva Burgas Free University April 2014 Online at http://mpra.ub.uni-muenchen.de/55633/ MPRA Paper
More informationComparison of Residual based Cointegration Tests: Evidence from Monte Carlo
European Online Journal of Natural and Social Sciences 2018; www.european-science.com Vol.7, No 2 pp. 494-500 ISSN 1805-3602 Comparison of Residual based Cointegration Tests: Evidence from Monte Carlo
More informationAnalysis of food self-sufficiency in rice in Senegal. Abstract
Proceedings 59th ISI World Statistics Congress, 25-30 August 2013, Hong Kong (Session CPS106) p.4663 Analysis of food self-sufficiency in rice in Senegal Latzey A. WILSON ENSEA, Abidjan, Côte d Ivoire,
More informationFull terms and conditions of use:
This article was downloaded by: [Sichuan Normal University], [zou gao lu] On: 05 November 2012, At: 07:16 Publisher: Taylor & Francis Informa Ltd Registered in England and Wales Registered Number: 1072954
More informationEnvironmental Regulation, Technological Innovation and Sustainable Growth
2018 5th International Conference on Business, Economics and Management (BUSEM 2018) Environmental Regulation, Technological Innovation and Sustainable Growth Hongqiao Zhang1, Xuedong Li 2, Ziguo Feng
More informationEFFECTS OF TRADE OPENNESS AND ECONOMIC GROWTH ON THE PRIVATE SECTOR INVESTMENT IN SYRIA
EFFECTS OF TRADE OPENNESS AND ECONOMIC GROWTH ON THE PRIVATE SECTOR INVESTMENT IN SYRIA Adel Shakeeb Mohsen, PhD Student Universiti Sains Malaysia, Malaysia Introduction Motivating private sector investment
More informationGovernment Debt and Demand for Money: A Cointegration Approach
World Review of Business Research Vol. 3. No. 1. January 2013 Issue. pp. 52 58 Government Debt and Demand for Money: A Cointegration Approach JEL Codes: E41 1. Introduction Meng Li * Conventionally, the
More informationOkun s law and its validity in Egypt
Okun s law and its validity in Egypt Hany Elshamy The British University in Egypt (BUE) Email:hany.elshamy@bue.edu.eg Abstract Okun s law is a key relationship in microeconomics and finds that the relationship
More informationINTERIOR MARKET PRICING SYSTEM UPDATE July 1, Timber Pricing Branch
INTERIOR MARKET PRICING SYSTEM UPDATE - 2011 July 1, 2011 Timber Pricing Branch Table of Contents Introduction... 1 Auction Dataset... 1 Equations... 1 Specified Operations... 6 Tenure Obligation Adjustments...
More informationDoes Advertising Expenditure Impact Firm Value A Case of Indian FMCG Industry
Global Journal of Management and Business Research : c Finance Volume 14 Issue 1 Version 1.0 Year 2014 Type: Double Blind Peer Reviewed International Research Journal Publisher: Global Journals Inc. (USA)
More informationA Review of Road Transportation Value
Environmental Sciences, Vol. 4, 2016, no. 1, 15-22 HIKARI Ltd, www.m-hikari.com http://dx.doi.org/10.12988/es.2016.51014 A Review of Road Transportation Value Added and CO 2 Emission in Iran Mohammad Sadegh
More information