Journal articles on the topic 'International price volatility'
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1
Morales, L. Emilio. "The effects of international price volatility on farmer prices and marketing margins in cattle markets." International Food and Agribusiness Management Review 21, no. 3 (March 20, 2018): 335–50. http://dx.doi.org/10.22434/ifamr2017.0020.
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This study examines the effects of export price volatility in cattle markets using panel data from twelve countries between 1970 and 2013. Fixed-effects models with Driscoll and Kraay standard errors were estimated to control for cross-sectional dependence. Results indicate that price transmission depends on prices previously paid to farmers, variations in export prices and volatility of export prices, which reduces farmer prices in developed countries and it increases them in developing countries. In contrast, marketing margins are reduced by contemporaneous export price volatility and are increased by previous volatility. Exporters in developing countries take more time to transmit shocks in international prices, pay lower prices to farmers and absorb a bigger proportion of price fluctuations. These price transmission imperfections affect investments, technology adoption, production level and quality across the chain in developing countries, which negatively impact farmers, input and service providers, traders and other actors of the beef cattle chain.
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Hassan, Syed Aun. "Modeling Asymmetric Volatility In Oil Prices." Journal of Applied Business Research (JABR) 27, no. 3 (April 12, 2011): 71. http://dx.doi.org/10.19030/jabr.v27i3.4214.
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<p>Recent volatility in crude oil prices has affected economies around the world, especially the US economy, which is the largest consumer of oil. This paper focuses on how shocks to volatility of crude oil prices may affect future oil prices. The paper uses daily crude oil price data for the past 10 years to test and model the oil price volatility by fitting different variations of GARCH including a univariate asymmetric GARCH model to the series. Tests show high persistence and asymmetric behavior in oil price volatility, and reveal that negative and positive news have a different impact on oil price volatility. These results will help interested observers better understanding of the energy markets and has important consequences for the overall economy.</p>
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Song, Changming, and Chongguang Li. "Relationship between Chinese and International Crude Oil Prices: A VEC-TARCH Approach." Mathematical Problems in Engineering 2015 (2015): 1–10. http://dx.doi.org/10.1155/2015/842406.
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Many studies focus on the impact of international crude oil price volatility on various economic variables in China with a hypothesis that international crude oil price affected Chinese crude oil price first and then other economic variables. However, there has been little research to explore whether or not international and Chinese oil market are integrated. This study aims to investigate the relationship between Chinese and international crude oil prices by VAR and VEC-TARCH models. It was found that the two crude oil markets have been integrated gradually. But the impact of external shocks on the Chinese crude oil market was stronger and the Chinese crude oil price was sensitive to changes in international crude oil price, implying that the centrally controlled oil market in China is less capable of coping with external risk. In addition, the volatility of both Chinese and international crude oil prices was mainly transmitted by prior fluctuation forecast and the impact of external shocks was limited, demonstrating that in both cases volatility would disappear rather slowly. Furthermore, Chinese and international crude oil markets have established a stable relationship. When the direction of external shocks on the two variables’ respective stochastic term was consistent, the impact on the two variables’ joint volatility was aggravated and vice versa.
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Lingesiya Kengatharan and Jeyan Suganya Dimon Ford. "Dividend Policy and Share Price Volatility: Evidence from Listed Non-Financial Firms in Sri Lanka." International Journal of Business and Society 22, no. 1 (March 24, 2021): 227–39. http://dx.doi.org/10.33736/ijbs.3172.2021.
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The prime objective of this research is to investigate the impact of dividend policy on share price volatility in Colombo Stock Exchange (CSE). A sample of 81 listed non -financial firms from CSE in Sri Lanka is examined using panel data analysis for a five years period from 2013 to 2017. Dividend policy of the firms has been measured by dividend pay-out, dividend yield and dividend per share and which are explanatory variables of the study after controlling for firm size and financial leverage. According to the random effect regression analysis, only 25% of the movements in share prices are explained by the explanatory variables considered in this study. Dividend yield shows significant positive impact on share price volatility whereas dividend per share shows the significant negative impact on share price movements. Firm size illustrates significant negative influence on share price volatility by indicating large size of companies share price volatility is high. But, dividend pay-out and financial leverage are not significantly persuaded on share price volatility in this study. Therefore, it is concluded that dividend yield, dividend per share and firm size have significant impact on price volatility in Sri Lankan context and findings of the study are in line with the dividend relevance theory. Dividend policy can be considered as the protective mechanism to maintain share price volatility in order to enhance the shareholders wealth.
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Sohag, K., S. Husain, K. Chukavina, and Md Al Mamun. "Policy Uncertainty, Oil Price, Stock Market and Precious Metal Markets Volatility Spillovers in the Russian Economy." Economy of Region 18, no. 2 (2022): 383–97. http://dx.doi.org/10.17059/ekon.reg.2022-2-6.
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The Russian economy is emerging, meaning that natural resources play a dominant role in economic development. Given the considerable volatility in resource prices, we investigate the volatility spillovers among policy uncertainty, international oil prices, exchange rate, stock index and metal prices covering the period of 2 July 2008 to 15 May 2020 for the Russian economy applying Dynamic Connectedness based on Time-Varying Parameter Vector Autoregression (TVP-VAR). Our empirical investigation demonstrates that gold price, Russian policy uncertainty, oil price and stock index are net volatility contributors, whereas palladium, platinum, silver and exchange rate are net volatilities receivers. Market capitalisation and silver market are found to be the highest net contributor and net receiver, respectively. The palladium appears as a net volatility receiver initially, just after the global financial crisis. The Russian economic policy uncertainty appears to be the dominant volatility contributor from 2008 to 2014, but onward it turned to be a net volatility receiver. Over the year 2014, gold price was the prominent volatility contributor to another market when the oil price dropped significantly. The total connectivity of the markets are highly anchored with several exogenous shocks, including economic sanction, adoption of floating exchange rate, oil price plunge. Our empirical findings provide several policy implications to portfolio managers and Russian regional stakeholders.
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Malan, B. B. "Volatility and stabilization of the price of coffee and cocoa in Côte d’Ivoire." Agricultural Economics (Zemědělská ekonomika) 59, No. 7 (July 19, 2013): 333–40. http://dx.doi.org/10.17221/145/2012-agricecon.
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The aim of this paper was to study the coffee and cocoa price volatility in Côte d’Ivoire and to understand the mechanism of price stabilization. Thus, this paper shows that the international prices and the farm gate prices of these two products are strongly dispersed around their respective average, from one year to another and within each year. This paper proposes a model of partial stabilization which makes it possible to highlight an alternate mechanism of the coffee and cocoa price stabilization which is relatively efficient compared to the mechanism which currently exists. It shows that a marketing board in the Ivorian coffee and cocoa sector, which constitutes a buffer stock and uses it in a strategic way, has the advantage of reducing significantly the volatility of the international price and the farm gate price.
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Tsay, Jing-Tang, Che-Chun Li, and Jerry T. Yang. "International Real Estate Review." International Real Estate Review 21, no. 4 (December 31, 2018): 419–46. http://dx.doi.org/10.53383/100268.
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This paper develops a pricing model and derives a closed-form formula for valuing mortgage-backed securities (MBSs) that embed a barrier option feature while the optimal prepayment or refinancing choices of borrowers are endogenously determined. Given that ¡§real estate investors¡¨ tend to prepay a loan relentlessly, an MBS with a high concentration of investor borrowers implies a lower MBS value. We specify the prepayment behavior of borrowers by using the first hitting time as a proxy for the trigger point of prepayment when house prices or interest rates hit a pre-determined barrier. Our results show that the MBS value is positively related to loan to value and house price volatility while negatively related to the proportion of real estate investors and interest rate volatility. We also find evidence which shows that the MBS value may increase due to the effects of the ¡§longevity¡¨ of mortgages, which outweigh the effects of default or prepayment as house price volatility increases. This model provides a faster pricing tool of MBSs than Monte Carlo simulation while retaining higher model accuracy and consistency than the hazard model approach.
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Helbawanti, Octaviana, and Masyhuri -. "Volatility and Market Integration of Spot-Forward Corn Price in Indonesia." Media Trend 14, no. 1 (April 2, 2019): 1–9. http://dx.doi.org/10.21107/mediatrend.v14i1.4379.
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This study aims to determine the volatility and market integration between the price of corn in the Indonesian spot market and futures market in the international market. The data used in this research is secondary data consisting of Indonesian corn spot price and corn forward price referring commodity exchange, Chicago. Data in the form of monthly time series in 2007 until 2016. ARCH / GARCH method is used to measure the volatility at spot and forward price, whereas the market integration of spot and forward corn is used Johansen Cointegration and Engel-Granger Causality method. The results show that spot and forward prices of corn occur high volatility. The best ARCH/GARCH model for spot price is GARCH (2,0) with the volatility value of 0,91 and for forward price is GARCH (2,0) with the volatility value of 1.12. It means that volatility of spot and forward influenced by the increase and fluctuations of spot and forward price two previous periods. Between the spot and forward market, there is market integration and a one-way causal relationship. The market integration indicates there is long-run relationship, while one way indicates the spot price effect on the forward price, not vice versa.
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Zhou, Dongyi, and Rui Zhou. "ESG Performance and Stock Price Volatility in Public Health Crisis: Evidence from COVID-19 Pandemic." International Journal of Environmental Research and Public Health 19, no. 1 (December 25, 2021): 202. http://dx.doi.org/10.3390/ijerph19010202.
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Unlike traditional financial crises, COVID-19 is a global public health crisis with a significant negative impact on the global economy. Meanwhile, the stock market has been hit hard, and corporate share prices have become more volatile. However, the stock prices of some enterprises with good performance of ESG (Environment, Social, and Governance) are relatively stable in the epidemic. This paper selects ESG rating data from MSCI (Morgan Stanley Capital International) with better differentiation, adopts multiple regression and dummy variables, and adopts the Differences-in-Differences (DID)model with the help of COVID-19, an exogenous event. Empirical test the impact of ESG performance on the company’s stock price fluctuations. The results show that the stock price volatility of companies with good ESG performance is lower than that of companies with poor performance. Second, COVID-19 exacerbates volatility in company stock prices, but the increase in stock price volatility of companies with good ESG performance is small. That is, good ESG performance helps reduce the increase in stock price volatility due to COVID-19 shock, and plays a role in enhancing “resilience” and stabilizing stock prices. This paper provides new empirical evidence for the study of ESG performance and corporate stock price volatility, and puts forward relevant policy recommendations for enterprises and government departments.
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Rahayu, Meinar Fithria, Wen-I. Chang, and Ratya Anindita. "Volatility Analysis and Volatility Spillover Analysis of Indonesia's Coffee Price Using Arch/Garch, and Egarch Model." Journal of Agricultural Studies 3, no. 2 (April 23, 2015): 37. http://dx.doi.org/10.5296/jas.v3i2.7185.
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This study aims to analyze the best model to expect volatility of Indonesia’s coffee price using ARCH/GARCH model and to measure the coffee price volatility spillover of International market for Indonesia’s coffee price using EGARCH model. These models use different conditional variance specifications to catch up the asymmetry. The empirical results show that GARCH (1.1) model seems to better describe the Indonesia’s coffee price volatility. From the EGARCH analysis known that International coffee price has an asymmetric effect on Indonesia’s return coffee price and indicate that domestic coffee market is not efficient.
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Kumar, Rakesh. "Examining the Dynamic and Non-linear Linkages between Crude Oil Price and Indian Stock Market Volatility." Global Business Review 18, no. 2 (March 16, 2017): 388–401. http://dx.doi.org/10.1177/0972150916668608.
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The present study is an attempt to examine the dynamic impact of crude oil price variations in the international market on the Indian stock market volatility. For the purpose, the study uses crude oil monthly price expressed in dollar per barrel, Bombay Stock Exchange (BSE)-listed index BSE Sensex and National Stock Exchange (NSE)-listed CNX Nifty prices for the period from January 2001 to December 2014. GARCH (1,1) model with net crude oil price change as exogenous variable is used to estimate the impact of net oil price change in international market on the conditional volatilities of both the indices. The findings report that net oil price change has a significant impact upon the conditional volatility of both the indices. These findings show that investors redesign their portfolios in response to crude oil price variations in the international market. They can use crude oil price as an important exogenous variable in forecasting models of stock returns and risk in the Indian stock market.
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Tickner, Vincent. "Africa: International Food Price Rises & Volatility." Review of African Political Economy 35, no. 117 (September 2008): 508–14. http://dx.doi.org/10.1080/03056240802411248.
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Gilbert, Christopher L. "International agreements to manage food price volatility." Global Food Security 1, no. 2 (December 2012): 134–42. http://dx.doi.org/10.1016/j.gfs.2012.10.001.
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Anderson, Kym. "Government trade restrictions and international price volatility." Global Food Security 1, no. 2 (December 2012): 157–66. http://dx.doi.org/10.1016/j.gfs.2012.11.005.
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Park, Yun, and Doowon Bang. "International Real Estate Review." International Real Estate Review 16, no. 2 (August 31, 2013): 166–88. http://dx.doi.org/10.53383/100169.
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We examine a unique Korean data set, the Kookmin Bank apartment price index, which is based on broker appraisals, in order to shed light on how brokers determine valuation over real estate cycles. We build a repeat sales apartment price index as well as a hedonic apartment price index by using the transaction data, which have become available in the public domain since 2006, and compare them with the Kookmin Bank apartment price index. By examining the volatility in the broker appraisals as well as the partial adjustment models of broker appraisals, we find that the appraisals are smoothed. Furthermore, the smoothing is asymmetrical and greater during down markets than up markets. These findings are consistent with the hypothesis that brokers impound new transaction prices by using the quality of information as weight. The extent of smoothing and asymmetry in smoothing broker appraisals persist over two subsequent cycles contrary to the expectation that they would become more sensitive to transaction prices as transaction prices become more widely spread.
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Hidayati, Nurul, and Puji Sucia Sukmaningrum. "FAKTOR YANG MEMPENGARUHI VOLATILITAS HARGA SAHAM PADA EMITEN YANG TERDAFTAR DI JAKARTA ISLAMIC INDEX." Jurnal Ekonomi Syariah Teori dan Terapan 8, no. 6 (December 5, 2021): 706. http://dx.doi.org/10.20473/vol8iss20216pp706-713.
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ABSTRAKTujuan dari penelitian ini yaitu meneliti pengaruh kebijakan dividen, volume perdagangan, volatilitas laba, ukuran perusahaan dan tingkat hutang terhadap volatilitas harga saham di emiten yang terdaftar di JII dari tahun 2015 sampai 2019. Adapun manfaat dari penelitian ini dalam eksistensi pasar finansial secara global karena dapat mengukur tingkat risiko. Penelitian ini dibantu dengan alat analisis Eviews 10. Regresi data panel dipilih dalam penelitian ini. Hasil penelitian membuktikan bahwa secara individual dividend payout ratio, volume perdagangan dan volatilitas laba secara positif memiliki pengaruh yang signifikan, ukuran perusahaan secara negatif memiliki pengaruh signifikan, dan tingkat hutang tidak memiliki pengaruh signifikan terhadap volatilitas harga saham. Secara simultan, variabel dividend payout ratio, volume perdagangan, ukuran perusahaan, volatilitas laba, dan tingkat hutang signifikan berpengaruh terhadap volatilitas harga saham. Kata Kunci: Volatilitas harga saham, emiten syariah, regresi data panel. ABSTRACTThe purpose of this study is to examine the effect of dividend policy, trading volume, earnings volatility, company size and level of debt on stock price volatility in issuers listed in JII from 2015 to 2019. The benefits of this research are in the existence of global financial markets because it can measure the level of risk. This research is assisted by the analysis tool Eviews 10. Panel data regression. selected in this study. The results showed that partially the dividend payout ratio, trading volume and earnings volatility had a positive and significant effect, company size had a negative and significant effect, and the level of debt had no significant effect on stock price volatility. Simultaneously, the variable dividend payout ratio, trading volume, company size, earnings volatility, and level of debt have a significant effect on stock price volatility. Keywords: Stock price volatility, sharia company, panel data regression. DAFTAR PUSTAKABawono, A., & Shina, A. F. I. (2018). Ekonometrika terapan untuk ekonomi dan bisnis Islam aplikasi dengan Eviews. Salatiga: Lembaga Penelitian dan Pengabdian kepada Masyarakat (LP2M) IAIN Salatiga Press.Brigham, E. F., & Houston, J. F. (2011). Dasar-dasar manajemen keuangan, buku kedua. Jakarta: Salemba Empat.Camilleri, S. J., Grima, L., & Grima, S. (2019). The effect of dividend policy on share price volatility: an analysis of Mediterranean banks’ stocks. Managerial Finance, 45(2), 348–364. https://doi.org/10.1108/MF-11-2017-0451Dewi, S., & Paramita, R. A. S. (2019). Pengaruh kebijakan dividen, volume perdagangan, earning volatility, leverage, dan firm size terhadap volatilitas harga saham perusahaan LQ45. Jurnal Ilmu Manajemen, 7(3), 761–771.Fakhruddin, H. M. (2008). Istilah pasar modal A-Z. Jakarta: Elex Media Komputindo.Gumanti, T. A. (2013). Kebijakan Dividen (Pertama). UPP STIM YKPN.Jahfer, A., & Mulafara, A. H. (2016). Dividend policy and share price volatility: Evidence from Colombo stock market. Internaltional Journal Managerial and Financial Accounting, 8(2), 97–108. DOI:10.1504/IJMFA.2016.077947Jannah, R., & Haridhi, M. (2016). Pengaruh kebijakan dividen, earning volatility, dan leverage terhadap volatilitas harga saham pada perusahaan non-financing yang terdaftar di bursa efek Indonesia tahun 2010-2014. Jurnal Ilmiah Mahasiswa Ekonomi Akuntansi, 1(1), 133–148.Mehmood, A., Ullah, M. H., & Ul Sabeeh, N. (2019). Determinants of stock price volatility: Evidence from cement industry. Accounting, 5(4), 145–152. https://doi.org/10.5267/j.ac.2019.2.002Muhamad. (2016). Manajemen keuangan syari’ah analisis fiqh & keuangan. Yogyakarta: UPP STIM YKPN.Novius, A. (2017). Analisis pengaruh kebijakan deviden ( Dividen payout ratio dan devidend yield) terhadap volatilitas harga saham (Studi empiris pada perusahaan kelompok LQ45 yang terdaftar di BEI). Jurnal Al-Iqtishad, 13(1), 67. https://doi.org/10.24014/jiq.v13i1.4389Rowena, J., & Hendra. (2017). Earnings volatility, kebijakan dividen, dan pertumbuhan asset berpengaruh terhadap volatilitas harga saham pada perusahaan manufaktur di BEI periode 2013 – 2015. Jurnal Administrasi Kantor, 5(2), 231–242.Sarmanu. (2017). Dasar metodologi penelitian. Surabaya: Airlangga University Press.Septyadi, M. A., & Bwarleling, T. H. (2020). Pengaruh volume perdagangan saham, leverage, dan kebijakan dividen terhadap volatilitas harga saham, 2, 149–162.Shah, S. A., & Noreen, U. (2016). Stock price volatility and role of dividend policy: Empirical evidence from Pakistan. International Journal of Economics and Financial Issues, 6(2), 461–472.Spence. (1973). Job market signaling. The Quarterly Journal of Economics, 87(3), 355–374. https://doi.org/10.2307/1882010Tandelilin, E. (2010). Manajemen portofolio dan investasi. Surabaya: Kanisius.Yulinda, E., Pujiastuti, T., & Haryono, S. (2020). Analisis pengaruh dividend payout ratio, leverage, firm size, volume perdagangan, earning volatility, dan inflasi terhadap volatilitas harga saham pada perusahaan yang terdaftar dalam indeks LQ45 tahun 2014-2017. Jurnal Ilmiah Indonesia Ilmiah Indonesia, 5(5), 76. DOI:10.36418/syntax-literate.v5i5.1106Zainudin, R., Mahdzan, N. S., & Yet, C. H. (2018). Dividend policy and stock price volatility of industrial products firms in Malaysia. International Journal of Emerging Markets, 13(1), 203–217. https://doi.org/10.1108/IJoEM-09-2016-0250
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Leung, Charles. "International Real Estate Review." International Real Estate Review 18, no. 3 (September 30, 2015): 383–428. http://dx.doi.org/10.53383/100207.
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Housing prices in Hong Kong have gained international attention. This study suggests that the housing supply may be insufficient. Consistent with previous studies, we confirm that merely increasing the land supply may not increase the housing supply. We also find preliminary evidence for widening income inequality, which, when combined with unavailability, can lead to unaffordability in the housing market. Given the current housing supply elasticity with respect to price, Hong Kong is not more volatile than major cities in the United States. Thus, by improving housing availability and thereby increasing housing supply elasticity, this could effectively decrease housing price volatility.
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Dutt, Mala, and Sanjay Sehgal. "Domestic and International Information Linkages between Gold Spot and Futures Markets: An Empirical Study for India." Metamorphosis: A Journal of Management Research 17, no. 1 (May 8, 2018): 1–17. http://dx.doi.org/10.1177/0972622518761745.
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This article examines information linkages between gold spot market in India and gold futures at India’s Multi Commodity Exchange (MCX) and five international platforms [i.e., Commodity Exchange (COMEX), Dubai Gold and Commodity Exchange (DGCX), Tokyo Commodity Exchange (TOCOM), Hong Kong Exchange (HKE) and Singapore Mercantile Exchange (SMX)] from August 2008 to March 2015. Cointegration procedure and vector error correction model (VECM), supported by Granger causality, are employed to study price discovery process, and bivariate EGARCH-BEKK model is used to examine volatility spillover process. At domestic level, spot market dominates the futures in information transmission process. Internationally, DGCX leads all other exchanges in price discovery process, while COMEX leads in volatility spillovers. In price discovery, MCX leads only TOCOM till August 2013, while price discovery is absent thereafter. In volatility spillovers, MCX dominates TOCOM and HKE till this period and only HKE afterwards. Thus, information linkages between MCX and international exchanges appear to have been impacted severely since August 2013. The study highlights the need to re-establish price and volatility linkages between Indian and international exchanges, and also provides significant suggestions for policymakers. The study is relevant for investors, researchers and the academia. It contributes to market efficiency and information transmission literature for commodity markets.
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Hui, Eddie C. M., and Joe T. Y. Wong. "International Real Estate Review." International Real Estate Review 12, no. 1 (April 30, 2009): 39–61. http://dx.doi.org/10.53383/100104.
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This study captures the essential elements of the price expectations of market participants in a rising market. Adopting a forward-looking approach, this paper explores the effectiveness of expectations as an indicator of forthcoming housing price changes in Hong Kong. Examination of the quarterly survey data from December 2003 to September 2007 indicates that both homeowners and non-homeowners tend to overestimate the probability of future housing price increases yet underestimate its volatility. This adds weight to the argument that market participants are generally not rational in the prediction of price movement. Homeowners, investors and potential home buyers have more or less the same level of confidence about the future market outlook. Like non-owners, they expect higher prices. The number of correct forecasts exceeds incorrect forecasts, suggesting that overall price expectations are fairly close to realization. It can be broadly concluded that the aggregate price expectations in the long run can be an appropriate forecasting tool for future market performance.
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Guo, Jin, and Tetsuji Tanaka. "Dynamic Transmissions and Volatility Spillovers between Global Price and U.S. Producer Price in Agricultural Markets." Journal of Risk and Financial Management 13, no. 4 (April 23, 2020): 83. http://dx.doi.org/10.3390/jrfm13040083.
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A considerable number of studies have examined the relationship between global prices and local prices in food-importing nations, but the linkages between international prices and the producer prices of large agricultural exporters have been largely ignored. This paper analyzes the connections between world prices and U.S. producer prices in the wheat, soybeans, and corn markets using a vector error correction generalized autoregressive conditional heteroscedastic model with a multivariate Baba-Engle-Kraft Kroner specification (VECM-GARCH-BEKK) and cross-correlation function (CCF). Our findings indicate firstly that a long-run equilibrium relationship exists between international and U.S. producer prices for the three agricultural crops. It also finds a significant bidirectional causality-in-mean and causality-in-variance between international and U.S. producer prices for these crops. Finally, the empirical results suggest that international wheat and corn prices play a leading role in U.S. local markets in return transmissions and that U.S. wheat price can be considered to be a leading indicator of the global wheat price in volatility transmissions.
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Chen, Haiwei. "International Real Estate Review." International Real Estate Review 20, no. 2 (June 30, 2017): 207–19. http://dx.doi.org/10.53383/100241.
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Both parametric and nonparametric tests show that housing price volatility is lower in states that impose a real estate transfer tax on transaction values than those that impose no such tax in the United States. However, regression analyses show no difference in price volatility between the two tax regimes, after controlling for known economic and demographic factors, such as income, population growth, mortgage rates, property taxes, and jobless rates. Such a conclusion is robust because the fixed effect and the two-way clustering models are used to account for irregularities in the error structures.
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Luo, Pengfei, and Tetsuji Tanaka. "Food Import Dependency and National Food Security: A Price Transmission Analysis for the Wheat Sector." Foods 10, no. 8 (July 23, 2021): 1715. http://dx.doi.org/10.3390/foods10081715.
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Agricultural trade liberalization and protecting domestic markets encompass conflicting policy goals. Even though after the food crisis in 2008, national governments of food-deficit nations aimed at reducing food supply dependency on external markets, no research has assessed the impacts of food import reliance on price or price volatility transmissions to local markets. We constructed a dynamic conditional correlation (DCC)–generalized autoregressive conditional heteroscedasticity (GARCH) model to examine whether wheat import dependency could make a country vulnerable to overseas shocks by analyzing the inter-relationships between the international wheat price and retail wheat flour prices in 10 net importing countries over the sample period from January 2005 to December 2019. It was found that retail price volatility in each region was positively correlated with international price volatility for most of the period concerned. We also discovered that external dependency could significantly protect the domestic market from the global one, implying that lowering wheat dependency on foreign markets improves “stability” and “availability” of food security without sacrificing “utilization”, but it may aggravate “access”.
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Fang, Ziyi, Chenyang Zhao, and Zichun Zhong. "Volatility Forecasting of Copper Futures Based on HAR-RV Model." BCP Business & Management 26 (September 19, 2022): 741–53. http://dx.doi.org/10.54691/bcpbm.v26i.2034.
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As an important part of the international futures market, copper price prediction is important for international financial market research. This paper selects the high-frequency data every 5 minutes from the database and uses the HAR-RV model based on realized volatility. By introducing investor sentiment and the day of week effects, we have established three new types of non-uniform autoregressive models. Empirical analysis shows that the weekly and monthly fluctuations of copper futures prices are relatively small, while the daily fluctuations are relatively large. The prediction model is more accurate when predicting the long-term volatility, and the stability test shows that the HAR-RV model is relatively stable when predicting the long-term volatility. Investor sentiment has a negative impact on the price volatility of copper futures in the medium and long-term forecasts. Weekend effects have a negative impact on the medium and long-term forecasts of copper futures. This paper complements the existing literature and improves the prediction ability of copper price fluctuations, which is very important to promote effective hedging, risk transfer, and price discovery in the futures market.
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Zhan, Feng. "Individualism, synchronized stock price movements, and stock market volatility." International Journal of Managerial Finance 15, no. 3 (June 3, 2019): 371–403. http://dx.doi.org/10.1108/ijmf-10-2018-0305.
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PurposeThe purpose of this paper is to examine the impact of national culture on herding behavior across international financial markets.Design/methodology/approachThe relation between national culture and investor behavior, and how it impacts overall market volatility is studied by examining synchronized stock price movements and stock market volatility in 47 countries around the world over the period of January 2003–May 2012.FindingsThe author finds that nations with lower values of individualistic culture are more likely to have a higher number of synchronized stock price movements. Further, the correlation between stock price movements apparently increases stock market volatility. Nations with high individualistic culture have a lower number of synchronized stock price movements and, thus, have lower levels of stock market volatility. The positive relationship between synchronized stock price movements and stock market volatility is stronger for emerging markets during the financial crisis from June 2007 to December 2008.Originality/valueThe empirical results in this paper indicate that a portion of the difference in market level volatility is attributed to the investor bias of different cultures. Investor behavior bias creates excess volatility that drives stock prices away from fundamentals. This impact is strong in nations with lower individualistic culture. The result from this research could also have a wide implication in the investment industry.
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Chile, Love, and D. Talukder. "Agricultural trade liberalisation and price volatility in Bangladesh and Tanzania: a comparative analysis." Africanus: Journal of Development Studies 44, no. 2 (January 30, 2015): 15–32. http://dx.doi.org/10.25159/0304-615x/70.
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This paper examines the impacts of agricultural trade liberalisation on the welfare of smallholder farmers in Bangladesh and Tanzania. Using secondary data for the pre and postliberalisation periods for two main agricultural crops from Bangladesh (rice) and Tanzania (maize) we analysed the correlation between domestic and international prices of rice and maize to investigate impacts of agricultural trade liberalisation on price stability/volatility and food security with a view to analysing the economic benefits of trade liberalisation for smallholder farmers. To understand price volatility, we used the Huchet-Bourdon (2011) method to estimate the coefficient of variation of the level of prices (CV) and the corrected coefficient of variation (CCV). We found that the values of both CV and CCV for consumer price in the postliberalisation period were quite large, suggesting greater volatility of consumer price of both crops. We further found that productivity growth did not necessarily lead to income gains for smallholder farmers in either country due to price volatility and the lack of market integration. This study illustrates the contradictory outcomes of agricultural trade liberalisation. We recommend complementary policy interventions to achieve enhanced welfare outcomes from agricultural trade liberalisation.
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Ogbulu, Onyemachi Maxwell. "Oil Price Volatility, Exchange Rate Movements and Stock Market Reaction: The Nigerian Experience (1985-2017)." American Finance & Banking Review 3, no. 1 (November 12, 2018): 12–25. http://dx.doi.org/10.46281/amfbr.v3i1.200.
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Given the observed volatility in crude oil prices in the international oil market and the role which oil and gas play in the Nigerian economy, this paper is an attempt to investigate the impact of crude oil prices and foreign exchange rate movements on stock market prices in Nigeria. In addition, the paper examined whether there is any volatility pass-through between the dollar price of Nigerian crude oil, foreign exchange rate of the Naira and stock market prices respectively. Data employed for the study are monthly values of the Nigerian Stock Exchange (NSE) All-Share Index (ASI), Dollar price of Nigerian Crude Oil (DPO) and the Official Exchange Rate of the Naira to the US Dollar (FXR) from January, 1985 to August, 2017. The methodology adopted for the study include the ADF unit root tests, Johansen co-integration tests, the ECM technique, Granger causality tests, variance decomposition as well as the GARCH(1,1) to model the volatility relationships among the variables. Findings reveal that there is one long-run dynamic co-integrating relationship among the variables ASI, DPO and FXR while the ECM results indicate that Crude oil price (DPO) significantly impact on Stock market prices. The Granger causality test reports a bi-directional causality relationship between ASI and DPO and a unidirectional causality running from FXR to ASI. The ARCH-GARCH volatility analysis demonstrates vividly that stock market prices in the NSE exhibit ARCH effect with a significant and positive first order ARCH term. The GARCH term is also positive and significant indicating that previous month’s stock market price volatility significantly influences current stock market volatility in the NSE. In addition, findings show that the volatility of dollar price of Nigerian oil (DPO) in the world oil market is significantly transmitted to the volatility of stock market prices in Nigeria. The pass-through effect of the volatility of exchange rate (FXR) to the volatility of stock market prices is also positive and significant. These findings offer significant informational signal to policy makers, portfolio managers/advisors and the investing public in achieving optimal asset and portfolio profile.
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Wu, Maoguo, and Daimin Lu. "Volatility Spillover Effect of International Crude Oil Futures and China-Russia Stock Market: A Multivariate BEKK-GARCH Model Based on Wavelet Multiresolution Analysis." Asian Journal of Finance & Accounting 11, no. 1 (May 19, 2019): 183. http://dx.doi.org/10.5296/ajfa.v11i1.14348.
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The increasingly prominent strategic position of crude oil determines its high impact on macro-economy. The value of crude oil is reflected in the price of crude oil futures. Stock market is the barometer of macro economy. To what extent does international crude oil futures price affect stock market? China and Russia are the biggest importer and exporter of crude oil, respectively. Crude oil is of strategic value to both countries. This study empirically investigates the volatility spillover effect of international crude oil futures and China-Russia stock market from April 24th, 2015 to April 20th, 2018, based on the data of international crude oil futures prices, China-Russia stock market composite index, and industry stock index. The empirical results show that there is a short-term relationship between China-Russia stock market composite index and international crude oil futures price. The international crude oil futures price has a greater explanatory power to Russian RTS index, but a smaller explanatory power to Shanghai composite index. All industry stock indices are cointegrated with international crude oil futures prices. Except for China industry and Russia energy, the adjustment coefficient of international crude oil futures price on stock index volatility of other industries is insignificant. This study mainly studies the relationship between international crude oil futures price and the comprehensive stock index and industry stock index of China and Russia, and compares the impact of international crude oil futures price on the stock market of the largest importer and the largest exporter of crude oil to explore the linkage between crude oil futures price and stock market, and puts forward policy implications based on the empirical results.
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Trihadmini, Nuning, and Pudjiastuti B. S. W. "Dampak Multivariat Volatility, Contagion dan Spillover Efiect Pasar Keuangan Global terhadap Indeks Saham dan Nilai Tukar Rupiah di Indonesia." Jurnal Ekonomi dan Pembangunan Indonesia 11, no. 2 (January 1, 2011): 117–34. http://dx.doi.org/10.21002/jepi.v11i2.185.
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There are several factors influencing the financial system stability, namely the internal and the external factors. The occurrence of stock price volatility internationally, the contagion effects and the spillover effects are some external factors that have effect on the financial system stability. This research aims to know the dynamic relationship of regional and global stocks market in international financial system, and then do the analysis of the occurrence of contagion effects and spillover effects on stock price, and see their influence on domestic economics, monetary policy and financial system stability, by GARCH-VAR model.The results of this research indicate that there are some domination of the mature financial market to regional and domestic market. Moreover, the nearby regional stock price index also have a big contribution to the movement of other regional stock price market. The impact of stock price volatility to the IDR exchange rates volatility is relatively small, but not to the price level which is significantly large. Data analysis shows that there is contagion effects in stock market, but the spillover effect from stock price volatility to exchange rates volatility does not occur.
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Miller, Norman G., Michael A. Sklarz, and Thomas Thibodeau. "International Real Estate Review." International Real Estate Review 8, no. 1 (June 30, 2005): 27–43. http://dx.doi.org/10.53383/100059.
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This research examines how well nominal income, nominal interest rates and employment explain temporal variation in nominal metropolitan area house prices. Rather than use a traditional model of real house prices, we explain nominal house prices with a measure of "intrinsic" house value that combines local economic factors with an affordable price based upon what the local median income household could afford to pay at prevailing interest rates. The affordable price variable captures local household income trends and current interest rates. We then relate temporal variation in observed house prices to "intrinsic" value and estimate the parameters of separate autoregressive house price models for 316 cities. We observe that the coastal markets exhibit much greater appreciation/ depreciation rates and much more volatility than cities in the central portions of the country. Here we focus primarily on the impact of interest rates on nominal prices in various MSAs, a factor that many housing analyst have pointed to when debating the existence of housing bubbles. Some markets are much more or less responsive to interest rates than others. Supply constraints may explain some of this increased responsiveness.
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Chile, Love M., and Dayal Talukder. "The Paradox of Agricultural Trade Liberalization in Bangladesh and Tanzania." American Journal of Trade and Policy 1, no. 1 (April 30, 2014): 23–31. http://dx.doi.org/10.18034/ajtp.v1i1.358.
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This paper examines some of the contradictions and theoretical ambiguities of agricultural trade liberalizationon the welfare of smallholder farmers. Using production, consumption and price data for pre-and post-liberalization periods for two main agricultural crops from Bangladesh (rice) and Tanzania (maize) we critically analyse the correlation between domestic and international prices of rice in Bangladesh and maize in Tanzania to estimate impact of agricultural trade liberalization on price stability/volatility and food security to measure economic benefits of trade liberalization on smallholder farmers. Using coefficient of variation of the level of prices (CV) and corrected coefficient of variation (CCV) as measured by Huchet-Bourdon (2011) we found that the values of both CV and CCV for consumer price in the post-liberalisation were quite large suggesting greater volatility of consumer price of rice in Bangladesh and maize in Tanzania in the post-liberalization period. We conclude that price volatility diminishes the potential benefits of agricultural trade liberalization forsmallholder farmers who are net-deficit producers, net-deficit sellers and recommend supplementary policy interventions to achieve enhanced welfare from trade liberalization.
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Bago, Jean-Louis, Koffi Akakpo, Imad Rherrad, and Ernest Ouédraogo. "Volatility Spillover and International Contagion of Housing Bubbles." Journal of Risk and Financial Management 14, no. 7 (June 23, 2021): 287. http://dx.doi.org/10.3390/jrfm14070287.
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This paper provides new empirical evidence on housing bubble timing, volatility spillover, and bubble contagion between Japan and its economic partners, namely, the United States, the Eurozone, and the United Kingdom. First, we apply a generalized sup ADF (GSADF) test to the quarterly price-to-rent ratio from 1970Q1 to 2018Q4 to detect explosive behaviors in housing prices. Second, we analyze the volatility spillover in housing prices between Japan and its economic partners using the multivariate time-varying DCC-GARCH model. Third, we assess bubble contagion by estimating a non-parametric model of bubble migration with time-varying coefficients. We document two historical bubble episodes from 1970 to 2018 in Japan’s housing market. Moreover, we find evidence of volatility spillover effects and bubble contagion between Japan’s real estate market and its most important economic partners during several periods. In this context of market integration, countries need to develop coordinated real estate policies to address the risk of global real estate bubbles.
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Li, Yuming, and Laura Yue Liu. "International Real Estate Review." International Real Estate Review 17, no. 3 (December 31, 2014): 395–413. http://dx.doi.org/10.53383/100190.
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In this research, we compare the effect of aggregate U.S. financial wealth with the effect of aggregate U.S. labor income on house prices at the national and city levels. Financial wealth is measured by the net worth of U.S. households minus the equity of owners in home real estate or by the aggregate U.S. stock market index. After adjusting for the volatility of each explanatory variable, we find the economic impact of growth in financial wealth on the aggregate U.S. house price appreciation to be statistically significant and similar to that of labor income growth. We also find a significant wealth effect on some of the city-level house price appreciations. For the cities where both wealth and income effects are significant, the economic impacts of the two effects are found to be similar. While labor income growth has a contemporaneous effect on the house price appreciation, change in financial wealth, and in particular, the stock market, leads house price appreciation but not vice versa.
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Wang, Qiming. "Evolution of integer price clustering of IPOs in the aftermarket." Nankai Business Review International 5, no. 4 (October 28, 2014): 365–81. http://dx.doi.org/10.1108/nbri-01-2014-0008.
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Purpose – The purpose of this paper is to, using a large sample of NASDAQ initial public offerings (IPOs), examine the evolution of integer price clustering of IPOs in the aftermarket trading. Design/methodology/approach – Consistent with Harris’s (1991) costly negotiation hypothesis, clustering on integer prices is a positive function of price level and various stock valuation uncertainty proxies, and it is a negative function of trading activities for IPOs and seasoned stocks. Findings – It was found that, after controlling for price level, daily return volatility, number of trades, trading volume, number of market makers and the effect of price support, the integer price frequency of IPOs converge to that of seasoned stocks immediately, and whether IPOs have integer offer prices does not affect their integer price clustering in the aftermarket trading after the effect of price support is controlled for. Originality/value – These results suggest that the IPO pricing process significantly reduce the differences between integer priced IPOs and non-integer priced IPOs in pre-offering valuation uncertainty.
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WANG, Hao, Hu SHENG, and Hong-wei ZHANG. "Influence factors of international gold futures price volatility." Transactions of Nonferrous Metals Society of China 29, no. 11 (November 2019): 2447–54. http://dx.doi.org/10.1016/s1003-6326(19)65151-4.
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Hsiao, Cody Yu-Ling, Weishun Lin, Xinyang Wei, Gaoyun Yan, Siqi Li, and Ni Sheng. "The Impact of International Oil Prices on the Stock Price Fluctuations of China’s Renewable Energy Enterprises." Energies 12, no. 24 (December 5, 2019): 4630. http://dx.doi.org/10.3390/en12244630.
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In order to address a series of issues, including energy security, global warming, and environmental protection, China has ranked first in global renewable investment for the seventh consecutive year. However, developing a renewable energy industry requires a significant capital investment. Also, the international oil price fluctuations have an important impact on the stock prices of renewable energy firms. Thus, in order to provide implications for market investment as well as policy recommendations, this paper studied the spillover effect of international oil prices on the stock prices of China’s renewable energy listed companies. We used a Vector Autoregressive (VAR) model with innovations using a Factor-GARCH (Generalized Autoregressive Conditional Heteroskedasticity) process to evaluate the impact of market co-movements and time-varying volatility and correlation between the international oil price and China’s renewable energy market. The results show that the international oil price has a significant price spillover effect on the stock prices of China’s renewable energy listed companies. Moreover, the fluctuations of international oil prices have an influence on the stock price variations of Chinese renewable energy listed companies.
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Lai, Rose Neng, and Ko Wang. "International Real Estate Review." International Real Estate Review 2, no. 1 (June 30, 1999): 143–59. http://dx.doi.org/10.53383/100017.
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The Hong Kong residential market is unique in several aspects: restricted land supply, high price volatility, high appreciation rate, a small group of large developers, and a huge public housing sector. Assuming that higher price appreciation and volatility can be attributed to the limited land supply, this study examines the relationships among developers’ housing-supply decisions, government land-supply decisions, and public housing policies. Using data for the 1973-1997 period, our result shows that an increase in land supply by the Hong Kong government may not be a solution to the perceived shortage of housing supply in Hong Kong. This finding indicates that it is important to examine developers’ profit maximization strategies when enacting public policies related to property markets.
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Alhassan, Abdulrahman, Atsuyuki Naka, and Abdullah Noman. "Oil Market Factors as a Source of Commonality in Liquidity in International Equity Markets." Journal of Risk and Financial Management 14, no. 8 (August 13, 2021): 372. http://dx.doi.org/10.3390/jrfm14080372.
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When stock markets are less liquid or illiquid, investors are expected to require compensation for taking the risk of not being able to sell quickly. Many studies have documented the existence of the co-movements (commonality) of market liquidity in equity markets as a priced factor. The primary objective of this paper is to introduce the oil market as a potential source of commonality in liquidity. We hypothesize that conditions specific to the oil market can contribute to commonality in liquidity affecting both supply-side and demand-side factors because of its importance to the global economy in general. To this aim, a sample of firms is drawn from 50 countries spanning the period from January 1995 to December 2015. We examine two channels that transmit the effect of oil market movements to the liquidity commonality in international equity markets, namely, oil price returns and oil price volatility. Seemingly unrelated regressions (SUR) are utilized to estimate the effect of oil factors on commonality in liquidity. We find that the returns and volatility of oil prices explain the commonality in liquidity in countries with higher integration with oil markets. In addition, we show that the effect of oil volatility is more pronounced for net oil exporters as opposed to net oil importers after controlling for oil sensitivity. These results are robust to controlling for possible sources of commonality in liquidity as found in the literature and alternative estimation specifications.
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Sun, You Fa, Xiao Xiao Liang, Xu Chong Guo, and Cai Yan Liu. "Algorithm of Call Auction Price." Applied Mechanics and Materials 20-23 (January 2010): 981–86. http://dx.doi.org/10.4028/www.scientific.net/amm.20-23.981.
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Algorithm of call auction price is designed according to the determining principles popular in international stock markets. Basing on the algorithm, the roots of good characteristics of call auction are oriented in these principles. Theoretical analysis shows that: 1) by implementing principles of maximum volume, minimum residual, market pressures and reference prices, the candidate transaction price set of call auction is gradually narrowing, which indicates that the algorithm has good convergence; 2) principle of reference prices guarantees the uniqueness of final transaction price; 3) principles of minimum residual and market pressures contribute to reducing price volatility; 4) principles of market pressures and reference prices help to enhance the quality of price discovery.
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Kwark, Noe-Keol, Hyoung-Goo Kang, and Sang-Gyung Jun. "Can Derivative Information Predict Stock Price Jumps?" Journal of Applied Business Research (JABR) 31, no. 3 (May 1, 2015): 845. http://dx.doi.org/10.19030/jabr.v31i3.9222.
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<p>This study examines the predictability of jumps in stock prices using options-trading information, the futures basis spread, the cross-sectional standard deviation of returns on components in the stock index, and exchange rates. A stock price jump was defined as a large fluctuation in the stock price that deviated from the distribution thresholds of the past rates of return. This empirical analysis shows that the implied volatility spread between ATM call and put options was a significant predictor for both upward and downward jumps, whereas the volatility skew was less significant. In addition, the futures basis spread was moderately significant for downward stock price jumps. Both the cross-sectional standard deviation of the rates of return on component stocks in the KOSPI 200 and the won-dollar exchange rates were significant predictors for both upward and downward jumps.</p>
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Ayele, Amare Wubishet, Emmanuel Gabreyohannes, and Yohannes Yebabe Tesfay. "Macroeconomic Determinants of Volatility for the Gold Price in Ethiopia: The Application of GARCH and EWMA Volatility Models." Global Business Review 18, no. 2 (March 30, 2017): 308–26. http://dx.doi.org/10.1177/0972150916668601.
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Modelling and forecasting of commodity price volatility has important applications for asset management, portfolio analysis and risk assessment due to the simple fact that volatility has informational content and contains signals of the market information flow. This article models and forecasts the gold price volatility using the exponentially weighted moving average (EWMA) and the generalized autoregressive conditional heteroscedasticity (GARCH) models for the period from 1998 to 2014. The gold series shows the classical characteristics of financial time series, such as leptokurtic distributions, data dependence and strong serial correlation in squared returns. Hence, the series can be modelled using both EWMA and GARCH-type models. Among the GARCH-type models, GARCH-M(2,2) with Student’s t distribution for the residuals was found to be the best-fit model. Moreover, the manuscript finds that interest rates, exchange rates and crude oil prices have a significant impact on gold volatility. The risk premium effect is found to be positive and statistically significant, suggesting increased volatility is followed by a higher mean. Finally, a comparison is made between the GARCH and the EWMA models. Using the relative mean squared error and mean absolute error measures, the empirical result suggests that GARCH models with explanatory variables are superior for volatility forecasting.
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Destiarni, R. P., A. S. Jamil, and F. Septya. "Meat price volatility as implications for food security in Indonesia." IOP Conference Series: Earth and Environmental Science 883, no. 1 (October 1, 2021): 012068. http://dx.doi.org/10.1088/1755-1315/883/1/012068.
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Abstract Indonesian meat consumption has 40 percent deficit which was covered by importing. Meat price in international market tend to fluctuate. The gap between domestic demand and supply meat also the imported price fluctuation causes instability of domestic price. This research is conducted to analyze the volatility of meat price which implicated to food security in Indonesia. ARCH-GARCH model is used to estimate meat price volatility in Indonesia. The Augmented Dickey-Fuller and cointegration test have been used for testing the presence of unit root and cointegration in the series. Langrange multiplier has been utilized to detect the presence of autoregressive conditional effect. Daily meat prices used are national average price which obtained from the Indonesia Ministry of Trade. This study reveals that meat price in Indonesia has high volatility with increasing price over the research period. The empirical model also shows asymetry effect. The results recommend that Indonesia should apply comprehensive managed import such as not only import on fresh meat and ready to cut bovine but also on breeding bovine. By the fulfilling production and stock, meat price can be more stable. By the price stabilization, food security concept will be reached so that every layer society can consume meat.
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Coskun, Yener, and Hasan Murat Ertugrul. "House price return volatility patterns in Turkey, Istanbul, Ankara and Izmir." Journal of European Real Estate Research 9, no. 1 (May 3, 2016): 26–51. http://dx.doi.org/10.1108/jerer-03-2015-0015.
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Purpose The purpose of this paper is to empirically analyze volatility properties of the house price returns of Turkey and Istanbul, Ankara and Izmir provinces over the period of July 2007-June 2014. Design/methodology/approach The paper uses conditional variance models, namely, ARCH, GARCH and E-GARCH. As the supportive approach for the discussions, we also use correlation analysis and qualitative inputs. Findings Empirical findings suggest several points. First, city/country-level house price return volatility series display volatility clustering pattern and therefore volatilities in house price returns are time varying. Second, it seems that there were high (excess) and stable volatility periods during observation term. Third, a significant economic event may change country/city-level volatilities. In this context, the biggest and relatively persistent shock was the lagged negative shocks of global financial crisis. More importantly, short-lived political/economic shocks have not significant impacts on house price return volatilities in Turkey, Istanbul, Ankara and Izmir. Fourth, however, house price return volatilities differ across geographic areas, volatility series may show some co-movement pattern. Fifth, volatility comparison across cities reveal that Izmir shows more excess volatility cases, Ankara recorded the highest volatility point and Istanbul and national series show lower and insignificant volatilities. Research limitations/implications The study uses maximum available data and focuses on some house price return volatility patterns. The first implication of the findings is that micro/macro dimensions of house price return volatilities should be carefully analyzed to forecast upside/downside risks of house price returns. Second, defined volatility clustering pattern implies that rate of return of housing investment may show specific patterns in some periods and volatile periods may result in some large losses in the returns. Third, model results generally suggest that however data constraint is a major problem, market participants should analyze regional idiosyncrasies during their decision-making in housing portfolio management. Fourth, because house prices are not sensitive to relatively less structural shocks, housing may represent long-term investment instrument if it provides satisfactory hedging from inflation. Originality/value The evidences and implications would be useful for housing market participants aiming to manage/use externalities of housing price movements. From a practical contribution perspective, the study provides a tool that will allow measuring first time of the return volatility patterns of house prices in Turkey and her three biggest provinces. Local level analysis for Istanbul, Ankara and Izmir provinces, as the globally fastest growing cities, would be found specifically interesting by international researchers and practitioner.
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Pop, Larisa Nicoleta, Flavius Rovinaru, and Mihaela Rovinaru. "Commodity Price Volatility during and after the Economic Crisis – Implications for Romania." South East European Journal of Economics and Business 8, no. 1 (March 1, 2013): 45–52. http://dx.doi.org/10.2478/jeb-2013-0003.
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Abstract Under the impact of a wide range of forces, the prices of globally traded commodities often experience sudden and significant fluctuations, putting under uncertainty and risk the economic status of producers, consumers and traders from the private to the national level. Although commodity markets are notorious for their price volatility, the events the world economy experienced in recent years, particularly the global economic crisis, offered new connotations to this phenomenon. These price movements reverberated across internal markets all over the world, affecting their statuses. As Central Eastern European countries, due to the processes they have undergone in recent decades, manifest an increased responsiveness to external shocks, Romania experienced the international turmoil in a severe manner. This paper calculates and presents, by comparison, the food price volatility experienced at the international level and on the Romanian market during the years of the crisis and immediately after its appeasement.
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Zhu, Jingran, Qinghua Song, and Dalia Streimikiene. "Multi-Time Scale Spillover Effect of International Oil Price Fluctuation on China’s Stock Markets." Energies 13, no. 18 (September 7, 2020): 4641. http://dx.doi.org/10.3390/en13184641.
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With the continuous increase of China’s foreign-trade dependence on crude oil and the accelerating integration of the international crude oil market and the Chinese finance market, the spillover effect of international oil price fluctuation on China’s stock markets increasingly attracts the attention of the public. In order to explore the impact of international oil price fluctuation on China’s stock markets and the time-varying spillover differences of industry sectors, this study proposes three research hypotheses and constructs a multi-time scale analysis framework based on wavelet analysis and a time-varying t-Copula model. In this paper, we use the Shanghai Composite Index as the representative of a general trend of the stock market, and we use the stock index of the China Securities Industry as the counterpart of industrial sectors. Based on the data from 5 January 2005 to 31 May 2020, this paper measures and analyzes the spillover effect of international oil price fluctuation on China’s stock markets, under different volatility periods. The results show that, firstly, the spillover effect of international oil price fluctuation on the Chinese stock markets is different. In the short and medium volatility period, the changes in international oil price are ahead of the changes in the Chinese stock markets, while the latter is ahead of the former under long-term fluctuations. Secondly, the spillover effect of international oil price fluctuation on China’s industry stock indexes is persistent. As the time scale increases, the tail dependency will increase. Finally, the impact of risk events aggravates the volatility of the stock markets in the short-term, while the mid- to long-term impact mainly affects the volatility trend. Investment risk control can make overall arrangement on the basis of the characteristics of oil price impact under different fluctuation stages.
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Zhang, Sijia, and Joseph Buongiorno. "Effects of exchange rate volatility on export volume and prices of forest products." Canadian Journal of Forest Research 40, no. 11 (November 2010): 2069–81. http://dx.doi.org/10.1139/x10-150.
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The relative value of currencies varies considerably over time. These fluctuations bring uncertainty to international traders. As a result, the volatility in exchange rate movements may influence the volume and the price of traded commodities. The volatility of exchange rates was measured by the variance of residuals in a GARCH(1,1) model of the exchange rate. We estimated the effect of this exchange rate volatility on export quantity and price with autoregressive distributed lag models based on monthly data of US exports and prices to 14 countries for eight commodity groups. The most general and statistically significant results were obtained by pooling the time series data across destination countries and products. They suggested that an increase in exchange rate variability of 1% led to a short-run decrease in export quantity of 0.3%–0.4% and to a short-run decrease in export price of 0.1%. Both the quantity and the price effect faded away over time. The effects were less systematic and statistically significant for specific export destinations or individual products. Thus, in contrast with exchange rate level, exchange rate volatility may not be a major policy issue for US forest product exports.
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Erol, Isil, and Kanak Patel. "International Real Estate Review." International Real Estate Review 10, no. 1 (June 30, 2007): 48–92. http://dx.doi.org/10.53383/100076.
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This paper evaluates the default risk of civil servants’ wage-indexed payment mortgage (WIPM) contract in Turkey, which is linked to the expected inflation. The aim of the study has two sides: one is to apply the contingent claims approach, which has been widely used to price standard fixed- and adjustable-rate contracts, to price an inflation-indexed mortgage. The second is to understand if WIPM contract is a suitable mortgage design for lenders under an inflationary economy. We extend the traditional risk-neutral valuation for pricing the WIPM contract with its embedded default option. Using backward pricing method, namely the explicit finite difference method, we evaluate this unique nflation-indexed mortgage contract from the lender’s point of view. The expected inflation and house price are the two tochastic variables underlying the WIPM contract. Our numerical results show that the lender benefits from originating WIPM only during the periods when the real interest rate is very low. Expected inflation risk premium notably increases the value of future payments on WIPM contract, resulting in high values of lender’s position in the mortgage agreement. The results also show that house price volatility has a greater effect on the borrower’s default option value compared to the expected inflation volatility
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Dinku, Tirngo, Worku Gardachw, and Ngozi Adeleye. "Price Volatility for Selected Agricultural Commodities in Ethiopia: Evidence from GARCH Models." WSEAS TRANSACTIONS ON BUSINESS AND ECONOMICS 18 (November 11, 2021): 1380–88. http://dx.doi.org/10.37394/23207.2021.18.127.
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This study models the volatility of returns for selected agricultural commodity prices in Ethiopia using the generalized autoregressive conditional heteroskedasticity (GARCH) approach. GARCH family models, specifically threshold GARCH and exponential GARCH were employed to analyze the time varying volatility of selected agricultural commodities prices from 2010 to 2021. The data analysis results revealed that, out of the GARCH specifications, the EGARCH model with the normal distributional assumption of residuals was a better fit model for the price volatility of “teff” and “red pepper” in which their return series reacted differently to the “good” and “bad” news. The study indicated the existence of a leverage effect, which implied that the “bad” news could have a larger effect on volatility than the “good” news of the same magnitude, and the asymmetric term was statistically significant.
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Endri, Endri, Widya Aipama, A. Razak, Laynita Sari, and Renil Septiano. "Stock price volatility during the COVID-19 pandemic: The GARCH model." Investment Management and Financial Innovations 18, no. 4 (October 4, 2021): 12–20. http://dx.doi.org/10.21511/imfi.18(4).2021.02.
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This study examined the response of stock prices on the Indonesia Stock Exchange (IDX) to COVID-19 using an event study approach and the GARCH model. The research sample is the closing price of the Composite Stock Price Index (JCI) and companies that are members of LQ-45 in the 40-day period before the COVID-19 incident, 1 day during the COVID-19 incident (March 2, 2020) and 10 days after, January 6, 2020 – March 16, 2020. Empirical findings prove that abnormal returns react negatively to COVID-19, JCI volatility fluctuates widely during the COVID-19 event, and the GARCH(1,2) model can be used to assess volatility and predict stock abnormal returns in IDX in market conditions infected with COVID-19. The practical implication of the study’s findings for investors is that the COVID-19 event caused stock price volatility, which affects abnormal returns. Therefore, to face the conditions of uncertainty and increased volatility in the future, several lines of risk management are needed in managing a stock portfolio. In addition, it also opens up opportunities for speculators to profit in an inefficient market environment. This study is based on the empirical literature currently being developed to investigate the phenomenon of stock price volatility behavior during COVID-19 on the IDX. The GARCH model used proves that during the COVID-19 pandemic, stock price volatility increases and leads to a decrease in abnormal returns. The empirical findings also validate the efficient market hypothesis theory related to the study of events and the theory of financial behavior related to uncertainty.
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Gillen, David, and Benny Mantin. "Price volatility in the airline markets." Transportation Research Part E: Logistics and Transportation Review 45, no. 5 (September 2009): 693–709. http://dx.doi.org/10.1016/j.tre.2009.04.014.
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Khasawneh, Malik Qasim. "OIL PRICES, ECONOMIC GROWTH AND INTERNATIONAL RESERVES: Evidence from Middle-Eastern and African Oil-Importing Countries during the Period (2000-2013)." Australian Journal of Business and Management Research 05, no. 03 (September 28, 2015): 16–23. http://dx.doi.org/10.52283/nswrca.ajbmr.20150503a02.
Full textAbstract:
The aim of this paper is to examine the impact of the oil price volatility on the economic growth in addition to testing the relationship between oil prices and international reserves in a number of oil importing countries during the period (2000-2013). The study finds that an increase in oil prices has a negative impact on economic growth on these economies during the study period. The study also finds that an increase in oil prices increases the consumer price index and the international reserves. The study uses the descriptive and analytical methods, and so relying on Panel VAR Model and Panel Data model.