Directional and bidirectional causality between U.S. industry credit and stock markets and their determinants

Shahzad, Syed Jawad Hussain; Nor, Safwan Mohd; Hammoudeh, Shawkat; Shahbaz, Muhammad

doi:10.1016/j.iref.2016.10.005

Cited by 24 publications

(17 citation statements)

References 50 publications

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“…These refugee movements caused an imbalance in the macroeconomic indicators such as foreign trade and inflation. Moreover, crises such as the global financial crisis 2008-2009 have increased the risk aversion, fear and pressure in the stock markets around the globe thereby affected investors' expectations (Shahzad et al, 2017).…”

Section: Introductionmentioning

confidence: 99%

Crude oil prices, macroeconomic indicators and the financial sector in Jordan: Dynamic causes and responses

Abuoliem¹,

Nor²,

Matar³

et al. 2019

Journal of International Studies

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This study contributes to the literature on the relationship between fundamental economic factors and stock price movements. We evaluate the relationship between domestic and international macroeconomic indicators and financial sector index in a frontier market that is Amman Stock Exchange (ASE) in Jordan. We employed the ARDL bound testing approach and the VECM Granger causality test to examine long and short run relationships and the direction of causality among the variables. Monthly time series data from January 2007 to December 2016 were used to identify the relationships for interest rate (positive), inflation rate (insignificant), money supply (insignificant), industrial production index (insignificant), producer price index (negative), trade balance (insignificant), and crude oil price (negative). Our findings indicate that the deposit interest rate positively influenced the financial sector in the short run and the long run, while the producer price index and global oil price had significant negative impacts on the financial sector. This study contributes actionable insight for policy makers and investors regarding how global and domestic factors have significant impact on the financial index in Jordan. The current study provides several important implications and recommendations for investors, policy makers and the government. For example, the results imply that global oil prices have a

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Section: Introductionmentioning

confidence: 99%

Crude oil prices, macroeconomic indicators and the financial sector in Jordan: Dynamic causes and responses

Abuoliem¹,

Nor²,

Matar³

et al. 2019

Journal of International Studies

Self Cite

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“…However, previous studies [4], [21], [22], [28] indicate that stock markets may not be entirely efficient. Furthermore, other factors such as causality between credit and stock markets [27] can also affect investment portfolios. Finally, extending specifically our paper, future studies can employ Corporate Socially Responsible (CSR) rating system, since there is still lack of comprehensive rating enforced in Malaysia.…”

Section: Discussionmentioning

confidence: 99%

Customized CSR Ratings and Optimal Sharpe Portfolios in the Bursa Malaysia

Jin*¹,

Kalyebara²

2019

IJRTE

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conomic dominance of optimal portfolios over the naïve diversification policy, among others, has been found to depend upon portfolio size (N) as argued by Duchin and Levy (2009) and Nor and Islam (2016). Apart from portfolio model, the benefit of involving corporate social responsibility (CSR) is still in uncertainty until now as argued by Fieseler (2011) and Joan and Thomas (2015). Hence, this paper extends prior literature by proposing a framework which constructs CSR rating using experts’ opinions, and subsequently optimizes portfolios of firms with strong and weak CSR ratings. In consequence, the performances of Sharpe-optimal portfolios are juxtaposed with those of equal-weighted schemes across different sizes. As the result, Sharpe optimal model outperforms the naive diversification in all sample period and all scoring. This paper follows the optimal conditions of Sharpe optimal model documented in prior researches. Besides, the result showed that the bottom CSR scoring portfolio is outperforming the top CSR scoring in all different financial conditions. The study finds that this is due to internal factors such as (companies’ involvement) and external factor (economic factor).

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“…Thus, final sample consists of weekly data from 3rd November, 2008 to 26th October, 2016 for 36 countries and analyzes 14,976 country-week observations 4 . The usage of weekly data can mitigate the problem of excessive noise which is mostly associated with the data of higher frequency (Shahzad, Nor, Hammoudeh, & Shahbaz, 2017). The data for 5 years Euro-denominated SCDS spreads and stock markets is obtained from Data Stream.…”

Section: Methodology Datamentioning

confidence: 99%

Relationship between Stock and the Sovereign CDS markets: A panel VAR based analysis

Shear¹,

Butt²

2017

SAJMS

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This study explores the relationship between the Stock and the Sovereign Credit Default Swaps (SCDS) markets by using dataset of 36 countries.We apply Panel Vector Autoregressive (PVAR) model to gauge the impact of one market's shocks to the other. Our results decipher that changes in stock market returns explain the significant portion of the SCDS market spreads' changes. Furthermore, the magnitude of this explanation is linked with the volatility of the SCDS market. These analyses indicate that the firsthand information about the country's sovereign credit risk is contained in the respective stock market, and can be used by participants/investors to predict the SCDS market spreads.

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Directional and bidirectional causality between U.S. industry credit and stock markets and their determinants

Cited by 24 publications

References 50 publications

Crude oil prices, macroeconomic indicators and the financial sector in Jordan: Dynamic causes and responses

Crude oil prices, macroeconomic indicators and the financial sector in Jordan: Dynamic causes and responses

Customized CSR Ratings and Optimal Sharpe Portfolios in the Bursa Malaysia

Relationship between Stock and the Sovereign CDS markets: A panel VAR based analysis

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