Fiscal policy and stock market efficiency: An ARDL Bounds Testing approach

Stoian, Andreea; Iorgulescu, Filip

doi:10.1016/j.econmod.2019.12.023

Cited by 35 publications

(27 citation statements)

References 34 publications

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“…Given the small sized dataset, it is not feasible to define a dummy variable for each break because it would severely reduce the model's degrees of freedom. Instead, we chose to include just one dummy variable for each model to account for disruption in the dependent variable (Stoian & Iorgulescu, 2020). Four models have been estimated which are presented below.…”

Section: Model Estimationmentioning

confidence: 99%

Investigating the Impact of Exchange Rate Volatility, Inflation and Economic Output on International Trade of India

Arora

Rakhyani

2020

The Indian Economic Journal

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Four models have been constructed separately for exports of goods, imports of goods, exports of services and imports of services to explore the impact of exchange rate volatility, inflation and economic output on India’s foreign trade. AutoRegressive Distributed Lag (ARDL) bounds test run on monthly data over the period of 2011–2020 reports that in the long run, growth in production positively impacts the trade in goods and services. Rise in level of prices negatively impacts the exports of goods. In the short run, a rise in volatility brings a decline in the imports of goods but in the long run, it has a positive impact on the exports of goods. Volatile exchange rate has no impact on trade in services. An increase in inflation in the short run leads to a rise in the imports of goods but brings a decline in the trade of services.

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Section: Model Estimationmentioning

confidence: 99%

Investigating the Impact of Exchange Rate Volatility, Inflation and Economic Output on International Trade of India

Arora

Rakhyani

2020

The Indian Economic Journal

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“…Thus most of the fiscal changes are known in advance and therefore can be adjusted in the stock markets giving an indication of weak form efficiency. The study by Stoian and Iorgulescu (2020) evaluated the significance of the relationships of the fiscal policy and stock market efficiency through an ARDL testing approach. The data from 45 firms following the quarterly results from 2008-2018 quarters was evaluated for the stock market of Russia.…”

Section: Discussionmentioning

confidence: 99%

“…The given research acknowledges the appearance of expanded literature that has indicated empirical proof on the overall influence of FP on market efficiency (ME) and price in general. The present paper further gives a brief introduction of the most concerning efforts and researches over the last few years, Stoian and Iorgulescu (2020) through an empirical approach, rational-demands macro framework and open type of economy indicated that spending improves as well as tax cuts derive economic environment, still that the consequence of encouragement is mainly affected by markets. Prior studies and efforts also state that expectations of significant deficit majorly lead to an improvement in the future ST and present LT interest rates, which generally minimizes investments and other several interest associated costs.…”

Section: The Relationship Between Fiscal Policy and Stock Market Pricmentioning

confidence: 97%

Fiscal Policy and Stock Market Efficiency in the USA: An ARDL Bounds Testing Approach

Adams

2020

Journal of Accounting, Business and Finance Research

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The basic aim of this study is to evaluate the market efficiency hypothesis by using the fiscal policy information implemented in the context of the New York Stock Exchange. In order to take into account that the macroeconomic data of a developed country like USA has a limited size and may be governed by structural breaks and inconsistencies this paper proposed the adoption of the ARDL bounds testing approaching in order to effectively evaluate the relationship between the lagged macroeconomic variables and the stock market returns. Also, the use of this technique allows for the evaluation of both short run and long run relationships and associations among the variables. The study uses data from 2008-2018 to investigate the efficiency of the stock market. The results suggest that in the long run the stock prices fully reflect the information issued by the fiscal policy and reflect on the past activities of the fiscal policy as well. In the short run however, the New York stock exchange index S&P 500 reacts differently. The NYSE stock index was found to only efficiently reflect the unexpected news from the fiscal policy. Moreover, the results also show that the prices in terms of oil, production and consumer prices were also found to be correlated with the stock prices. The increase in the consumer prices or inflation and average economic translates in increased profitability for the firms and the increase in the oil prices seems to have a negative impact on the firm profitability

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“…However, in the short run, fiscal policies have a major role to play in the stock market. The sustainability in the policy information is very critical in examining the stock prices in a region (Stoian & Iorgulescu, 2020). Therefore, government intervention is a mandatory action that is taken to improve the stability in the market.…”

Section: Literature Reviewmentioning

confidence: 99%

“…In light of the study conducted by Stoian and Iorgulescu (2020) the efficient market hypothesis is one of the most debated phenomena in finance and economics which reflects that the information disseminated to the investors is accurate. However, due to dissonance, the implications are numerous and this further indicates that no investor can beat the market.…”

Section: Introductionmentioning

confidence: 99%

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2020

Asian Journal of Empirical Research

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Fiscal policy and stock market efficiency: An ARDL Bounds Testing approach

Cited by 35 publications

References 34 publications

Investigating the Impact of Exchange Rate Volatility, Inflation and Economic Output on International Trade of India

Investigating the Impact of Exchange Rate Volatility, Inflation and Economic Output on International Trade of India

Fiscal Policy and Stock Market Efficiency in the USA: An ARDL Bounds Testing Approach

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