Assessing the long-run and short-run effect of monetary variables on stock market in the presence of structural breaks: evidence from liberalized India

Bhattacharjee, Animesh; Das, Joy

doi:10.1108/irjms-03-2022-0034

Cited by 7 publications

(4 citation statements)

References 13 publications

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“…Supporting that result, the examination by Wong (2022) during the Asian financial crisis (1997 until 1998) and the global financial crisis (2008 until 2009) in Malaysia, the Philippines, Singapore, Korea, Japan, the United Kingdom (UK), Germany, Hong Kong, and Indonesia also prove that policies to increase interest rates tend to result in a decrease in share prices in the capital market, even though it is only short term. Similarly, the findings by Moya-Martínez et al (2015) in the Spanish stock market (from January 1993 to December 2012), Javangwe and Takawira (2022) in South African stock market (from 1980 to 2020), and Bhattacharjee and Das (2023)…”

Section: The Implications Of Interest Rate Changessupporting

confidence: 63%

“…A macroeconomic factor that tends to be affected by global issues and plays an important role in the capital market is the interest rate (Eldomiaty et al, 2020;Wong, 2022;Alsharif, 2023;Ghosh, 2022;Bhattacharjee & Das, 2023). Recently, the interest rate policy in the Republic of Indonesia shifted from 3.50% to 5.75% until the end of September 2023.…”

Section: Introductionmentioning

confidence: 99%

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Testing the Market Efficiency When Interest Rates Change: Case in Indonesia

Budiarso,

Pontoh

2023

RIMA

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Until the end of September 2023, the interest rate policy in the Republic of Indonesia shifted from 3.50% to 5.75%. The objective of this study is to examine whether changes in interest rates have an impact on the market efficiency in Indonesia. The daily market returns of Indonesia Stock Exchange (IDX) indices from January 3rd, 2022, until October 9th, 2023 are employed. To examine the market efficiency in weak form, this study conducts the normality test by the Kolmogorov-Smirnov test, the unit root problem test by Augmented Dickey-Fuller test, and the variance ratio test. This study finds that most market indices experienced a decline in returns and were less volatile when interest rates shifted to higher levels. This study also finds that most market indices tend to remain efficient in weak form at both low and high interest rates. The finding implies that those indices tend not to be influenced by policy changes in interest rates. However, the findings also show that several market indices experience changes in conditions when interest rates shift. As the studies on the relationship between changes in interest rates and market efficiency are scarce, the novelty of this study is the use of event windows to get specific impact of changes in interest rates on market efficiency.

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Section: The Implications Of Interest Rate Changessupporting

confidence: 63%

Section: Introductionmentioning

confidence: 99%

Testing the Market Efficiency When Interest Rates Change: Case in Indonesia

Budiarso,

Pontoh

2023

RIMA

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“…The highlighted reasons make the ARDL model advantageous because it has a flexible specification and computational efficiency (Hao 2023 ). In the first step, the ARDL technique estimates the long-run cointegration among the variables, whereas in the next stage, it estimates long-run coefficients (Bhattacharjee and Das 2023 ; Bunnag 2023 ). After establishing long-run relations among the variables, this study transforms the raw form of mathematical equations into the standard form of the log-linear models.…”

Section: Methodsmentioning

confidence: 99%

Financial health and economic growth responsiveness as solution to environmental degradation in Pakistan

Golo,

Han,

Balsalobre-Lorente

et al. 2024

Environ Sci Pollut Res

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This study analyses the impact of GDP per capita, domestic credit, savings, and population on the environment in Pakistan from 1995 to 2019. The country has consistently been ranked eighth, fifth, and eight as an environmentally vulnerable nation from 1998 to 2017, 1999 to 2018, and 2000 to 2019, respectively. Therefore, the study explores the role of environmental awareness as a potential strategy for making peace with nature. Findings of the ARDL bounds testing approach confirm the long-run cointegration among variables of concern. In further assessment, the study determines that increased per capita income is detrimental to environmental quality in the long run. However, in the short run, it shows a favourable impact. On the other hand, domestic credit worsens the environment in the long and short runs. However, savings are positively insignificant in this regard. Furthermore, the total population significantly harms the environment in the long and short run. Fortunately, environmental awareness has emerged as a key solution to environmental degradation in Pakistan. Findings show that an increase in the dissemination of environmental awareness through the Internet, mobile, and landline phones, as well as by increasing education expenditures, mitigates the populations’ detrimental impact on the environment and improves environmental quality in the long run. Graphical Abstract

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“…The study by Bhattacharjee and Das (2023) "Assessing the long-run and short-run effect of monetary variables on the stock market in the presence of structural breaks: evidence from liberalized India" evaluated the long-run and short-run effects of monetary factors (such as money supply, interest rate, inflation and foreign currency exchange rate) on the Indian stock market. The study used a set of econometric tools to analyze monthly observations from January 1993 to December 2019.…”

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confidence: 99%

Editorial: Leading the business to the recovery path

Mishra¹

2023

IRJMS

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With a few exceptions, the world is recovering fast from the pandemic after-shocks. The time is also ripe for industries to press the re-boot button and make strategies as per the changing times. Earlier the success mantra was "survival for the fittest," but now it is "survival for the most adaptive". As per the various surveys, the impact as well as the recovery, has been uneven across industries. Industries such as hospitality, aviation, energy real estate, consumer durables, automotive, etc. among many others, reported a decline during the pandemic, while sectors such as healthcare, edutech and pharma were among those which reported growth during the period. Similarly, the recovery process too is dissimilar across the sectors. The reason may be the difference in industry dynamics and the consumers' response. Each sector is different based on the structure, competition intensity, monitoring and control mechanism, logistics, capital and labor requirements, level of consumers' engagement, etc. Therefore, it is imperative to understand the necessary elements of the industry before formulating the strategies to get to the recovery path. Over the world, academicians and practitioners are engaged in the debate about identifying the specific requirements and the ways to achieve those objectives.IIM Ranchi Journal of Management Studies (IRJMS) too, has provided the platform for such debate. IRJMS 2.1 presents the compendium of research on the process being followed across a few sectors. This issue comprises eight articles from various sectors. The first two articles belong to the public sector reforms in Ghana and Tanzania. Given the developing country status of these countries, public sector reforms are necessary for monitoring, controlling, and accountability. Similar to the public sector, banking too is an essential service for the economic growth of any nation. The following article discusses the tenets of bank stability. The following two articles touch upon another growth engine, i.e. the stock markets. Finally, the last three papers deal with three critical sectors: manufacturing, software and healthcare.There is a growing interest in bringing accountability to various institutions and governance. It leads to curiosity among researchers and regulators alike. Bonsu, Appiah, Gyimah, and Owusu-Afriyie (2023), in their paper "Public sector accountability: do leadership practices, integrity and internal control systems matter?" explores the current public sector accountability practices in the sub-Saharan African region, specifically Ghana. The study investigates whether integrity, internal control system and leadership influence public sector accountability in developing country. The study was conducted in Ghana, and focused on 26 ministries with 107 departments or agencies in the public sector. Based on the analysis of the cross-sectional data collected from a survey of 84 public sector departments or agencies in Ghana, the result showed a significant and positive influence of the factors on public sector accountab...

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Assessing the long-run and short-run effect of monetary variables on stock market in the presence of structural breaks: evidence from liberalized India

Cited by 7 publications

References 13 publications

Testing the Market Efficiency When Interest Rates Change: Case in Indonesia

Testing the Market Efficiency When Interest Rates Change: Case in Indonesia

Financial health and economic growth responsiveness as solution to environmental degradation in Pakistan

Editorial: Leading the business to the recovery path

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