Dynamic Responses of Major Equity Markets to the US Fear Index

Adrangi, Bahram; Chatrath, Arjun; Macri, Joseph; Raffiee, Kambiz

doi:10.3390/jrfm12040156

Cited by 8 publications

(5 citation statements)

References 60 publications

(64 reference statements)

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“…In this regard, if the offshore market continues in a bullish trend, capital flight will have a negative impact on the Indonesian market, particularly the ESG index. It is in line with Bhat (2018) and Adrangi et al (2019) but is contrary to Wongbangpo and Sharma (2002), who found a negative link between ASEAN stocks and inflation. Meanwhile, Bekhet and Mugableh (2012) focused on the Malaysia stock exchange.…”

Section: Vecm Estimationsupporting

confidence: 74%

Volatility and Stability of ESG Equity in Indonesia toward Internal and External Shocks

Gunawan¹,

Firdaus

Siregar

et al. 2022

IJIEF

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The Environmental, Social and Governance (ESG) index is rising in popularity globally especially in Indonesia. This study attempts to prove that ESG equity is less volatile than non-ESG equity, since specific components of ESG are essentially parts of the Shariah values. Using data from 2009 through 2020, the Vector Error Correction Model (VECM) method was utilized to further investigate the link between ESG and other endogenous variables such as the DJIM (Dow Jones Islamic Market), Fed rate, JCI (Jakarta Composite Index) index, exchange rate, and BI rate. The results show that all internal and external variables significantly influence ESG equity in very low magnitude, except for DJIM negatively and Fed rate positively. However, the IRF findings reveal what transpired to the ESG equity, which was able to endure shocks from both internal and external simultaneously, and to stabilize more swiftly. Moreover, the FEVD results shows that all internal and external variables have little impact to ESG equity totaling less than 9 per cent. Meanwhile, the impact of the same variables to non-ESG equity, i.e., JCI and DJIM, are higher at 38 per cent and 13 per cent, respectively. In addition, ESG equity tends to have a dominant influence on other non-ESG equity. Therefore, the Indonesian stock market will be more stable if ethical investing norms, such as ESG equity, are followed, which will be more judicious in order to achieve long-term growth.

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Section: Vecm Estimationsupporting

confidence: 74%

Volatility and Stability of ESG Equity in Indonesia toward Internal and External Shocks

Gunawan¹,

Firdaus

Siregar

et al. 2022

IJIEF

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“…Excessive money supply should be prevented, as it provokes increased inflationary processes. Negative inflation and the appearance of negative bank rates should also be prevented as the latter immensely impedes the economic development of any state [40]. (10) The minimization of Distributed Denial of Service (DDos) attacks and data theft.…”

Section: Public Finance Transformation Tools In Terms Of Sustainabilitymentioning

confidence: 99%

Tax System of the Russian Federation: Current State and Steps towards Financial Sustainability

et al. 2019

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Achieving financial sustainability is the most important strategic task of the state in a turbulent global economic environment. The purpose of this study was to identify the patterns of development and peculiarities of the tax situation in Russia. The authors determined the most effective approaches for the formation of the tax system that would ensure the financial sustainability of the state in conditions of economic transition. This study examined the existing features and patterns of the formation of the Russian tax system. The ways and instruments to achieve financial stability were considered. As an example, it was decided to take into account the international practices of the most successful states in terms of tax (according to the Doing Business methodology)—namely, the USA, Ireland, France, Greece, Luxembourg, the Netherlands, Germany, Switzerland, the UK, Sweden and Norway. A list of conditions is proposed, the implementation of which might ensure the transformation of the Russian financial system in terms of sustainability. This article also demonstrates changes in the economic infrastructure of the Russian Federation and indicates possible scenarios for the development of the tax system. This study determines that the tax system is largely shaped by the information environment. Therefore, digitalization processes can serve as a catalyst for the achievement of financial sustainability by the state. The choice of tools for the internal reform of public finances is situational. However, strategic transformation (in terms of macro-level sustainability) can be achieved by performing a number of universal steps. The implementation of the latter creates not only a positive effect from the introduction of new approaches, but primarily minimizes the impact of existing negative phenomena and trends. The tax system of the Russian Federation can be optimized by consolidating sustainable development indicators in the legal acts. The latter is an important step towards achieving financial sustainability.

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“…Even though our analysis of the above mentioned relationship is not statistically conclusive, the observations visible with the naked eye do coincide with findings from the literature such as [9], who shows the existence of some evidence of high (low) VIX levels indicating higher (lower) future expected returns in the S&P100 Index. Additionally, [10] and [54] show the predictive power of the VIX Index for the second moment of future SPX Log-Returns.…”

Section: Experiments Setupmentioning

confidence: 99%

Discriminating modelling approaches for Point in Time Economic Scenario Generation

Wang

2021

Preprint

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Dynamic Responses of Major Equity Markets to the US Fear Index

Cited by 8 publications

References 60 publications

Volatility and Stability of ESG Equity in Indonesia toward Internal and External Shocks

Volatility and Stability of ESG Equity in Indonesia toward Internal and External Shocks

Tax System of the Russian Federation: Current State and Steps towards Financial Sustainability

Discriminating modelling approaches for Point in Time Economic Scenario Generation

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