Global economic activity as an explicator of emerging market equity returns

Graham, Michael; Peltomäki, Jarkko; Piljak, Vanja

doi:10.1016/j.ribaf.2015.09.030

Cited by 24 publications

(7 citation statements)

References 35 publications

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“…Our supplementary analysis also finds that both the MSCI and MSCIE indices are significantly and negatively affected by the BDI index. These findings are expected, as the link between economic activity and stock markets are evident, as shown in earlier literature (Grahama et al 2016;Giannarakis et al 2017;Lin et al 2019).…”

Section: Structural Vector Autoregression (Svar)supporting

confidence: 78%

Spillovers of the COVID-19 Pandemic: Impact on Global Economic Activity, the Stock Market, and the Energy Sector

Hasan

Mahi

Sarker

et al. 2021

JRFM

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In this study, we examine the effect of the COVID-19 pandemic on global economic activity, the stock market, and the energy sector considering the sizable damaging impacts in these crucial aspects. Our results, based on the structural vector autoregression (SVAR) model for the data from 21 January 2020, to 26 February 2021, indicate that the COVID-19 cases significantly and negatively impact all the endogenous variables such as Baltic dry index (BDI), MSCI world index (MSCI), and MSCI world energy index (MSCIE). Our results also reveal that of the three variables, the stock markets indices (MSCI and MSCIE) are comparatively more affected by COVID-19 cases. The findings imply that the stock markets are more sensitive to the COVID-19 pandemic than the real economy. The results further indicate that of the three variables, the MSCIE index is the most affected by COVID-19 due to two factors: one is the dwindling power consumption caused by COVID-19 and the other is the decline in oil price because of the Russia–OPEC price war. Our findings enhance the understanding of the spillover impacts of the global health crisis on economic activity, the stock market, and the energy sector. Moreover, our study offers insights for policymakers and governments into the relationship dynamics of COVID-19 that would help them be more cautious in taking preventive measures against the health crisis to save the economy, the stock market, and the energy sector from falling into a more deepened crisis.

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Section: Structural Vector Autoregression (Svar)supporting

confidence: 78%

Spillovers of the COVID-19 Pandemic: Impact on Global Economic Activity, the Stock Market, and the Energy Sector

Hasan

Mahi

Sarker

et al. 2021

JRFM

View full text Add to dashboard Cite

show abstract

“…Contrary to the positive relationship indicated by the above research studies, few other studies have reported otherwise. Graham et al ( 2016 ) identified that the relation between BDI and the equity market returns is applicable for emerging markets only. Developed market returns are not affected by the BDI, except for the USA.…”

Section: Introductionmentioning

confidence: 99%

The asymmetric relationship between Baltic Dry Index and commodity spot prices: evidence from nonparametric causality-in-quantiles test

Bandyopadhyay

Rajib

2021

Miner Econ

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“…В числе авторов, определяющих эмпирические закономерности в пользу глобальных факторов, влияющих на потоки портфельных инвестиций, можно назвать F. Demir и M. Graham. Они на выборках из разных стран показывают, что в среднем более 80 % волатильности портфельных потоков вызвано глобальными push-факторами, которые в значительной степени связаны с экономическими показателями США (Demir, 2009;Graham et al, 2016). Результаты других исследований этого направления показали, что именно процентные ставки в США являются ключевым глобальным фактором притока капитала в развивающиеся страны: низкие процентные ставки в США имеют тенден- Источник: составлено авторами.…”

Section: теоретические основы исследованияunclassified

Dynamic modeling of macroeconomic factors influence on portfolio investment flows in countries with emerging markets

Дорошенко¹,

Lapteva²

2021

Ars Administrandi

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Introduction: the impact of pull or push factors on capital flows has become an especially relevant issue due to the increasing importance of emerging countries in the growth of world welfare. Objectives: to identify the impact of global and domestic economic factors on portfolio capital flows to emerging markets. Methods: the work is based on applied statistical and econometric methods of regression analysis. Panel regression estimation was carried out by two-step least squares methods (instrumental variables), generalized method of moments according to the methodology of Arellano–Bond and Arellano–Bover/Blundell– Bond. The study contains a total of 2,240 observations. Results: two hypotheses were put forward: (1) global indicators of USA monetary policy have a greater impact on the inflow of portfolio investments in developing countries in crisis years than domestic factors; (2) the difference between the receiving country’s interest rate and the US rate has the most significant effect on the inflow of portfolio investment to emerging market economies among the domestic factors. The impact of the factors on portfolio investment flows was assessed using macroeconomic data for 28 developing countries, based on quarterly observations for the period 2000–2019. Conclusions: there is empirical evidence that global factors are more important in times of crisis than specific country ones. The second hypothesis was not confirmed. It was revealed that the flows of portfolio capital are most influenced by the level of international reserves and domestic political stability in the country.

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Global economic activity as an explicator of emerging market equity returns

Cited by 24 publications

References 35 publications

Spillovers of the COVID-19 Pandemic: Impact on Global Economic Activity, the Stock Market, and the Energy Sector

Spillovers of the COVID-19 Pandemic: Impact on Global Economic Activity, the Stock Market, and the Energy Sector

The asymmetric relationship between Baltic Dry Index and commodity spot prices: evidence from nonparametric causality-in-quantiles test

Dynamic modeling of macroeconomic factors influence on portfolio investment flows in countries with emerging markets

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