Long-term relationship of crude palm oil commodity pricing under structural break

Salami, Monsurat Ayojimi; Haron, Razali

doi:10.1108/jcms-09-2018-0032

Cited by 5 publications

(6 citation statements)

References 56 publications

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“…Identically; (Omolade et al, 2019) Investigated the influence of Crude Oil price shocks on the Macro-economic Variables with a conclusion that structural Inflation impacts more to Oil price than monetary Inflation. Similar results we have found out with (Koh, 2016), (Salami and Haron, 2018), (Ratti and Vespignani, 2016), (Aggarwal and Manish, 2020), (Malik et al, 2017) where they conformed the relationship between Crude Oil prices and Macro-economic Variables.…”

Section: Studies Outside Brics Countriessupporting

confidence: 91%

Relationship Between Crude Oil Prices and Macro-Economic Variables: Evidence From Brics Countries

Raju

Marathe²

2020

IJEEP

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The article analyses the relationship between Crude oil Prices and Macro-economic variables in BRICS countries using Quarterly data from March 31, 1999 to December 31, 2019 and an Autoregressive Distributed lag model has been developed to study the long term relationship between Crude oil and Macro-economic variable. The study found out that the long term relationship exists between the variables. We have also identified that all the countries react differently to the fluctuations in Oil prices. But interestingly China and India share some commonalities in terms of reacting to the changes in Crude Oil prices. Additionaly we have also found that fluctuations in the Oil price effect Trade Openness in every country under study except Russia.

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Section: Studies Outside Brics Countriessupporting

confidence: 91%

Relationship Between Crude Oil Prices and Macro-Economic Variables: Evidence From Brics Countries

Raju

Marathe²

2020

IJEEP

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“…The issue of the long-run relationship between markets has been extensively examined considering different aspects (see, e.g., Sehgal et al 2015;Ghosh and Kanjilal 2016;Nambiappan et al 2018). Salami and Haron (2018) studied the long-run relationship by taking into account the speed of adjustment of short-run deviations in the price efficiency and found that once the long-run relationship between the two markets is established, market deviation in the short-run becomes temporary.…”

Section: Long-run Relationship Of Stock Markets and Macroeconomic Var...mentioning

confidence: 99%

“…Movement in the stock market is dependent on the integration of the market (Salami and Haron 2018). In the finance literature, the issue of financial market integration is of crucial importance in both theoretical and practical terms.…”

Section: Co-movement or Integration Among The Marketsmentioning

confidence: 99%

“…The average annual growth suggests that the structural break has slowed down the growth rate of the American, British, and Japanese stock markets. Many empirical studies in the literature have shown the impact of macroeconomic variables on the stock market when incorporating a structural break (Wei et al 2019;Ji et al 2020;Salami and Haron 2018;Miller and Ratti 2009).…”

Section: Level Of Integration In the Presence Of A Structural Breakmentioning

confidence: 99%

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Are Stock Markets among BRICS Members Integrated? A Regime Shift-Based Co-Integration Analysis

et al. 2022

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Long-run relationships and structural breaks have often been confused so that many investigators ignore the structural breaks in long-run stock price relationships. In this paper, we investigate the long-run relationships among stock prices in BRICS countries in a bivariate framework. We used a non-linear threshold cointegration test, which endogenously incorporates possible regime shift behaviors into the long-run relationships from 2004 to 2018. The Johansen cointegration test, the Gregory and Hansen cointegration test, and the Hatemi-J regime shift cointegration test, which allow for single and double structural breaks, were used. The principal finding of this paper confirms the presence of cointegration among the BRICS stock markets with two endogenous structural breaks. The study confirms that ignoring the presence of structural breaks in long-run series data can produce ambiguous results. It also confirms the absence of cointegration among these stock markets (Brazil and China, India and China, and China and South Africa) after two endogenous structural breaks. These empirical findings support conjecture on more than just the changes in the relationships between the BRICS stock markets. The disintegrated markets suggest the absence of arbitrage activity and vice versa. Thus, disintegrated markets mean that investors can obtain long-term gains through international portfolio diversification. While the benefit of the diversification is very limited in the long run, it is unlikely to be eliminated in practice. Hence, there is a possibility of obtaining an unusual profit in such a market, and consequently the assumptions of market efficiency could also be violated.

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“…If data extended to the period before COVID-19 pandemic without accounting for structural break the conclusion would be misleading. A study revealed that using data with structural breaks may result in misleading findings (Salami and Razali, 2018). Finally, we obtained data ranging from April 1, 2020 to May 16, 2022 which makes a total of 530 observations.…”

Section: Methodsmentioning

confidence: 99%

Performance evaluation and volatility of Turkey REITs during COVID-19 pandemic

Salami

Tanrıvermiş

2022

JPIF

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PurposeThis study aims to examine the performance and volatility of Turkey Real Estate Investment Trusts (Turkish REITs) as the world is adjusting to the new normal situation in every aspect of REITs' business activities.Design/methodology/approachThe prices of REITs were acquired from 26 Turkish REITs in this study, but owing to autocorrelation difficulties, 14 Turkish REITs were employed in the analysis. The ten-year long-term bond of the Turkish Government was also utilized and the period of data obtained was based on availability. The performance of Turkish REITs was evaluated using Sharpe's ratio and Treynor's ratio, and the volatility was assessed using MGARCH-BEKK.FindingsThe authors found out that Turkish REITs are constantly underperforming and the REITs' returns remain highly volatile and persistent. In addition, findings showed evidence of volatility clustering and the asymmetric impact of shocks. This study further revealed the uniqueness of each of the Turkish REITs due to the lack of evidence of multicollinearity.Research limitations/implicationsHowever, the limitation of this study is the constraint in obtaining more macro-economic variables of more than ten-years of Turkey's Government bond and the study focused mainly on Turkish REITs.Practical implicationsThe result suggests that since Turkish REITs are not mandatory to payout 90% of taxable earnings as dividends, high performance and an appropriate risk management approach are expected. The need for timely revealing performance of T-REITs and associated uncertainty may trigger better performance as discussed in the relationship between disclosure and performance which is recently emphasized in a recent study by Koelbl (2020). With current performance and associated uncertainty in Turkish REITs, the need to protect Turkish REITs investors is highly essential. The result further educates REIT investors that diversification benefits of REITs tend to reduce in extremely risky situations.Originality/valueThis is the first study in the context of Turkish REITs that comprehensively integrated market capitalization of REITs and simultaneous evaluation of performance and the volatility of the Turkish REITs as the world adjusts to the new normal.

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Long-term relationship of crude palm oil commodity pricing under structural break

Cited by 5 publications

References 56 publications

Relationship Between Crude Oil Prices and Macro-Economic Variables: Evidence From Brics Countries

Relationship Between Crude Oil Prices and Macro-Economic Variables: Evidence From Brics Countries

Are Stock Markets among BRICS Members Integrated? A Regime Shift-Based Co-Integration Analysis

Performance evaluation and volatility of Turkey REITs during COVID-19 pandemic

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