Archives

Volume 5 Number 11 November 2019

Modeling Volatility and Daily Exchange Rate Movement in Nigeria


Authors: Ejem Chukwu Agwu ; Ogbonna Udochukwu Godfrey
Pages: 264-275
DOI: doi.org/10.32861/ijefr.511.264.275
Abstract
This study modeled volatility and daily exchange rate movement in Nigeria with daily exchange rate between Nigeria Naira and US Dollar from January 2, 2001 to May 20, 2019 collected from the Central Bank of Nigeria (CBN). The results of the estimated models revealed that conditional variance (volatility) has positive and significant relationship with exchange rate returns between Nigeria Naira and US Dollars, which corroborates the theory that predicts positive relationship between return and volatility for risk averse investors. Also found that exchange rate volatility between Naira / US Dollar is persistent. It was also discovered that goods news produces more volatility than bad news of equal magnitude. The researchers therefore suggested that the Central Bank of Nigeria should always proffer timely intervention to reduce the volatility persistence. This will go a long way to counteract or moderate the excess volatility between Naira and US Dollar transactions.



Proposed Model of the Dividends Policy of REITs Listed at Kuwait Stock Exchange


Authors: Tharwah Mohammed Shaalan
Pages: 259-263
DOI: doi.org/10.32861/ijefr.511.259.263
Abstract
The research  aims to study the factors that affect the dividends policy at the REITs ,which listed at Kuwait Stock Exchange, using 41 observation of one year, included all  41 REITs, multi linear multi  regression model  technique was applied. The explanatory variables are, pay-out ratio, cash flow from finance activities, earning per share, assets size, revenues. The study reached to a statistically high significance and positive relationship between dividends per share and all explanatory variables except assets size had no significant effect, also revenue variable had negative relationship with dividends per share.



Stock Market Development and Economic Growth in Bangladesh: An Empirical Appraisal


Authors: Md. Shakhaowat Hossin ; Md. Shafiul Islam
Pages: 252-258
DOI: doi.org/10.32861/ijefr.511.252.258
Abstract
This article seeks to examine the impact of the Bangladesh’s stock market development on its economic growth from the period of 1989-2012. We have used Johansen Cointegration test to estimate the long-run equilibrium relationship between the variables and the Granger causality test was conducted in order to establish causal relationship, while the model was estimated using the error correction model (ECM). Johansen co-integration test results show that the Bangladesh’s stock market development and economic growth are co-integrated. This indicates that a long run relationship exists between stock market development and economic growth in Bangladesh. The causality test results suggest a unidirectional causality from stock market development to the economic growth. On the other hand, there is no “reverse causation” from economic growth to stock market development. The evidence from this study reveals that the activities in the stock market tend to impact positively on the economy. It is recommended therefore that stock market regulatory authority should therefore address policy issues that are capable of boosting the investors’ confidence through improved policy formulation and creation of awareness.



Measures of the Output Gap in Turkey: An Empirical Assessment of Selected Methods


Authors: İlyas Şıklar ; Suzan Şahin
Pages: 238-251
DOI: doi.org/10.32861/ijefr.511.238.251
Abstract
The output gap indicating the difference between the actual and potential levels of output is a critical factor for estimating the inflationary pressures in an economy. If the main target of a central bank is ensuring and maintaining the price stability, estimating the output gap with a minimum error is crucial for the efficiency of the monetary policy. In this study, we estimated the output gap in Turkey for the 2002-2014 period by using four different methods. Two of these estimation methods are purely statistical (Linear Trend and Hodrick-Presscot (HP) Filtering) while the others are integrated with the relations suggested by the economic theory (multivariate structural model and structural autoregressive (SVAR) model). By using empirical decision criteria common in the literature, we conclude that SVAR model produces the most reliable output gap estimates to explain inflationary pressures in Turkey. However, we also found that the Hodrick-Presscot filtering method is the second best methodology in the output gap estimation process.