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1
j, j. "Are There Housing Bubbles in Seoul Metropolitan Areas?: Evidence from Right-Tailed Unit Root Test." Korean Data Analysis Society 25, no. 6 (2023): 2065–77. http://dx.doi.org/10.37727/jkdas.2023.25.6.2065.
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This study examines the explosive behaviors of house prices in Seoul and its metropolitan areas during 2008Q1~2023Q1. In order for the relationship between house prices and cash flows to reflect better the Korean housing market, this study adopts price-to-income ratio, real transaction-based house prices and personal income. Based on the generalized supremum ADF (GSADF) test, our empirical findings show that housing bubbles are identified in all three markets. According to the starting period, duration periods, and magnitude and prominent peaks among GSADF statistics, the bubbles in Seoul housing market appear to be most serious and further be transmitted to the housing markets of its metropolitan area, Incheon and Gyeonggi-do. Since the methodology used in this study provides policy-makers and investors with real-time information on bubbles, they could formulate a better early warning system to tackle the bubble problem. Specially, our empirical finding helps policy makers to prioritize Seoul over the other housing markets to cope with ongoing bubbles.
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Li, Xin, Chi-Wei Su, Meng Qin, and Fahai Zhao. "Testing for Bubbles in the Chinese Art Market." SAGE Open 10, no. 1 (2020): 215824401990124. http://dx.doi.org/10.1177/2158244019901249.
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This article detects the existence of bubbles in the Chinese art market and investigates when the bubbles originate and crash. We utilize the generalized supremum augmented Dickey–Fuller (ADF) test to detect explosive behavior in the Chinese art market. The empirical results indicate that there are two bubbles in the Chinese art market that happened in the periods from 2004 to 2005 and 2010 to 2011. The main reasons are the financialization of artworks, the speculation of investment institution, and the fluctuation of macroeconomics in China. Our findings are in agreement with the bubble model improved by Gürkaynak considering that asset price can be decomposed to bubbles and fundamental parts. Therefore, to favor the Chinese art market price stabilization, the regulators from this market should identify bubbles to notice their evolutions. The authorities should also manage the expectations of the public and reduce speculative behavior.
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Shaikh, Asra, Muhammad Kashif, Mobeen Ur Rehman, and Shafiq Ur Rehman. "Driven by Fundamentals or Exploded by Sentiments: Testing for Speculative Bubbles in Emerging Stock Markets." Pakistan Business Review 25, no. 1 (2023): 1–27. http://dx.doi.org/10.22555/pbr.v25i1.746.
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This study investigates the existence of speculative bubbles in diverse nine emerging markets, which may lead to terrible financial disasters. Therefore, a novel approach of Rtadf (Recursive, Right-tailed Augmented Dickey-Fuller) tests, monthly time-series data (January 2000–July 2021), and Monte-Carlo simulation under Gaussian assumptions is used. Our findings imply that massive growth in China, Indonesia, Malaysia, Pakistan, Taiwan, and Thailand is driven by credit or speculative bubbles rather than fundamentals whereas no bubbles are found in South Korea, India, and the Philippines - (as per Generalized Supreme ADF - GSADF test). Furthermore, in each stock market, these bubbles primarily exist prior to any local and global financial crisis. These findings add to the existing knowledge of the relationship between bubbles and financial crises. Hence, this study suggests the GSADF test could detect an impending financial crisis in any economy, allowing authorities to control or maintain economic and financial stability.
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Katchekpele, Edoh, Issa Cherif Geraldo, and Tchilabalo Abozou Kpanzou. "Unveiling change-point detection with ARMA-GARCH models." Gulf Journal of Mathematics 17, no. 2 (2024): 226–42. http://dx.doi.org/10.56947/gjom.v17i2.2131.
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This paper delves into the asymptotic theory of a Cumulative Sum (CUSUM)-type test designed for detecting change points in the variance of AutoRegressive Moving-Average models, incorporating Generalized Autoregressive Conditional Heteroscedasticity innovations. We demonstrate that, under the null hypothesis (no change), the CUSUM test statistic converges to the supremum of a standard Brownian bridge. Using a Monte Carlo simulation, we highlight the strong performance of our proposed test when compared to the methods by Song and Kang. Furthermore, we provide a real-world data analysis to showcase the practical application of our test.
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Ilalan, Deniz, and Özgür Özel. "Unit Root Testing in the Presence of Mean Reverting Jumps: Evidence from US T-Bond Yields." International Journal of Nonlinear Sciences and Numerical Simulation 20, no. 2 (2019): 145–52. http://dx.doi.org/10.1515/ijnsns-2018-0012.
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AbstractMean reversion of financial data, especially interest rates is often tested by linear unit root tests. However, there are times where linear unit root test results can be misleading especially when mean reverting jump formations are at stage. Considering this framework, we provide a new unit root testing methodology and compute its asymptotic critical values via Monte Carlo simulation. Moreover, we numerically compare the power of this generalized mean reversion test with the pioneering linear unit root test in the literature namely the Augmented Dickey Fuller (ADF) test. We deduce that our test is a refinement of ADF test with a higher power. We apply our findings to US 10-year Treasury bond yields. We aim to shed light to the discussion among researchers whether interest rates can sometimes revert to a long-term constant mean or not from an unorthodox point of view.
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Su, Chi-Wei, Zheng-Zheng Li, Ran Tao, and Deng-Kui Si. "RETRACTED: Testing for multiple bubbles in bitcoin markets: A generalized sup ADF test." Japan and the World Economy 46 (June 2018): 56–63. http://dx.doi.org/10.1016/j.japwor.2018.03.004.
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Powell, Douglas A., and William D. Schafer. "The Robustness of the Likelihood Ratio Chi-Square Test for Structural Equation Models: A Meta-Analysis." Journal of Educational and Behavioral Statistics 26, no. 1 (2001): 105–32. http://dx.doi.org/10.3102/10769986026001105.
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The robustness literature for the structural equation model was synthesized following the method of Harwell which employs meta-analysis as developed by Hedges and Vevea. The study focused on the explanation of empirical Type I error rates for six principal classes of estimators: two that assume multivariate normality (maximum likelihood and generalized least squares), elliptical estimators, two distribution-free estimators (asymptotic and others), and latent projection. Generally, the chi-square tests for overall model fit were found to be sensitive to non-normality and the size of the model for all estimators (with the possible exception of the elliptical estimators with respect to model size and the latent projection techniques with respect to non-normality). The asymptotic distribution-free (ADF) and latent projection techniques were also found to be sensitive to sample sizes. Distribution-free methods other than ADF showed, in general, much less sensitivity to all factors considered.
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Ural, Mert. "ANALYZING MULTIPLE BUBBLES IN THE USDKZT EXCHANGE RATE USING THE GSADF TEST." Eurasian Research Journal 3, no. 2 (2021): 7–18. http://dx.doi.org/10.53277/2519-2442-2021.2-01.
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Since most of the financial crisis caused by the bursting bubble of financial assets, the investigation of bubble behaviors and the early detection for the prevention of adverse economic consequences is important. This paper investigates whether multiple price bubbles exist in USDKZT exchange rate on the basis of a recursive right tailed Generalized Supremum Augmented Dickey Fuller Test (GSADF) developed by Phillips, Shi and Yu (2015), as well as to determine date stamps of the price bubbles. In this regard, we performed GSADF test by using weekly closing prices of the nominal exchange rate for the period between 23.08.2015 to 04.04.2021. In line with the empirical findings obtained, two explosive bubbles are detected in 2018 and 2020 when USDKZT exchange rate deviates from fundamental value. Our findings suggest that due to the possibility of bubble repetition, GSADF has been verified to be a better test for detecting bubbles.
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Su, Chi-Wei, Lu Liu, Ran Tao, and Oana-Ramona Lobonţ. "Do natural rubber price bubbles occur?" Agricultural Economics (Zemědělská ekonomika) 65, No. 2 (2019): 67–73. http://dx.doi.org/10.17221/151/2018-agricecon.
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In this paper, we employ the Generalized Supremum Augmented Dickey-Fuller test in order to identify the existence of multiple bubbles in natural rubber. This approach is practical for the using of time series and identifies the beginning and end points of multiple bubbles. The results reveal that there are five bubbles, where exist the divergences between natural rubber prices and their basic values on account of market fundamentals. The five bubbles are related to imbalance between supply and demand, inefficiencies of smallholders market, oil prices, exchange rate and climatic changes through analyses. Thus, the corresponding authorities are supposed to identify bubbles and consider their evolutions, which is beneficial to the stability of natural rubber price.
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Peng, Yushan, Menglin Ni, and Xiaoying Wang. "Identifying price bubbles in copper market: Evidence from a GSADF test approach." PLOS ONE 18, no. 11 (2023): e0290983. http://dx.doi.org/10.1371/journal.pone.0290983.
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This paper uses the test proposed by Generalized Supremum Augmented Dickey-Fuller to identify whether there are multiple bubbles in copper price. The empirical results show that base on market fundamentals, there are seven bubbles existed from January 1980 to March 2023. Through analyses, the first two bubbles can be explained by the demand from Japan by the industry concentration and persistent supply constraint. The third to sixth bubbles are mainly negatively impacted by the global financial crisis and growing demand of China. The last bubble is caused by the economic recovery from Covid-19. The logit regression has stated that aluminum price, copper production, all metals index and GDP have a positive impact on copper bubbles, while China’s copper imports and precious metals price negatively explains copper bubbles. The main contributions are the investigation of the copper price bubbles, its determinants and the different technique of GSADF to detect copper price bubbles. Furthermore, it provides helpful information for those investors to make reasonable investment decisions and thus, avoid potential price risk.
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Fiorilli, Daniel, James Parks, and Anders Södergren. "Low-lying zeros of quadratic Dirichlet -functions: lower order terms for extended support." Compositio Mathematica 153, no. 6 (2017): 1196–216. http://dx.doi.org/10.1112/s0010437x17007059.
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We study the $1$-level density of low-lying zeros of Dirichlet $L$-functions attached to real primitive characters of conductor at most $X$. Under the generalized Riemann hypothesis, we give an asymptotic expansion of this quantity in descending powers of $\log X$, which is valid when the support of the Fourier transform of the corresponding even test function $\unicode[STIX]{x1D719}$ is contained in $(-2,2)$. We uncover a phase transition when the supremum $\unicode[STIX]{x1D70E}$ of the support of $\widehat{\unicode[STIX]{x1D719}}$ reaches $1$, both in the main term and in the lower order terms. A new lower order term appearing at $\unicode[STIX]{x1D70E}=1$ involves the quantity $\widehat{\unicode[STIX]{x1D719}}(1)$, and is analogous to a lower order term which was isolated by Rudnick in the function field case.
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Chang, Tsangyao, Chen-Min Hsu, and Mei-Chih Wang. "Bubbles During Covid-19 Period: Evidence from the United States Using the Generalized Sub ADF Test." HOLISTICA – Journal of Business and Public Administration 12, no. 1 (2021): 49–56. http://dx.doi.org/10.2478/hjbpa-2021-0005.
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Abstract This study applies the generalized sub ADF (GSADF) tests to investigate whether bubbles exist in the United States markets over the period of 2015-2019, focusing on the COVID-19 period. We use daily Dow-Jones stock price indexes for the first time during the time period of 2015/1/7-2020/3/17. Empirical results demonstrate the existence of bubbles in the US stock market during some sub-sample time periods. Especially important, we find the third bubble begins from 2020/2/26 and grows gradually, not bursting until recently, a situation that is ongoing in the US market. Our results have important policy implications for investors who attempt to invest in the US stock market
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Buhaerah, Pihri. "Pembangunan Keuangan dan Pertumbuhan Ekonomi: Studi Kasus Indonesia." Kajian Ekonomi dan Keuangan 1, no. 2 (2017): 165–80. http://dx.doi.org/10.31685/kek.v1i2.203.
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AbstractThis paper examines empirically the linkage of financial development and economic growth in Indonesia by using time series analysis for the period of 2001Q4-2016Q2. To achieve the objective of this study, data was collected from secondary sources and employed various time series econometric procedures such as Dickey Fuller-Generalized Least Square (DF-GLS) test, Granger Causality test, Engle Granger-Augmented Dickey Fuller (EG-ADF) cointegration test, and Error-Correction Method (ECM). The cointegration test shows that there is a long run relationship cointegrated between selected financial development indicators and economic growth. Surprisingly, in the short run, total credit to the private non-financial sector has a negative effect on economic growth in Indonesia. Furthermore,Granger causality test based on error-correction model indicates that only money market rate, stock prices, and total credit to households have a causal relationship with economic growth.  AbstrakMakalah ini membahas secara empiris pertautan antara pembangunan keuangan dan pertumbuhan ekonomi di Indonesia dengan menggunakan analisis runtun waktu untuk periode 2001Q4-2016Q2. Untuk mencapai tujuan penelitian ini, data yang dikumpulkan berasal dari dari  beragam sumber data  sekunder dan melibatkan berbagai prosedur ekonometrika runtun waktu seperti Dickey Fuller-Generalized Least Square (DF-GLS), uji Kausalitas Granger, uji kointegrasi Engle Granger-Augmented Dickey Fuller (EG-ADF), dan error-Correction Method (ECM). Hasil uji kointegrasi menunjukkan bahwa terdapat hubungan jangka panjang antara indikator pembangunan keuangan yang terpilih dan pertumbuhan ekonomi. Yang mengejutkan, dalam jangka pendek, total kredit ke sektor swasta non-keuangan memiliki efek negatif pada pertumbuhan ekonomi di Indonesia. Selanjutnya, uji kausalitas Granger berdasarkan model koreksi kesalahan menunjukkan bahwa hanya suku bunga pasar uang, harga saham, dan jumlah kredit untuk rumah tangga yang memiliki hubungan kausalitas dengan pertumbuhan ekonomi.
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Ni, Menglin, and Xiaoying Wang. "Detecting bubbles in world aluminum prices: Evidence from GSADF test." Journal of Business Economics and Management 25, no. 6 (2024): 1120–39. https://doi.org/10.3846/jbem.2024.22262.
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The aim of this research is to assess the existence of multiple bubbles in the global aluminum market by employing the Generalized Supremum Augmented Dickey-Fuller (GSADF) methodology. This method offers practical time series analysis tools for identifying periods of rapid price escalation, followed by subsequent collapses. Findings indicate the identification of six explosive bubbles occurring between January 1980 and March 2023, during which the aluminum price strayed from its underlying fundamental value. Additionally, this finding is consistent with the asset pricing model, which generally considers both fundamental and bubble components. Based on the empirical results, the aluminum price bubbles are positively influenced by the copper price, GDP, the U. S dollar index, industrialization of China, China’s urbanization rate, whereas the global aluminum production, oil price, and base metal price index have a negative explanatory effect on the aluminum price bubbles. To effectively stabilize the international aluminum price, policymakers are suggested to be vigilant in identifying bubble episodes and monitoring their progression. Additionally, regulatory authorities should implement measures to curb excessive speculative activity during periods of extreme market volatility, thereby mitigating excessive price fluctuations and the formation of aluminum bubbles.
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Jafari Samimi, Ahmad, and Roozbeh Balounejad Nouri. "The Test of Multiple Price Bubbles in Tehran Stock Market: an Application of the Generalized Supremum Augmented Dickey–Fuller." Journal of Research in Economic Modeling 6, no. 21 (2015): 7–33. http://dx.doi.org/10.18869/acadpub.jemr.6.21.7.
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Ahmed, Rafiq, Syed Tehseen Jawaid, and Samina Khalil. "Bubble Detection in Housing Market: Evidence From a Developing Country." SAGE Open 11, no. 2 (2021): 215824402110066. http://dx.doi.org/10.1177/21582440211006690.
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There is an upward trend in housing prices around the world, and Pakistan is no different either; being a developing county, it is facing a rising population. Due to this, the demand for housing has exceeded its supply and in turn rinsing their prices. This study is the first attempt to identify housing price bubbles in Pakistan from 1972 to 2018. The data are available on an annual basis, and to capture the price volatility, it is converted into a quarterly and monthly format. The Generalized Supremum Augmented Dickey–Fuller (GSADF) test is used to detect multiple bubbles. Monthly data showed more episodes of bubbles than yearly and quarterly data; in each case, it reported two periods of bubble episodes. The results of the house price dynamics suggest a higher return with high risk in the short run.
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Akbar, Shahid, Maria Idrees, and Mubasher Ali. "Identifying Bubbles in Electricity Prices during COVID-19: A Case Study of Italian Electricity Prices." Journal of Social Sciences and Economics 3, no. 2 (2024): 259–67. https://doi.org/10.61363/ex92qk79.
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The main objective of this study is to identify whether there exists explosive behavior in Italian electricity prices or not by considering the data from January 2020 to December 2021. To achieve this, three econometric methods have been utilized which are developed to detect bubbles. These methods are: right tail Augmented Dickey Fuller (ADF) test, Sequential Augmented Dickey Fuller (SADF) test and generalized sup Augmented Dickey Fuller (GSADF) test. ADF test detected no explosive behavior in Italian electricity prices while both SADF and GSADF tests have revealed presence of explosive behavior in electricity prices. Further, SADF and GSADF tests identify specific periods of explosive behavior characterized by significant price fluctuations. Several policy recommendations for solving this problem arise: introduce stabilizing price mechanisms; therefore, consumers may face stabilized unaffordable high rises and prices; on the other hand, one more method proposed is energy resource diversification, specifically on promotion renewable energy so people avoid usage of sources heavily volatile prices of fossils. In addition to these changes, the enhanced monitoring and regulatory capabilities in the market may help in providing fair competitiveness, transparent price, and avoidance of any kind of manipulation in the market. Additionally, demand supply management programs during peak periods of price volatility and long-term contracts would provide considerable stability and predictability, thereby creating favorable conditions both for producers and consumers.
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Li, Ge, Ming Xiao, Xionghui Yang, Ying Guo, and Shengyi Yang. "Research on multiple bubbles in China’s multi-level stock market." PLOS ONE 16, no. 8 (2021): e0255476. http://dx.doi.org/10.1371/journal.pone.0255476.
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Financial bubbles have always been a topic of long-term concern for economists. Understanding bubble phenomenon and dating the period of bubbles in real time can provide an early warning diagnosis for financial bubbles and help regulatory authorities to control it and maintain market order. The generalized sup ADF (GSADF) and backward sup ADF (BSADF) tests with flexible window width can effectively detect and date periodically collapsing bubbles in real time. Based on the financial present value model, this paper applies right-tail recursive ADF test to test multiple bubbles in China’s multi-level stock market. Unlike the other researches in China, the ratios of the real stock prices’ natural logarithm to the real dividends’ natural logarithm are used for our testing instead of stock price index. Empirical results show that there are 8 bubbles in the Main-Board Market, 6 bubbles in the Small and Medium Enterprises Board (SMEs), and 4 bubbles in the Growth Enterprise Market (GEM). These bubbles are liquidity-driven and presuppose a loose credit cycle, with the exception of bubbles in 2014–2015. The frequent emergence of bubbles in a short time indicates that China’s stock market is still emerging market. In addition, frequent fluctuations imply there is a serious “herd effect” and a lack of monitoring mechanism for bubble risk. This study not only enrich the real-time dynamic research on periodical bubbles of China’s stock market, but also provide an empirical reference for investors’ investment choices, financial decisions of listed companies and warning mechanism of regulatory authorities.
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Rehman, Obaid Ur. "Firms' Aggressiveness and Respective Performance: An Empirical Study Under Pakistani Scenery." International Journal of Entrepreneurial Knowledge 5, no. 1 (2017): 5–19. http://dx.doi.org/10.1515/ijek-2017-0001.
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Abstract The study investigates capital structure of all non-financial listed firms on Pakistan Stock Exchange (PSX) for the period of 2008 to 2014. To test the relation between firm aggressive behavior and its performance, the study uses exponential generalized least square regression by employing control variables. Levin, Hadri and ADF test are used to know the stationarity of data. Furthermore different diagnostic tests like VIF, Weisberg test for heteroskedasticity and Breusch and Pagan Lagrangian multiplier test for random effects are used to check the data normality. Results of the study reveals that financial managers’ aggressiveness regarding financial policy is negatively, while aggressiveness regarding investment policy is positively effecting the firm’s performance. The study also found that with the passage of time, firms in Pakistan have been devastating their performance. That’s why study found negative relation between firms’ age and dependent variables.
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Zhang, Xi-Xi, Lu Liu, Chi-Wei Su, Ran Tao, Oana-Ramona Lobonţ, and Nicoleta-Claudia Moldovan. "Bubbles in Agricultural Commodity Markets of China." Complexity 2019 (December 11, 2019): 1–7. http://dx.doi.org/10.1155/2019/2896479.
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We employ the generalized supremum augmented Dickey–Fuller test to examine whether there are multiple bubbles in Chinese agricultural commodities. The proposed approach is suitable for time series data and identifies the origination and termination of multiple bubbles. The results indicate the existence of bubbles for some agricultural commodity prices, such as garlic, ginger, corn, and wheat prices, that deviate from their intrinsic values upon market fundamentals. The bubbles in the garlic and ginger market are related to speculative activities. The other bubbles, in the corn and wheat market, are associated with the rising oil price, international market, and the negative effect of stockpiling policy. The authorities should recognize bubbles and observe their evolutions, leading to Chinese agricultural commodity price stabilization. These findings suggest corresponding measures to be implemented. China should establish a unified market information release platform to avoid speculative activities and formulate a market-oriented agricultural policy to enhance competitiveness among the international markets.
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Alizadeh, Mehrzad, Saeed Aghasi, and Mohammad Reza Dalvi Esfahani. "Analyzing the Dimensions and Components of an Optimal Investment Model Based on Stock Return Predictors and Risk Factors of Disruptive Traders." Management Strategies and Engineering Sciences 7, no. 2 (2025): 1–8. https://doi.org/10.61838/msesj.7.2.1.
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This study analyzes the dimensions and components of an optimal investment model based on parameters for predicting stock returns and the risk factors associated with disruptive traders. The research adopts an applied post-event survey approach. Initially, the study identifies stock return predictor variables, followed by an examination of disruptive traders' risk factors, which are determined using behavioral errors and beta differences in trading. Subsequently, the study tests its assumptions by applying a combined regression model, integrating the risk factors of disruptive traders and the predictor variables of stock returns. Principal Component Analysis (PCA), the Generalized Supremum Augmented Dickey-Fuller (GSADF) test, and the logit method are utilized to assess the influence of disruptive traders on bubble formation in the Tehran Stock Exchange. The findings indicate that disruptive traders have a positive and significant effect on bubble occurrence. Specifically, a one-unit increase in optimistic sentiment, coupled with market disruption, raises the likelihood of bubble formation.
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Kuzgun Akın, Sibel, and Erkan Işığıçok. "Investigation of Interest Rates Applied by Banks in Türkiye to Deposits in Various Maturities by the GSADF Test." International Journal of Social Inquiry 18, no. 1 (2025): 33–50. https://doi.org/10.37093/ijsi.1524260.
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The decisions taken by banks regarding interest rates have an impact on all actors in the economy, including borrowers, depositors, savings, and consumption expenditures. In this study, we examined asset bubbles in the weighted average interest rates applied by banks in Türkiye for deposits according to various maturities with the "Generalized Supremum Augmented Dickey-Fuller (GSADF)" unit root test. Considering the weekly deposit interest rates for the last 10 years (2014-2024); statistically significant bubbles were found in all 1-month, 3-month, 6-month, and 12-month interest rates at the 0.01 significance level. The background of the relationship between the type of asset and the economic crisis following the bursting of a bubble is relevant to the financing of that asset. We expect that this study will guide banks in updating their reserve amounts by taking into account extraordinary situations in order to avoid liquidity shortages. After investigating the bubble occurrence, we have looked for the important events in Türkiye that coincide with the bubble dates. We have observed bubbles in 1-month, 3-month- 6-month maturities at the same time with the plebiscite in 2017, the presidential and parliamentary elections in 2018 and 2023.
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Sarker, Swati Anindita, Shouyang Wang, and K. M. Mehedi Adnan. "Energy Consumption and Economic Growth Nexus in Bangladesh." Journal of Systems Science and Information 7, no. 6 (2019): 497–509. http://dx.doi.org/10.21078/jssi-2019-497-13.
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Abstract The empirical investigation that examines the dynamics including the interaction between consumption of energy and economic progress has long been assessed. However, the interaction of these two in developing countries in general and Bangladesh, in particular, is a less explored subject. Hence, with this notion, this study examined the causal relationship among economic growth and energy consumption in Bangladesh. For this purpose, the study used energy consumption, gross domestic product (GDP), labor force, and capital data from 1981 to 2017 from different sources and data is analyzed by augmented Dickey-Fuller (ADF) unit root test, Johansen co-integration test and Granger test of causality. Results determine that energy consumption and economic growth have long term bi-directional relationship. The econometric model is estimated using generalized least squares (GLS) model. It is concluded that, consumption of energy and economic growth positively correlated and economic development highly depend on energy consumption in Bangladesh.
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Ulu, Cagri. "The dynamic relationship between BTC with BIST and NASDAQ indices." Financial Internet Quarterly 19, no. 4 (2023): 113–26. http://dx.doi.org/10.2478/fiqf-2023-0030.
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Abstract The significance of digital investment has grown substantially, enabled by advancing technology, which provides digital monitoring of investment instruments. Consequently, analyzing these instruments has become imperative. In particular, investors are inclined to compare new investment opportunities with well-established global stock markets, seeking to capitalize on their advanced financial literacy. This study aims to employ econometric analysis to explore the dynamic relationship between Bitcoin and the BIST100 and NASDAQ 100 indices. The time frame for this investigation spans from January 1, 2017, to March 10, 2022. Stationarity was confirmed through unit root tests (ADF, PP, KPSS, ZA, FADF, and FFFFF ADF) for the subsequent utilization of Autoregressive Conditional Variance Models. Additionally, Generalized Autoregressive Conditional Variance and Dynamic Conditional Correlation Tests were conducted. Results from the Dynamic Conditional Correlation Test model revealed no statistically significant dynamic conditional correlation between Bitcoin and BIST 100. Conversely, a negative and significant dynamic conditional correlation emerged between Bitcoin and NASDAQ 100. Investors should not only monitor the market but also review academic studies before making investment decisions. In this regard, this study holds significant importance. The study is limited to the BTC, BIST, and NASDAQ indices. Researchers interested in the topic can increase the dataset to further enrich the study.
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Amaefula, C. G. "A Simple Integration Order Test: An Alternative to Unit Root Testing." European Journal of Mathematics and Statistics 2, no. 3 (2021): 77–85. http://dx.doi.org/10.24018/ejmath.2021.2.3.22.
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The paper introduces order of integration test (OIT) which serves as a simple alternative to unit root test built generally using auxiliary autoregressive AAR(3) model. The parametric boundary conditions necessary and sufficient for testing the null hypothesis that the non-stationary variable under test is integrated order zero I(0) were estimated via generalized least squares (GLS). The decision on the hypothesis is evaluated using t-statistic. The test procedure was applied to a simulated non-stationary series (y1) of sample size n = 2000 and a known non-stationary time series data (y2) with two unit roots. The results showed that y1 is integrated order one (I(1)) and y2 is I(2). These results were confirmed by Augmented Dickey Fuller (ADF); Phillips-Perron (PP); Kwiatkowski, Phillips, Schmidt, and Shin (KPSS); Elliot, Rothenberg, and Stock Point Optimal (ERS) and Ng and Perron (NP) unit root tests. For logarithm transformed variable, the divergent opinions of other unit root tests in clear-cut solution of the integrated order of such variable makes the new test procedure a better alternative. Nevertheless, the simplicity and aptness of the integration order test give it leverage over conventional methods of unit root test.
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Omran, Shadi, and Elena Semnkova. "BOND MARKET EFFICIENCY AND VOLATILITY: EVIDENCE FROM RUSSIA." Humanities & Social Sciences Reviews 7, no. 4 (2019): 1389–97. http://dx.doi.org/10.18510/hssr.2019.74193.
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Purpose of the study: In this paper, we use daily return for the Moscow Exchange Government Bond index (RGBITR) and Moscow Exchange Corporate Bond index (MICEXCBITR) over the period 2013 to 2018.
 Methodology: Normality test, unit root test (ADF) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model will be used in this paper.
 Results: The empirical results reveal that both government and corporate bond markets in Russia are not weak-form efficient. Furthermore, the volatility is persistent in both bond indices and resembles the same movement in returns. We find also that the GARCH (1,1) model is a good representation of the behavior of daily bond index returns in corporate and government bond markets in Russia.
 Applications of this study: This research can be used for the universities, teachers, and students.
 Novelty/Originality of this study: In this paper, for the first-time model of bond market efficiency and volatility has been studied.
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Baghani, Ali, Elnaz Sabzei, and Ali Kianifar. "Analyzing the impact of financial variables and market characteristics on corporate stock returns in the short and long term after initial public offering." Accounting 11, no. 3 (2025): 221–32. https://doi.org/10.5267/j.ac.2025.4.001.
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This study examines the relationship between short-term and long-term stock returns of companies after initial public offering by considering financial variables and financial and ownership characteristics of companies on the Tehran Stock Exchange. The research sample includes 4560 companies that were publicly listed on the stock exchange in the period from 2013 to 2024, which constitute a total of 4560 company-years. Econometric methods and vector regression models have been used to test the hypotheses. First, the statistical description of the data has been discussed and then various tests including ADF and PP unit root tests to examine the stationarity of the data, Durbin-Watson test to examine autocorrelation, Chow test, F test and Hausman test have been used to select the appropriate model. The results of these tests show that the main hypothesis of the study is that there is a significant relationship between short-term and long-term stock returns of companies after initial offering is confirmed. Finally, the results of this study can be generalized with 95% confidence to the entire statistical population of the study, namely active investors in the Tehran Stock Exchange.
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Andrew, Lauren M. St, Abbigail R. Hines, William P. Tarter, et al. "166 Effect of silo type on fermentation characteristics of laboratory-scale silage." Journal of Animal Science 102, Supplement_1 (2024): 48–49. http://dx.doi.org/10.1093/jas/skae019.057.
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Abstract Creating ensiled forage on a laboratory-scale is a tedious and cumbersome process. One must ensure an anaerobic environment for the success of the fermentation while also striving to replicate field-scale conditions. The objective of this experiment was to determine the effect of laboratory-scale silo type on nutritive value and fermentation profiles of grass-legume silage. This experiment was conducted as a generalized complete block design. There was one treatment factor (silo type) with 11 levels: field-scale baleage control (CON), miniature wrapped baleage (MINI), large fermentation bucket (6GAL), small fermentation bucket (2GAL), miniature silo (PVC), pint-sized Mason-type jar with “BurpLid” (BURP), pint-sized Mason-type jar with Ball-brand fermentation lid (BALL), pint-sized Mason-type jar with an airlock lid (LOCK), single-layered vacuum-sealed bag using a chamber-style sealer (CHMB), double-layered vacuum-sealed bag using a chamber-style sealer (HCHMB), single-layered vacuum-sealed bag using a suction-style sealer (FOOD), or double-layered vacuum-sealed bag using a suction-style sealer (HFOOD). Harvest served as the random blocking factor. Forage was harvested from a single alfalfa-bermudagrass pastures at the Wiregrass Research and Extension Center in Headland, AL. Forage was cut 24 h before collection and allowed to sun-cure. After allocation to treatment, samples were allowed to ferment for 56 d. Following fermentation, samples were assayed for NDF, ADF, ADL, CP, pH, mold, and yeast. Dunnett’s test revealed a difference (P < 0.05) from CON for NDF, ADF, and pH. Samples from PVC had 26% greater NDF and 45% greater ADF than CON (58 and 37%, respectively). Samples from BALL were 3 units greater and samples from LOCK were 2 units greater in pH than CON (4.8). When comparing alternative treatments exclusive of CON, there were differences (P ≤ 0.01) in NDF, ADF, ADL, pH, and mold counts among treatments. Results are interpreted to mean that BALL and LOCK are not effective representatives of field-scale silage production due to lack of pH drop, while PVC alters the fiber profiles. All other methods showed promise as prospects for laboratory silage procedures.
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Ahmed, Mumtaz, Muhammad Irfan, Abdelrhman Meero, et al. "Bubble Identification in the Emerging Economy Fuel Price Series: Evidence from Generalized Sup Augmented Dickey–Fuller Test." Processes 10, no. 1 (2021): 65. http://dx.doi.org/10.3390/pr10010065.
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In the recent past, the world in general and Pakistan in particular faced a drastic fuel price change, affecting the economic productivity of the country. This has drawn the attention of empirical researchers to analyze the abrupt change in fuel prices. This study takes a lead and investigates for the first time, in the literature related to Pakistan, the presence of multiple fuel price bubbles, with the purpose of knowing if the price driver is due to demand or it is exuberant consumer behavior that prevails and contributes to a sudden boom in fuel price series. The empirical analysis is performed through a recently proposed state-of-the-art generalized sup ADF (GSADF) approach on six commonly used fuel price series, namely, LDO (light diesel oil), HSD (high-speed diesel), petrol, natural gas, kerosene, and MS (motor spirit). The bubble analysis for each of the six fuel price series is based on monthly data from July 2005 to August 2020. The findings provide evidence of the existence of multiple bubbles in all series considered. Specifically, four bubbles are detected in each of the kerosene and natural gas price series, whereas three bubbles are noted in each of the HSD, LDO, petrol and MS price series. The maximum duration of occurrence of bubbles is of 12 months for kerosene. The date-stamping of the bubbles shows that the financial crisis of 2008 contributed to the emergence of bubbles that pushed oil prices upward and caused a depreciation in the national currency.
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Wang, Kai-Hua, Chi Wei Su, Oana-Ramona Lobonț, and Claudia Moldovan Nicoleta. "Chinese renewable energy industries' boom and recession: Evidence from bubble detection procedure." ENERGY POLICY 138 (March 5, 2020): 111200. https://doi.org/10.5281/zenodo.13365818.
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This paper considers bubbles specific to Chinese renewable energy industries, including wind, solar and hydro through the Generalized Supremum Augmented Dickey-Fuller test. It applies the recursive procedure and cross-time occurrence to identify starting and ending points in each bubble. Combining with the bubble model, the empirical results reveal that renewable energy industrial stock price may deviate from their market value, and bubble behaviours exist in these industries. The potential reasons can be contributed to economic growth, trade barrier, government supportive policies, global financial crisis, and environmental protection pressure. More attention is further paid on special factors such as extreme windy weather, unfair anti-dumping investigation and less policy support which can explain certain bubbles in wind, solar and hydro industries. The renewable energy industries' boom and recession that evidence from bubble behaviour, would harm industrial development, influence thousands of people's lives, and bring challenges for Chinese energy structure and policies. Therefore, depending on the timely identification of explosive behaviours and bubbles, policymakers could set up prudent policy framework, reduce government intervention and render firms autonomy to maintain the sustained and healthy development of industries. More importantly, enterprises should increase research and development expenditure, upgrade technical standard and exploit international renewable energy market.
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Bago, Jean-Louis, Koffi Akakpo, Imad Rherrad, and Ernest Ouédraogo. "Volatility Spillover and International Contagion of Housing Bubbles." Journal of Risk and Financial Management 14, no. 7 (2021): 287. http://dx.doi.org/10.3390/jrfm14070287.
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This paper provides new empirical evidence on housing bubble timing, volatility spillover, and bubble contagion between Japan and its economic partners, namely, the United States, the Eurozone, and the United Kingdom. First, we apply a generalized sup ADF (GSADF) test to the quarterly price-to-rent ratio from 1970Q1 to 2018Q4 to detect explosive behaviors in housing prices. Second, we analyze the volatility spillover in housing prices between Japan and its economic partners using the multivariate time-varying DCC-GARCH model. Third, we assess bubble contagion by estimating a non-parametric model of bubble migration with time-varying coefficients. We document two historical bubble episodes from 1970 to 2018 in Japan’s housing market. Moreover, we find evidence of volatility spillover effects and bubble contagion between Japan’s real estate market and its most important economic partners during several periods. In this context of market integration, countries need to develop coordinated real estate policies to address the risk of global real estate bubbles.
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Su, Chi-Wei, Zheng-Zheng Li, Ran Tao, and Deng-Kui Si. "Retraction notice to “Testing for multiple bubbles in bitcoin markets: A generalized sup ADF test” [Japan World Econ. 46 (2018) 56–63]." Japan and the World Economy 53 (March 2020): 100983. http://dx.doi.org/10.1016/j.japwor.2019.100983.
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Alqahtani, Abdullah, Amine Lahiani, and Ali Salem. "Crude oil and GCC stock markets." International Journal of Energy Sector Management 14, no. 4 (2020): 745–56. http://dx.doi.org/10.1108/ijesm-06-2019-0013.
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Purpose This paper aims to investigate the transmission of international oil prices to the stock market indices of the Gulf Cooperation Council (GCC) countries over the weekly period from April 07, 2004, to August 15, 2018. Design/methodology/approach The authors use the augmented Dickey–Fuller (ADF) unit root test to check the order of integration of data series. Afterward, the authors use the ordinary least square method to determine the spillover of international oil prices to the stock markets of GCC countries while accounting for the time-varying volatility of oil and stock market returns through the generalized autoregressive conditional heteroskedasticity. Then, the Johansen (1991) cointegration test is used to determine the long-run equilibrium relationship. Finally, the Granger (1969) causality test is used to determine the short-run causal effects between oil and the stock markets returns of GCC countries. Findings The findings indicate that the stock markets of GCC countries are efficient and respond significantly to international oil prices and evidence of high volatility associated with oil returns. Originality/value Investors and portfolio managers should consider the association between international oil prices and GCC stock returns when allocating their funds for diversification strategy. Moreover, policymakers should better understand the behavior of local stock markets.
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Olonite, Oluyemi Ayodele, Sani U. Gurowa, Kamaluddeen Funsho Adisa Ibrahim, and John Olorunleke Ajewole. "PUBLIC SPENDING AND ECONOMIC GROWTH PERFORMANCE: EVIDENCE FROM NIGERIA." International Journal of Research -GRANTHAALAYAH 9, no. 7 (2021): 1–14. http://dx.doi.org/10.29121/granthaalayah.v9.i7.2021.4043.
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This study analysed the relationship between public spending and economic growth in Nigeria. The study used the secondary data from CBN Statistical Bulletin from 2004 – 2018. The Real Gross Domestic Product formed the dependent variable and the independent variable of interest were the Capital Expenditure on Economic Services, and Expenditure of Transfers. The variables were validated by conducting the unit root test using the Augmented Dickey Fuller (ADF) and Phillips Perron Test (PP), and the correlation coefficient were determined using STATA and the Pearson Product Moment Correlation. A multiple regression model was employed for the study and was analysed using the Generalized Least Squares (GLSs) with the aid of Eviews 11 statistical program. The results of the study indicated that Capital Expenditure on Economic Services has a positive and significant impact on Economic Growth while Expenditure on Transfer has a negative and insignificant impact on Economic Growth. The study recommends that Capital Expenditure on Economic Services should be maintained and increased and Expenditure on Transfer should be made Zero, also, the government should develop the refineries to start mass production in order to null off the negative effect of transfers (subsidy payment on oil import and price equalization).
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Nwankwo, I. O., G. E. Nworuh, and C. N. Okoli. "Building a Suitable Generalized Autoregressive Conditional Heteroskedasticity Time Series Model: A Nigeria Net Migration Rate Application." International Journal of Research and Scientific Innovation XII, no. IV (2025): 1135–62. https://doi.org/10.51244/ijrsi.2025.12040094.
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This work focused to build a Suitable Generalized Autoregressive Conditional Heteroskedasticity model for solving net migration rate problem in Nigeria. Analyzing the 51 year annual data of Net Migration Rate (NMR), Crude Death Rate (CDR), Fertility Rate (FR), Inflation Rate (IR), Real Annual Gross Domestic Product (RAGDP), Population Growth Rate (PGR) and Exchange Rate (ER) with Econometric Views (EViews) version 12.0 statistical software, the data was first represented on a graph to show a historical pattern of the variables. A multiple regression analysis was carried out to ascertain the nature of relationship existing between NMR (dependent variable) and ER, IR, CDR, PGR, FR and RAGDP as the independent variables. The results obtained showed a strong positive relationship and that the regression is not spurious. The series being Stationary was used for hypothesis testing, forecasting and fitting of time series models. With Augmented Dickey-Fuller (ADF) test, six series were stationary while with Kwiatkowski-Philips-Schmidt-Shin (KPSS) test, one was stationary. The Q-Statistics probability values were all greater than 0.5 across 36 – lags implying no ARCH models and residuals normally distributed. No autocorrelation, no heteroskedasticity and residuals normally distributed indicating that the GARCH family models studied with three error distributions can be employed to find the best model for solving migration rate problem in Nigeria. Normal Gaussian error distribution EGARCH (1, 1) performed best. The key measurable factors affecting NMR in Nigeria as observed in this work are ER, IR and PGR. Further studies should be done on both Normal Gaussian error distributions EGARCH from 2nd order, symmetric and asymmetric GARCH models to ascertain their performances in modeling Net Migration rate in Nigeria.
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Bounphone, Khammai, Keoudone Keothephar, Vilayvanh Srithilat, and Somwang Kidoikhammuan. "The Dynamic Impact of Economic Growth, Foreign Direct Investment and Infrastructure in Laos." Scholars Journal of Economics, Business and Management 10, no. 09 (2023): 198–208. http://dx.doi.org/10.36347/sjebm.2023.v10i09.001.
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This study examines the dynamic impacts of economic growth, foreign direct investment, and some infrastructure variables in Laos with the time series data from 1995-2020, which have used the Generalized Method of Moments (GMM) and Autoregressive Distributed Lag (ARDL) model approach. The unit root test to check the stationarity of all variables in this study using the Augment Dicky Fuller (ADF) test with considering both level and at first difference. The empirical results of GMM found that the FDI is a major catalyst for economic growth in Laos which has a positive impact and is statistically significant at the level. Similarly, the role of infrastructure variables such as agriculture, industry, and service is the main of the most important indicators in supporting the economic growth in Laos, while telecommunication, electricity, air transport, and trade are positive but insignificant at the level. However, this study also found some variables such as labor, population growth, and life expectancy in support of economic growth which have a strongly positive and significant impact at the level, but the human capital is insignificant at the level. We, therefore, recommend that the government of Laos should attract and sustain more foreign direct investment and increase the infrastructural development to achieve the target of sustainable economic growth in the near future.
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Sarlak, Ahmad, and Zahra Talei. "Impact of High-Frequency Trading on the Stock Returns of Large and Small Companies in the Tehran Stock Exchange." International Journal of Economics and Finance 8, no. 4 (2016): 216. http://dx.doi.org/10.5539/ijef.v8n4p216.
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<p>The main objective of this study is to evaluate the effect of high-frequency trading on stock returns of the Exchange market in Tehran Stock Exchange. The research methodology in this study is in terms of the purpose, functional and in terms of the method of data collection, descriptive and in terms of the type, solidarity.</p><p>Statistical society of this research is all companies in the Tehran Stock Exchange which in the past two years had been active in the stock market. In this study, companies are divided into two categories: large and small companies. Large companies that their assets logarithm is greater than the average total sample and small companies that their assets logarithm is less than the average total sample. To collect information has been used from the financial statements of accepted companies in Tehran Stock Exchange.</p><p>MATLAB software has been used for data analysis.</p>Used tests in this study are include (DF) Dickey-Fuller test, (ADF) Generalized Dickey-Fuller test, Phillips-Perron test, and time series methods. The results of this study show that the dynamics of stock returns of the Tehran Stock Exchange are non-linear functions and high Frequency trading of the large companies affect the turnover of small companies. As a result, volume of the high-frequency trading and the returns of small and large companies are different from each other.
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Odoemelam, Ndubuisi, Henry O. Wobo, and P. Favour Asuquo. "Moderating Role of Democracy in the Taxation-Economic Growth Nexus in Nigeria." Scholarly Journal of Management Sciences Research 3, no. 7 (2024): 54–75. https://doi.org/10.5281/zenodo.13953779.
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<em>This study examined the impact of tax revenue on GDP growth in Nigeria, focusing on the moderating role of democracy. Using a dataset from 1984 to 2023, a mixed-methods approach was employed, combining quantitative and qualitative analyses. Quantitative methods included Ordinary Least Squares (OLS) regression, Generalized Linear Model (GLM), and the Augmented Dickey-Fuller (ADF) Test to address multicollinearity and stationarity issues. Control variables were political stability, government effectiveness, regulatory quality, rule of law, control of corruption, inflation, and trade openness. Robustness checks involved interaction terms of company income tax, personal income tax, and petroleum profit tax with a democracy dummy variable. Qualitative data from interviews and case studies were analyzed using thematic analysis and triangulation. Results indicate that tax revenue has a positive but insignificant effect on GDP growth, and democracy does not significantly moderate this relationship. Control variables also show no significant impact on GDP growth. These findings suggest that merely increasing tax revenue and adopting democratic governance are insufficient for substantial economic growth in Nigeria. The study emphasizes the importance of addressing structural and institutional weaknesses and adopting a holistic policy approach to enhance economic performance.</em>
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Magaji, Bashir, and Jamilu Garba. "Forecasting the exchange rate of Nigerian Naira to United State’ Dollar using ARIMA-GARCH Model." Dutse Journal of Pure and Applied Sciences 8, no. 3b (2022): 87–96. http://dx.doi.org/10.4314/dujopas.v8i3b.9.
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In order to model and forecast exchange rates in both developed and emerging countries, majority of time series analysts have employed various technical and fundamental approaches, the forecast outcome differs depending on the approach chosen or implemented. In this view, this study is about hybridization of Autoregressive Integrated Moving Average (ARIMA) with Generalized Autoregressive Conditional Heteroscedastic (GARCH) model in forecasting exchange rate using monthly data of the Nigerian Naira against the U.S. Dollar for the period of January 2002 to February 2020. The stationarity of the exchange rate series is examined using unit root test of Augmented Dickey Fuller (ADF) test and Kwaitkowski-Philips-Schmidt-Shin (KPSS) which showed that the series is non stationary. To make the exchange rate series stationary, the data was transformed by first differencing and appropriate ARIMA models were obtained using Box-Jenkins method. ARIMA (0,1,1) and ARIMA(0,1,2) models were selected using AIC criteria and the residuals of these models were found to be serially correlated and heteroscedastic; hence the need for the hybridization of ARIMA with GARCH model. Therefore ARIMA models were hybridized with GARCH(1,1) to form ARIMA(0,1,1)-GARCH(1,1) and ARIMA(0,1,2)-GARCH(1,1). The results of forecast performance indicates that the best model is ARIMA(0,1,1)–GARCH(1,1) which has the lowest Root Means Square Error (RMSE) and Mean Absolute Error( MAE).
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Bórawski, Piotr, Rafał Wyszomierski, Aneta Bełdycka-Bórawska, et al. "Development of Renewable Energy Sources in the European Union in the Context of Sustainable Development Policy." Energies 15, no. 4 (2022): 1545. http://dx.doi.org/10.3390/en15041545.
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Renewable energy sources play a key role in decarbonizing the economy of the European Union (EU) and the world. The aim of this research is to present the development of the renewable energy sources (RES) sector in the European Union (EU), with particular emphasis on sustainable development. The EU guidelines, requirements, and directives were analyzed in order to meet the provisions of the energy policy to ensure energy and climate security. The potential of the RES was studied in the EU countries, and the possibility of its use in cogeneration with the use of local renewable resources. The results are presented in tabular, graphic, and descriptive forms. The results are presented based on the extensive literature on the subject and data from Eurostat. The data covered 2004–2019. We used different methods to evaluate the changes in the RES in the EU countries. First, we compiled descriptive statistics; second, we used the Augmented Dickey–Fuller test (ADF test); and, finally, we used the Generalized Autoregressive Conditional Heteroscedasticity model (GARCH model). Our analysis found that the EU increased the share of RES. The biggest share of energy from renewable energy sources was found in 2019 in Iceland (78%), Norway (74%), and Sweden (56%). The biggest increase in the share of RES in 2004–19 was found in Malta (8322%), Great Britain (1126%), and Luxemburg (784%). The results demonstrate the development of RES in the EU countries. However, not all countries achieved the planned goal in 2019.
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Staugaitis, Algirdas Justinas, and Česlovas Christauskas. "The impact of financial speculation on futures contracts price movements: A study of the US markets for dairy commodities." Equilibrium. Quarterly Journal of Economics and Economic Policy 18, no. 3 (2023): 661–86. http://dx.doi.org/10.24136/eq.2023.021.
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Research background: The study analyzes whether financial speculation destabilizes commodity prices in light of recent price volatility and spikes in agricultural commodities. The study delves deeper into the US dairy futures markets, which are less studied by other authors in their research and relatively new in comparison to other agricultural commodity markets. These dairy commodity futures contracts provide dairy businesses and farmers the chance to hedge against price risks, which are particularly crucial in uncertain economic times such as the post-2020 COVID-19 pandemic timeframe. The analysis makes use of the weekly returns on futures contracts for nonfat milk powder, butter, milk class III, and cheese that are obtained from the Chicago Mercantile Exchange (CME). Purpose of the article: Conduct an empirical study to evaluate the effect of financial speculation on dairy product prices on US commodity markets, including the post-2020 timeframe. Methods: Time series analysis is used in the investigation: the generalized auto-regressive conditional heteroskedasticity (GARCH) method, the Granger causality test, and the Augmented Dickey-Fuller (ADF) test. Findings & value added: Our analysis's findings show that, even though most commodities experienced an increase in return volatility during the post-2020 period, there is no evidence for financial speculation being the cause of increased returns from dairy futures contracts. The research also suggests that financial speculation, in some cases, even lowers the volatility of dairy futures prices. Therefore, non-commercial market participants may help to distribute price risks, making these markets more liquid.
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Siddiqa, Ayesha. "Determinants of Unemployment in Selected Developing Countries: A Panel Data Analysis." Journal of Economic Impact 3, no. 1 (2021): 19–26. http://dx.doi.org/10.52223/jei3012103.
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This research gives a new glimpse on determinants of unemployment in developing countries. Unemployment is not only a burning issue in developing countries but also in developed countries, but in this study, the case is related to developing countries. For this purpose data of ten selected developing countries has been taken for the period of 2000 to 2019 from the World Bank. Stationarity has been checked through the Augmented Dickey-Fuller (ADF) test and the result showed that all variables were stationary at 1st difference except the variable of inflation. The Generalized Method of Moments (GMM) model has been applied and results show that all variables are statistically significant. GDP, inflation, remittances, exchange rate, and expenditure on education has a negative impact on unemployment while population and external debt has a positive impact on unemployment. Policy recommendations are that if developing economies want to reduce unemployment they have to control population, remove deficit in the balance of payment, control the inflation rate, raise their GDP, earn the exchange rate due to increase in exports, and gain the foreign remittance and have to allocate the more budget on expenditure on education. In light of these recommendations, all economies can achieve economic efficiency and economic development.
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Polcyn, Jan, Yana Us, Oleksii Lyulyov, Tetyana Pimonenko, and Aleksy Kwilinski. "Factors Influencing the Renewable Energy Consumption in Selected European Countries." Energies 15, no. 1 (2021): 108. http://dx.doi.org/10.3390/en15010108.
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The overcoming of the issues on energy crisis and inequality have become the priorities as far developing as developed countries are concerned. Moreover, energy inequality has increased due to the shortage of natural gas and rising energy prices in retaliation to the economic recovery affected by the COVID-19 pandemic. This study aims to verify the linkage between the growth of renewable energy consumption and the country’s economic advancement. In this context, this paper determines the main driving forces of renewable energy consumption in European countries during 2000–2018. The annual data for panel regression analysis are retrieved from the OECD. Stat and World Bank Open Data. This empirical analysis employed a set of estimation procedures such as the panel unit root test (Levin, Lin & Chu; Im, Pesaran, Shin W-Stat; ADF-Fisher Chi-square; and PP-Fisher Chi-square methods), the Pearson correlation, fixed- and random-effects models, generalized method of moments (GMM), Hausman and the robustness tests. The results from the Hausman test ratified that the fixed-effects regression model is more suitable for involved panel balanced data. The results of fixed-effects regression and GMM identified the statistically significant and positive relationship between the share of renewable energy consumption of total final energy consumption, GDP per capita, and CO2 emissions per capita for the overall sample. In turn, the total labor force, the gross capital formation, and production-based CO2 intensity are inversely related to renewable energy consumption. The identified effects could provide some insights for policymakers to improve the renewable energy sector towards gaining sustainable economic development.
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Rashid, Intan Maizura Abd. "Determinants of FDI Inflows in Agriculture Sector Using Pooled Ordinary Least Square (OLS), Pooled Generalized Least Square (GLS), Augmented Dickey-Fuller (ADF) and Philips-perron Unit Root Test." International Journal of Psychosocial Rehabilitation 24, no. 5 (2020): 2560–67. http://dx.doi.org/10.37200/ijpr/v24i5/pr201955.
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Balsalobre-Lorente, Daniel, Nuno Carlos Leitão, and Festus Victor Bekun. "Fresh Validation of the Low Carbon Development Hypothesis under the EKC Scheme in Portugal, Italy, Greece and Spain." Energies 14, no. 1 (2021): 250. http://dx.doi.org/10.3390/en14010250.
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The present study is in line with the United Nations Sustainable Development Goals (UN-SDGs) that address pertinent global issues. This study focuses on the need for access to clean and affordable energy consumption, responsible energy consumption, sustainable economic growth, and climate change mitigation. To this end, this paper evaluates the relevance of the renewable energy sector on the environmental Kuznets curve (EKC) framework in Portugal, Italy, Greece, and Spain for the period 1995–2015. As an econometric strategy, we adopt the use of panel data over the highlighted countries. In the first step, we apply the unit root test recommended by Levin, Lin, and Chu in conjunction with ADF-Fisher, and Phillips-Perron for robustness and consistency. We found that the variables used in this study are integrated I (1) in the first difference. In the second step, we apply the Pedroni cointegration test, and Kao Residual cointegration test, and we observe that the variables are cointegrated in the long run. The generalized least squares (GLS), the panel fully modified least squares (FMOLS), ordinary least squares robust (OLS), and panel quantile regression are considered in this research. The econometric results validate the assumption of the environmental Kuznets curve, i.e., and there is a positive correlation between income per capita and a negative effect of squared income per capita on carbon dioxide emissions. In contrast, we observe that renewable energy reduces CO2 emissions. Finally, we also find a direct connection between the urban population and the environmental degradation in the examined blocs. These results show that in Portugal, Italy, Greece, and Spain, more is required to achieve environmental sustainability in the respective countries growth trajectory. Further policy prescriptions are appended in the concluding section of this study.
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Al Shammre, Abdullah. "Investigating the Impact of Energy Consumption and Economic Activities on CO2 Emissions from Transport in Saudi Arabia." Energies 17, no. 17 (2024): 4448. http://dx.doi.org/10.3390/en17174448.
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This study examines the relationships between CO2 emissions, gross domestic product (GDP), financial development, energy export, sustainable power, unsustainable power depletion, and commercial growth in the Kingdom of Saudi Arabia (KSA) from 1990 to 2022 by using the auto-regressive distributed lag (ARDL) approach and the vector error correction model (VECM) approach. In the first step, we have used tests such as the augmented Dickey–Fuller (ADF) test and the Dickey–Fuller generalized least squares (DF-GLS) to capture the order of integration of the variables, and the results show that all the variables are stationary in regard to the first difference. In the second step, we have applied the examination of bounds in order to validate the presence of long-term cointegration relationships between the variables. The results of the ARDL approach show that financial development, sustainable energy, and commercial openness have a negative impact on CO2 emissions. However, GDP, energy export, and unsustainable energy lead to an increase in environmental degradation. Finally, the Granger causality test shows mixed causality relationship among the variables. Accordingly, governments should encourage the development and use of sustainable energy alternatives, such as solar power, wind power, and hydroelectric power, through incentives and subsidies, in addition to conducting new research concerning the topic and starting new initiatives. Protecting and expanding green areas is crucial to mitigate CO2 emissions, and strategies for transitioning to cleaner energy alternatives should be developed. Additionally, facilitating the transfer of sustainable energy technologies and promoting collaboration in research and development can accelerate the adoption of clean energy solutions. These policy actions can contribute to reducing CO2 levels, as well as promoting sustainable energy practices in the country.
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Malik, I., and R. Ivasiuk. "HMM AND HSMM IN TIME SERIES." Bukovinian Mathematical Journal 12, no. 2 (2024): 119–27. https://doi.org/10.31861/bmj2024.02.11.
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The main focus of the work is on the study of so-called hidden Markov chains (hidden Markov models, HMM) and their analogs and generalizations. In particular, the research examines the impact of HMM and semi-Markov hidden models (HSMM) on time series models describing the stock prices of top companies as of 2024. The study revealed that considering more generalized models allows for a more accurate description of stock price dynamics and, consequently, a more accurate determination of the key characteristics of the actual process. The research employs both HMM and HSMM frameworks to analyze financial data, demonstrating their capacity to capture key features of stock price volatility, including sharp transitions between periods of high and low market variability. A series of tests and metrics were conducted to evaluate the performance of these models, including the Akaike Information Criterion (AIC) and the Bayesian Information Criterion (BIC), which indicate superior fit for HSMMs. Additionally, methods such as the Augmented Dickey-Fuller (ADF) test and KPSS tests were used to validate the stationarity properties of the time series. The study's results emphasize that semi-Markov extensions provide a significant improvement over classical HMMs when analyzing financial market data, allowing for better detection of long-term dependencies and accurate modeling of asset price trends. The findings open avenues for further applications in financial risk analysis and forecasting tasks, showcasing the potential of HSMMs to deliver more robust insights into market behavior.
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Bórawski, Piotr, Aneta Bełdycka-Bórawska, and Lisa Holden. "Changes in the Polish Coal Sector Economic Situation with the Background of the European Union Energy Security and Eco-Efficiency Policy." Energies 16, no. 2 (2023): 726. http://dx.doi.org/10.3390/en16020726.
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Poland is a big user of fossil fuels for electricity and heat production. The most important fossil fuel is hard, brown coal and the Polish energy system is based on this source. However, the world has begun to decarbonize the climate and reduce the carbon dioxide and methane which are the main gasses impacting climate change. The main aim of this paper was to recognize changes in Polish coal sector. We focused our attention to the economic situation and employment in coal sector in Poland. The time rage included 1989–2020 and the prognosis 2021–2025. The Polish coal sector faced dramatic changes. The number of hard coal mines decreased from 70 in 1990 to 21 in 2020. In the same timeframe, the prices for hard coal increased from 12.37 PLN/dt to 313.27 PLN/dt. The employment decreased from more than 350 thousand to less than 100 thousand people in hard coal mines. The decrease changes are the effect of strict policies of the European Union. The economic situation of Polish hard coal mines is rather poor. Polish mines achieved negative economic results due to the effect of poor management. We used advanced statistics, including the Augmented Dickey–Fuller test (ADF), to measure the stationarity of analyzed time series. We also used Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) models and conducted a prognosis. Our research proved that the time series describing the hard coal economic situation were not stationary. The Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) models confirmed big changes in Polish coal sector economic results. The elaborated prognosis of variables proved that the price of hard coal will increase in 2021–2025. Moreover, the economic situation will be worse. Our analysis confirmed that global trends of the hard coal sector were influenced by the European Union (EU) energy policy and closing down the mines. The economic situation of Polish hard coal sector worsened.
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Dogo, Mela Yila, and Osman Nuri Aras. "The impact of COVID-19 on stock market returns: Empirical evidence from Nigeria." Eurasian Journal of Higher Education 3, no. 6 (2022): 38–57. http://dx.doi.org/10.31039/ejohe.2022.6.70.
Full textAbstract:
The study investigates the causal relationship between COVID-19 and changes in the prices and volume of stocks in the Nigerian stock market, to identify whether there is a short and or long-run relationship between changes in the Nigerian Stock Exchange All Share Index 30 (NSE ASI 30) and NSE 30 traceable to the outbreak and continued presence of the coronavirus-19 diseases (COVID-19) during the period 31 December 2019 to June 30, 2020.
 The paper seeks to estimate the effect of the COVID-19 shocks on the volatilities of returns in the NSE30 and ASI 30 stocks. After a property check on the times series data, a correlation matrix was drawn to understand the relationship between stock returns in NSE30 and ASI30 with total cases, test units, new cases, female and male smokers, and COVID-9 deaths. The ADF results helped us in selecting what the use in the representative model.
 We then applied the Lagrange Multiplier (LM) test on the residuals of both the mean and the variance equations of the NSE30 and the Generalized Autoregressive Conditional Heteroscedastic (GARCH) to estimate the short and long-run return spillovers and conditional correlations between the shock from COVID-19 and stock market returns.
 Generally, the results indicated a weak impact of COVID-19 on the returns and volume of both the NSE30 and NSE ASI 30 stocks. This is so because of some data issues and issues relating to empirics. More data will be sought, and a proper review of the paper undertaken, to ascertain its usefulness for policy.
 The study concludes that to spur economic growth in COVID-19, Nigeria’s economic managers, particularly, the monetary, fiscal, and capital market regulators must learn to work as a team, to ensure complementary in their policies and thus, propel the economy out of a likely recession.
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Méndez-Delgado, J. E., E. D. Skillman, E. Aver, et al. "Generalized T e([O iii])–T e(He i) Discrepancies in Ionized Nebulae: Possible Evidence of Case B Deviations and Temperature Inhomogeneities." Astrophysical Journal 986, no. 1 (2025): 74. https://doi.org/10.3847/1538-4357/adc67a.
Full textAbstract:
Abstract The physics of recombination lines in the He i singlet system is expected to be relatively simple, supported by accurate atomic models. We examine the intensities of He i singlets λ3614, λ3965, λ5016, λ6678, and λ7281 and the triplet He i λ5876 in various types of ionized nebulae and compare them with theoretical predictions to test the validity of the “Case B” recombination scenario and the assumption of thermal homogeneity. Our analysis includes 85 spectra from Galactic and extragalactic H ii regions, 90 from star-forming galaxies, and 218 from planetary nebulae, all compiled by the Deep Spectra of Ionized Regions Database Extended (DESIRED-E) project. By evaluating the ratios He i λ7281/λ6678 and He i λ7281/λ5876, we determine T e(He i) and compare it with direct measurements of T e([O iii] λ4363/λ5007). We find that T e(He i) is systematically lower than T e([O iii]) across most objects and nebula types. Additionally, we identify a correlation between the abundance discrepancy factor (ADF(O2+)) and the difference T e([O iii]) – T e(He i) for planetary nebulae. We explore two potential explanations: photon loss from n 1 P → 11 S transitions and temperature inhomogeneities. Deviations from “Case B” may indicate photon absorption by H i rather than He i and/or generalized ionizing photon escape, highlighting the need for detailed consideration of radiative transfer effects. If temperature inhomogeneities are widespread, identifying a common physical phenomenon affecting all ionized nebulae is crucial. Our results suggest that both scenarios can contribute to the observed discrepancies.