• The Journal of Asian Finance, Economics and Business
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• v.7 no.10
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• pp.23-34
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• 2020

The paper revisits the author's previous paper to examine short-run and long-run dynamic relationships between macroeconomic variables and stock prices in Korea. The data is updated to the period for which monthly data are available from January 1986 to June 2018 (390 observations) retrieved from the Bank of Korea. The results of Johansen cointegration test indicate that at least one cointegrating equation exists, confirming there is a long-run equilibrium relationship between macroeconomic variables and stock prices in Korea. The results of vector error correction estimates confirm that: 1) the coefficient of the error correction term is significant with a negative sign, which is, a long-run dynamic relationship is observed between macroeconomic variables and stock prices; 2) for short-run dynamics, the nominal exchange rate of the Korean won per the US dollar is positively related to stock prices, while interest rates are negatively related to stock prices in the short-run; 3) the coefficient of global financial crises is insignificant, that is, the changes of stock prices are determined largely by their own dynamics in the model. The results suggest only that the global financial crises neither cause instability in the cointegrating vector, nor affect significant changes in the endogenous variables in the model.

• Agribusiness and Information Management
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• v.12 no.2
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• pp.40-54
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• 2021

Market integration and prices in pulse crops like black gram play an important role in determining the production decisions of the farmers and diversification towards high value nutritious crops. In this context, the present study explores extent of market integration and price transmission in selected major black gram markets in Andhra Pradesh using Johansen co-integration, Vector Error Correction Model and Granger causality test. The study used monthly prices data of black gram (Rs/quintal) sourced from selected markets of Srikakulam, Krishna and Kurnool spanning January, 1990 to December, 2019. The results of the study strongly buttressed the existence of co-integration and interdependence of selected black gram markets in Andhra Pradesh. However, the speed of adjustment of the prices found to be moderate in Krishna market and quite weaker in Srikakulam market and thereby prices correct a small percentage of the disequilibrium in these markets with the greatest percentage by the external and internal forces. So, it necessitates the need for future research, to investigate the influence of external and internal factors such as market infrastructure, Government policy and self-sufficient production, product characteristics and utilization towards market integration. As there exists only unidirectional causality from Krishna to Kurnool and from Krishna to Srikakulam markets, it calls for strengthening the information technology for flow of market information regularly to help the farmers for increasing their income.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.5
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• pp.21-27
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• 2021

The financial sector is one of the most important building blocks of the economy. When this sector efficiently implemented a well-crafted program on banking and financial system to translate financial activities to income-generating activity, economic growth will be realized. Hence, this study analyzed the effect of financial intermediation on economic growth and the existence of cointegrating relationship using time-series data from 1986 to 2015. The influence of financial intermediation in terms of bank credit to bank deposit ratio, private credit, and stock market capitalization and time trend to economic growth was estimated using ordinary least squares (OLS) multiple regression. The results showed that all the financial intermediation indicators and time trend exert significant effect on Gross Domestic Product (GDP) per capita. The positive sign of the time trend indicates that there is an upward trend in GDP per capita averaging approximately 0.06 percent annually. Furthermore, the cointegration test using the Johansen procedure revealed that there is a presence of long-term equilibrium relationship between financial intermediation and time trend and economic growth, and rules out spurious regression results. This study established the idea that financial intermediation in the Philippines has a significant and vital role in stimulating growth in the economy.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.1
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• pp.61-69
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• 2021

The aim of this paper is to empirically investigate whether and how domestic currency valuation is related to firm-level export competitiveness and profitability by using the unique firm-specific dataset on Bangladeshi nonfinancial firms which have been listed continuously from 2010 to 2018. To achieve the aim of this paper, 63 exporting firms are extracted from a total of 125 firms which have been continuously listed during 2010-2018 and used as the final sample firms. The Pedroni cointegration test reveals that export and import prices of the exporting firms are cointegrated in the short-run as well as long-run. The panel dynamic ordinary least square (DOLS) analysis finds that a firm's export competitiveness is maintained by high import inputs even in the presence of depreciation of Bangladeshi currency against the US dollar. Finally, the DuPont analysis finds that the depreciated Bangladeshi currency enhances an exporter's profitability. Conclusions based on the findings are consistent regardless of exchange rate types, such as, real bilateral exchange rate and nominal or real effective exchange rate indexes. Consequently, the firm-level findings of this investigation suggest that undervalution of home currency is essential for Bangaldesh which is one of the frontier markets in South Asia whose exporting firms are mostly price followers in global markets.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.3
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• pp.731-740
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• 2021

This research aims to investigate the determinants of real effective exchange rate in emerging ASEAN countries, including Indonesia, Malaysia, Philippines, Thailand, and Vietnam. The research was conducted by using quarterly time series data set from 1980Q1 to 2020Q3. Cointegration and the error correction model (ECM) methods were applied to test the long run and short run relationship of the real effective exchange rate and its determinants. The results indicate that the ratio of foreign direct investment to GDP and the government spending have significantly positive impact on real effective exchange rate in the Emerging ASEAN countries. The trade opening had influencing real effective exchange rate in most the Emerging ASEAN countries, except Vietnam. In addition, the international reserve (INR) had significant long-run impacts variables on real effective exchange rate in Malaysia, Thailand and Vietnam. In the short run equilibrium, the error collection term suggest that Indonesia and Malaysia are the fastest speed adjustment to equilibrium. In addition, the term of trade influence the real effective exchange rate in Indonesia, Malaysia, and the Philippines but it is not in Thailand and Vietnam. However, FDI is a major factor of the real effective exchange rate in Vietnam, but not for other countries.

• Asia-Pacific Journal of Business
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• v.10 no.4
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• pp.119-135
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• 2019

This study analyzes the effects of trade globalization and financial globalization on consumption classified by type(durable, quasi-durable, non-durable and service). On the other hand, trade globalization and financial globalization were decomposed into OECD common factor, regional factors, and the idiosyncratic country-specific factors by time-varying dynamic factor analysis. The characteristics of OECD common factor, regional factors, and the idiosyncratic country-specific factors of trade and financial globalization were analyzed. Furthermore, the influences of these factors on consumption by type were analyzed. The analysis shows that globalization has negative effects on consumption. In particular, we found out that the idiosyncratic country-specific factor of Korea in trade and financial globalization had a statistically significant negative effect on consumption. We can infer that the globalization affecting consumption can be attributed to the idiosyncratic country-specific factor, which is economic choice rather than uncontrollable global trend. Accordingly, to solve the sluggish consumption problem caused by globalization, it is necessary to require not only domestic consumption expansion policies but also the efforts to resolve economic polarization problems to be able to stimulate consumption.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.2
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• pp.783-790
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• 2021

The remittances play a major and a very critical role in promoting economic growth and development activities in the developing countries. In this study, the relationship between per capita gross domestic product (GDP) and remittances paid has been investigated based on the case studies in Malaysia from 1987 to 2018. Data was collected from various sources namely statistical yearbook by World Bank and Asian Development Bank. All variables are expressed in natural logarithm form. The technique utilized is the nonlinear autoregressive distributed lags (hereafter NARDL) approach which was introduced by Shin et al.(2014) to examine both short run and long run relationships, as well as the direction of causality, due to the asymmetric relationship between GDP and remittances. The bound test verifies asymmetric cointegration among the variables. The empirical results show that the remittances paid has a momentous short-run and long-run effect towards capital accumulation in Malaysia. Remittances also increase a positive relationship with capital accumulation for Malaysia. We found that remittances form a significant source of external capital and investment for developing countries especially Malaysia which helps in promoting economic development. Furthermore, as a developing country, foreign workers are a source of income to the receiving countries and an indicator to boost sender countries.

• Journal of Navigation and Port Research
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• v.46 no.5
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• pp.449-457
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• 2022

The Port of Busan is currently ranked as the seventh largest container port worldwide in terms of cargo throughput. However, port competition in the Far-East region is fierce. The growth rate of container throughput handled by the port of Busan has recently slowed down. In this study, we analyzed how economic conditions and multiple external shocks could influence cargo throughput and identified potential implications for port business. The aim of this study was to build a model to accurately forecast port throughput using the ARIMA model, which could incorporate external socio-economic shocks, and the VEC model considering causal variables having long-term effects on transshipment cargo. Findings of this study suggest that there are three main areas affecting container throughput in the port of Busan, namely the Russia-Ukraine war, the increased competition for transshipment cargo of Chinese ports, and the weaker growth rate of the Korean economy. Based on the forecast, in order for the Port of the Port of Busan to continue to grow as a logistics hub in Northeast-Asia, policy intervention is necessary to diversify the demand for transshipment cargo and maximize benefits of planned infrastructural investments.

• The Journal of Asian Finance, Economics and Business
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• v.9 no.4
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• pp.173-183
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• 2022

The objective of this research is to examine the influence of the COVID-19 pandemic on stock markets in a few developing and developed countries. This study uses daily data from January 2020 to May 2021 and obtained from World Health Organization and Thomson Reuters. The secondary data was evaluated through panel econometric methodology that includes different unit root tests, and to analyze the long-run relationship between variables, panel cointegration techniques were applied. The long-run causality among variables was examined through Panel Vector Error Correction Model. The overall findings of this study suggest a long-run association exists between several cases and death with the stock returns of the GCC and other stock markets. Furthermore, the VECM model also identified a long-run causality running from COVID cases and death towards the stock rerun of both sets of stock markets. However, a subsequent Wald test yielded mixed results, indicating no short-run causality between cases and deaths and stock returns in both groups; however, in the case of GCC, several COVID-19 cases are having a causal impact on stock markets, which is notable in light of the fact that the death rate in GCC is significantly lower than in many developed and developing countries.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.9
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• pp.1-9
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• 2021

This study aimed to investigate the existence of the Feldstein-Horioka (1980) puzzle in international macroeconomics by applying the conditional Autoregressive Distributed Lag (ARDL) model to examine the long-run relationship between national savings and investments in Thailand and China. The input of this study relied on annual national savings and investments as a fraction of GDP during 1980-2019 which was collected from China National Bureau of Statistics (NBS) and Thailand National Economic and Social Development Council (NESDC). Hypothetically, Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) unit root tests were applied to test the stationary properties and to investigate the integration level of selected time series. The empirical results, confirmed by cumulative sum (CUSUM) and cumulative sum square (CUSUMSQ), maintained no serial correlation and structural break problems. The finding of this study suggested that the Feldstein-Horioka puzzle in Thailand did not exist significantly. Thailand's national savings and investments nexus was independent, following the classic economic idea that financial liberalization, or perfect capital mobility, allowed national savings and investments to flow freely to countries with better interest rates. Whereas, a strong significant correlation was found in the case of China during the fixed exchange rate regime switching in 1994 and post WTO participation after 2001-2019.