Template-Type: ReDIF-Article 1.0 Title: A Non-linear Dependency Test for Market Efficiency: Evidence from International Stock Markets Author-Name: Samuel Tabot ENOW Author-Workplace-Name: The Independent Institute of Education Vega School Author-Email: enowtabot@gmail.com Classification-JEL: G11, G15, G17. Keywords: Market Efficiency; Abnormal Returns; Stock Markets; Active Management; BDSL Test; Non-Linear Dependence. Abstract: One of the on-going difficulties for finance practitioners is to out rightly prove or disapprove the concept of market efficiency because the constituents of the concept do not always reflect real financial markets. Market efficiency is an idle state that varies with time and may have dire consequences for active market participants. The aim of this study was to empirically investigate market efficiency before, during and after a period of financial distress. A BDSL non-linear dependency test was used to observe the logic distance between the observed pairs of returns and the expected pair vectors in stock prices for the JSE, Nasdaq, CAC 40, DAX, Nikkei 225 and BIST100. The findings revealed that market efficiency is a dynamic concept. Most financial markets under consideration show strong signs of efficiencies before and after financial distress. However, significant inefficiencies were observed during a bearish period probably due to fear and greed. Considering the dynamic nature of market efficiency, market participants may enhance the value of their portfolios by alternating their investment style accordingly. More specifically, investors should consider investing in index fund EFTs during periods of financial distress and adopt an active management strategy during bullish periods. Also, scarce liquidity seems to be the major cause of market inefficiency during periods of financial distress therefore, quantitative easing is strongly recommended during these episodes. Journal: Journal of Economics and Financial Analysis Year: 2023 Volume: 7 Issue: 1 Pages: 1-12 DOI: 10.1991/jefa.v7i1.a56 File-URL: https://ojs.tripaledu.com/jefa/article/download/79/90 File-Format: application/pdf Handle: RePEc:trp:01jefa:jefa0061 Template-Type: ReDIF-Article 1.0 Title: Examining the Dynamic Nexus of Monetary and Fiscal Policy in South Africa: Evidence from Key Macroeconomic Economic Indicators Author-Name: Eugene Msizi BUTHELEZI Author-Workplace-Name: University of Free State Author-Email: butheleziem@ufs.ac.za Classification-JEL: E43, E51, E3. Keywords: Fiscal Policy; Monetary Policy; Markov-Switching Dynamic Regression (MSDR). Abstract: This paper examines the dynamic nexus of monetary and fiscal policy in South Africa with evidence from key macroeconomic economic indicators from 2000 quarter 1 to 2022 quarter 3. The Markov-switching dynamic regression is used in the Taylor theoretical framework. The contemplation is what type of monetary and fiscal policy mix in a different state of policy rate or repo rate. There is less attention to the analysis of the impact of fiscal policy macroeconomic variables in a different state of policy rate with the consideration of the lower bound and upper bound rate of inflation. The South Africa Reserve Bank's reaction to fiscal policy macroeconomic variables is significant in different states. Moreover, there is evidence of constant reaction of the South Africa Reserve Bank when inflation is at the lower and upper bound. The increase in the gross domestic product gap and inflation gap results in an increase in the rope rate. The result suggests that the monetary policy provided a supportive policy to fiscal policy macroeconomic variables. However, there is a state that reflects trade-offs in the current monetary and fiscal policy mix reaction. The fiscal policy needs to be adjusted to attain the desired target. Journal: Journal of Economics and Financial Analysis Year: 2023 Volume: 7 Issue: 1 Pages: 13-42 DOI: 10.1991/jefa.v7i1.a57 File-URL: https://ojs.tripaledu.com/jefa/article/download/80/91 File-Format: application/pdf Handle: RePEc:trp:01jefa:jefa0062 Template-Type: ReDIF-Article 1.0 Title: The Spill-Over Effects of Cryptocurrencies on Equity and Bonds Market Author-Name: Tshembhani M. HLONGWANE Author-Workplace-Name: University of Limpopo Author-Email: tshembhanihlongwane@gmail.com Classification-JEL: B41, C01, C58, D53. Keywords: GARCH Model; Cryptocurrencies; Financial Markets. Abstract: This study examines the extent to which crypto assets have moved to the mainstream by estimating the potential for spillovers crypto on bond and equity markets using daily data on price volatility and returns. The analysis reveals that the coefficients of the constant variance term, the ARCH and the GARCH parameters are positive and statistically significant at the 1% level across all models. In respect of the mean equation, the results suggest that the spill-over effects of bitcoin on equities and long-term bonds are ambiguous. Spillovers from price volatility of the oldest and most popular crypto asset, Bitcoin, to the S&P 500 and MSCI emerging markets indices have increased by about 12-16 percentage points since the onset of the COVID-19 pandemic, while those from its returns have increased by about 8-10 percentage points. This clearly indicates that the persistence of volatility shocks, as represented by the sum of the ARCH and GARCH parameter is large. Moreover, this suggests that the effect of today’s shock remains in the forecasts of variance for many periods in the future. Journal: Journal of Economics and Financial Analysis Year: 2023 Volume: 7 Issue: 1 Pages: 43-59 DOI: 10.1991/jefa.v7i1.a58 File-URL: https://ojs.tripaledu.com/jefa/article/download/81/92 File-Format: application/pdf Handle: RePEc:trp:01jefa:jefa0063 Template-Type: ReDIF-Article 1.0 Title: Financialization and Economic Growth Nexus in South Africa Author-Name: Mahlatse MABEBA Author-Workplace-Name: Corvinus University of Budapest Author-Email: mahlatsemabeba@gmail.com Classification-JEL: F65, G18, G28. Keywords: Financialization; Economic Growth; Quantile Regression; South Africa. Abstract: We empirically investigate the effects of financialization on economic growth in South Africa. The country experienced increases in the share of the financial sector since the democratic dispensation. This country is also one of the few developing countries with a large financial market. The sample period includes a long-run horizon from 1994 to 2021. The study applies quantile regression methodology which we use to explain the effects of financialization at different levels of economic growth. We estimate the effects of financialization at the 25th, 50th, 75th percentile of economic growth. The key measure of financialization is the finance gross value added and the measure of economic growth is the gross domestic product. We find that financialization has a significantly high and positive effect only at all the levels of economic growth. From the different percentiles, financialization contributes more to higher levels of economic growth. Journal: Journal of Economics and Financial Analysis Year: 2023 Volume: 7 Issue: 1 Pages: 61-78 DOI: 10.1991/jefa.v7i1.a59 File-URL: https://ojs.tripaledu.com/jefa/article/download/82/93 File-Format: application/pdf Handle: RePEc:trp:01jefa:jefa0064 Template-Type: ReDIF-Article 1.0 Title: Impact of Fiscal Consolidation on Government Debt in South Africa: Evidence to Structural and Cyclical Effect Author-Name: Eugene Msizi BUTHELEZI Author-Workplace-Name: University of Free State Author-Email: butheleziem@ufs.ac.za Classification-JEL: H63, H76, H81. Keywords: Fiscal Consolidation; Structural and Cyclical Fiscal Consolidation; Government Debt. Abstract: The purpose of this paper is to examine the fiscal consolidation impact on government debt in South Africa (SA) looking at both structural and cyclical effects. The paper employs the Structural Vector Autoregression (SVAR) using time-series data from 1990 to 2020 in South Africa. The key contribution of the paper is it with a focus on the effect of fiscal consolidation as well as investigation of the structural and cyclical component effect of government expenditure cut as well as a tax increase in a developing economy like South Africa. We found that government debt falls as of the result of fiscal consolidation achieved through government expenditure cut. The fiscal consolidation of tax increases is better than based on government expenditure cut. The cyclical component of government expenditure increases domestic government debt. This is also found in the structural government expenditure results in an increase in domestic government debt. Journal: Journal of Economics and Financial Analysis Year: 2023 Volume: 7 Issue: 2 Pages: 1-23 DOI: 10.1991/jefa.v7i2.a60 File-URL: https://ojs.tripaledu.com/jefa/article/download/84/94 File-Format: application/pdf Handle: RePEc:trp:01jefa:jefa0065 Template-Type: ReDIF-Article 1.0 Title: Forecasting Monthly Inflation in Bangladesh: A Seasonal Autoregressive Moving Average (SARIMA) Approach Author-Name: Abir HASSAN Author-Name: Mahbubul Md. ALAM Author-Name: Azmaine FAEIQUE Author-Workplace-Name: Bangladesh University of Professionals Author-Workplace-Name: Bangladesh University of Professionals Author-Workplace-Name: Bangladesh University of Professionals Author-Email: abir.hassan@bup.edu.bd Author-Email: mahbubul.alam@bup.edu.bd Author-Email: azmaine.faeique@bup.edu.bd Classification-JEL: Inflation, Seasonality, SARIMA, Bangladesh. Keywords: C51, C53, E31, E37. Abstract: The objective of this study is to forecast the trend of inflation in Bangladesh by utilizing past inflation data. To achieve this objective, we employed the Seasonal Autoregressive Integrated Moving Average (SARIMA) model which is an extension of the Autoregressive Integrated Moving Average (ARIMA) model. Monthly inflation data used for forecasting were derived from the Consumer Price Index (CPI) data obtained from the International Monetary Fund (IMF) database, covering the period from January 2010 to January 2023. Our analysis reveals that the SARIMA (2,0,0)×(1,0,1)12 model is the most appropriate fit. Based on this finding, we predicted the inflation trend in Bangladesh from February 2023 to December 2024. A comparison of our predicted values with the actual values indicates a high degree of correlation between the two. Although a few discrepancies were observed, they did not undermine our prediction since the parameters of the model lay within the 95% confidence interval. Journal: Journal of Economics and Financial Analysis Year: 2023 Volume: 7 Issue: 2 Pages: 25-43 DOI: 10.1991/jefa.v7i2.a61 File-URL: https://ojs.tripaledu.com/jefa/article/download/85/95 File-Format: application/pdf Handle: RePEc:trp:01jefa:jefa0066 Template-Type: ReDIF-Article 1.0 Title: The Role of Investor Attention in ETF Liquidity Author-Name: Damien KUNJAL Author-Workplace-Name: North-West University Author-Email: Damien.Kunjal@nwu.ac.za Classification-JEL: G11, G12, G40. Keywords: Exchange Traded Fund; Google Search Volume Index; Investor Attention; Liquidity. Abstract: ETFs have gained increasing popularity due to their numerous benefits, including their higher liquidity relative to their counterparts. However, the influence of this increasing attention on their liquidity remains unexplored. Therefore, this study investigates the effect of investor attention on ETF liquidity. To achieve this objective, 80 South African ETFs are examined from January 2018 till December 2022 using a panel regression approach. The findings of this study suggest that an increase in investor attention increases the price impact but reduces the cost of trading, ultimately, leading to an improvement in ETF liquidity. Further analysis reveals that investor attention has a greater impact on ETFs tracking domestic benchmarks, and impacts only ETFs tracking equities, bonds, and property. The analyses also reveal that the effect of investor attention is only significant in the short-run and is eliminated in the long-run, and these effects have been intensified by the COVID-19 pandemic. Global investor attention, however, has an opposing effect on ETF liquidity. These findings are important for investors trading in ETF markets and regulators controlling these markets. Journal: Journal of Economics and Financial Analysis Year: 2023 Volume: 7 Issue: 2 Pages: 45-64 DOI: 10.1991/jefa.v7i2.a62 File-URL: https://ojs.tripaledu.com/jefa/article/download/86/96 File-Format: application/pdf Handle: RePEc:trp:01jefa:jefa0067 Template-Type: ReDIF-Article 1.0 Title: The Movement of Exchange Rate and Expected Income: Case of South Africa Author-Name: Simiso MSOMI Author-Name: Harold NGALAWA Author-Workplace-Name: University of KwaZulu Natal Author-Workplace-Name: University of KwaZulu Natal Author-Email: msomis2@ukzn.ac.za Author-Email: ngalawa@ukzn.ac.za Classification-JEL: E51. Keywords: Expectations; Income; Output; Growth; Exchange Rates; FDI. Abstract: Many studies have investigated the impact of expectations on the exchange rates. However, it remains a challenge linking the exchange rates to its fundamentals. This study seeks to determine the impact of expectations of future income on the exchange rates behaviour. In this study, we employ the Bayesian VAR method. The study finds that the expectations of income have effects on the exchange rate behaviour. Furthermore, the exchange rates behaviour is asymmetric. Journal: Journal of Economics and Financial Analysis Year: 2023 Volume: 7 Issue: 2 Pages: 65-89 DOI: 10.1991/jefa.v7i2.a63 File-URL: https://ojs.tripaledu.com/jefa/article/download/87/97 File-Format: application/pdf Handle: RePEc:trp:01jefa:jefa0068