Global Economy Journal

This research utilizes the Autoregressive Moving Average–General Autoregressive Conditional Heteroskedasticity (ARMA–GARCH) and Autoregressive Moving Average–Exponential General Autoregressive Conditional Heteroskedasticity (ARMA–EGARCH) in studying the spillover and leverage effects of returns and volatilities of seven equity exchange-traded notes (ETNs) and their tracked stock indices. This study finds positive returns transmissions between the two investment instruments. Unilateral influence and bilateral relationships also exist that may help investors in finding investment clues to approximate possible movements of ETNs about stock indices and vice versa. This paper also observes negative returns and volatility transmissions that may caution traders in the possible reversal of movement of the other instrument. Disinvestments, transfer of allocation, and inverse investing strategies are some of the possible reasons attributable to this negative relation.

Globalization has often been suggested as a phenomenon that leads to terrorism due to the disruptions it causes. In the case of the former centrally planned economies of East Europe and Eurasia, however, greater levels of globalization have led to less terrorist incidents and casualties rather than more. Further, the terrorist attacks that did occur did not deter foreign direct investment in the region.

While the underground economy is not explicitly included in the measure of (GDP), the cocaine trade has been a major source of revenue for Colombia. Using quarterly cocaine prices from 1982 to 2007 published by the Office of National Drug Control Policy, this paper uses vector error correction and forecast error variance decomposition methods to look at the relationship between cocaine prices and the peso/$ nominal exchange rate. Our results indicate cocaine prices affect the value of the Colombian peso, which leads to some interesting policy implications.

This study proposes a novel statistical procedure to test the export-led growth hypothesis. The procedure integrates a Fisher-type causality method in the statistical analysis. In order to demonstrate the application of this procedure, this study examined the exports–growth nexus in low-income and lower middle-income countries in Africa. The findings obtained from the newly-proposed integrated statistical procedure were more conclusive compared to the results obtained from the individual causality tests; the findings also highlighted a complex nature of the exports–growth nexus in Africa.

As Cryptocurrencies are emerging as a new class of investment assets, understanding their price and volatility dynamics has begun to gather momentum, especially the volatility can influence investment decisions. Most of previous literature concentrates primarily on several aspects of Bitcoin and endeavoring to generalize them for the whole cryptocurrency markets. In this study, we attempted to examine the return and volatility spillover effects across a wide range of cryptocurrency markets, i.e. eight major cryptocurrencies (determined by market capitalization) using a Vector Error Correction approach and Diagonal BEKK Multivariate GARCH model. We found the evidence of interdependencies and volatility co-movements among the various pairs of cryptocurrency markets. However, the study suggests that there exists a limited window of opportunity for the short-term portfolio diversification benefits from the selected large-cap cryptocurrency markets.

Using four Brexit-related announcements as a source of exogenous information shocks, we investigate the semi-strong form of efficiency in seven major European stock markets. Our results suggest that only the announcement of the Brexit referendum result produced statistically significant negative cumulative abnormal returns in the markets of the sample. However, with the exception of the Irish stock market, the effects ceased to be significant in a period of five trading sessions after the event. We also document an increase in trading activity, though statistically insignificant, in the day of the referendum and in the following days. Overall, our results are in line with the semi-strong form of market efficiency.

This study examines the concept of cryptocurrency and gives a brief history and overview of its characteristics. In an increasingly electronic society, cryptocurrency could be the next step in the evolution of finance in the same way that the internet was a step in the evolution of communication. In the coming years, countries may even announce the release of national cryptocurrencies, although certain conditions must be met for these efforts to be successful. Although the market is still in the early stages, as it begins to mature, cryptocurrency may become more prominent, until it becomes the new status quo.