VIX Endeksi, piyasalardaki tedirginliği ve korku halini yansıttığı için piyasalarda oluşabilecek olan krizlerin öncü göstergesi olarak da bilinmektedir. Bu çalışmanın amacı Endeksi’nin Türkiye’de yapılan kamu harcamaları gelirleri üzerindeki etkisini incelemektir. bağlamda çalışmada, 1999-2021 dönemine ait Endeksi verileri analiz edilmiştir. Serilerin birim kök içerip içermediği Augmented Dicke...

Abstract—The purpose of this paper is to investigate the relationship among the key macroeconomic variables and Islamic stock market in India. This study is based on the time series data of financial years 2009-2015 to explore the consistency of relationship between macroeconomic variables and Shariah Indices. The ADF (Augmented Dickey–Fuller Test Statistic) and PP (Phillips–Perron Test Statist...

Unit root tests for time series with level shifts are considered. The level shift is assumed to occur at a known time point. In contrast to some other proposals the level shift is modeled as part of the intercept term of the stationary component of the data generation process which is separated from the unit root component. In this framework simple shift functions result in a smooth transition ...

In the article, based on information of State Statistics Committee, econometric analysis monetary incomes and profits population in Republic Azerbaijan for years 1995-2021 was studied, including solutions, methods implementation Eviews application software package are studied. The stationarity model checked it learned that have a partially non-stationary structure. At same time, results autocor...

A common feature of financial time series is their strong persistence. However, long memory may just be the spurious effect of the presence of one or more structural breaks. There exist four testing procedures to evaluate this issue. All tests are constructed under the null of true long memory versus the alternative of spurious long memory induced by a structural break. We consider the " Tempor...

This paper analyzes the mean reversion and unit root properties of general diffusion models and their discrete samples. In particular, we find that the Dickey-Fuller unit root test applied to discrete samples from a diffusion model becomes a test of no mean reversion rather than a unit root, or more generally, nonstationarity in the underlying diffusion. The unit root test has a well defined li...

This paper investigates the determinants of private investment in Senegal over the period of 1970-2000. It first tests the variables for unit root using two, relatively, new tests namely the Dickey-Fuller generalised least square de-trending test proposed by Elliot et al. (1996) and the Ng-Perron test following Ng and Perron (2001). The long run private investment equation is derived using the ...

The study investigates the effect of macroeconomic determinants on the performance of the Indian Stock Market using monthly data over the period January 1991 to December 2011 for eight macroeconomic variables, namely, Interest Rate, Inflation, Exchange Rate, Index of Industrial Production, Money Supply, Gold Price, Silver Price & Oil Price, and two stock market indices namely Sensex and S&P CNX...

Foreign trade or international is one of the key indicators country’s economic growth. Economic development considered as major concerns for any developing countries like India. India’s foreign plays a pivotal role in ascertaining performance GDP growth country.The present study examines relationship between export, import, openness and growthof India using secondary sources from 1997-2021colle...