The aspiration of this research paper is to investigate the impact of international gold prices on the equity returns of Karachi Stock Index (KSE100 index) of Pakistan Stock Exchange. The daily observations from January 1, 2000 – June 30, 2016 have been divided into three sub-periods along with the full sample period on the basis of structural breaks. Descriptive analysis used to calculate the average returns, which showed significant returns of KSE100 for the full sample, the first and the third sample periods as compared to gold returns. Standard deviation depicted the higher volatility in all the sample periods. Correlation analysis has shown an inverse relationship amid equity returns and gold returns, whereas, Philips-Perron and Augmented Dickey-Fuller tests have been employed, and time series data became stationary after taking the first difference. Johansen cointegration results have shown that the series are cointegrated in the full-sample and the first sample periods. Thus, this has demonstrated the long run association amid equity returns and gold returns in the first sub-sample and the full-sample periods. However, the second and the third sub-sample periods do not exhibit long-term association amid equity returns of KSE100 and gold returns. The outcomes of Granger causality approach identified bidirectional causation amid equity returns and gold returns in the full sample period in lag 2, and unidirectional causality has been observed from gold prices to stock prices in the full sample and the first sub-sample periods in lag 1 and lag 2 respectively.
Authors:Harun Ercan, Ilhami Karahanoglu, and György Walter
average interest rates applied to banks' deposits at the Central Bank of Turkey. After presenting the simple correlation among the rates, we do a historical correlationanalysis to observe the changes of correlations between the variables during the period
Authors:Marija Petrović-Ranđelović, Tamara Rađenović, Bojan Krstić, and Vladimir Mićić
employed. The correlationanalysis is based on determining the correlation coefficient r . The value of this coefficient determines the strength of the relation between variables, and the absolute value of the correlation coefficient more than 0.5 implies
Authors:Monika Bolek, Piotr Pietraszewski, and Rafał Wolski
. The only measure that is not significant in any regression is EVE, which corresponds to the results of the correlationanalysis. Other measures representing the market-to-book-value-based group (Tobin’s Q, MV/BV, EVF) perform quite well in every time
Authors:Martin Grančay, Ērika Šumilo, and Jolita Vveinhardt
The paper focuses on the effects of EU’s Eastern Enlargement of 2004 on trade convergence within the EU and among the new member states from Central and Eastern Europe (CEE-8). Using sigma-convergence approach, it finds evidence of convergence of exports and imports per capita as well as of productivity levels associated with the member states’ export baskets. Convergence of territorial and commodity structures of trade has not occurred; conversely, divergence has been observed, leading to the possible conclusion that multinational companies have adjusted their production structure in facilities across the EU to achieve higher economies of scale. Correlation analysis shows that revealed comparative advantages of the old and new member states have come closer to each other. As an example, the paper also offers a brief comparison of trade development in two CEE-8 countries, Latvia and Slovakia, after their entry into the EU.
Valls, N. — Chulià, H. (2011): Volatility Transmission and CorrelationAnalysis between the US and Asia: The Impact of the Global Financial Crisis. SSRN Working Paper , No.1740446,