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Articles 1 - 9 of 9
Full-Text Articles in Business
The Impact Of Political Events On Financial Market Volatility: Evidence Using A Markov Switching Process, Ahmed M. Khalid, Gulasekaran Rajaguru
The Impact Of Political Events On Financial Market Volatility: Evidence Using A Markov Switching Process, Ahmed M. Khalid, Gulasekaran Rajaguru
Gulasekaran Rajaguru
This paper investigates the impact of political shocks (positive and negative) on financial markets. Using data from Pakistan for the period January 1999 to September 2006, we link ‘a’ political event to the financial market volatility. We use high frequency data from three indicators (currency, stock and money market) of the financial market for empirical estimation. We employ a Markov Switching process to identify the low and high volatility regimes in Pakistan’s financial market and then link these regimes to certain political events. We use data on daily observations of exchange rates, stock prices and interest rates to perform empirical …
Market Development For Fixed Income Securities: The Role Of Socio-Economic And Institutional Factors, Ahmed M. Khalid, Gulasekaran Rajaguru
Market Development For Fixed Income Securities: The Role Of Socio-Economic And Institutional Factors, Ahmed M. Khalid, Gulasekaran Rajaguru
Gulasekaran Rajaguru
It is well understood that bond markets play an important role in the development of the overall financial sector. Bond markets also help to make efficient investment and financing decisions, to improve efficiency in the design and implementation of monetary policy, provide financial stability by mitigating rollover risk and interest rate risk for the borrowers, provide an alternative source of finance to firms and thus reduce the monopoly of the banking sector. Given the importance of this market, this paper aims to investigate the factors that may be important for developing a market for domestic bonds. First, we discuss the …
The Chicken Or The Egg? The Trade-Off Between Bank Fee Income And Net Interest Margins, Barry Williams, Gulasekaran Rajaguru
The Chicken Or The Egg? The Trade-Off Between Bank Fee Income And Net Interest Margins, Barry Williams, Gulasekaran Rajaguru
Gulasekaran Rajaguru
This study considers the time series relationship between bank fee income and bank net interest margins in Australia, applying panel vector autoregressions to a unique, hand-collected dataset. Increases in bank fee income are being used to supplement decreases in net interest margins. The increase in magnitude of fee income associated with reductions in margin income is smaller than the decrease in net interest margins, resulting in a net wealth transfer favouring users of bank services; although not all users of bank services gained and/or gained equally. The overall increase in fee income is marginally greater that the reduction in margin …
Modelling The Glitter In Gold, Kuldeep Kumar, Gulasekaran Rajaguru, Samir Shrivastava
Modelling The Glitter In Gold, Kuldeep Kumar, Gulasekaran Rajaguru, Samir Shrivastava
Gulasekaran Rajaguru
Academics have found it particularly challenging to develop parsimonious models that can accurately model and forecast gold price. One of the reasons could be the complex nature of gold market fundamentals. Arguing that the key to forecasting gold prices lies in analyzing the factors that generate investment demand (as opposed to gold supply and fabrication demand), we empirically validate a model that factors in consumer sentiments, interest rates, returns on stock market, and oil prices. Our findings indicate that although gold price has significant correlation with all these four variables, interest rate and consumer sentiments are only significant predictors of …
Investable Market Neutral Hedge Fund Indices: An Examination Of Whether These Indice Eliminate Market Risk?, Simone Kelly, Gulasekaran Rajaguru, Anthony White
Investable Market Neutral Hedge Fund Indices: An Examination Of Whether These Indice Eliminate Market Risk?, Simone Kelly, Gulasekaran Rajaguru, Anthony White
Gulasekaran Rajaguru
Market neutral hedge funds are attractive portfolio constituents when they eliminate market risk. Is this the case for the relatively new investable market neutral hedge fund indices? Given the significant growth in index investing and the number of investable hedge fund index products, we conduct the first empirical assessment of whether the investable market neutral hedge fund indices exhibit this characteristic.
To make this assessment, we adjust the Four Moment Capital Asset Pricing Model adopting conditional measures of systematic variance, systematic skewness and systematic kurtosis as the regressors. This new model is then used to test whether there is a …
The Chicken Or The Egg? The Trade-Off Between Bank Non Interest Income And Net Interest Margins, Barry Williams, Gulasekaran Rajaguru
The Chicken Or The Egg? The Trade-Off Between Bank Non Interest Income And Net Interest Margins, Barry Williams, Gulasekaran Rajaguru
Gulasekaran Rajaguru
This study considers the time series relationship between bank non interest income and bank net interest margins in Australia using panel vector autoregressions. It is found that increases in bank non interest income are being used to supplement decreases in net interest margins, but that the magnitude of the increase in non interest income is smaller than the decrease in net interest margins. It is also found that increases in non interest income predate declines in margin income, suggesting that Australian banks were pro-active in the process of disintermediation. The agency risks of increased bank non interest income are explored …
Financial Market Contagion: Evidence From The Asian Crisis Using A Multivariate Garch Approach, Ahmed M. Khalid, Gulasekaran Rajaguru
Financial Market Contagion: Evidence From The Asian Crisis Using A Multivariate Garch Approach, Ahmed M. Khalid, Gulasekaran Rajaguru
Gulasekaran Rajaguru
Recent trends of globalization and financial market internationalization have exposed the vulnerability of many emerging financial markets to external shocks and spillover effects from regional crisis. It is believed that similar spillover effects were the root cause of the 1997 financial crisis that faced many emerging economies in Asia. This study attempts to investigate the spillover effects of the 1997 Asian financial crisis using data from a sample of selected Asian countries. For empirical estimation, we use high frequency data (daily observations) on exchange rates from 1994 to 2002, construct a multivariate GARCH model and apply the Granger causality test …
The Global Impact Of The Russian Financial Crisis: Evidence Using Granger Causality And Impulse Reponses In A Var Model, Ahmed Khalid, Gulasekaran Rajaguru
The Global Impact Of The Russian Financial Crisis: Evidence Using Granger Causality And Impulse Reponses In A Var Model, Ahmed Khalid, Gulasekaran Rajaguru
Gulasekaran Rajaguru
This study attempts to investigate the financial market contagion in a global perspective. We use a large sample of 26 countries representing different regions in the world and focus on the spillover effects of the 1998 Russian crisis. We use daily observations on three financial market indicators namely, the exchange rates, stock prices and interest rates. We construct a VAR to test the interlinkages among different market and different regions using the Granger causalfiy. Later, we perform impulse response analysis by introducing a shock in each of the Russian market and observe the impact and duration of this shock on …
The Long-Run Determinants Of Australian Income Inequality, Noel Gaston, Gulasekaran Rajaguru
The Long-Run Determinants Of Australian Income Inequality, Noel Gaston, Gulasekaran Rajaguru
Gulasekaran Rajaguru
Recent interest has been stimulated by the growth of income inequality in most developed countries during the 1980s and 1990s. However, considerable uncertainty still exists as to which factors have been the most important causes of this development. This article uses a measure of income inequality derived from taxation statistics and a recently proposed method for testing long-run Granger non-causality to examine the key determinants of Australia's inequality for the years 1970–2001. In line with popular concern, we find that globalisation and technological progress – defined as the global flow of information – has increased income inequality. In contrast, improved …