dc.contributor.author |
Hammed, Yinka S.
|
|
dc.contributor.author |
Salisu, Afees A.
|
|
dc.date.accessioned |
2024-05-30T09:10:11Z |
|
dc.date.available |
2024-05-30T09:10:11Z |
|
dc.date.issued |
2023-02 |
|
dc.description |
DATA AVAILABILITY STATEMENT: The GVAR data used in this article can be found on the following
link: http://www.econ.cam.ac.uk/people-files/emeritus/mhp1/GVAR/GVAR.html, accessed on
26 January 2023. However, data on technology shocks can be made available upon request from the
corresponding author. |
en_US |
dc.description.abstract |
We tested the connection between technology shocks and the efficiency of equity markets
in developed and emerging economies. We augmented the Global Vector Autoregressive (GVAR)
database that covers data on 33 developed and emerging markets with the newly constructed data
for technology shocks involving two variants, one with 164 countries (GTS-164), and the other, which
is more region-specific. covering only Organization for Economic Co-operation and Development
(OECD) countries (GTS-OECD). Our analysis was then modeled with GVAR methodology. We found
that a one standard positive innovation shock to global technology (GTS-164) raises real equity prices
in nearly 70% of the markets considered, and this is sustained over the forecast periods. However, the
response of real equity prices to a global-specific technology shock (GTS-OECD) is rather different.
While this shock resulted in the immediate rise in real equity prices, it is only transient and dissipated
after the third quarter of the forecast horizon in about 85% of these markets. By implication, the
efficiency of the real equity market was assured for the region-specific technology shock rather than
for the more encompassing measurement that takes account of numerous markets, not minding
whether these markets are developed or emerging. In sum, technological shocks seem to have greater
impacts on the efficiency of developed (including Euro) markets than other markets. |
en_US |
dc.description.department |
Economics |
en_US |
dc.description.sdg |
SDG-08:Decent work and economic growth |
en_US |
dc.description.uri |
https://www.mdpi.com/journal/jrfm |
en_US |
dc.identifier.citation |
Hammed, Yinka S., and Afees A. Salisu. 2023. Technology Shocks and the Efficiency of Equity Markets in the Developed and Emerging Economies: A Global VAR Approach. Journal of Risk and Financial Management 16: 154. https://doi.org/10.3390/jrfm16030154. |
en_US |
dc.identifier.issn |
1911-8066 (print) |
|
dc.identifier.issn |
1911-8074 (online) |
|
dc.identifier.other |
10.3390/jrfm16030154 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/96289 |
|
dc.language.iso |
en |
en_US |
dc.publisher |
MDPI |
en_US |
dc.rights |
© 2023 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license. |
en_US |
dc.subject |
Market efficiency |
en_US |
dc.subject |
Real equity prices |
en_US |
dc.subject |
Technology shock |
en_US |
dc.subject |
GVAR Model |
en_US |
dc.subject |
Global vector autoregressive (GVAR) |
en_US |
dc.subject |
SDG-08: Decent work and economic growth |
en_US |
dc.title |
Technology shocks and the efficiency of equity markets in the developed and emerging economies : a global VAR approach |
en_US |
dc.type |
Article |
en_US |