In this paper we present, propose and examine additional membership functions for the Smoothing Transition Autoregressive (STAR) models. More specifically, we present the tangent hyperbolic, Gaussian and Generalized bell functions. Because Smoothing Transition Autoregressive (STAR) models follow fuzzy logic approach, more fuzzy membership functions should be tested. Furthermore, fuzzy rules can...

On the basis of Dunning’s Investment Development Path (IDP) hypothesis, this paper tests the macroeconomic determinants of Chinese Offshore Direct Investment (ODI) from a home-country perspective. We review the recent firmand country-level studies on determinants of Chinese ODI. We propose a model and test seven home-country macroeconomic variables as determinants of Chinese ODI. Our results re...

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...

The development of the Cyprus Stock Exchange together with the increasing trend of investors’ presence in financing activities has led to the importance of this market. In such circumstances, the first step towards a sustainable development of the Exchange is to support the investors. Risk of bankruptcy for the investee is a major challenge that an inexperienced stock investor encounters. In th...

This study tries to answer the question, “has macroeconomic instability detrimental impact on gross domestic product of Pakistan over the period of 1980 to 2012?” For reviewing macroeconomic instability a comprehensive macroeconomic instability index is constructed by incorporating inflation rate, unemployment rate, trade deficit and budget deficit. Autoregressive Distributed Lag (ARDL) model h...

Two approaches to the multi-factor modeling of security returns are evaluated. In the first, a variance/covariance matrix of security returns and macroeconomic factors is assembled and decomposed. Factors are generated through this algebraic decomposition and are thus unspecified. In the second, a macroeconomic variable model is proposed and a linear model estimating security returns as a funct...

Numerous academic studies examine equity risk premium predictability based on various macroeconomic variables and price and volume based variables from stock market. In this article, we extend the frontier of the set of predictors from macroeconomic variables and stock market variables to foreign exchange market variables due to various reasons. Firstly, foreign exchange market reflects various...

The Japanese economy has experienced an unprecedented period of macroeconomic turbulence over recent years. Even before the 1997 Asian crisis, this had led to a sharp rise in the number of financial institutions experiencing bankruptcy, including a number of large regional banks and an international stockbroking firm. The question we seek to address is, What effect has this economic turbulence ...

This paper begins with the expectations theory of the term structure of interest rates with constant term premia and then postulates how expectations of future short term interest rates are formed. Expectations depend in part on predictions from a set of VAR equations and in part on the current and two lagged values of the short term interest rate. The results suggest that there is relevant ind...