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This paper investigates the nature of the associations and the potential existence of both short-run and long-run relationships between the stock market indices of Morocco, France, Germany, the United Kingdom, China, and the United States from January 2014 to January 2024. The purpose of analyzing dynamic interconnections and contagion effects is to determine how the stock markets of these countries influence and relate to each other. The study employs a time series Vector Error Correction Model (VECM) approach, incorporating stationarity, cointegration, and Granger causality tests. Additionally, the Impulse Response Function (IRF) is used to analyze the response of variables to shocks. The bivariate Granger causality test reveals significant causal influences: from France, Germany, and the USA to Morocco; from the USA to the DAX and France; and from the UK to Germany. After establishing the Granger causal relationships, long-run and short-run relationships are further examined. Using the Johansen multivariate cointegration approach, the study suggests a long-term equilibrium among the six stock market indices over time. The short-run adjustments are analyzed using the VECM, which reveals that adjustments in the CAC 40, DAX, and MASI tend to correct deviations from equilibrium, indicating a tendency to move towards equilibrium. For the FTSE 100, S&P 500, and SSEC, the VECM captures the speed and direction of adjustments as these indices respond to short-term disruptions and work towards restoring equilibrium. The findings underscore the importance of closely connected global stock markets, which means that international regulators must coordinate their efforts to reduce the risks of contagion. Policymakers should prioritize improving financial stability through integrated frameworks considering short-term disruptions and long-term equilibrium trends.

Purpose This study examined the effect of the risk-free rate of return and other macroeconomic variables on the stock prices of firms listed on the Pakistan Stock Exchange-100 (PSX). Methodology The data from 2013 to 2023 was collected from the Karachi Stock Exchange website, Yahoo Finance, and the State Bank of Pakistan’s website. The main techniques for data analysis were Johansen-Juselius (J.J.) cointegration and the Vector Error Correction Model (VECM). Findings The findings show that a risk-free rate significantly impacts stock returns in the long run. Further, foreign direct investment (FDI) has a significant positive impact on the stock return of listed companies. The cointegration result indicates a long-run association among all the selected variables. Moreover, the results of the VECM show that the error correction term (ECT) in VECM (-1) is negative (-0.150) and significant. The negative coefficient of 0.150 indicates that deviations from the long-run equilibrium will be corrected at a speed of 15% per period, approximately within 7 months. Conclusion The study concludes that stock prices and macroeconomic indicators have long-run associations. Conversely, changes in the risk-free rate of return by the government or the banking sector have the opposite effect on stock prices. This study assists government officials, stock market participants, and policymakers in determining the profitability of the National Savings Scheme and Banks.

The weakening of the Rupiah against the US dollar has encouraged Bank Indonesia to issued Bank Indonesia Regulation (Peraturan Bank Indonesia - PBI) No. 17/3/2015. The research aimed to analyze the factors that affected the Rupiah exchange rate, the effect of PBI No. 17/3/2015 on the movement of the Rupiah exchange rate, and the behavior of exchange rate movement to the shocks on the variables that influenced it. The research applied secondary data, namely monthly data from January 2008 to April 2019 taken from reliable sources such as National Development Planning Agency (Bappenas), Bank Indonesia (BI), and Statistics Indonesia (BPS). It was explanatory research with a quantitative approach. The studied data were processed with the Vector Error Correction Model (VECM) method to identify long and short-term effects. The results of the long-term equation show that export-import has a negative effect on the exchange rate. Similarly, inflation has no significant effect on the exchange rate. Then, the money supply has a significantly negative effect on the exchange rate. However, the interest rate of Bank Indonesia positively affects the exchange rate. Next, the implementation of PBI No. 17/3/2015 has a significant and positive impact on the exchange rate. Last, the crisis condition does not affect the changes in exchange rates.

This study explores the dynamic relation between economic growth and stock market depth in the presence of three more macroeconomic indicators such as exchange rate, inflation and interest rate of Bangladesh. We use Johansen and Juselius (1990) test of co-integration and Vector Error Correction Model (VECM) to detect the possible short-run and long-run causal relation among the selected economic forces. The results of the study evidence that the lagged error-correct term of GDP (i.e., the proxy of economic growth) is found statistically significant in all three models. This manifest that GDP tends to converge to its long-run equilibrium path in response to changes in its regressors. But we find a complex network of causal linkage between the variables in the short-run. The findings of this study are of particular interest and importance to policymakers, financial managers, financial analysts and investors dealing with the Bangladesh economy and the Bangladesh stock market.

The paper examines the relative efficiency of gold Exchange Traded Funds (ETF) against spot gold and gold futures in the Indian scenario, using a series of conventional and threshold cointegration statistics. The results reveal that gold ETFs and spot gold, as well as gold ETFs and gold futures, converge together in the long run. Also, movements in spot prices and futures prices are found to lead those in ETF prices, thus, providing scope for executing profitable trading strategies in ETFs. The study further explores the probable reasons that might account for the relative inefficiency observed in ETF prices.

From a financial perspective, decentralization is a transfer of resources from the central government to local governments. Fiscal decentralization policies can lead to more FDI attraction by increasing the share of provincial government funding to local infrastructure.Accordingly, the major purpose of this study is to evaluate the long run and short run impact of fiscal decentralization on FDI in Iran during the period 1992-2014. For this purpose the three indicators of fiscal decentralization of revenue, fiscal decentralization of expenditures, fiscal decentralization of autonomy power and also some control variables including inflation, exchange rate fluctuations, and degree of trade openness have been used.In order to estimate the model, the Johansen-Juselius method and Vector Error Correction Model (VECM) have been applied. Based on the results of the model, all three fiscal decentralization indicators increase FDI in the long run and in the short run. Therefore, providing the necessary conditions for the expansion of fiscal decentralization can help to promote the FDI level in Iran.Also, both in the long run and the short run, inflation and exchange rate fluctuations have a negative effect, and the degree of trade openness has a positive effect on FDI.

The existence of non-inclusive households significantly reduces the effect of the interest rate change policy on households inter-temporal consumption decisions. Further, financial inclusion is closely related to fintech. On the one hand, fintech helps overcome the financial inclusion problem because fintech manages to reach those who were previously inaccessible by banks. On the other hand, fintech will change the payment system structure in an economy that will eventually affect the effectiveness of monetary policy. Using the Vector Error Correction Model (VECM) with the observation period of 2009–2018, this study aims to analyze the effects of financial inclusion and fintech on effectiveness of the Indonesian monetary policy within the framework of the transmission mechanism of monetary policy through interest rate channel with both the cost of capital effect and the substitution effect. The results demonstrate that financial inclusion level affects inflation rate as a proxy of effectiveness of the Indonesian monetary policy, both in the short run and long run. However, the effect of shocks in financial inclusion on inflation is not permanent. Meanwhile, fintech only affects inflation rate in the short run. However, shocks in fintech affect the volatility of inflation rate is permanent both through the substitution effect and the cost of capital effect.

The present paper aims to investigate the impact of fiscal policy on economic growth in Algeria over the period 1970-2015, by using Johansen cointegration test and vector error correction model (VECM). The main results reveal that both indirect taxes and productive current expenditures have a significant long-term positive impact on real GDP, while direct taxes, capital and unproductive recurrent expenditures negatively and significantly affect economic growth in the long run. Based on these findings, it could be concluded that sustainable economic growth requires serious policy measures aimed at diversifying the Algerian economy.

Inflation and financial development are among the factors that influence economic growth and the interaction between them is a major issue in developing countries. The aim of this paper is to investigate the effect of inflation on financial development indicators in Iran using seasonal data over 2000-2015. To achieve the research objectives, time series data were collected from World Bank and seasonal inflation rate, with 5 financial development indicators were used to measure the research variables. Then I applied Johansen Co-integration Test and Vector Error Correction Model to estimate the proposed model. The results show that inflation has a negatively significant effect on financial depth and also positively significant effect on the ratio of total deposits in banking system to nominal GDP in Iran during the observation period. Also the existence of an equilibrium relationship between inflation and other 3 indicators of Iran`s financial development used in this study was rejected.

Regarding the link between economic growth and it’s public outcomes, this paper studies the effect of economic growth on life expectancy in Iran during 1966-2013. To achieve the research objectives, annually data collected from World Bank Database and I used the life expectancy at birth and annually GDP growth rate to measure the research variables. Then I applied Vector Error Correction Model to estimate the proposed model. The results on this study show that economic growth has a positively significant effect on life expectancy in Iran during the observation period.

Financial market integration in Southern Asia especially in ASEAN main member countries still attractive to scrunitized. Most of these countries were devastated during severe regional financial crisis in 1997 but global financial crisis in 2008 have different impact toward these countries. The finding shows that comovement were exist among Indonesia, Malaysia, Singapore and Thailand’s capital market during January 1997 to December 2013 period. Comovement still exist during post Asian financial Crisis 1997 and post global financial crisis 2008 period. This study conclude also that degree of integration between some ASEAN capital markets have fading out after global financial crisis in 2008. Hence, investor could formulate a portfolio which consist of stocks across ASEAN capital markets.

One of the main concerns that many countries of the world are encountering, is some economic activities which are usually hidden from official view. These activities could effect deviation from correct position and prescribe incorrect polices. In this study, after short review on concept and different distances of shadow economy to try that investigated effects of shadow economy volume on economic growth for 1981-2007 by vector error correction model (VECM). Shadow economy was estimated by fuzzy logic method. Results indicated that in Iran, with increase of one percentage size of shadow economy, 0/38 percentage diminished economic growth.