Assessing the progress of exports diversification in Saudi Arabia: growth-share matrix approach

The purpose of this paper is to provide an analytical analysis of cointegration between Europe and the other significant trading partners, namely US, China, Japan and Australia, for the period from January 1, 2010 to December 30, 2016. This captures the impact of the sovereign European debt crisis and the Greek crisis. A range of parametric techniques were adopted including Johansen cointegration analysis, Vector Error Correction Model and Granger causality. The results of the crisis Granger causality test during the European sovereign crisis implies the highest influence to be that of the US and Japanese stock market over the other four markets. Overall, found that the Asia-Pacific region plus the US stay closely related to each other, while European countries influence all the studied markets except each other. For the post-crisis sub-period, the Granger causality is slightly different. It is observable that the UK and Germany are influencing all the markets. This is probably due to the recent Brexit referendum outcome and potential consequences not only for the EU, but also for the rest of the world too. Overall, the Granger outcome shows the dependence between Europe and other global markets, but there is no European interdependence during the sovereign debt crisis period. It may be concluded that there is a separation of Asian markets from the European markets and even though cointegration exists, the relationship is rather weak.

Foreign direct investment (FDI) inflows to Vietnam have increased significantly in recent years. Theoretically, capital inflows will put pressure on the overvaluation of local currencies in countries, despite different exchange rate mechanisms. So, the problem facing the Vietnamese government is the need to examine the relationship between the exchange rate and FDI in order to develop effective policies. This study examined the relationship between the exchange rate and FDI in Vietnam in the period of 2005–2019 using the VAR (vector autoregression) model based on quarterly frequency data. The new points of this study are: (i) using the real effective exchange rate (REER) of the Vietnamese currency with 143 major trading partners of Vietnam; and (ii) adding two control variables into the VAR model to examine the relationship between the exchange rate and FDI in Vietnam – a case study for developing countries. The findings show that, firstly, there is a positive causal relationship between FDI and Vietnam’s real effective exchange rate. Secondly, trade openness has a positive impact on FDI and REER in Vietnam. Thirdly, economic growth has an impact on REER, but no statistically significant impact on FDI was found. The findings can provide useful information to help policymakers plan and make decisions on future policies and support further research studies.

The interrelationship between equity, bond, commodity and forex movements can provide investors with abundant trading opportunities regardless of whether one market is trending upward or downward. Hence, to understand the interlinkage between markets, this study examines the long-run and causal linkage between forex, G-sec bonds, oil prices, gold rates, foreign institutional investment (FII) flows, and equity market and sectoral index returns. Daily time-series data from August 2012 to August 2021 were considered for empirical analysis. Johansen’s cointegration test revealed that foreign exchanges like USD, Euro, GBP and Yen, oil and gold rates, G-bond returns and FII flows were significantly cointegrated with the stock market and sectoral indices in the long run. Further, Granger causality found a uni-directional relationship between forex rates (i.e., USD, Euro, Yen) and the market, as well as sectoral indices, except Nifty 50 and Nifty IT indices. Oil price movements were found to effectively predict future price changes of Nifty consumer durables, auto, IT indices. Gold prices are useful to predict Nifty-Auto, Bank, Financial Services, Oil & Gas and PSU. The study also found a bi-directional relationship from FII inflows to the stock market and sectoral indices. The findings suggest that forex rates, oil prices and FII flows significantly affect India’s stock market and sectoral performance. The study contributes to the existing literature by comprehensively examining the interlinkage between commodities such as oil and gold, foreign exchanges like USD, Euro, GBP and Yen, G-bond, FII flows and the stock market, and fourteen sectoral indices in the Indian context.