Kazeem Isah - Academia.edu (original) (raw)

Papers by Kazeem Isah

Scientific African, 2022

Exploring daily panel dataset spanning January 5, 2015 to January 28, 2021, we examine the reacti... more Exploring daily panel dataset spanning January 5, 2015 to January 28, 2021, we examine the reaction prowess of African stock markets to the different phases of the COVID-19 outbreak namely, pre–COVID period; epidemic period; and pandemic period. We show that irrespective of the different phases of the COVID-19 outbreak, South Africa ranked first as the country with the highest incidence of COVID-19 in Africa both in terms of number of confirmed cases and deaths. However, while Morocco and Tunisia ranked second and third in terms of the number of COVID-19 cases, it was Egypt that ranked second in terms of the number COVID-19 deaths. Employing a PMG –based panel–ARDL model, we offer evidence –based insights on the dynamic of stock markets during COVID-19. We show that number of confirmed cases rather than number deaths tend to be responsible for the declining stock returns in Africa during the pandemic phase of the COVID-19 outbreak. Whereas, the evidence of declining stock returns during the epidemic phase of the COVID-19 appears to be mainly attributable to changes in the international oil prices and exchange rates, respectively. That said the effectiveness or otherwise of efforts at minimizing negative reaction of stock returns to COVID-19 cannot be in isolation of whether the emphasis is on the number of confirmed cases and/or the number of confirmed deaths.

South African Journal of Economics, 2022

In this paper, we employ the GARCH-based unit root tests including the one proposed by Narayan an... more In this paper, we employ the GARCH-based unit root tests including the one proposed by Narayan and Liu (NL) (2015) to further examine the stationarity of daily agricultural grain prices from 1986 to 2015. We also compare the performance of these tests with standard unit root tests. Our results suggest that the unit root test for agricultural grains prices is better modeled in the presence of GARCH process with a time trend and possibly one or two shifts in the intercept. The policy implications of these findings are well documented in the paper.

SSM - Population Health, 2022

In line with the wide recognition of the connection between socioeconomic status and health outco... more In line with the wide recognition of the connection between socioeconomic status and health outcomes, attention in the recent literature is extending the static perspective to the dynamic implications of income on health. This study contributes to the growing literature on the income-health nexus by evaluating income dynamics on various self-rated health measures in the UK. We explore the impact of different indicators of income experiences on self-rated health and wellbeing outcomes using data from the 11 Waves of Understanding Society UK Household Longitudinal Study between 2009 and 2019. First, we estimate a fixed-effects ordered logit model for various health and wellbeing measures, allowing us to control for unobserved time-invariant heterogeneity. Second, we evaluate the effects of income trajectories by linking longitudinal household income to cross-sectional health outcomes. Our results confirm the general evidence of positive impacts of increasing family income on health. Besides, we find that stability in income position is strongly associated with improved health and wellbeing. On the other hand, income volatility increases the odds of reporting poor health outcomes, particularly for those in low-income households. Also, more years spent in a lower-income quartile reduces the odds of reporting improved self-rated health. Finally, the significant difference in the estimated effects of income before and after 2016 highlights the significant shifts in the effects of income trajectories on self-reported health and wellbeing following the National Living Wage policy implementation.

This paper attempts to establish that some inherent features of the Bitcoin price can be exploite... more This paper attempts to establish that some inherent features of the Bitcoin price can be exploited to produce better forecast results for stock prices. It does so by constructing predictive models for stock prices of G7 countries with symmetric and asymmetric prices of Bitcoin. The underlying statistical properties of Bitcoin prices such as persistence and conditional heteroscedasticity are captured in the estimation process using the Westerlund and Narayan (2015) estimator that allows for such effects in forecasting. There are two striking findings from the analysis. First, the results suggest that accounting for asymmetries is more likely to enhance the predictive power of Bitcoin in forecasting stock prices regardless of the data sample and forecast horizon. Secondly, the Bitcoin-based predictive model for stock prices, particularly the asymmetric variant, outperforms the Fractionally Integrated Autoregressive Moving Average (ARFIMA) model. While there are concerns as to whether the cryptocurrencies are veritable substitutes to the conventional financial assets, their close link with the developed stock exchanges such as those in the G7 countries suggests that they share some common characteristics such as news effects [asymmetries] which can be exploited when forecasting the behaviour of stock prices.

Using firm-level weekly closing stock prices of Nigerian firms, this study gives a new insight in... more Using firm-level weekly closing stock prices of Nigerian firms, this study gives a new insight into the possible asymmetry in exchange rate and stock prices relationship. The Linear ARDL (Pesaran et al., 2001) and Non-Linear ARDL (Shin et al., 2014) framework are adapted into panel data form to explore the responses of stock prices to exchange rate movements. Exchange rate is measured using Naira exchange value to US Dollar for the main analysis while Naira to Britain Pound Sterling is used for robustness check. Findings from the empirical analyses suggest that the relationship between exchange rate and stock prices is largely symmetry for most of the firms, except those in few sectors like conglomerates, consumer goods and financial services. Thus, this result supports empirical arguments that exposure of stock prices of firms in developing countries to exchange rate is identical in the long-run regardless of whether the domestic currency appreciates or depreciates.

The study give a new perspective to the interrelationship between/ or among the Nigerian financia... more The study give a new perspective to the interrelationship between/ or among the Nigerian financial markets namely stock, bond and FX markets by determine whether the conditional volatility spillovers across the three markets is constant or dynamic in nature. Using daily financial data set for the period 2011 to July 2014, we model return and shock spillovers via VARMA-CCC-GARCH model after careful considerations of relevant tests and model selection criteria. Finding from our empirical estimate shows that return in one market is significantly sensitive to returns in the other markets. More so, the individual market (i.e. stock, bond and FX) appears to be significantly vulnerable to cross-market shock spillovers.

Research Papers in Economics, 2018

This paper is motivated by the news that the surge in cryptocurrencies is an important candidate ... more This paper is motivated by the news that the surge in cryptocurrencies is an important candidate to in explaining the plummeting stock markets. To validate this believe, we construct a predictive model in which cryptocurrencies are identified as the predictors of US stock returns. The inherent statistical properties of cryptocurrencies such as persistence, endogeneity, and conditional heteroscedasticity are being accounted for in the Westerlund and Narayan (2015) estimator. Three salient results emanated from our estimations. First, we validated the importance of cryptocurrencies in predicting US stock prices; second, the cryptocurrencies predictive model outperforms the conventional time-series models such as Autoregressive Integrated Moving Average (ARIMA) model and the Autoregressive Fractionally Integrated Moving Average (ARFIMA); third, our results are robust to different method of forecast performance evaluation measures and different sub-sample periods. These results have imp...

Economics Bulletin, 2017

In this paper, we test whether accounting for asymmetries matters in inflation forecasting. Using... more In this paper, we test whether accounting for asymmetries matters in inflation forecasting. Using OECD data, we find that such consideration does little to improve the forecast performance of oil price in the predictive model for inflation. Overall, we find evidence in favour of asymmetries for the in-sample analyses while the symmetric variant performs better for the out-of-sample forecast.

This study examines the spillovers between stock market and money market in Nigeria over the peri... more This study examines the spillovers between stock market and money market in Nigeria over the period January 2000 to July 2015. Based on relevant pre-tests, the VARMA-CCC-GARCH is selected and consequently employed to model the spillovers. The study finds significant cross-market return and shock spillovers between the two markets. Thus, a shock to one market is more likely to spill over to the other market. It is also observed that shocks have persistent effects on stock market volatility but transitory effects on money market volatility. In other words, shocks to the money market die out over time while shocks to stock market tend to persist over time. In addition, including lagged own shocks and lagged own conditional variance when forecasting the future volatility of both return series may enhance their forecast performance.

In this paper, we construct a multi-predictor framework for US inflation by augmenting the tradit... more In this paper, we construct a multi-predictor framework for US inflation by augmenting the traditional Phillips curve-based inflation model with symmetric and asymmetric oil price changes. We show that the underlying predictors of US inflation exhibit persistence, endogeneity and conditional heteroscedasticity effects which have implications on forecast performance. Thus, we employ the Westerlund and Narayan (WN hereafter) (2014) estimator which allows for these effects in the predictive model. Also, we follow the linear multi-predictor set-up by Makin et al. (2014) which is an extension of the bivariate predictive model of WN (2014). Thereafter, we extend the former in order to construct a nonlinear multi-predictor model that allows for asymmetries based on Shin et al. (2014) approach. Using historical quarterly data for relevant variables ranging from 1957 to 2017, we demonstrate that US inflation is better modelled with the proposed multi-predictor model suggesting the significan...

This study offers new insight into the dynamics of international reserves (IR). We argue that com... more This study offers new insight into the dynamics of international reserves (IR). We argue that commodity prices play importance role in the accumulation of IR. We test this hypothesis by specifying a predictive model, in which commodity prices serve as predictors of IR. We essentially examine the extent to which the former predicts the later. Building a dataset for the BRICS nations, we found that a number of interesting results were obtained: first, commodity prices resoundingly predict the level of IR. Second, accounting for asymmetry helps improve the level of predictability.

Review of Economic Analysis, 2019

This study examines probable dynamic spillover transmissions between the Nigerian stock and money... more This study examines probable dynamic spillover transmissions between the Nigerian stock and money markets using the multivariate volatility framework that simultaneously accounts for both returns and shock spillovers. Based on relevant pre-tests, the VARMA-CCC-GARCH framework is selected and consequently employed to model the spillovers. The study finds significant cross-market return and shock spillovers between the two markets. Thus, a shock to one market is more likely to spill over to the other market. It is also observed that shocks have persistent effects on stock market volatility but transitory effects on money market volatility. In other words, shocks to the money market die out over time while shocks to stock market tend to persist over time. In addition, including lagged own shocks and lagged own conditional variance when forecasting the future volatility of both return series may enhance their forecast performance. An alternative approach proposed by Diebold and Yilmaz (...

Emerging Markets Finance and Trade, 2020

ABSTRACT We attempt to predict the exchange rate returns of the BRICS (Brazil, Russia, India, Chi... more ABSTRACT We attempt to predict the exchange rate returns of the BRICS (Brazil, Russia, India, China, and South Africa) countries with the global oil price using monthly datasets covering the period of 1973 to 2020. We formulate a predictive model that accounts for the salient features of the predictor and the predicted series in line with the recent literature. We establish that oil price is a good predictor of exchange rate returns for both net oil exporters (Brazil and Russia) and net oil-importers (South Africa and China). The consideration of asymmetries improves the predictability of an oil-based model for exchange rate movements and ignoring the same may lead to wrong conclusions. Finally, all the variants of the oil-based model outperform the benchmark model albeit with higher out-of-sample forecast gains with a nonlinear (asymmetric) model.

Journal of Forecasting, 2021

Relying on the Uncovered Equity Parity, we examine whether stock returns contain useful informati... more Relying on the Uncovered Equity Parity, we examine whether stock returns contain useful information that can be exploited to improve the forecast accuracy of exchange rate movements of the BRICS using a long range of data sample. Thus, we formulate a predictive model that links exchange rate movements to stock return differential between the domestic market and the foreign (US) market. We also test for any probable asymmetric relationship between the two variables while also accounting for the role of observed common (global) factor such as oil price. We find a positive relationship between stock return differential and exchange rate return for three of the BRICS countries namely Brazil, India and South Africa, thus validating the UEP hypothesis while a contrasting evidence is observed for China as well as Russia (after accounting for "asymmetry" effect"). Our in-sample and out-of-sample forecasts validate the significance of the predictive content of stock returns for exchange rate movements of the BRICS while accounting for the role of observed common (global) factor and asymmetry may further improve the forecast accuracy. Our results have implications for portfolio diversification and foreign exchange management.

International Journal of Finance & Economics, 2020

The extant studies on stock returns?exchange rate nexus have been suspected of aggregation bias, ... more The extant studies on stock returns?exchange rate nexus have been suspected of aggregation bias, we therefore resolve to revisit the nexus using firm-level data while also accounting for asymmetry We utilize stock price data covering 326 firms listed in S&P500 index and organized into 11 sectors We examine the probable asymmetric response of these firms to exchange rate movements using the nonlinear panel ARDL method which simultaneously accounts for any inherent asymmetry and heterogeneity effects and suitable for large N and Large T panels We establish that asymmetry exists in the stock returns?exchange rate nexus predominantly in the short run We further show that exchange rate appreciation (depreciation) produces primarily positive (negative) effects on stock returns We also find that the positive impacts overwhelm the negative impacts in magnitude and statistical significance Thus, returns on investment in U S stocks differ significantly between currency appreciation and depreciation and by implication investors seeking to maximize returns need to exercise some level caution when confronted with sharp swings in exchange rate particularly during turbulent periods While the results are robust to data frequency and to an extent, the choice of foreign currency, they are sensitive to different market conditions

International Journal of Energy Sector Management, 2020

Purpose The purpose of this study is to investigate the predictability of crude oil price and sha... more Purpose The purpose of this study is to investigate the predictability of crude oil price and shale oil production, in a bid to examine the possibility of bi-directional causality. Design/methodology/approach The study adopts a recently developed predictability model by Westerlund and Narayan (2015), which accounts for persistence, endogeneity and heteroscedasticity. It also accounts for structural breaks in the predictive models. Findings The empirical results show that only a unidirectional causal relationship from crude oil price to shale oil production exists. This happens as crude oil price appears to be a good predictor of shale oil production; however, shale oil production does not serve as a good predictor for crude oil price. Accounting for structural break was found to improve the predictability and forecast accuracy of the predictive model. Our result is robust to choice of crude oil price benchmarks (West Texas Intermediate, Brent, Dubai Fateh and Refiners’ Acquisition C...

Finance Research Letters, 2019

We construct a theory-based interest rate channel of monetary policy transmission within an SVAR-... more We construct a theory-based interest rate channel of monetary policy transmission within an SVAR-X model for BRICS. We find a shift in the transmission of monetary policy between the tranquil and turbulent periods for BRICS particularly in Brazil, Russia and China. Thus, the transmission of monetary policy in this region can be considered episodic. We also establish the need to account for seasonal effects in the SVAR model for improved model performance.