The Review of Finance and Banking

Number 1, 2019

7-13
The liquidity premium: Evidence from the Polish stock market

Authors: Cristina Ganja

Abstract

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Number of views: 271

The main purpose of this study is to investigate the existence of a liquidity premium on the Polish stock market, using the liquidity-adjusted CAPM. In order to measure the influence of the liquidity of stocks returns, there was constructed a liquidity factor using the newest high-low spread liquidity measure, developed by Corwin and Schultz (2012). The results have showed that there is a significant liquidity premium positively influencing the excess returns of stocks from the Poland market, and the premium is growing from the most liquid portfolio to the less liquid one.

14-23
Do real exchange rate changes have symmetric or asymmetric effects on trade balance in Nigeria? Evidence from Non-linear ARDL Model

Authors: Onatunji Olufemi

Abstract

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Number of views: 246

This paper investigates the asymmetric impact of real exchange changes on trade balance in Nigeria using quarterly data over the period 1999Q1-2017Q4. A non-linear Autoregressive Distributed Lag (NARDL) proposed by Shin et al (2014) is employed for this study. The findings show that real exchange change have asymmetric impact on Nigeria’s trade balance in both time horizons. Specifically, the positive real exchange rate is highly sensitive to trade balance than the negative real exchange rate. These findings therefore suggest that using discretionary monetary policy to offset Nigeria’s trade deficit due to large differential between import and export is not sufficient enough. Thus, policy makers should adopt policy-mix to manage the current economic climate of the country such as imposition of quotas on certain imported goods, high tariff rate on imported goods, provision of credit facilities and higher tax rate that reduce disposable income of consumer.

24-36
Petroleum subsidy and its impact on tax revenue volatility

Authors: Matthew O. Gidigbi, Kehinde M. Bello, Gbenga F. Babarinde

Abstract

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Number of views: 318

Energy pricing did not only have an implication on the indigent but on the national government as well. Petroleum subsidy tolerance impacts the government revenue of certainty but the extent of its impact needs to be determined. Therefore, it becomes imperative to assess the contribution of the petroleum subsidy on tax volatility. Data were sourced from the NNPC Annual Statistical Bulletin (ASB) for the year 1997, 2005, 2008 and 2016; Central Bank of Nigeria (CBN) Statistical Bulletin and Statement of Accounts and Annual Reports. An exploratory analysis was conducted on extracted data to generate other variables of interest such as subsidy on premium motor spirit, tax revenue volatility before proceeding to Lease Squares analyses. ARCH and GARCH models were applied to ascertain the volatility of tax revenue. Petroleum subsidy positively impacts tax revenue volatility; the impact was minimal but statistically significant at 1 per cent significance level. Exchange rate increased the tax revenue volatility by 5.10 point in the long-run, likewise gross domestic savings by 0.4 point in the long-run and both estimates were statistically significant at 1 per cent respectively. Both government expenditure and gross fixed capital formation reduced the tax revenue volatility at 0.05 and 0.03 point respectively and the estimates were statistically significant at 10 per cent and 1 per cent. The ECM showed that any deviation in the estimates would be restored within a year and this is statistically significant at 1 per cent. It was therefore recommended that the government should do more to manage and maintain appropriate exchange rate policy and keep up improving on its expenditure towards capital formation and investment in order to manage tax revenue volatility.