Transmission of Rice Prices from Thailand into West African Markets: The Case of Benin,Mali, and Senegal

ABSTRACT

The integration of West African rice market to the world market is assessed in order to derive the implication for food security. To this end, the transmission of rice price changes on the world market to selected markets in West Africa was examined to test for the presence of transaction costs. Using the two-regime threshold cointegration procedure on monthly price data, evidence in support of the hypothesis of asymmetric price transmission was found between Thailand and some West African markets. Price increases on the world market were more quickly transmitted to domestic price than were price decreases in Benin and Mali, suggesting short-run dynamic inefficiencies and the presence of transaction costs. In Senegal, the adjustment was linear, suggesting greater integration with the world rice market. The results suggest that West African governments should design and implement adequate policies to develop the domestic rice sector, improve market infrastructures in order to reduce their country dependency to international markets and ensure food security.     

Price discovery in the hang seng index markets: Index,futures, and the tracker fund

In this paper, price discovery among the Hang Seng Index markets is investigated using the Hasbrouck and Gonzalo and Granger common‐factor models and the multivariate generalized autoregressive conditional heteroskedasticity (M‐GARCH) model. Minute‐by‐minute data from the Hang Seng Index, Hang Seng Index futures, and the tracker fund show that the movements of the three markets are interrelated. The futures markets contain the most information, followed by the spot market. The tracker fund does not contribute to the price discovery process. The three markets exhibit spillover effects, indicating that their second moments are linked, even though the flow of information from the tracker fund to the other markets is minimal. Overall results suggest that the three markets have different degrees of information processing abilities, although they are governed by the same set of macroeconomic fundamentals. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:887–907, 2004     

Are the East Asian markets integrated? Evidence from the ICAPM

We test a conditional international asset pricing model with both world market and domestic risk included as independent pricing factors for five East Asian markets, the US and World markets. We model second moments and risk exposures using a bi-diagonal multivariate GARCH(1,1) process. We document that this novel GARCH specification provides a significantly better fit of the return process than a standard diagonal specification. Although exposure to world market risk carries a significant premium across all markets, we find little support for the hypothesis that exposure to residual country risk is rewarded. However, residual country returns are significantly related to exchange rate changes. Hence, we find surprisingly little evidence of market segmentation in East Asia over the period 1985–1998.     

Improving volatility prediction and option valuation using VIX information: A volatility spillover GARCH model

We develop a new generalized autoregressive conditional heteroskedasticity (GARCH) model that accounts for the information spillover between two markets. This model is used to detect the usefulness of the CBOE volatility index (VIX) for improving the performance of volatility forecasting and option pricing. We find the significant ability of VIX to predict stock volatility both in-sample and out-of-sample. VIX information also helps to greatly reduce the option pricing error. The proposed volatility spillover GARCH model performs better than the related approaches proposed by Kanniainen et al. (2014, J Bank Finance, 43, pp. 200-211) and P. Christoffersen et al. (2014, J Financ Quant Anal, 49, pp. 663–697).     

干散货运价指数与中国进口铁矿石价格溢出效应研究

研究干散货运价与大宗原材料价格的溢出效应可以分析跨市场间的价格信息传导,进而规避风险。以BDI、BCI、中国进口铁矿石价格的日频数据为研究样本,通过建立VAR模型,引入Granger因果检验,探索三者之间的均值溢出效应;构建VAR-MGARCH-BEKK模型,研究三者之间的波动溢出效应。结果表明:BCI与进口铁矿石价格互相存在均值溢出效应;BDI对进口铁矿石价格波动持续性逐渐增强,BCI对进口铁矿石价格波动持续性逐渐减弱;航运市场居于跨市场系统主导地位。     

Export Market for Australian Beef Industry

Abstract

The aims of this paper are to examine the constraints and potentials for Australian beef industry on world export markets, and to identify the implications for other beef exporting countries. The survey of beef export constraints suggested that the effect of world beef price and cost of feed grains reduced beef export returns. The relative importance of these variables was tested using a linear regression model. The coefficients of these variables are statistically significant at 10 and 1 per cent levels, and the results suggest that world beef price and cost of feed grains are important determinants of Australian beef exports. The findings of this study also reveal that Australia is highly restricted in its access to world beef markets by the impact of rigid import controls, tariffs and other trade barriers including export subsidies provided by foreign countries for their own exports. Australia needs to give priority to diversification of export markets, particularly in the emerging markets in Africa, Asia, the Americas and the Middle East, where reduced tariff barriers are expected to improve market access. Australia also needs to increase productivity, improve cost efficiency, and undertake market research and promotion in order to be more competitive in the long run and to capture a sizeable market share from its major competitors.     

Market integration and contagion: Evidence from Asian emerging stock and foreign exchange markets

This paper examines whether Asian emerging stock markets (India, Korea, Malaysia, Philippines, Taiwan, and Thailand) have become integrated into world capital markets since their official liberalization dates by estimating and testing a dynamic integrated international capital asset pricing model (ICAPM) in the absence of purchasing power parity (PPP) using an asymmetric multivariate GARCH(1,1)-in-Mean approach. Also examined in this paper is whether there are pure contagion effects between stock and foreign exchange markets for each Asian country during the 1997 Asian crisis. The empirical results show that first, both currency and world market risks are priced and time-varying, suggesting that an international asset pricing model under PPP and constant price of risk might give rise to model misspecification. Second, the stock markets for India, Korea, Malaysia, Philippines, and Thailand were segmented from the world capital markets before their liberalization dates, but all six markets have become fully integrated since then. Third, the market liberalization has reduced the cost of capital and price volatility for most of the countries. Finally, as for the contagion effects, strong positive impact of return shocks originating from the domestic stock market to its foreign exchange market during the crisis is found. This dynamic relationship between stock market and foreign exchange market is consistent with stock-oriented exchange rate models.     

Regime switching in the reactions of stock markets in Saudi Arabia to oil price variations

The study revisits the stock–oil nexus by examining the reactions of equity markets to oil price shocks at national and sectoral levels for Saudi Arabia in a time‐varying framework by employing the Markov switching EGARCH model developed by Henry (2009, Journal of Banking and Finance, 33, 405). Based on weekly data, the findings reveal that the behaviour of all stock markets switches between an expansion regime and a recession regime, with more persistence for the expansion state. Additionally, influential international events associated with stock market drops are clearly identified in the recession regime. Furthermore, there is evidence of asymmetric reactions of the equity index returns and the probabilities of transition from one state to another to oil price variations, with heterogeneous impacts across sectors and regimes. The stock markets are more sensitive to oil price decreases than to oil price increases. Although the evidence of relatively slight differences in some findings across weekdays, the study allows investors and policymakers to understand well the interactions of stock sector markets vis‐à‐vis the world oil market in a regime‐switching framework, in order to make the right decision as regards portfolio diversification and regulation of the stock markets.     

Half-day trading and spillovers

This paper investigates the linkage of returns and volatilities between the United States and Chinese stock markets from January 2010 to March 2020. We use the dynamic conditional correlation (DCC) and asymmetric Baba–Engle–Kraft–Kroner (BEKK) GARCH models to calculate the time-varying correlations of these two markets and examine the return and volatility spillover effects between these two markets. The empirical results show that there are only unidirectional return spillovers from the U.S. stock market to the Chinese stock market. The U.S. stock market has a consistently positive spillover to China’s next day’s morning trading, but its impact on China’s next day’s afternoon trading appears to be insignificant. This finding implies that information in the U.S. stock market impacts the performance of the Chinese stock market differently in distinct semi-day trading. Moreover, with respect to the volatility, there are significant bidirectional spillover effects between these two markets.     

Spillover Effects among European,the US and Moroccan Stock Markets before and after the Global Financial Crisis

ABSTRACT

This paper assesses return and volatility spillovers among stock markets in Morocco, the US, UK, France and Germany represented respectively by MASI, S&P 500, FTSE 100, CAC 40 and DAX 30 indices, both before and after the global financial crisis (GFC) of 2008. The daily frequency data cover the period from January 2nd, 2002 to June 30th, 2016. Using the Diebold and Yilmaz approach, the results show varying financial connectedness between the Moroccan and the above mentioned developed stock markets. In fact, the significant increase of spillover index during the post-financial crisis period demonstrates that the US and European stock markets were the most affected. On the other hand, despite a relative increase of spillover effects coming from the US and German equity markets, our results show decline in the total net spillovers experienced by the Moroccan market after the recent financial crisis. These findings may provide some useful information to support decision-making and trading strategies for international investors.     

Market Efficiency and Price Discovery in Cocoa Markets

ABSTRACT

This paper tests the efficiency and price discovery mechanism in the cocoa cash and futures markets over the period March 1981–August 2009. The results indicate that the price discovery is done in the cash market and spreads to the futures markets and that the futures price can be seen as an unbiased predictor of future cash prices. There is no sign of a risk premium in the futures price. Since the cash behaves like a random walk we cannot reject market efficiency.     

Volatility spillover effects and cross hedging in corn and crude oil futures

Using a volatility spillover model, we find evidence of significant spillovers from crude oil prices to corn cash and futures prices, and that these spillover effects are time‐varying. Results reveal that corn markets have become much more connected to crude oil markets after the introduction of the Energy Policy Act of 2005. Furthermore, when the ethanol–gasoline consumption ratio exceeds a critical level, crude oil prices transmit positive volatility spillovers into corn prices and movements in corn prices are more energy‐driven. Based on this strong volatility link between crude oil and corn prices, a new cross‐hedging strategy for managing corn price risk using oil futures is examined and its performance is studied. Results show that this cross‐hedging strategy provides only slightly better hedging performance compared with traditional hedging in corn futures markets alone. The implication is that hedging corn price risk in corn futures markets alone can still provide relatively satisfactory performance in the biofuel era. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark     

Emerging Equity Market Volatility

Abstract

This paper considers two emerging markets that are under-researched, Kenya and Nigeria. It offers a comprehensive view of four time properties that emerged from the empirical time series literature on asset returns: (1) the predictability of returns from past observations; (2) the auto-regressive behavior of conditional volatility; (3) the asymmetric response of conditional volatility to innovations; and (4) the conditional variance risk premium. Results of the exponential GARCH (EGARCH) model indicate that asymmetric volatility found in the U.S. and other developed markets also characterized the Nigerian stock exchange. In Kenya, however, the asymmetric volatility coefficient is significant and positive, suggesting that positive shocks increase volatility more than negative shocks of an equal magnitude. The Nairobi Stock Exchange (KSE) returns series report negative but insignificant risk-premium parameters. In Nigeria (NSE), return series exhibit a significant and positive time-varying risk premium. The results also show that expected returns are predictable, that the auto-regressive return parameters (? ₁ ) are significant in both Kenya and Nigeria. Finally, the GARCH parameter (b) is statistically significant, indicating that volatility persistence is present in the two emerging markets studied.     

Currency Substitution and Price Endings: Right Digit Effect

ABSTRACT

The strategic manipulation of prices. rightmost digits has been a tactic used by retailers in the western world for decades. By studying the internationalization of pricing tactics in a global economy, our research adds a much needed contribution to the literature of price endings and pricing tactics in global markets. We find that at lower price levels, consumers exposed to a 99 ending price in a currency substitution market are more likely to purchase the product compared to consumers in the US market. At higher price levels, on the other hand, consumers in either market situation exhibit no change in purchase intentions. Thus, the 99 ending tactic has no effect on consumers when the product is expensive. The use of the right digit effect by managers in a currency substitution/ dollarized economy as a way of persuading consumers to buy is still likely to be more successful compared to the USA market. As such, firms in a dollarized economy should structure their pricing strategies while taking into consideration the type of product they are offering and the consumer market they are dealing with.     

Adaptation of Marketing Mix Elements in International Markets

ABSTRACT

This research identifies the extent to which individual marketing mix elements are adapted for international markets and how company, industry, and market factors influence the level of adaptation. The study is based on a survey of executive-level managers in U.S.-based companies that market products internationally. The survey obtained information on the extent of adaptation across the marketing mix elements and on company, industry, and market factors that influence this process. The results indicate that adaptation is greatest for distribution, followed by price, promotion, and product. Product adaptation is influenced by market factors, price adaptation is influenced by market and industry factors, promotion adaptation is influenced by market factors, and distribution adaptation is influenced by company factors. The results of the research can be used to both understand and manage the extent of adaptation necessary for products in international markets.     

Price discovery and investor structure in stock index futures

Previous literature on price discovery in stock index futures and spot markets neglects the role of different investor groups. This study relates time‐varying spot‐futures linkages studied within a VECM‐DCC‐GARCH framework to changes in the investor structure of the futures market over time. Empirical results suggest that during the dominance of presumably uninformed private investors, the futures market does not contribute to price discovery. By contrast, there is evidence of information flows from futures to spot markets and a significant increase in conditional correlation between both markets as institutional investors' share in trading volume increases. We derive implications for the design of emerging futures markets. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark31:282–306, 2011     

Does the spillover of China's economic growth exist? Evidence from emerging markets

This paper primarily investigates if China affects emerging markets economies triggered by its rapid economic growth and the trend of economic globalization over the world. Our results indicate that China's economic growth causes a significant spillover effect on the economic performances of emerging markets, varying across the detected structural break in 2006 and the degree of economic globalization between China and 25 emerging economies over the period 2000–2012. The results herein support the formation of an inseparable interdependence between China and those emerging economies.     

Price Transmission and Threshold Behavior in the African Catfish Supply Chain in Uganda

Abstract

The issue of price linkage in the catfish supply chain in Uganda is important because catfish has become an important traded species with exports to regional markets rising even faster than production, yet limited research has been undertaken to understand the linkages and the non-linearity in the price transmission mechanism. This paper explores the issue using monthly price data from January 2006 to August 2013, and applies threshold autoregressive approaches to test for the existence of a long-run relationship and price asymmetry. The results show that prices in the catfish value chain are tied together by a long-run relationship. It is also revealed that ex-vessel and wholesale price adjustments to retail price changes are symmetric while ex-vessel price adjustments to wholesale price changes are shown to be asymmetric. The direction of causal relationships was observed from the retail to the wholesale and ex-vessel markets, indicating that retailers are the price leaders in the Uganda catfish supply chain.     

Modelling spillovers between stock market and FX market: evidence for Nigeria

Abstract

The need to capture the foreign exchange (FX) and stock markets nexus in Nigeria is underscored by the rapidly expanding financial markets integration due to trade and financial liberalization policies which seem to have enhanced the inflow of capital as well as accelerated investment/business interactions. Using variants of the VARMA-AMGARCH model of McAleer, Hoti, and Chan (2009), we find that volatility persistence in the stock market is accentuated by bad news in the market and moderated by good news in the FX market. Finally, we establish that ignoring the asymmetric effects may exaggerate the spillover results.     

Intraday price discovery and volatility transmission in stock index and stock index futures markets: Evidence from China

Using high‐frequency data, this study investigates intraday price discovery and volatility transmission between the Chinese stock index and the newly established stock index futures markets in China. Although the Chinese stock index started a sharp decline immediately after the stock index futures were introduced, the cash market is found to play a more dominant role in the price discovery process. The new stock index futures market does not function well in its price discovery performance at its infancy stage, apparently due to high barriers to entry into this emerging futures market. Based on a newly proposed theoretically consistent asymmetric GARCH model, the results uncover strong bidirectional dependence in the intraday volatility of both markets. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark