Can Direct Payments Facilitate Agricultural Commercialisation: Evidence from a Transition Country

We investigate the impact of direct payments on agricultural commercialisation in Kosovo. Kosovo is one of the poorest countries in Europe but, with European assistance, provides substantial funds to support agriculture, made up of many small and often semi‐subsistence farms. Thus, the effect of this support is a central policy issue. Identifying the effect of direct payments on market participation faces endogeneity issues arising from the possible simultaneous determination of participation in support programmes and market participation. In order to achieve proper identification of the endogenous direct payments, we use a strategy of targeted identification search that employs several different methodological approaches. We find that direct payments for fruit and vegetables, and those for cereals and oilseeds have a positive effect on market participation. However, we cannot identify any definite effect of livestock payments.     

Bitcoin price and its marginal cost of production: support for a fundamental value

This study back-tests a marginal cost of production model proposed to value the digital currency Bitcoin. Results from both conventional regression and vector autoregression (VAR) models show that the marginal cost of production plays an important role in explaining Bitcoin prices, challenging recent allegations that Bitcoins are essentially worthless. Even with markets pricing Bitcoin in the thousands of dollars each, the valuation model seems robust. The data show that a price bubble that began in the Fall of 2017 resolved itself in early 2018, converging with the marginal cost model. This suggests that while bubbles may appear in the Bitcoin market, prices will tend to this bound and not collapse to zero.     

Capital market integration in ASEAN: A non-stationary panel data analysis

Motivated by the establishment of ASEAN Economic Community (AEC) at the end of 2015, we examine saving-investment relationship in various subgroups of ASEAN to assess their capital market integration. The results from second generation panel unit-root and cointegration tests that account for cross-sectional dependence as well as estimates of long-run saving-retention rate provide some evidence of market integration in ASEAN. The analysis of short-run dynamics suggests that capital mobility in ASEAN during 1980–2014 appears similar to that in OECD countries during 1970–1999. More importantly, across different panel estimators and subgroups of membership, there is considerable heterogeneity among the member countries. The saving-investment association is very weak, thereby implying very high capital mobility, in more developed members such as Singapore, Malaysia, and Brunei; the association is very strong, implying very low capital mobility, for much less developed members such as Laos, Myanmar, and Cambodia. The results call for renewed effort to develop capital markets in less developed nations and integrate them with the rest of the membership in ASEAN. In this paper, we also address several major shortcomings of the original Feldstein-Horioka framework.     

Market impact: a systematic study of the high frequency options market

This paper deals with a fundamental subject that has seldom been addressed in recent years, that of market impact in the options market. Our analysis is based on a proprietary database of metaorders—large orders that are split into smaller pieces before being sent to the market—on one of the main Asian markets. In line with our previous work on the equity market [Said, E., Bel Hadj Ayed, A., Husson, A. and Abergel, F., Market impact: A systematic study of limit orders. Mark. Microstruct. Liq., 2018, 3(3&4), 1850008.], we propose an algorithmic approach to identify metaorders, based on some implied volatility parameters, the at the money forward volatility and at the money forward skew. In both cases, we obtain results similar to the now well-understood equity market: Square-Root Law, Fair Pricing Condition and Market Impact Dynamics.     

Monitoring the foreign exchange rate benchmark fix

ABSTRACT

We develop a Manipulation Index (ManIx) that captures the potential manipulation intention of dealers during the World Markets/Reuters (WMR) benchmark (London Close) period at 4 pm London time through a unique algorithm and simulation. The application of this model (using a dataset with dealers’ identities) can identify banks that are prone to potential manipulative behavior. The results concerning the identified banks are validated by the regulatory investigations. Implementation of this algorithm allows regulators better direct their limited resources towards more targeted in-depth investigation.     

Commemorating the 50‐Year Anniversary of Ball and Brown (1968): The Evolution of Capital Market Research over the Past 50 Years

We commemorate the 50th anniversary of Ball and Brown [1968] by chronicling its impact on capital market research in accounting. We trace the evolution of various research paths that post–Ball and Brown [1968] researchers took as they sought to build on the foundation laid by Ball and Brown [1968] to create a body of research on the usefulness, timeliness, and other properties of accounting numbers. We discuss how those paths often link back to the groundwork laid and questions originally posed in Ball and Brown [1968].     

Settlement procedures and stock market efficiency

This study examines why most derivatives markets that settle on the day following expiration choose the opening rather than the closing price as the final settlement price (FSP), whereas most markets that settle on the expiration day select an average rather than a single price as the FSP. Four exogenous changes in the Taiwan Futures Exchange settlement procedures provide an experimental basis for studying the settlement procedures’ impact on underlying assets. Greatest market efficiency is observed when the FSP is determined by a single rather than an average price and hypothesize that manipulation is prevented at the expense of market quality.     

土地要素市场化配置能否促进工业结构优化？ ——基于微观土地交易数据的分析

研究目的:探究土地市场化配置在提高资源利用效率的同时,是否对产业结构产生了一定的积极影响。研究方法:理论剖析工业用地市场化发展促进工业结构优化升级的作用机理,利用2008—2015年间20余万条工业用地交易数据及工业经济面板数据进行实证检验,并进一步进行滞后性影响分析以及区域差异比较。研究结果:工业用地市场化水平与工业结构优化度总体存在正相关关系,各分项指标结果有所差异;滞后项系数显著为正;引入区域虚拟变量与工业用地市场化水平的交叉项,验证了区域性差异的存在。研究结论:土地市场发展越完善,产业结构越高,且该影响存在一定程度的滞后性;土地市场发展对劳动力结构优化度提升最为显著;在中部地区的推动作用强于其他地区。     

Financial development,economic growth and convergence clubs

To study the role of financial development in economic growth, we apply an array of convergence tests designed to capture nonlinear transitional dynamics to real outputs per capita. Strong evidence of multiple convergence clubs is observed, implying that the clubs are formed based on the initial level of real output per capita and average growth rate. Our empirical results show that the stage of economic growth of each country plays an important role for the composition of the convergence clubs. Furthermore, financial development emerges to be a significant determinant, albeit plays differently in the economic growth of each convergence club.