Modelling the Interaction of Fundamental and Portfolio Exchange Rate Behaviour: An Application to Australia and the ASEAN3

This paper explores the interaction of fundamental and portfolio factors in the determination of the exchange rate. The weights on the factors evolve endogenously as a function of relative fundamental and portfolio errors. The model also generates exchange rate mixture distributions that may be skewed, leptokurtic or bimodal and as such can explain small and large changes endogenously. The model is applied to the exchange rates of Australia and the ASEAN3 to examine the role of fundamental and portfolio behaviour, especially over the 1997/98 currency crisis period.     

Public Good Contributions Between Communities

The four fundamental determinants of voluntary contributions to public goods are taste, community size, wealth, and wealth distribution. This paper argues that for policy purposes it is important to discriminate between the four hypotheses. To do this, it is necessary to consider the comparative static effects of the above determinants not only on total contribution, but also on per capita contribution and the participation rate. Furthermore, just as members of a smaller community would contribute more than their identical counterparts in a larger community, we show that members of a community that has more poor members would also contribute more than their identical counterparts in a community that has more rich members.     

A new proposal for the reunification of the two Koreas: Economic issues

We present an alternative five-step plan which not only supplements the deficiencies of the current official plans for reunification, but also incorporates recent developments, such as, joint membership of North and South Korea of the United Nations (1991), and mutual agreements on reconciliation, nonaggression and economic exchange and cooperation (1992). The plan starts with a preliminary step for the normalization of relations between the two Koreas, and then subsequently moves on to economic integration, social integration, political integration, and military integration. However, as the political confrontation in the Korean peninsula has already been well-researched elsewhere, We discuss economic issues which are likely to present themselves during the unification process. Economic issues, rather than the political ones, could prove to be of the greatest concern to a smooth reunification between the peninsula's long- divided neighbors.     

State Power and Private Profit: the political economy of corruption in Southeast Asia

This article reviews the extensive political and economic literature since 1990 on corruption in Indonesia, Philippines, Thailand, Malaysia and Singapore. After considering each country's individual recent history of corruption, the article comparatively analyses the relationship of corruption in these countries with, respectively, the roles of the state, the private sector and external actors, democratisation and decentralisation, and the impact of corruption on economic growth and inequality. Our conclusion is that while economic liberalisation, democratisation and centralisation of state power influence the forms of corruption and its impact on national economic performance, they are neither necessary nor sufficient for its decline.     

Early Retirement and Bridge Employment Intentions Among Older Workers in Singapore

This paper examined the relevance of 14 demographic, cognitive, and affective factors in individuals' intentions to voluntarily retire early and to secure bridge employment after retirement. Results based on a sample of 361 respondents aged between 40 and 59 suggested that marital status, perceived negative age-health relationship, gender psychological readiness for retirement, and family orientation were related to early retirement intentions. Work centrality, perceived organisational attitude towards older employees, and psychological readiness for early retirement were related to bridge employment intentions. Implications for research were discussed.     

Societal trust and corporate tax avoidance

Using an international sample of firms from 25 countries and a country-level index for societal trust, we document that societal trust is negatively associated with tax avoidance, even after controlling for other institutional determinants, such as home country legal institutions and tax system characteristics. We explore the effects of two country-level institutional characteristics—strength of legal institutions and capital market pressure—on the relation between societal trust and tax avoidance. We find that the relation between trust and tax avoidance is less pronounced when the legal institutions in a country are stronger and is more pronounced when the capital market pressure is stronger. Finally, we examine the relation between societal trust and tax evasion, an extreme and illegal form of tax avoidance. We show that societal trust is negatively related to tax evasion and the negative relation is less pronounced when legal institutions are stronger.     

Financial crisis and stock market efficiency: Empirical evidence from Asian countries

This paper empirically investigates the effects of the 1997 financial crisis on the efficiency of eight Asian stock markets, applying the rolling bicorrelation test statistics for the three sub-periods of pre-crisis, crisis, and post-crisis. On a country-by-country basis, the results demonstrate that the crisis adversely affected the efficiency of most Asian stock markets, with Hong Kong being the hardest hit, followed by the Philippines, Malaysia, Singapore, Thailand and Korea. However, most of these markets recovered in the post-crisis period in terms of improved market efficiency. Given that the evidence of nonlinear serial dependencies indicates equilibrium deviation resulted from external shocks, the present findings of higher inefficiency during the crisis are not surprising as in the chaotic financial environment at that time, investors would overreact not only to local news, but also to news originating in the other markets, especially when the news events were adverse.     

Auditor Quality,IFRS Adoption,and Stock Price Crash Risk: Korean Evidence

This paper investigates the relationship among auditor quality, International Financial Reporting Standard (IFRS) adoption and stock price crash risk. Using 657 unique listed companies spanning 2002–2014 in Korea, this study finds that stock price crash risk decreases, especially for firms using Big 4 auditors, after IFRS adoption in Korea. Stock price crash risk decreases for a firm included in Big 4 auditors, while it does not increase for a firm excluded from Big 4 auditors after IFRS adoption. Finally, this study finds that Big 4 auditor decreases stock price crash risk only when the firm size is above-median.     

Pricing options using implied trees: Evidence from FTSE‐100 options

Previously, few, if any, comparative tests of performance of Jackwerth's ( 1997 ) generalized binomial tree (GBT) and Derman and Kani ( 1994 ) implied volatility tree (IVT) models were done. In this paper, we propose five different weight functions in GBT and test them empirically compared to both the Black‐Scholes model and IVT. We use the daily settlement prices of FTSE‐100 index options from January to November 1999. With both American and European options traded on the FTSE‐100 index, we construct both GBT and IVT from European options and examine their performance in both the hedging of European option and the pricing of its American counterpart. IVT is found to produce least hedging errors and best results for American call options with earlier maturity than the maturity span of the implied trees. GBT appears to produce better results for American ATM put pricing for any maturity, and better in‐sample fit for options with maturity equal to the maturity span of the implied trees. Deltas calculated from IVT are consistently lower (higher) than Black‐Scholes deltas for both European and American calls (puts) in absolute term. The reverse holds true for GBT deltas. These empirical findings about the relative performance of GBT, IVT, and Standard Black‐Scholes models are important to practitioners as they indicate that different methods should be used for different applications, and some cautions should be exercised. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:601–626, 2002     

Learning and the monetary policy strategy of the European Central Bank

This paper examines the welfare implications of alternative inflation targeting proposals for the monetary policy of the European Central Bank. We assume that policy makers have to “learn” the laws of motion of inflation in an economy characterized by “stickiness” in domestic price setting behavior and subjected to recurring shocks to productivity, exports and foreign price. We find that a switch from an “asymmetric” inflation targeting strategy to an “symmetric” makes little difference in welfare payoffs, but it comes at a cost of much higher interest-rate variability. We also find that there are practically no welfare gains from switching from an inflation-targeting strategy based on the Harmonized Index of Consumer Prices (HICP) to a strategy based on the domestic price component of the HICP.