Co-movement in Stock Prices in Emerging Economies: The Case of the Caricom Region

The Grand Anse Declaration of 1989 recognised the need for financial integration within the emerging economies that comprise the CARICOM region, as a way of furthering the wider process of economic integration and, indeed, economic development in that region. Using co-movement as a measure of financial integration, this paper investigates the co-movement in stock prices among the Barbados, the Jamaica and the Trinidad and Tobago Stock Exchanges, the three major exchanges within the CARICOM region. It also examines how integrated these exchanges are with the New York Stock Exchange. The GARCH-Copula methodology and, to a lesser extent, estimated correlation coefficients, are used to attain this objective. There appears to be co-movement in stock prices and returns within the CARICOM stock markets and significant dependence structures between the returns of the three CARICOM stock markets. However, there is considerably less evidence of integration between the CARICOM markets and the New York Stock Exchange.     

The importance of consumer multihoming (joint purchases) for market performance: Mergers and entry in media markets

Consumer “multihoming” (watching two TV channels, or buying two news magazines) has surprisingly important effects on market equilibrium and performance in (two‐sided) media markets. We show this by introducing consumer multihoming and advertising finance into the classic circle model of product differentiation. When consumers multihome (attend more than one platform), media platforms can charge only incremental value prices to advertisers. Entry or merger leaves consumer prices unchanged under consumer multihoming, but leaves advertiser prices unchanged under single‐homing: Multihoming flips the side of the market on which platforms compete. In contrast to standard circle results, equilibrium product variety can be insufficient under multihoming.     

产业集聚、市场集中对区域创新能力的作用——基于京津冀、长三角两大经济圈制造业的比较

产业集聚和市场集中是影响区域创新能力的重要因素。本文考察了京津冀、长三角两大经济圈制造业产业集聚与市场集中对区域技术创新能力的作用。实证分析结果表明：两大经济圈制造业集聚与市场集中均在一定程度上促进了区域创新能力的提升，但由于两大区域体制机制条件、创新环境、产业组织形态等不同，制造业产业集聚影响区域技术创新的程度、特征与路径也存在一定差别。两大经济圈应采取差异化集群发展方式，加快推进制造业集群升级，特别是应抢抓第四次工业革命发展机遇，提升制造业智能化水平，提升区域创新能力水平。     

An Exploratory analysis of flight delay propagation in China

Delay propagation is the flight departure delay caused by the arrival delay of pre-segment flight. Chinese airline market has suffered very poor on-time performance (OTP) in recent years. It is, however, unclear whether delay propagation prevails as one major source for such problem. This study first aims to empirically quantify delay propagation in the Chinese airline market. Specifically, we shed light on heterogenous levels of delay propagations across different airports and airlines. Then, the distinct delay propagation patterns in China are also discussed and compared with other developed airline markets (e.g., the US and Europe). Our estimation is based on OTP data for over 12 million Chinese flights covering the 2015–2017 period. Specifically, it is found that 10 min arrival delay of pre-segment flight within 1 hr before the departure lead to an average of 7.49 mins delay propagation for subsequent departure flight. Arrival delay of earlier pre-segments (1–2 and 2–3 hr before the departure) leads to much less delay propagation, due to longer ground buffer. Chinese airlines arrange longer ground and flight buffer than that of the US airlines to prevent the delay propagation from accumulating along the subsequent flights in a day. Thus, unlike the US market, delay propagation is not the major reason for poor OTP in China. In addition, delay propagation is less prevailing at the Chinese hub airport. This is because China has relied on point-to-point network, which does not require sophisticated schedule coordination. And the local passengers at these Chinese hub airports have higher time value such that the Chinese airlines also try to improve OTP at these hub airports to better serve these lucrative but time-sensitive local passengers. Unlike the European LCCs, Spring Airlines, the largest low-cost carrier (LCC) in China, outperforms major full-service carriers (FSCs) in controlling delay propagation. This finding may also apply to other Northeast Asian LCCs sharing common operational characteristics as Spring Airlines. Last, we find that airlines purposely tolerate moderate departure delays of up to 15 min, which is the threshold that defines delays, no matter whether the pre-segment flight arrives late or on-time. The relevant policy and managerial implications are also discussed.     

The price discovery role of day traders in futures market: Evidence from different types of day traders

Using proprietary account-level transaction data in the futures market where day traders are self-declared ex ante, this study investigates whether day traders enhance price discovery at the market level. From a natural classification of day traders, we find that heterogeneous day traders have differential effects on price discovery. Self-declared day traders, who benefit from low margin requirement, do not improve price discovery measured by information share. In contrast, non-declared traders, who are not self-declared as day traders, improve price discovery. Their positive impacts on price discovery are particularly significant during periods of high volatility and arrival of new information. Overall, a margin stimulating policy may encourage more day trading, but may also attract overconfident investors, especially inexperienced ones, and who do not enhance price discovery.     

Impacts of increased Chinese imports on Japan’s labor market

Using the Japanese firm/establishment-level census data, we investigate the impact of the Chinese import penetration on employment in Japan. We found negative impacts of the Chinese import penetration on total employment, especially in industries producing competing products to Chinese imports, and a positive impact of the import penetration in the industries from which firms purchase their inputs (upstream import penetration). The negative impacts are mainly driven by firms’ exit from the market while positive impacts are enjoyed by surviving firms. We did not find any significant impacts of the penetration in the industries to which firms sell their products (downstream penetration).     

Employment quality index for the South African labour market

ABSTRACT

While the South African government specifically set targets on job creation in its numerous economic strategies since the economic transition, various local studies examined the levels and trends in labour force, employment and unemployment to evaluate if these targets were met. However, the quality of employment has not been thoroughly examined. This is the first local study that fills the existing research gap by deriving a composite, multidimensional employment quality index by taking 18 indicators from seven dimensions into consideration: wage, work hours and flexibility, employment security, income security, social benefits, skills and participation. Using the 2010–16 Quarterly Labour Force Survey data, the empirical findings indicated that highly educated, white male workers aged at least 35 years, who lived in urban areas of the Western Cape and Gauteng provinces, and were involved in high skilled occupations in the formal, public sector enjoyed significantly better employment quality.     

When natural resources run out,market knowledge steps in: Lessons on natural resource deployment from a longitudinal study in a resource-scarce region of Ethiopia

With the increasing scarcity of natural resources, the ability to maintain quality standards during resource-scarce times becomes more critical for business performance. Theories on managing resource scarcity cannot be easily tested in contexts where resources are still abundant. This study therefore turns to an emerging market context in which natural resource availability naturally varies strongly between seasons, namely, that of Ethiopian pastoralists who for many generations learned to adapt to natural resource scarcity. Central to our theory is the natural resource deployment capability, which is the ability of a business to make efficient and effective use of available resources to maintain business performance during resource-scarce times. Using three-wave longitudinal data from 120 pastoral family-based livestock businesses, the study shows that when resources are scarce or extremely scarce, market knowledge helps to better deploy the scarce natural resources, leading to higher product quality. The findings imply that businesses with a better understanding of markets have stronger natural resource deployment capability. The lesson for businesses that are confronted with approaching resource scarcity is therefore to strengthen their ability to deploy resources efficiently and effectively by strengthening their market knowledge in which such capability is rooted.     

The time‐varying performance of UK analyst recommendation revisions: Do market conditions matter?

This study examines the time‐varying performance of investment strategies following analyst recommendation revisions in the UK stock market, with specific emphasis on the impact of changing market conditions. We find a negative relationship between the recommendation performance and market conditions as measured in terms of past market return and market volatility. In particular, the upgrade (downgrade) portfolio generates significantly positive (negative) net abnormal returns in bad market conditions (e.g., the dot‐com bubble burst in 2000 and the credit crisis in 2007), but not in other periods of time. Moreover, our non‐temporal threshold regression analysis shows that the reported negative relationship disappears when market conditions become better, i.e., when the past market return (market volatility) is higher (lower) than a certain level, indicating the importance of taking non‐linearity into account in the long sample period as examined in this study. Our time‐series bootstrap simulations further confirm that the superior recommendation performance in bad market conditions is not due to random chance; analysts have certain skills in making valuable up/downward revisions in bad markets.     

禽流感危机下肉鸡产业市场状态分析*——基于互联网大数据和MS-VAR模型

[目的]为了有效应对禽流感冲击、维持肉鸡产业稳定健康发展。[方法]基于互联网大数据构建了禽流感舆情指数,选取2012年1月至2017年3月周度数据,通过MS-VAR模型分析了禽流感危机下肉鸡市场状态的转换特征以及不同市场状态下产业链价格传导关系。[结果]2012年以来可将肉鸡产业市场状态划分为危机状态和正常状态,肉鸡产业市场在两个市场状态下转换频繁;肉鸡产业危机市场状态和正常市场状态平均持续期分别为4.65周和9.05周;肉鸡市场在区制转移概率上存在明显的非对称特征;肉雏鸡、活鸡和白条鸡价格之间在危机状态下相关性小于正常市场状态下相关性;不同市场状态下肉鸡产业链价格传导存在差异;肉鸡产业市场在危机状态下不稳定程度明显增加。[结论]提出了加大对禽流感疫情的监测以及疫情处理能力,密切关注公众禽流感舆情动态变动情况,做好舆情引导,加强禽流感疫情科学知识的宣传,增强公众对禽流感的认知等对策建议。