Volatifity spillovers on precious metals markets and the G-7： The effects of the Asian crisis

This paper investigates the nature of volatility spillovers between stock returns and precious metals returns for the G-7 countries over the 1995-2006 period. We divide our sample into a number of sub periods, prior to, during and after the Asian crisis, with the objective to provide a wide analysis of the behaviour of these two markets taking into account the effects of the Asian crisis; We use EGARCH modelling, which takes into account whether bad news has the same impact on volatility as good news. The results show that there is no evidence of volatility persistence from stock returns to precious metals returns, but overall the results are significant in the other way around. In terms of volatility spillovers effects, the main findings are that there is evidence of volatility spill over running in a bidirectional way in almost all the cases. And finally, the results from asymmetric spillovers effects show that negative news has a stronger impact in these financial markets than positive news.     

Scaling risk and the square-root-of-time rule in the emerging markets： Evidence from the Chinese stock market

This paper examines the square-root-of-time rule that frequently used in volatility estimation to the Chinese stock market that comprises Shanghai and Shenzhen stock market. The Jarque-Bera test conclusively rejects normal distribution of both stock market returns, while the Hurst analysis indicates both stock market returns does not follow a random walk. Furthermore, the tests for volatility scaling indicate volatility of both stock market returns do not scale according to the square-root-of-time rule and lead to bias in risk estimation. Henceforth, the study urges more alternative methods in risk management that suitable for the emerging Chinese stock market.     

Credit default swaps and stock prices： Further evidence of mean and volatility transmission using a GARCH-M model

This paper empirically investigates the association between the stock market and the credit default swap （CDS） market in terms of mean and volatility spillovers. The analysis uses daily observations from four stock markets and two European CDS indices, along with the error correction （EC） methodology and the generalized heteroskedasticity in mean （GARCH-M） modelling. The authors find that stock returns across European and US markets are negatively related to European CDS spread changes, that the CDS market seems to lead the stock market （implying that information contents coming from the firm＇s environment impacts first on the CDS market and then on the stock market）, and that CDS spreads volatility has a positive impact on stock market returns, both in mean and in volatility.     

An Examination of Component Returns and Volatility for Country-Specific Equity Funds in Emerging Markets＇ Evidence From Asian Financial Crisis

This research aims to examine the daily return generating processes for country-specific funds in five east-Asian countries for the period 1995-2000. The effects of component returns and their volatility on the dollar denominated returns and volatility of U.S., international investors and the effects of exchange rate regimes on risk and return are also evaluated. The GARCH-M model is adopted, without the restrictive assumptions of linearity, independence, and constant conditional variance. The time frame, 1995-2000 captures a 30 months period prior to these East Asian countries aborting exchange rate stabilization/intermediate exchange rate regimes in response to the currency crisis. The decomposition of returns to holders of country-specific equity funds into the component returns due to changes in the exchange rate and the returns valued in the fund＇s foreign currency during a period of crisis provides additional information. This research provides evidence of the importance of examining component returns. With regards to the effects on volatility, both the conditional variances associated with the exchange rate returns and the returns denominated in the foreign currencies show some importance, especially the conditional variances associated with the returns denominated in the foreign currencies. With regards to the effects of return component, the exchange rate returns have a greater effect on the fund returns than foreign currency dominated returns.     

Indian stock market reaction to international cross-listing： Evidence from Depository Receipts

The present study investigates the impact of cross listing of ADRs on the Indian stock market for the period June 2004 to July 2009. Average abnormal returns and cumulative average abnormal returns are calculated for the [-25, ＋25] event window, with the ADR listing date being the event date. The result indicates a significant negative abnormal local market return on the ADR listing day. Six out of nine companies shows increased volatility of local returns after the cross listing. We can conclude that ADR listings have no tangible benefit impact to the local shareholders.     

Linkage between stock volatility and corporate bond yield spread in Thailand

This paper studies the relationship between stock volatility and corporate bond yield spread in Thai market by using Campbell and Taksler （2003） panel data regression approach. The results show that the equity volatility＇s variables, such as finn＇s idiosyncratic risk, market risk, individual stock return and market return, are matter to explain the corporate bond yield spread. Surprisingly, these variables could explain the spread better than credit rating variables. Furthermore, during bear market period, only corporate bond yield spreads in financial finns are increasing significantly. Some of the deterministic yield spread parameters such as level and slope of interest rate also alter from bull market period.     

An asymmetric and DCC analysis of two stock markets returns＇ volatility： An evidence study on the Hong Kong and Japan＇s stock markets

This paper discusses the model construction and the association between the Hong Kong and the Japanese stock markets. The data period is from January 4, 1999 to December 30, 2005. This paper also utilizes student＇s t distribution to analyze the proposed model. The empirical results show that the bivariate asymmetric-GARCH （1, 2） model with a dynamic conditional correlation （DCC） seemed to be appropriate in evaluating the relationship between them. The empirical result also indicates a positive relation between the Hong Kong and the Japanese stock markets returns. The average estimation value of DCC coefficient equals to 0.5196, which implies that these two stock markets＇ return volatility had synchronized influence on each other. In addition, the empirical results also show that the Hong Kong and the Japanese stock markets have an asymmetrical effect. Based on the idea of the good and bad news, the explanatory ability of proposed model is better than the model of the bivariate GARCH with a DCC.     

Multivariate GARCH Volatility Across Major Industry Groups of the Stock Exchange of Thailand

This paper examines the volatility on the time-series relations among the returns of industry group indices in the stock exchange of Thailand. Does volatility of the return series in one industry group indices necessarily lead to volatility in other industry group indices among the sample of eight industry groups？ This research will be valuable to investors utilizing a better understand diversification needed to get good returns. Daily data （2,116 days） are used in this paper covering data for the nine-year period from January 5, 2004, to August 31, 2012. Multivariate Generalized Autoregressive Conditional Heteroscedasticity was tested consisted of： （1） Diagonal VEC Model; （2） Baba Engle Kraft Kroner Models （BEKK Models）; （3） Vector Autoregressive Moving Average GARCH Model （VARMA GARCH Model）; and （4） Constant Conditional Correlation Model （CCC Model）. The findings indicated that the major result shows that, volatility in one industry group necessarily lead to volatility in other industry group indices in the opposite way and in the similar way.     

The Cause of Turnovers of Top Management -An Empirical Research on the Special Treatment Companies in China

The turnover of top management is important for both foreign stock market and corporate management. China has developed its own stock market for more than ten years. During this period, a lot of listed companies＇ top managers were on the move. Based on 97 Chinese ST companies of 2004, this paper invesdgates the main factors, which causes the top management turnovers in the ST companies. The results of regression analysis show that the turnover of top management in Chinese ST companies is highly positively related to the change of large shareholder and are negatively related to the rate of net profit to total assets. We also find that net cash flow that is provided from operations per share, the proportion of state-owned shares and the type of audit views have no influence on the top management turnovers in such ST companies in China.     

Performance of Garch Models in Forecasting the Volatility of Exchange Rate for Developing Countries

This paper empirically investigates the performance of GARCH model in forecasting the volatility of exchange rate of some developing countries. We apply linear GARCH model and non-linear GARCH model. We fit these two models to some developing countries exchange rate index from January, 1998 to February, 2005. The return series of the developing countries＇ foreign exchange rate are leptokurtic, significantly skew, deviating from normality and volatile clustering as well. We find within-sample and out-of-sample evidence that conditional estimates of non-linear GARCH model outperform the conditional estimations of linear GARCH models. In our comparisons in most of the developing countries, the non-linear GARCH model produce better results than the linear GARCH model tor forecasting the volatility of exchange rate.     

The market under-and-overreaction story

Using non-overlapping historical monthly returns from 1963 to 2007, this study shows that a trading portfolio that goes long on past winning stocks and short on prior losing stocks earns an average monthly return of 0.88 percent over the ensuing 12 months. However, this momentum profit is entirely wiped out by subsequent return reversals, particularly in the second and third post-formation years. A result of the three-factor Fama and French regression extended by the market momentum effect shows that the Year 1 return and the long-term price reversal （returns in Year 2 through Year 5） move in diametrically opposing directions. This evidence indicates that the market under-and-overreaction anomalies are a manifestation of a market overreaction.     

Inflation Uncertainty and Monetary Policy in China

This paper uses a stochastic volatility model structural break tests with unknown point, and a counterfactual simulation method to discuss the significant decline in inflation uncertainty in China over 1978-2009. We attempt to quantify the contributions of better monetary policy and smaller structural shocks （including demand, supply and policy impacts） on the reduced inflation uncertainty. Empirical results in the present paper suggest that improved monetary policy accounts for only a small fraction of the reduction in inflation uncertainty from the pre-1997 period to the post-1997 period in China. The bulk of the significant moderation in inflation uncertainty arises from smaller shocks. This finding indicates that the quiescence of inflation in China over the past decade could well be followed by a return to a more turbulent inflation era. Therefore, the use of preemptive monetary policy to anchor inflationary expectations and keep moderate inflation uncertainty is warranted.     

Marketing and Territorial Factors： An Integrated Study of the Accommodation Choice in the Island of La Palma

The literature has highlighted the relevance of segmenting the tourism market as a start point for developing the right tourism policy recommendations. The present study examines the rural tourism market on the island of La Palma （Canary Islands） and its relationship with territorial factors. Specifically, it attempts to establish the role played in tourists＇ accommodation location choice by territorial and related factors （for instance, the area of the island, proximity to the beach, hours of sunshine, etc.） compared to other factors. A sample of 316 tourists who holidayed in rural tourism accommodation in La Palma during the period from July to September in 2007 was selected for this purpose. The methodology consisted of a preliminary analysis of the associations between the variables and their modalities, followed by a multiple correspondence analysis （MCA）. The results of the study allow to conclude that the weight of territorial variables in the choice of destination and accommodation location can vary substantially depending on the market segment considered.     

Stock Returns, Volatility, and Cointegration among Chinese Stock Markets

I. IntroductionA plethora of research has focused on therelationship between returns and volatility, andcointegration among major, well-established financial markets. It has been found that aninverse relationship exists between an individualfirm’s stock return volatility and itsstockprice. There are two popular explanations: the first one is related to the leverage effect. Itasserts that a decrease in afirm’s stock price increases the firm’s debt ratio (or decreasesthefirm’s equity ratio)…     

Rise and Fall of the First Financial Futures Market in China： The Case of Chinese Government Bond Futures

This paper studies the rise and fall of the first financial futures market in China. We compare the characteristics in the Chinese Government bond futures market with those in the US T-bond futures market. They differ in market design and structure, market governance, margin requirements, position limits, delivery process, and the way in which the settlement price is calculated. Furthermore, with a unique dataset, we show that prior to maturities of government bond futures, traders began to accumulate significant amounts of long positions for several selected contracts without the intention to offset, forcing short position holders to either purchase deliverable bonds or offset futures at highly inflated prices, causing higher market volatility and price disequilibrium in both spot and futures markets. Arbitrage opportunity arises and the market eventually collapses. The lessons learned from the suspension of the Chinese Government bond futures market offer an invaluable learning experience.     

Time frequency effects on market indices： World comovements

The international comovement of stock market indices is reviewed in this paper. The most powerful argument for cross-border investing is the risk reduction due to low correlation of world＇s stock markets. Diversifying risk has become even more important as financial markets globalize, helped by advanced information technology which lowers the transaction costs. Systematic risk is lowered through international diversification in markets with low correlation in domestic markets. Investors must be willing to take advantage of these correlations to reduce volatility in their portfolios. As such, the authors show the usefulness of wavelet analysis for financial relations. The current work tries to analyze the relationship among eleven stock indices using wavelet theory, applying the MODWT, Cross-Wavelets techniques, and regression analysis for different time scales. The findings suggest that there is strength to moderate cointegration among many stock markets, and therefore evidence of intra-continental relationships. Thus, it is able to disentangle different short, medium and long-run relations. The importance of historical transmissions is low for the period under analysis.     

Volatility spillovers among the Gulf Arab emerging markets

This paper examines the volatility spillovers among Gulf Arab emerging markets. Multivariate VAR-GARCH model of daily returns, with BEKK specification based on the conditional variances and conditional correlations, is estimated for all six GCC equity markets of Saudi Arabia, Kuwait, UAE, Qatar, Oman and Bahrain. The results show high own-volatility spillovers and a high degree of own-volatility persistence in all GCC markets. Moreover, there are significant cross-volatility spillovers and cross-volatitlity persistence among all GCC equity markets, with stronger evidence from all GCC markets to the Saudi market. Such evidence could be explained by the existence of uncertainties surrounding various Gulf bank exposures to certain Saudi business groups as well as the downward movement of oil prices.     

Does Education Still Pay Off in Rural China： Revisit the Impact of Education on Off-farm Employment and Wages

The present study considers how education affects off-farm job participation and wages. We use a nationally representative dataset from a survey conducted in 5 provinces, 101 villages and 808 households by the authors in early 2005. The empirical results show that educational attainment, skill training and years of experience of rural residents have positive, statistically significant effects on off-farm employment. The average return to a year of education is 7percent, which is higher than those observed in previous studies. We also find the return to an additional year of schooling to be higher for post-junior high schooling than for junior high and below schooling： 11.8 versus 3.2 percent. We conclude that not only does education still pays off in rural China, but also the rate of return to education is increasing over time.     

Impact of Advance Notice Periods on the Performance Persistence of Hedge Funds

This paper examines the impact of the advance notice period on hedge fund performance persistence in investors＇ portfolios. As investors in hedge funds face several trading restrictions related to the funds＇ common investment terms and conditions, it is hypothesized that the advance notice period generates illiquidity for investors and impairs their ability to benefit from performance persistence in hedge funds. Using a sample of 4,788 hedge funds over a period from 1994 to 2008 and contingency table based standard methodology for returns and Sharpe ratios, the results suggest that accounting for individual funds＇ advance notice periods has a negative impact on the performance persistence of hedge funds. The proportion of significantly persistent funds declines when incorporating the advance notice period, especially for short time horizons. Furthermore, a considerable part of hedge fund performance persistence is related to asset class-specific terms and conditions, reducing the amount of short-term performance persistence in practice.     

Tax Rebate and Dividend Payout in Bangladesh

The purpose of this paper is to examine the effects of the introduction of 20% tax rebate in 2002 for certain firms on the dividend policy of firms potentially qualifying for this rebate in Bangladesh. A balanced panel data set of 63 non-financial firms of Bangladesh for 14 （1998-2011） years from the Dhaka stock exchange is used for this purpose Newey-West estimator is used to estimate a logit model and the specified model uses binary values of 0 and 1 to identify if it met the tax rebate threshold. The explanatory variables are finn size, log of market value to face value ratio and profitability. A dummy variable was used to separate the pre-rebate period （2003 and before） from post-rebate period （after 2003）. The dummy variable turned out to be insignificant indicating that introduction of the tax rebate had no impact on dividend policy of qualifying firms.