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.     

Time-varying beta and the Asian financial crisis: Evidence from the Asian industrial sectors

This paper empirically investigates the effects of the Asian financial crisis of 1997–98, and the period immediately afterwards, on the time-varying beta of four industrial sectors (chemical, finance, retail and industry) of Indonesia, Singapore, South Korea, and Taiwan. We apply daily data from 1992 to 2002 and the bivariate MA-GARCH model (BEKK) to create the time-varying industrial betas. Results provide evidence of the influence of the Asian financial crisis, and the period after, on the time-varying industrial betas of these countries. These results may have implications for investors who are interested in portfolio risk management.     

Financial Market Volatility and International Reserve Holding Behaviour: A Case Study for Korea,Indonesia, the Philippines,and Thailand

Abstract

The effects of financial market volatility on the international reserve holding behaviour of four Asian countries that experienced the financial crisis in 1997—Korea, Indonesia, the Philippines, and Thailand are investigated. The financial market volatility is modelled and the effect on reserve dynamics, reserve accumulation, and reserve volatility is estimated. Estimations are taken for two periods—pre- and post-crisis—and the structural break test is performed to examine the change in the effects on reserve holding behaviour. The empirical results, in general, support the evidence for the structural change in the effects on reserve holding behaviour after the crisis. This would be one of the evidences of the precautionary motive for reserve holdings after the crisis.     

Pakistan and the socialist countries: Trade and aid

The economic relations between Pakistan and the socialist countries are examined against their political background. The sharp deterioration in Pakistan's political relations with the socialist countries in the 1950s was accompanied by a contraction in trade, which had almost been a one-way flow until the early 1960s, consisting of Pakistan's exports. The political rapprochement with the socialist countries following the 1962 Sino-Indian clash coincided with a tremendous spurt in trade, largely under the aegis of barter trade agreements. Trade turnover increased fivefold in the sixties and Pakistan became a recipient of socialist aid. An examination of the structure of trade reveals that Pakistan's exports to the socialist countries diversified considerably less than total exports, but that the terms of trade were more favourable. The quantity, kinds, and sources of socialist aid are also examined.     

基于信息结构视角的网络论坛与股票市场之间信息传递关系研究

网络论坛与股票市场之间的信息传递关系对于研究市场信息效率具有积极意义,本文从论坛信息结构视角出发,研究两者之间的信息传递关系。结果表明论坛发帖量与股票市场收益率之间存在信息传递关系：日内发帖量与日内收益率之间存在相互的波动溢出,且由日内发帖量向日内收益率的单向波动溢出显著;隔夜发帖量向次日日内收益率的单向波动溢出显著;仅存在隔夜收益率向日内发帖量的单向波动溢出。此外,网络论坛发帖量和股票市场收益率之间的时变相关系数与情绪倾向变量正相关,与意见差异变量负相关。     

Volatility Spillovers between the US and China Stock Markets: Structural Break Test with Symmetric and Asymmetric GARCH Approaches

Abstract

The paper examines the short-run spillover effects of daily stock returns and volatilities between the Standard & Poor's (S&P) 500 stock index in the US and the Shanghai Stock Exchange (SSE) index in China. First, we find that a structural break occurred in the SSE stock return mean in December 2005. Second, by analyzing modified general autoregressive conditional heteroscedasticity (GARCH)(1,1)-M models, we find evidence of a symmetric and asymmetric volatility spillover effect from the US to the China stock market in the post-break period. Third, we observe the symmetric volatility spillover effect from China to the US in the post-break period.     

国际金融危机对中亚各国经济社会发展的影响分析

本文以最新数据分析研究了国际金融危机对中亚国家的不同影响,指出国际金融危机对哈萨克斯坦的影响最早也最深,对其他中亚四国的影响相对较小,以间接影响为主。     

Stock market liberalizations: Financial and macroeconomic implications

The paper presents new evidence on the effects of stock market liberalization on financial and macroeconomic development. Using a panel of 27 countries, liberalization is associated with a short-term increase in real private investment growth of about 14 percentage points cumulatively in the four years following liberalization and a cumulative 4 percentage point increase in real GDP per capita growth. The benefits of liberalization are higher in countries that have improved their institutional framework prior to liberalization. In contrast to other studies, we find some evidence for a permanent growth effect of about 0.4 percent a year in an extended sample of 72 countries. JEL no. F3, G1, O1     

Creativity and Innovation as Strategic Resources in International Business Markets

This study focuses on Medium-Sized Multinationals （MSMs） that belong to the sectors of mechanics and electronics, and that operate in dynamic international business markets. This work aims to investigate how international marketing strategies are based and maybe in some cases actually heavily dependent on the capacity to form and enhance skills in design, engineering, and production activities, and on the propensity to invest more resources in research and development （R＆D） activities as well as in activities that are more strictly speaking production based （manufacturing）. Undoubtedly, in a global and dynamic business, creative knowledge is one of the key resources that firms must possess in order to take up international strategies successfully. Creativity and innovation are strategic resources for all firms, including those of a medium size and even more for those that belong to the so-called ＂traditional sectors＂. This study also has the objective of examining the influence of the structure and composition of a technological MSMs international alliance portfolio in order to understand which forms of international collaboration are more opportunities for firms that aspire to increasing their know-how and taking up new and more sophisticated forms of exploratory innovation. The present work highlights the results of an empirical research that were carried out during the years 2000-2009. The research involved more than 80 firms of the mechanical and electronics department in the Marche region in Italy.     

境内外金融市场联动效应：理论基础与文献综述

狭义金融市场联动效应是指不同金融资产的价格及其收益率和波动率之间的协动关系。本文从理论角度分析了金融市场联动效应的作用机制,对境内外金融市场联动效应方面的研究文献进行了评述,特别是境外上市交易的本土概念外汇、利率、股票衍生品市场与境内对应金融市场之间的联动效应,并据此提出一些政策建议以及未来研究方向建议。     

Public investment and reelection prospects in developed countries

A growing body of literature suggests that office‐motivated politicians manipulate fiscal policy instruments to enhance their reelection prospects. This article directly examines the impact of fiscal policy on incumbents’ reelection prospects by focusing on the impact of public investment. This impact is estimated using a panel of 20 countries belonging in Organisation for Economic Co‐operation and Development over the period 1972–1999. We find that the level of public investment in the earlier years of an incumbent's term in office improves their reelection prospects, whereas election year manipulation of public investment is neither rewarded nor punished. Our evidence also suggests that, after controlling for the level of deficit and public investment, the level of government revenue both in the election and nonelection years does not seem to affect reelection prospects. Moreover, we find that deficit creation during elections and in nonelection years are not rewarded by voters.     

Financial integration and innovation in Europe

The creation of an internal market for financial services by the European Union, along with technological changes in communications and data management, will have a strong impact on banking and financial markets in Europe. This paper presents a selective review of discussions concerning the resulting processes of adjustment and their outcomes. Topics covered include effects on cost efficiency, competition production and trade patterns, and the dynamics of financial regulation in the open, integrated economy.     

Liquidity Constraints,the Composition of Government Expenditure,and Economic Growth

Abstract

This paper explains how and why the stock market, which is regarded as the embodiment of capitalism, has been allowed to develop and gain a prominent place among China's financial markets. That development has been consistent with the changing vested interests of the central government in its attempts to collect quasi-fiscal revenue from the financial sector, reflecting the stock market's growing importance as a tax-collection venue.     

数字货币与传统金融市场的风险双向溢出效应研究

选取2013 年4 月30 日至2020 年7 月10 日比特币、黄金、原油、美元、欧元、日元和人民币的日交易数据,基于DY2012 的溢出指数构建法,着重从动态角度刻画风险溢出的演化趋势,并结合国际政治、经济、突发公共卫生事件,对数字货币市场与传统金融市场间的风险溢出路径及机制进行了剖析。结果表明,数字货币与传统金融市场间具有明显的双向风险溢出效应。在国际重大经济政治的影响下,数字货币对各传统金融市场的风险溢出在特定时期具有相似趋势,传统金融市场对数字货币市场的风险溢出并不规律。在新冠疫情的影响下,除人民币外的传统金融市场和数字货币市场的风险溢出指数均处于高位,且有可能持续下去。     

Individual investors and social ownership structures in the UK before the 1930s: Joint holdings and trustee investment

After the introduction of limited liability, a growing number of individuals in Britain from a widening social spectrum, including the less affluent, began to own stocks and shares. Drawing upon a unique and large dataset of 35 848 investors between 1870 and 1935, this study analyses joint holdings which have been a neglected aspect of investor behaviour. Our findings reveal that joint holdings were quite common and that about one in five UK investors were involved in a joint investment. Men were more likely to be joint holders than women for reasons related to institutions of social ownership such as trusts and executorships.     

An Economic Analysis of Audit and Nonaudit Services: The Trade‐off between Competition Crossovers and Knowledge Spillovers*

In this paper, I present a model in which both markets for audit services and nonaudit services (NAS) are oligopolistic. Accounting firms providing both audit services and NAS will employ oligopolistic competition in each of these markets. In addition to auditors' gaining “knowledge spillovers” from auditing to consulting or vice versa, oligopolistic competition in one market will influence the counterpart in the other market ‐ what I call “competition crossovers”. Although scope economies due to knowledge spillovers (for example, cost savings) are always beneficial to auditors, such benefits can entice accounting firms to adopt strategies (for example, price reductions) to compete aggressively in the audit market so that some, or all, firms become worse off. A trade‐off arises between these two economic forces in the two oligopolistic markets. Given the trade‐off between competition crossovers and knowledge spillovers, accounting firms may not reduce their audit prices, even though supplying NAS enables firms to decrease auditing costs — a nontrivial impact of oligopolistic competition in two markets on audit pricing. The empirical implication of my results is that because of competition‐crossover effects between the auditing and consulting service markets, finding empirical evidence for knowledge‐spillover benefits is likely to be difficult. Control variables for “audit‐market concentration” concerned with competition‐crossover effects and “auditor expertise” concerned with knowledge‐spillover benefits should be included in audit‐fee regressions to increase the power of empirical tests. With regard to policy implications, my analyses help explain the impact of the Sarbanes‐Oxley Act on “market segmentation” and, hence, the profitability of accounting firms.     

Fiscal Discipline and the Question of Convergence of National Interest Rates in the European Union

In this paper, interest-rate convergence in Europe is related to the behavior of integrated federal political systems. Our main results are: Before the final fixing of exchange rates, national interest rates will converge toward the German bond yield in countries eligible to become EMU members in part because no-bailout clauses are not credible in the starting period of EMU. Should such clauses become more credible after 2002 because the EU government and its redistributive mechanisms remain weak, the market-discipline hypothesis has a greater chance to apply. But it may still prove unequal to the task of discouraging excessive fiscal deficits on its own.     

Rise of the gold market in China: liberalisation and market development

The Chinese gold market is rapidly rising to global prominence in the recent decades. The paper reviews the history of the gold market in China and its liberalisation process amid the country’s opening to the outside world. Details of the current market structure and its main business are presented. Global impacts of the rise of the Chinese gold market are discussed.     

Foreign investment,corporate governance and performance in the Chinese listed A Share companies

We present a novel lens on the presence and impact of qualified foreign institutional investors (QFII) in top shareholdings of the non-financial domestically listed Chinese ‘A’ share firms. The initial results suggest that the presence of a QFII as a top shareholder in these companies is associated with their better performance, using both Tobin’s Q and ROA as the performance measures. Our models include variables representing corporate governance mechanisms, foreign legal person shares, a proxy for international affiliations and a number of time-variant firm characteristics. Economically, the coefficient of impact on the market measure is the more significant, while the effect of having a QFII in top shareholdings on both performance measures is empirically significant. Previously, studies have often ignored the potential for reverse causality beyond using lagged regressors. This is problematic. Therefore, we follow up with a 2SLS instrumental variables and system GMM model to further mitigate this potential and find the empirical relationship holds. Contrary to earlier work on QFIIs and governance post-implementation of the QFII scheme, the findings from our models suggest that the presence of a QFII top shareholder augments market performance holding equal existing corporate governance mechanisms and other controls.