Responses of international stock markets to oil price surges: a regime-switching perspective

We propose an enhanced regime-switching model to investigate the relationships between oil price surges and stock market cycles in five oil-dependent countries. Our model accounts for the joint effects of the West Texas Intermediate (WTI) and Brent oil markets and simultaneously captures asymmetry, volatility persistence and regime shifts contained in the underlying financial data. We find that stock market returns strongly exhibit a regime-switching behaviour, but they react differently to the increases in the price of oil. More precisely, the conditional volatility of studied stock markets during the bear market phases is found to be less affected by oil price surges than during the bull market phases. Whether the effects of oil shocks are positive or negative depends greatly on the degree of reliance on imported oil, the share of the cost of oil in the national income and the degree of improvement in energy efficiency of a given country. Finally, the relatively opposite effects of the WTI and Brent oil markets suggest the potential of substitution between them as well as the necessity of a diversification strategy of oil supply sources.     

Monetary co-operation as a source of development finance: the asean case

The role of monetary co-operation among developing countries in offsetting seasonal and cyclical fluctuations in the balance of payments is discussed. Potential benefits and drawbacks are assessed in the context of the ASEAN countries.     

Managing the quality of a resource with stock and flow controls

We consider a class of problems, which we call “SFQ” problems, in which both stocks and flows can be controlled to promote the quality of a valued resource, such as environmental quality or public infrastructure. Under the optimal policy, periodic restoration of the stock of quality complements positive but variable abatement of the flow of damages. When deterioration is more rapid or highly variable, or when abatement is more expensive relative to restoration, the optimal policy relies relatively more on restoration.When deterioration is due to private firms or individuals, a flow tax equal to the present value of marginal damages provides efficient incentives for abatement. This tax rises at first as quality worsens, but eventually falls as restoration nears. The revenues raised by such a tax approximates the cost of restoration, with the two quantities converging as the variance of flows goes to zero.We discuss the implications of the SFQ model for a range of real-world problems in the environmental arena, and for the management of public infrastructure. But the lessons are general, and we briefly discuss how they apply to private stocks of physical and human capital.     

Innovation and stock market performance: A model with ambiguity-averse agents

Empirical evidence on stock prices shows that firms investing successfully in radical innovation experience higher stock returns. This paper provides a model that sheds light on the relationship between the degree of firm innovativeness and stock returns, the movements of which capture expectations on firm’s profitability and growth. The model is grounding on Neo-Schumpeterian growth models and relies on the crucial assumption of radical innovation, characterized by “ambiguity” or Knightian uncertainty: due to its uniqueness and originality, no distribution of probability can be reasonably associated with radical innovation success or failure. Different preferences (α-maxmin, Choquet) are here compared. Results show that the assumption of ambiguity-aversion is crucial in determining higher returns in the presence of radical innovation and that the specific definition of expected utility shapes the extent of the returns. This result holds also in the case of endogenous innovation; risk attitude plays no role.     

马克思可持续发展经济思想与人的全面发展

马克思经典著作及其理论中,包含着丰富的可持续发展经济思想及其与人的全面发展的关系.马克思不仅仅或主要是从阶级剥削角度揭露资本主义的暂时性,而更重要的是从人类社会可持续发展的角度,从人的发展的角度揭露和论证资本主义的危害性和暂时性,以及被新的合理社会形态(人与自然和谐发展,人得到全面发展的社会形态)所代替的必然性、合理性,使人类社会持续发展、使人和自然和谐发展共存,从而使人得到全面自由的发展,这才是马克思毕生所追求的.马克思理论占主导的应该是他的合理开发、利用保护自然资源,人和自然和谐共存、发展,人得到充分自由全面发展的可持续发展思想.     

R&D investment and internal finance: the cash flow effect

This paper investigates the cash flow effect on R&D investments for firms in Denmark. Evidence is found that internal funds are important in explaining R&D investments, indicating that R&D investment decisions are affected by credit market imperfections. Cash flow sensitivities are larger both for smaller firms and for firms with low debt relative to assets. Furthermore, this effect is also present after controlling for cash flow’s potential role as a predictor of future profitability.     

Volatility transmission between stock and foreign exchange markets: a connectedness analysis

ABSTRACT

This paper empirically investigates volatility transmission among stock and foreign exchange markets in seven major world economies during the period July 1988 to May 2018. To this end, we first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period (the system-wide approach). Second, we make use of a dynamic analysis to evaluate the net directional connectedness for each market. To gain further insights, we examine the time-varying behaviour of net pair-wise directional connectedness during the financial turmoil periods experienced in the sample period Our results suggest that slightly more than half of the total variance of the forecast errors is explained by shocks across markets rather than by idiosyncratic shocks. Furthermore, we find that volatility connectedness varies over time, with a surge during periods of increasing economic and financial instability.     

论科学发展观指导下的政府与财政

财政是政府行为的经济基础和政府政策的直接反映,因此,讨论科学发展观指导下的财政工作,首先要明确政府在社会发展中的职能问题。财政管理必须随着政府职能的转变而转变,因为政府与财政的密切关系是不容质疑的,财政管理的好坏关系着政府职能的发挥。科学发展观对于政府职能提出了新的要求,那么,财政管理也必须体现科学的发展观。     

Institutional development and stock price synchronicity: Evidence from China

Better developed legal and political institutions result in greater availability of reliable firm-specific information. When stock prices reflect more firm-specific information there will be less stock price synchronicity. This paper traces the experience of China, an economy undergoing dramatic institutional change in the last 20 years with rich variation in experiences across provinces. We show that stock price synchronicity is lower when there is institutional development in terms of property rights protection and rule of law. Furthermore, we investigate the influence of political pluralism on synchronicity. A more pluralistic regime reduces uncertainty and opaqueness regarding government interventions and therefore increases the value of firm-specific information that reduces synchronicity.     

Trade openness,internet finance development and banking sector development in China

This paper investigates the impact of trade openness on Internet finance development in China. Using a unique panel data set for 29 Chinese provinces, we find that trade openness has a positive impact on Internet finance development and is a leading indicator of Internet finance development. Further analyses show that higher trade openness is associated with faster Internet finance development in wealthier provinces. Moreover, we investigate the effect of Internet finance development on the banking sector development. The empirical results suggest that Internet finance development has a positive effect on the banking sector size and efficiency.     

股票市场系统动力学分析：以上海股票市场为例

本文突破了传统经济理论研究的线性框架,视股票为一非线性系统,运用分形、混沌等复杂性理论对上海股票市场的系统动力学特征进行实证研究,得出了上海股票市场系统的分形特征、复杂性程度、系统演化类型及稳定性,最后,探讨了这些结论对股票市场的理论与实践意义。     

现代公共财政的定位:一种分析框架

公共财政是与市场经济相适应的一种财政制度,伴随市场经济体制的演进而成熟,这反映了公共财政的特殊性。与其它经济制度下的财政一样,公共财政的主体始终是国家(政府),伴随政府职能的转变而调整,这反映了公共财政的一般性。仅从市场失灵的角度解释公共财政的职能与定位是不全面的。将现代公共财政定义为市场与政府妥协的产物,在“市场-财政-政府”三位一体的框架中考察现代公共财政的内涵,并将这种分析框架应用于转轨经济国家。     

Innovation and economic performance in services: a firm-level analysis

This paper explores the two-way relationship between innovationand economic performance in services using a longitudinal firm-leveldataset which matches data from the second Community InnovationSurvey, CIS II (1993–95), against a set of economic variablesprovided by the System of Enterprise Accounts (1993–98).The results presented show that innovation is positively affectedby past economic performance and that innovation activities(especially investments in ICTs) have a positive impact on bothgrowth and productivity. Furthermore, productivity and innovationact as a self-reinforcing mechanism, which further boosts economicperformance. These findings provide empirical support for theendogenous nature of innovation in services and the presencein this sector of competition models and selection mechanismsbased on innovation.     

Intraday stock prices, volume, and duration: a nonparametric conditional density analysis

We investigate the distribution of high-frequency price changes, conditional on trading volume and duration between trades, on four stocks traded on the New York Stock Exchange. The conditional probabilities are estimated nonparametrically using local polynomial regression methods. We find substantial skewness in the distribution of price changes, with the direction of skewness dependent on the sign of trade. We also find that the probability of larger price changes increases with volume, but only for trades that occur with longer durations. The distribution of price changes vary with duration primarily when volume is high.     

The golden rule of public finance and the composition of government expenditures: a growth and welfare analysis

This paper employs an endogenous growth model to study the growth and welfare effects of the golden rule of public finance. Two versions are compared, whereby government deficits are restricted for the use of public investments. It is shown that the growth effect of the golden rule depends on what kind of expenditure is adjusted to meet debt obligations. A transition from a balanced budget to a golden rule is performed to study welfare. The results indicate that a budget rule with detrimental growth effects can still have positive welfare implications, and vice versa, if the composition of government expenditures and transitional dynamics are taken into account.     

A re-examination of financial development,stock markets development and economic growth

This study provides new evidence on the role of financial development and stock market development in accounting for economic growth across geographic regions and income groups. To derive feasible policy implications, we estimate not only unbalanced panel regressions with period fixed effects, but also variance decompositions of annual Gross Domestic Product (GDP) growth rates to examine what proxy measures are most important in economic growth over time and how much they contribute to economic growth. We find distinct direction, timing and strength of the causal links between financial development, stock market development and economic growth based on the results of Granger causality tests. Therefore, it may be necessary to make different efforts to achieve steady economic growth across geographic regions and income groups.     

Stock market cycles and stock market development in Spain

In this paper we use Spanish stock market data to identify the bull and bear phases of the market and to analyze its characteristics during the period 1941-2002. We compare these characteristics with those of the US and of two other European countries (Germany and the UK). Our sample is divided in two subperiods in order to account for differences induced by the process of development undergone by Spanish capital markets in the late 1980s and early 1990s. We find that the Spanish stock market has become increasingly more similar to those of the more developed countries, although some differences still persist. Additionally, we show that concordance of the Spanish stock market with other developed markets has increased quite significantly.JEL Classification: C22, G15An earlier version of the paper circulated under the title Bulls and bears: lessons from some European countries. Comments from seminar participants at the Universidad de Navarra, at the IX Meeting of the Spanish Finance Association (Pamplona 2001) and at the Royal Econonomic Society Conference (Warwick 2002) are gratefully acknowledged. We are very grateful to J.M. Campa, G. Llorente and two anonymous referees for helpful comments and suggestions. We also thank D. Garcia and the Research Department of the Madrid Stock Exchange for generously providing the data of the Spanish case. Financial assistance from the Spanish Ministry of Science and Technology (SEC2002-01839) is gratefully acknowledged. The usual disclaimer applies.     

Regional evidence on financial development, finance term structure and growth

The finance-growth nexus is a classic source of debate among economists. This paper offers regional evidence on this issue in order to determine whether it can fit the data on a 147-year-old economic union, Italy. By means of this approach the pooling of developed and developing countries in the same sample can be avoided. Both cross-sectional and panel data estimates appear to show that more finance generates more growth. Endogeneity does not bias the results to a significant extent, and the finance-growth nexus is robust to spatial unobserved heterogeneity. Spatial correlation in the residuals is rejected by the data. Economic growth appears to be favoured more by short-term than by long-term credit.     

Prequential analysis of stock market returns

The Brier score and a covariance partition due to Yates are considered to study the probabilistic forecasts of a vector autoregression on stock market returns. Probabilistic forecasts from a model and data developed by Campbell (1991 Campbell, JY. 1991. A variance decomposition for stock returns. Economic Journal, 101: 157–79.  ) are studied with ordinary least squares. Calibration measures and the Brier score and its partition are used for model assessment. The partitions indicate that the ordinary least squares version of Campbell's model does not forecast stock market returns particularly well. While the model offers honest probabilistic forecasts (they are well-calibrated), the model shows little ability to sort events that occur into different groups from events that do not occur. The Yates-partition demonstrates this shortcoming. Calibration metrics do not.     

International cross-listing and stock market development in emerging economies

Why have emerging equity markets grown so rapidly since 1990? First, it is shown how international cross-listings can transform a segmented local equity market from an equilibrium of low liquidity and market capitalization to an integrated market with high liquidity and market capitalization by altering the incentives of companies and individuals to participate in the market. Second, benefits of international cross-listings for domestic stock market development and welfare across emerging equity markets are found to be negatively related to both the degree of correlation between the domestic and world equity market and the relative size of the domestic equity market. Third, the price impact of international listing is shown to depend on the liquidity conditions in the domestic market prior to listing.