Emerging trends in China's financial sector

This paper reviews the trends which emerged in the financial system in China over the period 1979 to 1987. Economic and social reforms, which began in late 1978, have produced some far-reaching and significant effects on the growth of the Chinese economy. These reforms have prompted changes in the financial system, including banking reforms to handle the flow of funds to finance domestic expansion, international trade, the foreign debt and other domestic and international financial and finance-related transactions. The paper reviews the developments and focuses on some of the problems with respect to balance of payments, imbalances and inflationary pressures.Cecil R. Dipchand is a Professor of Finance in the School of Business Administration, Dalhousie University, Halifax; J. Colin Dodds is a Professor of Finance and Dean of Commerce at Saint Mary's University, Halifax; Patricia McGraw is an Administrator in the Canada-China Management Education Programme, School of Business Administration, Dalhousie University; and Keng Chen is a Lecturer in the Economics College, Xiamen University, Fujian Province, PR China. The financial assistance of the Canadian International Development Agency (CIDA) is greatly appreciated.     

The intra-day impact of block trades on the Australian stock exchange

This study is concerned with the impact of block trades on transaction prices, themarket bid-ask spread and the frequency of trading on the Australian Stock Exchange. Access to a unique microstructure database enabled the resolution of a number of research design issues in earlier, mainly US-based, studies. Contrary to previous findings, there is no evidence of either a price reversal or changes in the market bid-ask spread surrounding block trades. Further, there is no evidence of an increase in the frequency of trades surrounding block trades. These contrasting results warrant closer inspection of the alternative market structures underlying the different exchanges.The authors are from the Department of Finance, the University of Sydney, Australia. The comments and suggestions of colleagues at the Universities of Sydney, New South Wales, and Queensland are gratefully acknowledged.     

Cointegration relationships of strategy variables among firms within strategic groups

This study examines the long-term, dynamic equilibrium relationship for strategy variables of firms in strategic groups by conducting a cointegration analysis. Replicating the Nair and Filer (Strateg. Manage. J., 24: 145–159, 2003) methodology and extending it to four industries listed on the Taiwan Stock Exchange, we find that not all of non-stationary strategy variables have the cointegration relationships, and that only the strategy variables of strategic groups in our traditional industries (as compared to our high-tech industries) should have a long-term competitive equilibrium (cointegration relationship). In other words, we can proceed with an error correction model in some traditional industries to map out the relative positions of rival firm strategies and subsequently implement appropriate reactions.

Seasonality in the Malaysian stock market

Previous studies have found the existence of a January effect in many Western countries. In Malaysia, local stock market commentators often talk of a Chinese New Year rally which has not been tested. This study examines empirically the existence of seasonality according to the Gregorian, Chinese and Muslim calendars in the Malaysian-stock market. The results suggest that in Malaysia, when monthly returns are measured according to different types of calendar, evidence in support of seasonality is found. In the main, a January effect, Chinese New Year effect and anAidilfitri effect are found. The Muslim calendar time effect is less widespread than the Chinese New Year and January effect. Possible reasons for the existence of the various types of seasonality, both economic and non-economic, are suggested. In a separate part of the study, a Chinese New Year effect is also found in the Singapore and Hong Kong stock markets.Ms Wong Ping Ling is a financial analyst of Dynaquest Sdn Bhd, a financial information services company in Penang, Malaysia. Dr Neoh Soon Kean is a lecturer of Science University of Malaysia, Penang. Dr Lee Kok Huat is an Associate Professor of University of Malaya. Dr Gregory Thong Tin Sin is an Associate Professor of Nanyang Technological Institute. This paper is mainly an extract from a MBA dissertation submitted to the University of Malaya. The authors would like to thank Ms Ng Poh Wah for her assistance in preparing this paper and Dynaquest Sdn Bhd for providing the facilities.     

Pricing strategies of transnational corporations

This paper uses data collected from 111 transnational corporations which operated 153 subsidiaries in the ASEAN region (Thailand, Malaysia, Singapore, Indonesia, and the Philippines) to analyze their pricing practices in the host country markets in relationship to the corporations home country and to the structural characteristics of the host country market. The data collected in this study is thus used to analyze the determinants of predatory pricing, intercountry price discrimination, and price leadership.The author is with the Centre for International Business Studies, School of Business Administration, The University of Western Ontario, London, Ontario, Canada.     

Asymmetric Volatility, Correlation and Returns Dynamics Between the U.S. and U.K. Securitized Real Estate Markets

We construct synchronously priced indices of securitized property listed on the New York Stock Exchange and London Stock Exchange. The indices are then utilized to examine dynamic information flows between the two markets. By analyzing returns behavior, asymmetric volatility spillover effects and exceedance correlations, this study shows that the real estate markets in these two countries experience significant interaction on a daily basis when synchronously priced data are utilized. These results are different from when close-to-close returns are examined, implying that the use of close-to-close data can misconstrue the true dynamics that exist between these markets. Results also show significant asymmetric effects on both the volatility and correlation dynamics between the markets. This has several implications for property portfolio managers, indicating that positive and negative news impact the markets differently. This is particularly true for the United Kindom, where daily foreign news from the United States can influence U.K. volatility.     

Real Estate Investment Trusts, Small Stocks and Bid-ask Spreads

This study examines the liquidity of Real Estate Investment Trusts (REITs), as measured by their bid-ask spread. We find that REIT spreads have increased over the period 1986–1990, are inversely related to market capitalization, and are similar in magnitude to spreads on other stocks of comparable size. Analysis of variance tests indicate that REIT spreads are similar across equity, mortgage and hybrid asset types. Multivariate regression results indicate that market capitalization is the primary determinant of REIT bid-ask spreads, and spreads are larger for National Association of Securities Dealers Automated Quotations (NASDAQ) REITs than for New York Stock Exchange (NYSE) REITs. The regression results also indicate that spreads are lower for equity REITs than for mortgage or hybrid REITs, and are inversely related to the fraction of the REIT's shares held by institutional investors. The similarity between REIT spreads and those of other common stocks holds in both bull and bear real estate markets and suggests that, from a liquidity perspective, REITs are similar to other common stocks.     

Impact of price limits on Taiwan security returns

The paper investigates the effects of daily price limits imposed by the R.O.C. Government on shares listed on the Taiwan Stock Exchange. The study is performed on nineteen blue-chip stocks from six industries. For each sample stock, the daily returns (from 4 January 1986 to 24 October 1987) are divided into three groups: (A) first experimental, (B) second experimental and (C) control groups. Each sample point in groups A and B consists of one event day and the following six trading days. Event day is defined to be the day the stock price reaches the upper (lower) price limit. Group C comprises all other days, except ex-dividend days. Group C data are used in the market model to obtain the alpha and beta estimates for that stock. These estimates are then used to (CARs) embedded in data sets A and B. The preliminary results of this research suggest severe violation of the random walk hypothesis. Further, the impact of government imposed price limits on stocks varies across stocks. While several patterns of CARs of stock return are observed, the results suggest existence of potential profitable short-run investment strategies among several sample stocks in this study.We are most grateful to the National Science Council of Taiwan and National Chiao-Tung University for providing the data set, SPIT. This paper has benefitted from the discussion in the conference.     

Change and continuity in Japanese corporate governance

Previous studies on Japanese corporate governance were largely based on the agency theory framework, and can be seen as attempts to understand the unique monitoring mechanisms in the Japanese context. This paper briefly reviews prior research and then discusses the recent changes in the environment that have been affecting Japanese corporate governance. Our central argument is that there is both change and continuity in Japanese Corporate Governance. We also present emerging research from an institutional theory perspective. In this line of research, corporate governance is treated as part of a nation’s institutional framework and hence, researchers need to understand unique institutional arrangements that affect corporate governance practices and their change or continuity.

CPF stocks: Prices,returns and volatility

We identify a unique phenomenon in the Central Provident Fund (CPF) stocks where stock prices increase in the absence of fundamental changes in firm value. CPF stocks are stocks endorsed by the Central Provident Fund Board in Singapore as approved investment for its members. CPF stocks offer significant price appreciation and value preservation as well as abnormal returns in the bull market before the October 1987 market crash. We find evidence of noise trading in bull markets and price pressure effects that persist through bearish market conditions.The authors are from the Department of Finance and Banking, National University of Singapore.     

Stock market surveillance and market performance: The case of Taiwan

In this paper we investigate the effect of warning announcements on the price behaviour of stocks. We also study the effects of various corrective treatments (trading halts, call trading and 100% payment/delivery with order) on the performance of stocks in the Taiwan stock market. It is found that warning announcements serve to improve the performance of stocks, except in the case of consecutive warnings. Generally speaking, the corrective measures taken after the consecutive warnings are able to reduce the volatility, the abnormal returns and the excess liquidity of the stocks.The authors are Professors from the National Sun Yat-sen University, and the Securities and Exchange Commission respectively.     

Institutions and the OLI paradigm of the multinational enterprise

The prevailing ownership-based theories of the firm are increasingly being challenged by new forms of organising, as exemplified by the Asian network multinational enterprise (MNE). We believe that an institutional approach, that tries to bridge both the macro and micro levels of analysis, and that encompasses both formal and informal institutions, offers a promising way to advance our understanding of the different forms of the contemporary MNE. This paper introduces a theoretical framework that draws substantially on the work of Douglass North, and examines how an institutional dimension can be incorporated into the three components of the OLI paradigm.

The state of East Asian banking structure and activities in the United States

This paper examines the structure and activities of East Asian banks in the USA in terms of their institutional components, legal environment, asset size and market structure, loan activities, geographical distribution and area of specialization. The discussion includes 10 Asia Pacific countries. The final section presents prognoses on the domination of Japanese banks as well as those of the two Chinas.Faramarz Damanpour is a Professor of Finance and International Business at James Madison University, U.S.A.     

Liquidity, Return and Order-Flow Linkages Between REITs and the Stock Market

This article represents the first exploration of liquidity and order flow spillovers across New York Stock Exchange stocks and real estate investment trusts (REITs). Impulse response functions and Granger causality tests indicate the existence of persistent liquidity spillovers running from REITs to non-REITs. Specifically, REIT liquidity indicators are forecastable from non-REIT ones, at both daily and monthly horizons. I also provide evidence of a liquidity premium inherent in REIT returns. While REIT prices appear to be set efficiently in that neither REIT nor non-REIT order flows forecast REIT returns, I find that order flows and returns in the stock market negatively forecast REIT order flows. This result is consistent with the notion that real estate markets are viewed as substitute investments for the stock market, which causes down-moves in the stock market to increase money flows to the REIT market.     

Some determinants and effects of FDI in Singapore

This article analyses the microeconomic determinants of effects of foreign direct investment (FDI) in Singapore by seven propositions, using the available secondary data. Variables discussed are related to the areas of industrial structure, economic growth, trade, international competitiveness, productivity and skill intensity. It attempts to draw a pattern on the determinants and effects of inward and outward FDI in Singapore.The research for this paper was partially funded by the Centre for International Business Studies, The University of Western Ontario. This paper is a revised version of a paper presented in Bellagio, Italy in October 1983 which will appear in Dunning (1985).The author is a Professor at the School of Business Administration, The University of Western Ontario.     

An investigation into CAPM anomalies in New Zealand: The small firm and price-earnings ratio effects

This study reports the results of an investigation into the price-earnings (P/E) ratio and small firm effects on the New Zealand Stock Exchange (NZSE). While the small firm effect has been documentated in the New Zealand setting, there appears to be no knowledge of the P/E effect. The results of this study suggest that no P/E effect exists. However, the evidence of a small firm effect is consistent with prior findings.Acknowledgement is made to Cleve Patterson for his assistance with the early development of this paper. Any omissions or oversights are the sole responsibility of the author.     

代理问题、公司治理与企业价值--以民营上市公司为例

本文运用代理理论对2002年在上海、深圳证券交易所上市的122家民营上市公司治理与企业价值进行理论分析与实证检验,发现民营上市公司治理包括在股权集中度、债务融资比重、金字塔式控股、控制权与现金流权偏离、流通股与非流通股价偏离等五个方向上存在着代理冲突,并指出引发民营上市公司代理冲突的首要原因是现行流通股与非流通股的股权割裂。     

Japanese horizontal keiretsu and the performance implications of membership

Our study investigates the effect of Japanese horizontal keiretsu group membership on firm risk and return. Like prior studies, our results show that horizontal keiretsu membership has a negative effect on firm profitability. However, we find that horizontal keiretsu networks are likely to increase the gap between targeted and realized returns, which we call the outcome–aspiration gap. Moreover, in contrast to prior studies, our results indicate that keiretsu membership does not enable member firms to reduce risks by smoothing profitability. Instead, our findings provide evidence that is counter to the conventional notion that Japanese horizontal keiretsu allows their member firms to trade off profits for reduced risk.

Personal value systems of Japanese trainees and managers in a changing competitive system

A study of personal values held by Japanese and foreign students, trainees and managers showed recent Japanese trainees slightly more conservative than their 1979 cohorts. Foreign students and foreign managers held more pro-American work values than either Japanese managers or trainees. Finally, for the Japanese respondents, there was some evidence of specific shifts away from the Japanese employment system in the areas of thenenko compensation and promotion systems in their organisations.Roy J. Adams is a Professor of Industrial Relations in McMaster University; Richard B. Peterson is a Professor of Management and Organization in the University of Washington; Hermann F. Schwind is an Associate Professor in St. Mary's University.     

Employers' Unfair Advantage in the United States of America: Symposium on the Human Rights Watch Report on the State of Worker's Freedom of Association in the United States, continued

Articles featured in the symposium:
Author's reply to Wheeler–Getman–Brody papers by Lance Compa, School of Industrial and Labor Relations
The Wagner Act Model: A Toxic System beyond Repair by Roy J. Adams De Groote, School of Business, McMaster University, Hamilton, Ontario
Choosing an Interpretation of the Right to Freedom of Association by Sheldon Leader, Department of Law and the Centre for Human Rights, University of Essex