共查询到10条相似文献，搜索用时 0 毫秒
1.
Efficiency,Cointegration and Contagion in Equity Markets: Evidence from China,Japan and South Korea*
A.S.M. Sohel Azad 《Asian Economic Journal》2009,23(1):93-118
This paper empirically examines whether three East Asian stock markets, namely, those of China, Japan and South Korea, are individually and/or jointly efficient, and whether contagion exists between the cointegrated markets. While individual market efficiency is examined through testing for the random walk hypothesis, joint market efficiency is examined through testing for cointegration and contagion. The present study finds that the hypothesis of individual market efficiency is strongly rejected for the Chinese stock market, but not for the Japanese and the South Korean stock markets. However, when testing for cointegration, market efficiency is strongly rejected for all these markets. We take a simple case of contagion and find that although there is a long‐term relationship among the three markets, the contagion hypothesis cannot be rejected only between Japanese and South Korean stock markets, indicating short‐run portfolio diversification benefits from these two markets. 相似文献
2.
Yoshiro Tsutsui Kenjiro Hirayama Takahiro Tanaka Nobutaka Uesugi 《Asian Economic Journal》2007,21(4):369-386
It is reported in the present paper that 1‐min returns on TOPIX have exhibited significant autocorrelation at 5‐min intervals since 1997/1998. Special quotes that are issued whenever there is a price jump in excess of a predetermined band seem to be the source of this autocorrelation, because these have been automatically updated at 5‐min intervals since August 1998 and have appeared during the first 30 min from opening. Individual stock returns also exhibit fifth‐order autocorrelation, but this disappears when the data with special quotes are excluded from the sample. Therefore, the autocorrelation is caused by the special quotes: a type of market microstructure noise. 相似文献
3.
TSANGYAO CHANG CHIA‐HAO LEE 《The South African journal of economics. Suid-afrikaanse tydskrif vir ekonomie》2012,80(3):287-300
This study applies the panel seeming unrelated regression of the Kapetanios‐Shin‐Snell (SURKSS) test with a Fourier function to investigate the time‐series properties of stock prices in five African countries (i.e. Egypt, Kenya, Morocco, South Africa and Tunisia) over the period of January 2000–April 2011. The empirical results from the univariate unit root and panel‐based unit root tests indicate that unit root hypothesis can not be rejected for these five countries under study. However, results from the panel SURKSS test with a Fourier function indicate that unit root hypothesis can be rejected for Egypt and Morocco, two countries under study. Our results indicate that the weak‐form efficient market hypothesis holds in the other three countries, namely, Kenya, South Africa and Tunisia. 相似文献
4.
Jose E. Gomez‐Gonzalez Jair N. Ojeda‐Joya Juan P. Franco Jhon E. Torres 《The South African journal of economics. Suid-afrikaanse tydskrif vir ekonomie》2017,85(1):52-67
Econometric tests are performed for the detection and migration of asset‐price bubbles in the housing, currency and stock markets of seven countries. This set of countries includes both developed and emerging economies that have good historical data on housing prices. Our empirical results suggest that this type of exuberant behaviour in prices occurs more frequently in the housing market than in the currency and stock markets. Additionally, we find significant evidence of bubble migration across markets within some of the studied countries. 相似文献
5.
ZIVANEMOYO CHINZARA 《The South African journal of economics. Suid-afrikaanse tydskrif vir ekonomie》2012,80(3):345-366
The study analyses the nature and behaviour of volatility, the risk–return relationship and the long‐term trend of volatility on the South African equity markets using aggregate level, industrial level and sectoral level daily data for the period 1995‐2009. By employing dummy variables for the Asian and the sub‐prime financial crises and the 11 September political shock, the study further examines whether the long‐term trend of volatility structurally breaks during financial crises and major political shocks. Three time‐varying generalised autoregressive conditional heteroskedasticity models were employed: one of them symmetric, and the other two asymmetric. Each of these models was estimated based on three error distributional assumptions. The findings of the study are as follows: First, volatility is largely persistent and asymmetric. Second, risk at both aggregate and disaggregate level is generally not a priced factor on the South Africa (SA) stock market. Third, the threshold autoregressive conditional heteroscedasticity (TARCH) model under the generalised error distribution is the most appropriate model for conditional volatility of the SA stock market. Fourth, volatility generally increases over time, and its trend structurally breaks during financial crises and major global shocks. The policy and investment implications of the findings are outlined. 相似文献
6.
BUSANI MOYO 《The South African journal of economics. Suid-afrikaanse tydskrif vir ekonomie》2012,80(3):367-386
Using bilateral trade flow models, a body of empirical work has documented how geography and infrastructure variables affect trade performance. However, in this paper, we apply censored regression models like the Tobit and Probit on firm‐level manufacturing data from 10 African countries, and results suggest that inadequate infrastructure in the form of customs, transport, electricity and water negatively affects export intensity and participation. Owning a generator and private water source also appear to have a significant impact on exports. This, therefore, means that firms can minimise the impact of power and water disruption on production, and hence trade by installing these alternative energy and water sources. 相似文献
7.
The present study investigates the influence of international oil prices on China's stock market returns across 29 different industries. The paper attempts to account for any structural breaks and nonlinearity in this relationship. The results reveal that the effect of changes in the international price of oil on stock returns differs substantially across industries. The stock returns of the coal, chemical, mining and oil industries are found to be positively affected by crude oil price movements. Conversely, electronics, food manufacturing, general equipment, pharmaceuticals, retail, rubber and vehicle industries are found to be negatively affected by movements in the price of crude oil. The results of the estimations also suggest that the majority of Chinese industries have been significantly affected by oil prices since 2004. The influence of international oil prices on Chinese stocks also has a stronger effect in the presence of high volatility but the effect varies across industries. 相似文献
8.
GEORGE E. HALKOS NICKOLAOS G. TZEREMES 《The South African journal of economics. Suid-afrikaanse tydskrif vir ekonomie》2012,80(2):246-263
This paper evaluates the effect of access to improved water sources and sanitation on 41 sub‐Saharan African (SSA) countries' economic efficiency and growth. For this reason data envelopment analysis (DEA), bootstrap techniques and probabilistic approaches are used. The empirical results indicate that SSA countries' economic efficiency is positively influenced by the access of population both on improved water sources and sanitation. Finally, when the provision of access to improved water sources is provided to more than 50% of the population, the positive effect on countries' economic efficiency is much greater compared with the effect of providing sustainable access to improved sanitation to the same proportion of population. 相似文献
9.
Tseke Maserumule Paul Alagidede 《The South African journal of economics. Suid-afrikaanse tydskrif vir ekonomie》2017,85(3):405-429
This study focuses on scheduled macroeconomic news announcements and evaluates their impact on the volatility of the South African rand (ZAR) and US dollar (USD) exchange rate using high frequency data. The following asymmetries are studied: news items by geographical location, no‐news vs. surprise news announcements and positive vs. negative news announcements. We make the following findings in our empirical study: (i) After the release of a news announcement, the level of foreign exchange volatility rises. This is independent of whether the news item surprised the market or not. (ii) Both South African and US news items significantly impact USD/ZAR volatility, suggesting that the news items are being used to formulate investor expectations regarding the future prospects of the currency pair. (iii) Negative news appears to have a greater impact on exchange rate volatility relative to positive news. This result is also state dependent, as investors tend to behave differently to news depending on the economic climate at that point in time. Investor cognitive biases give rise to the asymmetric news effects on exchange rate volatility. Finally, investors do not always act in rational manner, especially when faced with multiple news items that are contradictory to each other. 相似文献
10.
Gideon Boako Maurice Omane‐Adjepong Joseph Magnus Frimpong 《The South African journal of economics. Suid-afrikaanse tydskrif vir ekonomie》2016,84(1):149-179
This paper presents analysis of the relationship and dependence structure between stock returns and exchange rates in Ghana using data of daily periodicity from January 4, 2011 to July 31, 2014. Analyses are conducted by means of Bayesian quantile regression (QR) technique and multiple causality tests. Our findings suggest high dependence of the equity market on the foreign exchange market in Ghana, and that the link between the two markets follows the international trade‐oriented model more than the portfolio balance theory. We report that among the six exchange rates used, only the cedi–dollar registers instantaneous effect on the equity market. 相似文献