Power arch modelling of the volatility of emerging equity markets

In developed equity markets the APARCH model of Ding, Granger and Engle [Ding, Z., Granger, C. and Engle, R., 1993. A long memory property of stock market returns and a new model. Journal of Empirical Finance 1, 83–106] has proven to be useful in modelling the leverage and asymmetry effects; power transformations and long memory; and non-normal conditional error distributions that characterise the data. Extending the analysis of Jayasuriya, Shambora and Rossiter [Jayasuriya, S., Shambora, W. and Rossiter, R., 2005. Asymmetric volatility in mature and emerging markets, Working Paper, Ohio University.] to a wider set of emerging markets this paper explores the applicability of the model to emerging markets. The key findings are as follows. First, unlike developed markets where a power term of unity and a conditional standard deviation model appears to be appropriate, emerging markets demonstrate a considerably greater range of power values. Second, unlike developed markets where non-normal conditional error distributions appear to fit the data well, there are a set of emerging markets for which estimation problems arise with a conditional t distribution, and a conditional normal distribution appears to be the preferred option. Third, the degree of volatility asymmetry appears to vary across the set of emerging markets, with the Middle Eastern and African markets having very different volatility asymmetry characteristics to those of the Latin American markets.     

软件商业模式与操作系统的市场结构——Windows与Linux两种模式的比较研究

本文通过将网络外部性和产品纵向差异化引入传统的豪泰林模型，比较了Linux和Windows两种软件商业模式，进而研究了操作系统市场结构的决定因素和形成机理：在操作系统市场，软件厂商采取不同的商业模式竞争，不同的商业模式内生了软件厂商不同的竞争优势，从而在不同的操作系统市场呈现出双寡头竞争和单寡头垄断两种主要的市场结构。     

Defaultable debt, interest rates and the current account

World capital markets have experienced large scale sovereign defaults on a number of occasions. In this paper we develop a quantitative model of debt and default in a small open economy. We use this model to match four empirical regularities regarding emerging markets: defaults occur in equilibrium, interest rates are countercyclical, net exports are countercyclical, and interest rates and the current account are positively correlated. We highlight the role of the stochastic trend in emerging markets, in an otherwise standard model with endogenous default, to match these facts.     

Algorithmic market making in dealer markets with hedging and market impact

In dealer markets, dealers provide prices at which they agree to buy and sell the assets and securities they have in their scope. With ever increasing trading volume, this quoting task has to be done algorithmically in most markets such as foreign exchange (FX) markets or corporate bond markets. Over the last 10 years, many mathematical models have been designed that can be the basis of quoting algorithms in dealer markets. Nevertheless, in most (if not all) models, the dealer is a pure internalizer, setting quotes and waiting for clients. However, on many dealer markets, dealers also have access to an interdealer market or even public trading venues where they can hedge part of their inventory. In this paper, we propose a model taking this possibility into account therefore allowing dealers to externalize part of their risk. The model displays an important feature well known to practitioners that within a certain inventory range, the dealer internalizes the flow by appropriately adjusting the quotes and starts externalizing outside of that range. The larger the franchise, the wider is the inventory range suitable for pure internalization. The model is illustrated numerically with realistic parameters for USDCNH spot market.     

Interdependence of international equity variances: Evidence from East Asian markets

This paper investigates the interdependence of volatility in six East Asian markets. We first model the returns in a VAR-BEKK framework to obtain the conditional variances, and then apply the vector-autoregressive model (VAR) to the six-market variances. The results of VAR estimation show that the interdependence of equity market conditional variances is high. The Japanese market, while being the most exogenous and the least susceptible to volatility stimuli from other markets, is the most influential in transmitting volatility to the other East Asian markets.     

Illiquidity transmission from spot to futures markets

We develop a model of illiquidity transmission from spot to futures markets that formalizes the derivative hedge theory of Cho and Engle (1999). The model shows that spot market illiquidity does not translate one to one to the futures market but, rather, interacts with price risk, liquidity risk, and the risk aversion of the market maker. The model's predictions are tested empirically with data from the stock market and markets for single-stock futures and index futures. The results support our model and show that the derivative hedge theory provides an explanation for the liquidity link between spot and futures markets.     

中国证券市场A、B、H股的动态相关关系研究

文章将沪市(深市)A股、沪市(深市)B股和H股纳入一个研究框架,采用1995-2008年样本数据,运用GJR-GARCH-ADCC模型对三个市场的收益率条件相关性进行了实证分析.结果表明,A股和B股,B股和H股相关性受非对称信息影响,而A股与H股间不受非对称影响.本文还检测了三个主要的市场开放政策对市场间相关关系影响,发现B股市场开放后,A、B市场相关关系有明显的结构变动,联动性增强;QDII政策的实施加深了深市A股和H股,深市B股和H股的联系;但QFII政策对各市相关性影响不明显.整体说明国内证券市场,特别是A股和B股,A股和H股,融合度加深,联动性增强.     

现代资产组合理论的一个拓展:出口市场组合模型——关于我国出口市场多元化的理论思考

出口多元化战略实施十多年以来,我国出口市场仍较为集中。出口多元化战略包括两层含义:产品的多元化和市场的多元化。国内理论界关于多元化战略的研究主要集中在前者,关于后者的研究则比较罕见。本文试图借鉴现代资产组合理论的思想,运用相对方差来衡量风险,构造了出口市场组合模型,用于定量分析多元化战略中的“市场多元化”问题,为降低我国产品出口所面临的市场风险提供理论指导。     

基于 DCC-GARCH的中国大宗商品 金融化研究

本文选取2005年1月4日至2016年9月30日农产品类、金属类和工业品类等中国和国际大宗商品期货市场交易品种,以及国内外主要股票市场指数的日收益率,基于DCC--GARCH模型分析了期货市场和股票市场的波动性溢出关系和动态相依性。结果发现,股票市场对中国商品期货有波动率溢出效应,但是不同类型的大宗商品其波动率溢出效应有明显差异。这说明:中国大宗商品市场存在金融化现象,但是不同类型的大宗商品金融化的程度不同,和国际大宗商品期货市场相比,中国市场的金融化程度总体偏低。     

Technological dualism,incomplete financial markets and economic development

A model is built in which, the more incomplete financial markets are, the more technological dualism is prevalent in the economy. The model is extended to show that, through dualism and technological choice, incomplete financial markets can have a negative impact on long-run growth.     

Market integration and contagion: Evidence from Asian emerging stock and foreign exchange markets

This paper examines whether Asian emerging stock markets (India, Korea, Malaysia, Philippines, Taiwan, and Thailand) have become integrated into world capital markets since their official liberalization dates by estimating and testing a dynamic integrated international capital asset pricing model (ICAPM) in the absence of purchasing power parity (PPP) using an asymmetric multivariate GARCH(1,1)-in-Mean approach. Also examined in this paper is whether there are pure contagion effects between stock and foreign exchange markets for each Asian country during the 1997 Asian crisis. The empirical results show that first, both currency and world market risks are priced and time-varying, suggesting that an international asset pricing model under PPP and constant price of risk might give rise to model misspecification. Second, the stock markets for India, Korea, Malaysia, Philippines, and Thailand were segmented from the world capital markets before their liberalization dates, but all six markets have become fully integrated since then. Third, the market liberalization has reduced the cost of capital and price volatility for most of the countries. Finally, as for the contagion effects, strong positive impact of return shocks originating from the domestic stock market to its foreign exchange market during the crisis is found. This dynamic relationship between stock market and foreign exchange market is consistent with stock-oriented exchange rate models.     

The Effect of 2008 Crisis on the Volatility Spillovers among Six Major Markets

The scope of this paper is to determine whether global stock markets function differently under conditions of economic crisis by measuring volatility spillovers between six major markets, namely the US, the UK, Germany, Spain, Turkey, and Greece. We examine the volatility spillover effects of the 2008 US financial crisis to these six major markets using daily stock returns from January 2003 to December 2014, before, during, and after the 2008 financial crisis. We combine the Diebold and Yilmaz methodology with the stochastic volatility model of Taylor implemented through the sequential Efficient Importance Sampling method of Richard and Zhang to obtain variance decompositions derived from an estimated vector autoregressive model. The empirical findings suggest that stock markets tend to show increased volatility spillovers during the crisis period, thus resulting in lesser diversification benefits for investors.     

FDI versus Exports: Multiple Host Countries and Empirical Evidence

There are two main options for companies to serve foreign markets: exports and foreign direct investment (FDI). Based on the Helpman et al. (2004) model for multiple host countries, this paper derives a clear theoretical prediction for the decision between both strategies. A bivariate probit model is estimated using a large data set of European companies to analyse the probability of using one or the other strategy. The empirical evidence indicates that more productive firms less (more) probably use the export (FDI) strategy to serve foreign markets. Moreover, a considerable number of companies use a combination of both the strategies to serve foreign markets, which is in line with a multiple‐country model.     

Examining the Role of Brand Equity in Business Markets: A Model,Research Propositions,and Managerial Implications

ABSTRACT

This paper presents a model of brand equity for business markets. It is argued that the potential benefits of branding and brand equity development have been neglected in business markets and that a general model and stream of relevant empirical research could be useful to managers in business markets depending on the situational nature of their market and competitive structure. The model adapts and extends existing brand equity literature to reflect the unique aspects involved in a business-to-business marketing context. The model developed considers marketing strategies as antecedents, two different classes of moderator variables, brand equity as a perception by the buyer or the market, a series of consequences of brand equity perceptions, and perceived risk as a moderator of the brand equity-consequences relationship. Propositions have been defined and discussed to help facilitate research and provide guidelines for industrial marketing managers.     

Spot‐futures spread,time‐varying correlation,and hedging with currency futures

This article investigates the effects of the spot‐futures spread on the return and risk structure in currency markets. With the use of a bivariate dynamic conditional correlation GARCH framework, evidence is found of asymmetric effects of positive and negative spreads on the return and the risk structure of spot and futures markets. The implications of the asymmetric effects on futures hedging are examined, and the performance of hedging strategies generated from a model incorporating asymmetric effects is compared with several alternative models. The in‐sample comparison results indicate that the asymmetric effect model provides the best hedging strategy for all currency markets examined, except for the Canadian dollar. Out‐of‐sample comparisons suggest that the asymmetric effect model provides the best strategy for the Australian dollar, the British pound, the deutsche mark, and the Swiss franc markets, and the symmetric effect model provides a better strategy than the asymmetric effect model in the Canadian dollar and the Japanese yen. The worst performance is given by the naïve hedging strategy for both in‐sample and out‐of‐sample comparisons in all currency markets examined. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:1019–1038, 2006     

Exchange rate regimes, globalisation, and the cost of capital in emerging markets

This paper presents a multifactor asset pricing model for currency, bond, and stock returns for ten emerging markets to investigate the effect of the exchange rate regime on the cost of capital and the integration of emerging financial markets. Our results suggest that a fixed exchange rate regime system can help reduce the cost of capital in emerging markets by reducing the currency risk premia demanded by foreign investors.     

Intertemporal volatility and price interactions between Australian and Japanese spot and futures stock index markets

Previous studies have examined causality within and between different spot and futures markets with a motivation to discover market comovements, price leadership effects, and, more recently, volatility spillovers across markets. However, the empirical framework within which this is accomplished tends not to analyze explicitly foreign spillover effects upon a spot–futures relationship, which may significantly alter the equilibrium between these markets. This will then have a direct impact upon the estimation of dynamic risk adjustments that occur from the interaction between these markets. This article develops a quadvariate simultaneous-equation EC-ARCH model with an emphasis on volatility spillovers as a better alternative methodology to evaluate these relationships from a different perspective. This model is applied to examine the interaction between the Australian and Japanese spot and futures stock index markets, which allows for an Australian or Japanese futures trader to analyze the impact of foreign cash and futures markets, as well as the local cash market, on the local futures market in a single coherent framework. This type of analysis is not possible using previous paradigms, because they allow the trader only to examine the impact of local cash and foreign futures markets in separate settings. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 523–540, 1999     

Stock market's response to real output shocks in Eastern European frontier markets: A VARwAL model

We study stock market's response to real output shocks in the small and young Eastern European frontier markets, and compare to the larger European emerging- and world's most developed markets. To obtain a complete time profile of stock market's response, we use a Vector Auto-regression with Asymmetric Leads (VARwAL) model, which is a special case of the mix (noncausal) VARs. Results confirm its efficacy: in every country, both the forward-looking and delayed components of stock market's response are significant. Stock market returns forecast future real output equally well in Eastern European frontier markets as in developed and larger-emerging markets. The distant-horizon forward-looking response is larger in frontier markets, whereas the near-horizon forward-looking response is larger in developed markets.     

The Psychic Distance Postulate Revised: From Market Selection to Speed of Market Penetration

In this paper we revise the psychic distance postulate of the Uppsala Model (Johanson and Vahlne, 1977, 1990) by injecting more recent findings (i.e., distinguishing between selection of foreign markets and time needed to achieve sufficient penetration in foreign markets and the role of social capital). The model we propose posits that a higher psychic distance decreases the speed of market penetration. On distant markets, internationalizing technology-based ventures need more time to establish a position in the foreign network and to obtaining positive cash flow. Our model presents social capital as a mean to overcome the psychic distance and to increase the speed of market penetration. We build our model on four case studies on technology-based new ventures internationalizing at very early ages.     

Ethnic Food Marketing

Abstract

This paper discusses the unique role of ethnic foods in value-added food product marketing. In particular, the case of Korean kimchi is used to provide several examples of concepts introduced within the paper. When Korean kimchi export markets were disaggregated into groups of “culturally similar” and “culturally distant” markets, striking differences in the pattern of trade flows were observed. Exports of kimchi to culturally similar markets were more stable, predictable and higher volume. Exports of kimchi to culturally distant markets were more variable and had lower volume. A literature review of 28 articles published from 1979 through 1998 revealed a growing consistency in model formulation for the study of ethnic food markets. The niche markets that ethnic foods represent may be an important part of future value-added food product marketing strategies in an increasingly global society.