An extensive analysis on the Japanese markets via S. Taylor's model

Applying S. Taylor's approach (1986), we make an extensive analysis on the Japanese stock market, foreign exchange market and the Japanese Government Bond Futures market. The purpose of this paper is to empirically reveal the structure of the Japanese markets via Taylor's model rather than to propose a new model. For this reason, we include a variety of analyzed data particularly for the Japanese stock market and the foreign exchange market because the results can be used in a different manner. The paper consists of three parts. But each part can be read separately. Part 1: Overshooting hypothesis for Japanese stock prices Part 2: A trend movement in daily/weekly Yen-Dollar exchange rates Part 3: Price variations of Japanese Government Futures. In the first part, the stock prices are shown to over-respond to new information, which is different from the behaviors of stock prices in other markets. In Part 2, a trend movement is revealed in Yen-Dollar exchange rates. In Part 3, a strategy in the Japanese Government Bond futures markets is shown to perform better than a buy and hold strategy.     

On the relationship between exchange rates and equity returns: A new approach

This paper employs a new approach in order to investigate the underlying relationship between stock markets and exchange rates. Current approaches suggest that the relative equity market performance of two countries is linked to their exchange rate. In contrast, this study proposes an alternative approach where one global variable – global equity market returns – is believed to have an effect on exchange rates, with the relative interest rate level of a currency determining the sign of the relationship. Our empirical findings suggest that exchange rates and global stock market returns are strongly linked. The value of currencies with higher interest rates is positively related with global equity returns, whereas the value of currencies with lower interest rates is negatively related with global equity returns.     

Threshold cointegration,nonlinearity, and frequency domain causality relationship between stock price and Turkish Lira

Modelling complex asymmetric effects and non-linear relationships between exchange rate and stock prices has challenged classical econometric methods. This study contributes to the relative literature in the following distinct ways. First, we follow a variety of econometric approaches in order to characterize the complex dynamic co-movements between Turkish stock market and exchange rate from January 2003 to December 2018. Secondly, we show that the evidence for asymmetric threshold cointegration in Turkey’s financial market can be hidden by following linear time series methodologies. Thirdly, it is also worth noting that the real effective exchange rate, USD-Turkish lira exchange rates, money supply and interest rates have large predictive power for stock price fluctuations at various frequencies. Building on these insights, we claim that asymmetry (nonlinearity) is particularly important in Turkey’s financial market because it shows the need for a new pattern of policy measures to prevent financial market crisis risk in Turkey.     

国际黄金现货市场的避险能力研究——基于DCC-GARCH模型

通过引入DCC-GARCH模型,考量黄金现货市场与白银现货市场、大宗商品市场、汇率市场以及股票市场之间的动态相关性。结果表明：黄金现货市场与白银现货市场、大宗商品市场以及汇率市场动态相关性较强,与股票市场动态相关性较弱;样本期间内黄金现货市场与美元指数和美元股指整体呈负相关,对其避险能力较强,对大宗商品市场整体呈正相关,一般条件下不具备避险功能。因此,对于含有大量美元汇率或者美元股指等金融资产的投资组合而言,黄金是一个理想的风险对冲工具。     

汇率与股价的溢出效应及长期联动性——基于汇改后中国市场的实证研究

随着中国资本市场改革的深化,市场间的互动关系逐步回归市场化关联。本文运用协整检验、Granger因果检验、多元GARCH模型研究了汇率与股价的互动关系。研究结果表明:在长期联动性方面,汇率与股价存在稳定的长期均衡关系;在价格溢出方面,只存在汇率到股价的单向引导关系;波动溢出方面,汇市的波动冲击会影响股市,而股市的波动对汇市无明显影响。进一步的研究中,本文估算了汇率波动对股市开盘价及收盘价的影响大小。     

我国股市与汇市之间关系的再检验——基于滚动时间窗口技术和阈值误差修正模型的证据

本文采用滚动时间窗口的技术,基于协整检验和Granger因果检验的方法,检验我国股票市场和人民币兑美元汇率之间的联动关系。实证结果表明,股价与汇率之间长期均衡关系是随时间变化的。2008年之前,股价与汇率之间总体上不存在长期均衡关系,而且仅存在汇率到股价的单向引导关系。2008年之后,二者之间总体上存在显著的长期均衡关系,而且股价与汇率互为对方变动的Granger原因。运用阈值误差修正模型,我们发现股价与汇率之间的短期均衡存在显著的非对称效应。汇率对股价的短期影响要远远大于股价对汇率的影响。     

Interest rates and risk premia in the stock market and in the foreign exchange market

This paper documents common empirical regularities in the foreign exchange market and in the US stock market. We find that increases in interest rates are associated with predictable increases in the volatility of returns in both markets, and that expected returns both in the stock market and in the foreign exchange market are negatively correlated with nominal interest rates.We show that not taking into account the time variation of second moments may seriously affect tests of asset pricing models. Using a numerical example based on the static capital asset pricing model, we are able to produce fluctuations in risk premia similar to those observed empirically. Finally we show that the overidentifying restrictions of the latent variable capital asset pricing model are not rejected when beats are assumed to be correlated with nominal interest rates.     

RESPONSE OF FINANCIAL MARKETS TO ANNOUNCEMENTS OF THE AUSTRALIAN CURRENT ACCOUNT BALANCE

This paper documents the response of exchange rates, interest rates and stock prices to monthly announcements of the Australian current account balance. Survey data on market participants' expectations and forecasts generated from ARIMA time series models are used to identify the unexpected component of the announcements. The study also controls for day-of-the-week effects that have been documented in the Australian equity market The results support the efficient market hypothesis and show a significant depreciation of the Australian dollar in foreign exchange markets and a significant rise in both short- and long-term interest rates to announcements of larger than expected current account deficits. The study was, however, unable to find evidence of a significant stock price response to the current account announcements.     

Predicting the bear stock market: Macroeconomic variables as leading indicators

This paper investigates whether macroeconomic variables can predict recessions in the stock market, i.e., bear markets. Series such as interest rate spreads, inflation rates, money stocks, aggregate output, unemployment rates, federal funds rates, federal government debt, and nominal exchange rates are evaluated. After using parametric and nonparametric approaches to identify recession periods in the stock market, we consider both in-sample and out-of-sample tests of the variables’ predictive ability. Empirical evidence from monthly data on the Standard & Poor’s S&P 500 price index suggests that among the macroeconomic variables we have evaluated, yield curve spreads and inflation rates are the most useful predictors of recessions in the US stock market, according to both in-sample and out-of-sample forecasting performance. Moreover, comparing the bear market prediction to the stock return predictability has shown that it is easier to predict bear markets using macroeconomic variables.     

Volatility and correlation in international stock markets and the role of exchange rate fluctuations

This paper develops a direct, explicit model for the role of exchange rate fluctuations in international stock markets and examines how and to what extent volatility and correlations in equity markets are influenced by exchange rate fluctuations. Evidence presented in this paper indicates that a higher foreign exchange rate variability mostly increases local stock market volatility but decreases volatility for the US stock market. The extent to which stock market volatility is influenced by foreign exchange variability is greater for local markets than for the US market, due to the fact that exchange rate changes are more strongly correlated with local equity market returns than the US market returns. We find that a higher exchange rate fluctuation marginally decreases the US/local equity market correlation. While exchange rate fluctuations held a relatively large fraction of the variation in local stock market returns, there was no significant influence on the US/local equity market correlation.     

Monetary policy,exchange rates and stock prices in the Middle East region

A structural vector autoregressive model is employed to investigate the impact of monetary policy and real exchange rate shocks on the stock market performance of Kuwait, Oman, Saudi Arabia, Egypt and Jordan. In order to identify the structural shocks both short run and long run restrictions are applied. Unlike previous literature the contemporaneous interdependence between the financial variables is left unrestricted to give a more accurate depiction of the relationships. The heterogeneity of the results reflects the different monetary policy frameworks and stock market characteristics of these countries. Mainly, monetary policy and the real exchange rate shocks have a significant short run impact on the stock prices of the countries that apply a relatively more independent monetary policy and flexible exchange rates.     

Commodity Prices and Stock Market Behavior in South American Countries in the Short Run

Using Geweke feedback measures, we present empirical evidence that largely supports the hypothesis that the stock markets of South American countries are highly affected by changes in commodity prices after controlling for changes in exchange rates, interest rates, and North American stock market changes. In total, six different Goldman Sachs commodity price indexes are tested against the unexplained variation in stock market returns for Argentina, Brazil, Chile, Colombia, Peru, and Venezuela, covering the period 1995-2007. The Argentinian, Brazilian, and Peruvian stock markets are significantly affected by changes in commodity prices the same day. Venezuela's stock market, however, does not react to changes in commodity prices, even including energy prices. Stock market returns for Chile show a contemporaneous relation with energy and metals prices, whereas Colombia's equity market is affected by price changes for agricultural and industrial metals. In all cases, we find a contemporaneous relation and no indication of a lead or lag relationship.     

A discrete and a continuous-time model based on a technical trading rule

In this article we propose a model in discrete and continuoustime that incorporates explicitly a technical trading rule inthe specification of the volatility. The proposed discrete-timemodel is an alternative to GARCH-type processes. We derive conditionsfor the covariance and strict stationarity of the discrete-timeprocess and we study the estimation and inference problems.We also analyze the conditions under which the discrete-timeprocess converges in distribution to a diffusion process. Toillustrate the proposed model and compare it with the GARCHspecification, we analyze the daily closing stock prices oftwo major U.S. companies (Microsoft and Oracle), two stock indices(DAX and NASDAQ) and two U.S. Dollar exchange rates (Euro andSterling)     

STOCK MARKET RECOGNITION OF MULTINATIONALITY OF A FIRM AND INTERNATIONAL EVENTS

This paper presents the results of empirical tests on a necessary condition for the diversification service hypothesis: market recognition of the multinationality of a firm and the existence of international factors. Employing both a two- factor international market model and residual analyses, this study examines whether the US stock market considers the multinationality of a firm and inter- national events which are expected to affect the price of MNCs' stock. The residual analysis is conducted over a period which includes both fixed and floating exchange rates. Results from both analyses support the hypothesis that the US stock market does recognize the multinationality of a firm.     

Integration and interdependence of stock and foreign exchange markets: an Australian perspective

This paper examines the integration of the Australian stock market with its two leading trading partners, the US and Japan. In investigating the extent of integration, this study takes into account the interdependence between foreign exchange rates and stock prices, since exchange rates influence international competitiveness of firms, and, via interest rates, the cost of capital. The results indicate that there was a stable long-run relationship among the Australian, US and Japanese markets prior to the Asian crisis but that this relationship disappeared in the post-Asian crisis period. An analysis of the short-run dynamic linkages among markets suggests that, following the Asian crisis, the US influence on the Australian market diminished while the influence of Japan remained at a modest level. Furthermore, the impulse response analysis indicates only a contemporaneous transmission of shocks from one market to other markets. Confidence intervals for impulse responses are estimated using the bootstrap-after-bootstrap method.     

我国证券市场税收制度的问题及对策

目前,中国的证券市场正向着市场化、国际化、规模化、专业化的方向发展,但证券税收制度却存在着种种不足,影响了我国证券市场的规范、健康、稳定发展。构建完善的证券市场税收制度应该从以下几方面着手:适时开征证券交易税;完善证券投资所得税;完善证券交易所得税,调节证券交易级差收益;统一证券市场。     

The determination and international transmission of stock market volatility

This paper extends the literature on low-frequency analysis of the causes and transmission of stock market volatility. It uses end-monthly data on stock market returns, interest rates, exchange rates, inflation, and industrial production for five countries (Britain, France, Germany, Japan, and the US) from July 1973 to December 1994. Efficient portfolios of world, European, and Japanese/US equity are first constructed, the existence of multivariate cointegrating relationships between them is demonstrated, and the transmission of conditional volatility between them is described. The transmission of conditional volatility from world equity markets and national business cycle variables to national stock markets is then modeled. Among the main findings are: first, world equity market volatility is caused mostly by volatility in Japanese/US markets and transmitted to European markets, and second, changes in the volatility of inflation are associated with changes of the opposite sign in stock market volatility in all markets where a significant effect is found to exist. To the extent that the volatility of inflation is positively related to its level, this implies that low inflation tends to be associated with high stock market volatility.     

Strategic International Diversification and Monthly Seasonality

To the author's knowledge no other studies have dealt with the effect of international diversification on stock market monthly seasonality. The aim of this study is to investigate this effect in various ways: stock market monthly seasonality is analyzed by incorporating exchange rates and trading costs in international portfolio returns. The variance of the world portfolio is decomposed into six components. Stochastic dominance approach is used to show the robustness of the results. Five trading strategies are compared to help international investors be more informed. All the results show that monthly seasonality is clearly present in an economic sense and robust. Particularly, when exchange rates are incorporated into portfolio returns. January has the highest return and the lowest risk in the world portfolio.     

Participation costs, trend chasing, and volatility of stock prices

We analyze an overlapping generations model with fixed costsof stock market participation. Participation in the stock marketis determined endogenously and covaries positively with precedinginnovations in dividends. The equilibrium share price is positivelyrelated to market participation of the same period and to informationabout future dividends. There is 'rational trend chasing' inthe sense that, although all agents are rational, market participationrises after an increase of the share price and falls after adecrease. Finally, we show that the endogenous fluctuationsof market participation lead to increased volatility of theshare price.     

民元后华商证券交易所的创设动机及其脆弱性

近代华商证券交易所具有极高的脆弱性,这是交易所过度投机和违规经营而且得不到有效遏制的结果;而华商证券交易所浓重的投机性和道德风险,又与其复杂的创设动机有关。考察民元以后华商证券交易所的脆弱性、投机性与其创设动机之间的关系,是为了以史为鉴,确保现实中国的交易所有正确的经营方向,谨慎选择交易所的组织制度,弱化交易所的逐利性,强化交易所的自律功能,淡化交易所的政策市色彩,使我国证券交易所能够持续、稳定和有力地服务于市场经济建设。