Applying an alternative test of herding behavior: A case study of the Indian stock market

The paper presents an alternative approach to test herding behavior in the Indian equity market. In contrast to the conventional test methodologies, based on return dispersions among a group of securities, this paper uses symmetric properties of the cross-sectional return distribution to identify herding. Using this alternative approach, we find evidence of herding in the Indian equity market during the sample period which tends to be more pronounced during the 2007 crash. The paper also finds that the rate of increase in security return dispersion is relatively lower in the up market compared to down market days. This finding is contrary to the directional asymmetry documented by McQueen et al. (1996).     

The market for corporate subsidiaries in Japan: An empirical study of trades among listed firms

We investigate trades of wholly- or partially-owned subsidiaries between firms listed on the Tokyo Stock Exchange (TSE) for the years 1996–2010, to explore the economic impact in terms of strategic refocusing, stock market valuation and performance effects. By pairing both sides to each deal, we show differences in firm characteristics, returns, and subsequent performance of buying and selling firms. Unlike mergers between whole firms, most subsidiary deals straddled different industries. Most sellers were larger, more diversified and less profitable than buyers. Our event study reveals that abnormal returns were positive for buyers yet insignificantly different from zero for sellers. However, subsidiary sales in the core business earned negative returns, the more so the larger the deal. An analysis of ex-post operating results shows that the performance of sellers often declined after the trade, in particular for firms that divested a core-related subsidiary. We conclude that subsidiary trades in Japan in this period contributed importantly to strategic repositioning and a more efficient use of corporate assets.     

Demand for broad money and expenditure components in Japan: an empirical study

The main objective of the present study is to examine empirically the long-run relation of broad money demand and its determinants in Japan. In contrast with previous study, the present study considers various components of final expenditure demand as determinants that are final consumption goods, expenditure on investment goods and exports. Using quarterly data over the period 1973Q1–2000Q2, the results of the bounds test [J. Appl. Econ. 16 (2001) 289] indicate a stable long-run relationship between demand of real M2 and its determinants. The empirical results also highlight that different domestic demand components yields different effects on Japanese broad money demand behavior. The estimated unrestricted error-correction model appears to track the data well and the results have important policy implications.     

Urban and rural differences in primary school attendance: an empirical study for Tanzania

There is evidence of growing disparities in primary schoolingrates between urban and rural areas in Tanzania. This paperpresents empirical estimates for the determinants of primaryschool attendance in Tanzania for the early 1990s, and providesa comparison of attendance rates between the urban and ruralareas for a number of different age groups. All the estimatedmodels provide adequate fits to the data and many of the estimatedcoefficients are consistent with prior expectations. A statisticallysignificant differential in primary school attendance ratesbetween urban and rural areas is detected for the age groupsexamined. On the basis of our estimates, a large part of thedifferential is attributable to differences in observed characteristicswith an important role exerted by urban-rural differences inthe measure used to proxy household income.     

Innovation, product quality, variety, and trade performance: an empirical analysis of Germany and the UK

Using the framework of the new trade and endogenous growth theories,this paper finds that factors such as innovation and productquality-proxied by variables such as relative R&D and patentingactivity-help to explain the determination of import volumesfor both Germany and the UK. The econometric work makes an originalcontribution to this area of research by using bilateral importvolume data disaggregated to the four-digit ISIC level.     

要素价格变化如何影响研发强度——基于地区研发强度分解数据的实证研究

本文主要从中国经济发展和资本深化背景下工业企业研发投入依然乏力这一基本问题出发,从中国要素市场存在的价格扭曲入手分析了劳动力价格相对资本价格的低估对于地区工业部门研发投入所产生的影响,并通过对地区工业研发强度指标的分解,从产业结构与产业链层级两方面检验了要素市场价格扭曲对地区工业研发强度所产生的影响。结果表明,中国经济中普遍存在着劳动力价格低估的要素价格负向扭曲,这种扭曲的存在不仅阻碍了地区产业结构与产业链层级的升级调整,同时也弱化了要素禀赋结构变化所引发的资本深化对于产业结构与产业链层级的促进效果,是导致中国工业企业的R&D投入强度并未呈现出与资本深化相一致的增强趋势的重要制度根源。     

Taking firms to the stock market: IPOs and the importance of large banks in imperial Germany, 1896–1913

Large universal banks played a major role in Germany's industrialization because they provided loans to industry and thereby helped firms to overcome liquidity constraints. Previous research has also argued that they were equally important for the German stock market. This article provides quantitative and qualitative evidence that although the market for underwriters was dominated by a small oligopoly of six large banks, there was still perceptible competition, which kept fees and short‐run profits low. Another interesting finding presented here is the absence of a signalling effect to investors. Neither underpricing nor the one‐year performance was different for the IPOs issued by one of the Big Six. Thus, although the German IPO business was in the hands of a small oligopoly, investors did not benefit from the lack of competition. One explanation is that the quality of IPOs on the German stock market of the time was very good in general as a result of the competition between underwriters, but also as a result of the tight regulation of underwriting, which ensured the quality of all firms on the German stock market.     

生产率异质性还是多重异质性——中国出口企业竞争力来源的实证研究

本文分析了Meltiz模型的情境条件,发现生产率异质性是与其三大前提假设紧密相关的。中国情境下,改革开放后不同阶段的不同类型的出口企业：与外商投资相关的企业、生而国际化的企业、先有本土市场而后国际化的企业,它们国际市场竞争力来源不只是生产率异质性,而是存在差异的企业区位、企业年龄、企业规模、创新、品牌、企业性质、企业级别、资本结构、人力资本、成长率等多重异质性。利用中国工业企业数据库,本文实证检验发现,在多个细分行业存在生产率悖论,生产率差异不能有效解释出口企业竞争力,而多重异质性具有更强的解释力,是中国出口企业竞争力来源。     

新常态下多中心城市融合发展研究——基于台州市的实证研究

新常态下,城市发展逐渐从规模扩张转向结构调整,进入新型城市化发展阶段,多中心的空间布局形态面临着各中心之间融合的需求。文章分析了多中心城市——台州市当前中心区融合的基础和面临的困难,提出在保持城市空间布局、提升中心城市服务能级、加强多中心间互联互通共建共享、加强文化统筹等多方面融合的框架体系。     

中国十二大军工集团融资效率及融资冗余比较——基于旗下A股上市公司的实证数据

深入分析军工企业融资效率及融资冗余,有利于国防科技领域创新融资模式,优化融资结构.以十二大军工集团旗下上市公司的年报数据为实证依据,运用DEA-BCC模型测算2016—2018年融资效率及其变动情况,对融资冗余进行比较与分类.研究发现:十二大军工集团的融资效率持续上升,但处在融资有效前沿面的企业数量有限;不同军工集团融资效率存在明显差异且整体水平不高;高估融资需求及不合理的融资结构是制约融资效率的主要因素.当前阶段,仍需进一步健全资金投入政策、完善多元化市场融资机制、优化资金配置方式、实施具有国防特色的金融支持机制,确保战略性两用技术的研发与产业化.     

Analysing the impact of the single European market and European integration upon local economies: A case study of Gloucestershire

Greater economic integration in the European Community (EC) will have far-reaching effects for businesses and individuals throughout the UK. Indeed, prior to the commencement of the Single European Market (SEM) — the only certain element of European economic integration — there was much evidence of organisations and industries restructuring, increased inward investment, and mergers and acquisitions. Such activities are likely to have far-reaching implications for local economies. Increasing numbers of local authorities are undertaking studies to assess the implications of the SEM measures for their own areas, and to suggest ways in which local government and other economic development actors might respond to the challenge of the opportunities and threats of the SEM. However, in assessing the impact of the SEM, it is important not to lose sight of the wider process of economic integration which has followed in its wake. This article details the methodology used in a study to assess the impact of the SEM upon the economy of one particular local area: Gloucestershire. The methodology employed would be capable of replication in other local areas. Some of the key findings from the Gloucestershire study are also outlined. Although there is only limited scope for public sector organisations at the local level in helping businesses to respond to the threats and opportunities of the SEM, suggestions for a general role for the County Council, the Training and Enterprise Council, and other organisations were identifiable, and specific recommendations for training policies, promotional activities, and planning policies were forthcoming.     

The global monetaristic variant of the monetary approach to the balance of payments: an empirical study of the Netherlands

Summary The global monetaristic variant of the monetary approach in which the characteristic of the balance of payments being an essentially monetary phenomenon comes to the fore most strongly has been tested. Criticism of a theoretical nature regarding the monetary approach appears not to hold good for this variant. From the characteristics a reduced-form equation for the rate of growth of the stock of international monetary reserves has been derived. Moreover, simultaneous-equation systems have been developed to give substance to a possible mutual influencing of the variables in the money stock equation resulting from a sterilization policy. Estimations lead to a rejection of this variant for the Netherlands.My thanks are due to the members of the International Economics Section of Groningen State University for their comments and suggestions.     

Labour market adjustment a hundred years ago: the case of the Catalan textile industry, 1880–19131

This paper studies the way workers and firms behaved in a highly cyclical sector such as the Catalan cotton textile industry. Using firm level evidence from the late nineteenth and early twentieth centuries, the paper shows that, in spite of weak unionization and the lack of regional or local collective bargaining institutions, piece rates in cotton spinning and weaving were not subject to competitive rate cuts and remained fixed over the cycle. When facing a negative demand shock, firms adjusted by reducing output, hours of work, labour productivity, and employment. The paper finally evaluates the possible sources of wage rigidity in the industry.     

Short selling and stock prices with regime switching in the absence of market makers: The case of Japan

This paper investigates the relation between short selling and stock price at an aggregated market level. In order to study the differential impact of market microstructure on short selling, the data from Japanese stock markets are used. Both traditional regression and Markov switching models are used to compare Japanese results to those of U.S. and to admit non-stationary relation between short selling and stock price, respectively. Particularly, relatively long period (1978–2002) of analysis including bullish and bearish periods gives a good testable bed for studying the effect of short selling on stock price according to market condition. The empirical findings reveal that percentage change of short interests has a statistically significant positive relation with stock returns. It gives regulators policy implication that short selling is not a destabilizing activity, but an acceptable form of trading even in the absence of market makers. And short selling information cannot be used as an indicator for predicting future stock markets.     

Tracking down the business cycle: A dynamic factor model for Germany 1820–1913

We use a Bayesian dynamic factor model in order to calculate an economic activity index for Germany prior to World War I. The procedure allows us to incorporate information from a vast number of time series, which are underutilized by historical national accounts. Therefore, our indicator provides an alternative measure for economic activity, based on a broader database. To investigate industrialization, we compare our aggregate measure of economic activity with sectoral activity indices. We find that the industrial transition was completed earlier than agricultural output and employment shares suggest, since the indicator for agriculture had already decoupled from the aggregate business cycle measure during the 1860s. Moreover, we find that stock prices are strongly correlated with our indicator, and lead it by 1–2 years.     

Internationalization of Blue-Chip versus Mid-Cap Stock Indices: an Empirical Analysis for France,Germany, and the UK

The paper analyzes the question whether blue-chip stock indices provide a larger degree of internationalization than mid-cap stock indices. Specific focus lies on internationalization of indices in France, Germany, and the UK. Additionally, we analyze whether the degree of internationalization differs between industries. The dataset covers the CAC40, the DAX30 and the 30 largest firms in the FTSE100 as blue-chip indices and the CAC Next 20 and CAC Mid 60, the MDAX and TecDAX, and the remaining 70 companies in the FTSE100 as mid-cap indices. The comparison of blue-chip and mid-cap indices is based on three indicators of internationalization: percentages of employees based outside the firms’ home country, percentages of foreign sales, and percentages of foreign corporate tax payments. Blue-chip and mid-cap indices exhibit high levels of internationalization. Internationalization is stronger in German and UK blue-chip indices than in these countries’ mid-cap indices, whereas internationalization in French mid-cap and blue-chip indices is similar. Blue-chip and mid-cap firms in the energy/materials/utilities and industrials sectors exhibit similar levels of internationalization, whereas blue-chip firms in the consumer and health sectors exhibit higher levels than corresponding mid-cap firms. The research question and results are of particular importance for retail and institutional investors, because investing in indices typically represents a low cost alternative to individual stock picking. The question whether stock index characteristics, such as market capitalization and industry, influence the degree of international diversification within the index is largely unanswered in the literature. The paper addresses this question.     

Where there’s muck,there’s brass:1 the market for manure in the industrial revolution2

This article presents the first systematic analysis of off‐farm sources of nitrogen, such as urban and industrial waste, used in English agriculture during the industrial revolution, arguing that their use was widespread and intensive by 1700 and that there was only modest growth in their use up to 1840. It explains the pattern of use by supply and demand factors, and develops a new method to estimate the overall impact on wheat yields. It estimates that throughout the period 1700–1840 yields were 20 per cent higher than they would have been if no off‐farm manures had been used.