Return and volatility spillovers among the East Asian equity markets

This article examines the extent of contagion and interdependence across the East Asian equity markets since early 1990s and compares the ongoing crisis with earlier episodes. Using the forecast error variance decomposition from a vector autoregression, we derive return and volatility spillover indices over the rolling sub-sample windows. We show that there is substantial difference between the behavior of the East Asian return and volatility spillover indices over time. While the return spillover index reveals increased integration among the East Asian equity markets, the volatility spillover index experiences significant bursts during major market crises, including the East Asian crisis. The fact that both return and volatility spillover indices reached their respective peaks during the current global financial crisis attests to the severity of the current episode.     

An overview of Asian equity markets

This study overviews the development of 11 Asian equity markets, namely, China, Hong Kong, India, Indonesia, Japan, Korea, Malaysia, Philippines, Singapore, Taiwan, and Thailand. Prior to the onset of the global financial crisis, the Asian stock exchanges were generally bullish, underpinned particularly by China's robust economic performance. Innovations in financial products and services have been growing in importance, as stock exchanges in these countries have been making a concerted effort to introduce new features and best practices, with the objectives of raising market efficiency, enhancing service quality, and generally bringing operations up to par with international standards. But the potential to realize or support market efficiency can only be possible within an adequate legal framework, a sound market infrastructure, and appropriate corporate governance mechanisms. Thus, many challenges are still to be overcome in the region.     

Contagion in the stock markets: The Asian financial crisis revisited

This paper presents empirical evidence of herding contagion in the stock markets during the 1997 Asian financial crisis, above and beyond macroeconomic fundamental driven co-movements. We analyze the cross-country time-varying correlation coefficients among the stock prices for the countries of Thailand, Malaysia, Indonesia, Korea, and the Philippines, between crisis and tranquil periods. Macromodels are constructed and implemented to capture the pure contagion effects on the markets. After controlling for the economic fundamentals for the five countries, the paper finds strong evidence of herding contagion.     

East Asian equity markets,financial crises,and the Japanese currency

The paper studies the interactions between the US and four East Asian equity markets. The focus is on the change in the information structure/flow between these markets triggered by the 1997 Asian financial crisis. It is shown that the information structure during the crisis period is different from that in the non-crisis periods. While the US market leads the four East Asian markets before, during, and after the crisis, it is Granger-caused by these markets during the financial crisis period but not in the post-crisis sample. Further, in accordance with concerns reported in the market, the Japanese currency is found to affect these equity markets during the crisis period. The Japanese yen effect, however, disappears in the post-crisis sample. The Japanese currency effect is quite robust as it is found from both local currency and US dollar return data and in the presence of Japanese stock returns. J. Japanese Int. Economies 21 (1) (2007) 138–152.     

Volatility spillovers among the Gulf Arab emerging markets

This paper examines the volatility spillovers among Gulf Arab emerging markets. Multivariate VAR-GARCH model of daily returns, with BEKK specification based on the conditional variances and conditional correlations, is estimated for all six GCC equity markets of Saudi Arabia, Kuwait, UAE, Qatar, Oman and Bahrain. The results show high own-volatility spillovers and a high degree of own-volatility persistence in all GCC markets. Moreover, there are significant cross-volatility spillovers and cross-volatitlity persistence among all GCC equity markets, with stronger evidence from all GCC markets to the Saudi market. Such evidence could be explained by the existence of uncertainties surrounding various Gulf bank exposures to certain Saudi business groups as well as the downward movement of oil prices.     

Macroeconomic assessment of the state of regional labor markets in the Asian part of the Russian Arctic

The article analyzes the current conditions of the sector of employment and labor market in the regions of the Asian part of the Russian Arctic (about employment in the European part of the Russian Arctic see No. 1, 2016). Major changes in the structure of the sources of the formation of the manpower resources and its distribution by sectors of activity have been studied. An inertial assessment of the medium-term dynamics of the basic parameters of the regional labor markets has been given.     

The link between credit markets and self-employment choice among households in rural China

Our paper examines how credit markets operate through wealth to influence households’ entrepreneurial choices. Our results show that policy-led bank branch withdrawal in rural China has a significant negative impact on credit availability to rural households, though unexpectedly the effect is felt more strongly in informal than formal credit markets. Furthermore, we observe that self-employment is impeded by reductions in wealth associated with credit contraction. Policies which provide more and better formal financial services to rural households are predicted to increase the flow of credit, through both formal and informal channels, thereby supporting accumulation, diversification, and economic growth.     

中国区域经济发展差距与民营经济发展差距的相关性分析

区域经济发展不平衡严重地困扰着中国经济持续、健康发展,也影响到社会主义和谐社会的构建。为了缩小区域经济差距,促进东中西经济协调发展,国家从1999年开始实施了西部大开发战略。然而,通过研究发现,西部大开发战略实施之后,区域经济发展差距非但没有明显缩小,反而还有不断加剧的趋势,这不能不引起我们的高度警觉。造成这种差距持续、加速扩大的根本原因是什么?本文就东、中、西部经济发展差距与其民营经济发展的差距的相关性进行了实证分析,通过分析发现,东、中、西经济发展差距与其民营经济发展差距呈强正相关性。从而证实了有些学者所提出的“东中西经济发展差距的本质是民营经济发展的差距”的论断。     

Testing contagion of the 1997–98 crisis in Asian stock markets with structural breaks and incubation periods

This study tests for the existence of financial contagion, using a method that allows an incubation period before contagion takes effect. We define contagion as an increase in cross-market linkages following shocks. With daily data on Asian stock markets during the 1997–98 crisis, we find significant upward shifts in the linkages between the Asian markets of both crisis and non-crisis countries. The upward shifts are maintained even after controlling for heteroskedasticity and common world and regional factors, providing strong evidence for financial contagion.     

The impact of data snooping on the testing of technical analysis: An empirical study of Asian stock markets

The primary aim of this study is to investigate the validity and predictability of technical analysis in eight Asian equity markets. We employ the bootstrap tests of White (2000) and Hansen (2005) to determine whether any superior trading rule is found to exist amongst the ‘universe’ of technical trading rules identified by Sullivan et al. (1999). We use these powerful bootstrap tests to ascertain the profitability of technical analysis, along with two institutional adjustments for non-synchronous trading and transaction costs. The empirical results indicate that these three elements, data snooping, non-synchronous trading and transaction costs, have significant impact on the overall performance of technical analysis; indeed, the results for these eight Asian stock markets support the efficient market hypothesis, demonstrating that the generation of economic profits through the use of technical analysis is extremely unlikely with these particular markets.     

亚洲发展中国家经济发展的路径选择与比较——以中国、印度、沙特为考察对象

儒家文化、印度文化和伊斯兰文化构成亚洲文化的主体。其中,中国、印度和沙特阿拉伯是各自文化圈中最具代表性的国家,在地域上也都是区域性的大国,其经济发展道路的选择和效用在各自区域内都具有一定的示范效应。在迈向现代化的征途中,三国又因现实国情和历史差异,经济发展方式存在明显差别,各具特色。     

The value of institutions for financial markets: evidence from emerging markets

This paper investigates the value of political institutions for financial markets, using panel data from emerging market countries. We test the hypothesis that changes in political institutions, such as improvements in democratic rights and increased government accountability, have a direct effect on sovereign interest rate spreads. We find that financial markets value institutions over and above the economic and fiscal outcomes these institutions shape. Democracy and accountability generally lower sovereign spreads, political risk tends to increase them, and financial markets view election years negatively.     

Labor markets and innovation

We examine the effects on the comparative R&D performance of firms of the different labor market conditions they face. The conditions we consider are the bargaining strength of the unions firms face and the contents of the bargain they negotiate. In particular we consider whether unions can bargain over when new technology is introduced. In the theoretical part of the paper we show that increased union strength can sometimes increase the possibility that a firm will successfully innovate, but that allowing a union to delay the introduction of new technology generally reduces a firm's R&D success. Empirical evidence from the United Kingdom shows that both union strength and the type of bargain that unions undertake have significant impacts on R&D spending.     

Price makers and nonclearing markets

In a recent survey article, Benassy argues that fixprice theory holds the key to incorporating monopoly and monopolistic competition into general equilibrium theory. This paper argues that the opposite is true. Fixprice theory is an impediment to incorporating monopoly into general equilibrium theory. The reason for this is that fixprice theory virtually jettisons Walras's law. It is demonstrated that Walras's law makes the general equilibrium analysis of monopoly very tractable, although it was long thought that monopoly and general equilibrium were incompatible.