Turnover tax and trading volume: Panel analysis of stocks traded in the Japanese and US markets

Japan eliminated turnover tax on stock trading through the end of the 1990’s to revitalize its ailing stock market by reducing the overall transaction cost for stock trading. This paper empirically examines the effect of this exogenous, institutional change in tax policy on stock trading volume in the Japanese market. To do so, we use panel data of stocks traded in both the Japanese and United States markets and compare changes in their trading volumes at the times of the tax changes. We use a well-established V-shape relationship between turnover and price change, with three different assumptions as regards how the price change relates to turnover across stocks and markets. Although a model allowing for both slope and intercept shifts does not offer any indications one way or the other, a more restricted model allowing only for an intercept shift clearly suggests a statistically significant increase in trading volume in the Japanese market but not in the United States markets for April 1999. However, such a result was not obtained for April 1996. These results indicate that the abolition of turnover tax in 1999, but not the rate reduction in 1996, contributed to the trading volume increase.     

Japan's inflation under the Bretton Woods system: How large was the Balassa–Samuelson effect?

Japan's real exchange rate appreciation during the post-WWII manufacturing-led growth period has been regarded as a classical example of the Balassa–Samuelson effect. We choose the most conspicuous sub-period—1956–1970—to confirm the effect. Japan was in a rapid growth period under the U.S. dollar peg (real GDP growth, 9.7% per annum). The nominal anchor was weak as Japan's inflation rate (GDP deflator-based, 5.4%) was markedly higher than the U.S. rate (2.6%) during the 15-year period. The decomposition of the annual 2.7% (geometric) Japan–U.S. inflation rate gap (real exchange rate appreciation of the Japanese yen) reveals that the Balassa–Samuelson effect accounted for 0.7%; most of the real exchange rate appreciation (1.7%) was attributed to greater price increases in Japan's tradables. Although Japan's tradable sector achieved high TFP growth, the joint effect of the tradable–nontradable TFP growth difference between the two economies was too small to generate a sizable Balassa–Samuelson effect. Japan's example may suggest that even in rapidly growing economies, the magnitude of the effect in long-run real exchange rate appreciation is generally modest.     

AN EMPIRICAL EXAMINATION OF FINANCIAL LIBERALIZATION AND THE EFFICIENCY OF EMERGING MARKET STOCK PRICES

The efficient markets hypothesis in finance suggests that as equity markets are liberalized and made more open to the public, equity prices should reflect the increased availability of information and be more efficiently priced. In this paper, we examine whether emerging market equity prices have become more efficient after financial liberalization. Using two sets of financial liberalization dates, a battery of econometric tests, and data from sixteen countries and three composite portfolios, we find that in spite of theory suggesting the opposite, liberalization does not seem to have improved the efficiency of emerging markets. In fact, most of our statistical tests indicate that the markets were already efficient before the actual liberalization.     

Modeling the Role of a Coordinator as a Medium of Communication in 2-Player Conflicts

This paper discusses the role of a coordinator in the 2-player conflict where the information on players' preference is incomplete. It is assumed that the coordinator has a priori prospect of feasible alternatives. First, the method of the graph model for conflict resolution (GMCR) is extended to apply to this conflict with incomplete information, and the coordination system for the conflict with incomplete information is proposed. The process operated by the coordinator uses Extended Robustness Analysis that specifies the critical conditions for the stability and Pareto efficiency of an alternative. Finally, the methodology is applied to the conflict between hydropower generation and environmental interests.     

Matrix exponential GARCH

I propose a new multivariate GARCH specification that maintains positive definiteness of the conditional covariance matrix. The idea is to specify the dynamics in the matrix logarithm of the conditional covariance. Because the matrix exponential transformation ensures positive definiteness, the dynamics can be specified without the positive definiteness constraint. This affords a variety of specifications and, in particular, we can specify element-by-element the dynamics of the matrix logarithm. I discuss specifications with leverage effects, estimation with multivariate Gaussian and t-distributions, and diagnostics that evaluate the appropriateness of the matrix exponential specification.     

Human resource management in Asian subsidiaries: comparison of French and Japanese MNCs

European and Japanese multinational corporations (MNCs) have expanded their activities in Asia, usually through massive mobilization of various human resources from head offices, whether expatriated or on short-term assignments, and a reliance on diverse categories of local employees. Because expatriation is costly, difficult and often limited in its results, MNCs have developed localization strategies for management positions to support their regional development. This contribution addresses such a scenario by comparing Japanese and French MNCs in eight Asian countries, based on 53 interviews across subsidiaries of 17 MNCs. We find that Japanese MNCs have not localized management positions as much as French MNCs, but they have grown more willing to do so. To compensate for the lack of local capabilities without sending more expatriates, both French and Japanese MNCs frequently send experts on short-term assignments. Finally, though human resource practices vary widely across countries, even for a given MNC, some harmonizing principles have been introduced to regional HRM strategies recently.     

Foreign direct investment,international trade,and firm heterogeneity

We present an asymmetric model with firm heterogeneity and foreign direct investment (FDI) from a developed country to a developing country. We found that the successful entry firms could be sorted from highest to lowest according to productivity as reimport firms, FDI firms, export firms, and domestic firms. We also found that FDI decreases (increases) the gross national income of the developed (developing) country, but it can either increase or decrease the world income according to the level of the relative propensity to spend. In addition, we demonstrated that FDI influences welfare through variations in average price, national income, and the number of types of goods.     

Nonlinear behavior of the socio-economic dynamics for lake eutrophication control

To succeed in combating lake eutrophication, cooperation of local inhabitants, small factories, and farmers in reducing phosphorus discharge is very important. But the willingness of each player to cooperate would depend on the cooperation of other players and on the level of environmental concern of the society in general. Here we study the integrated dynamics of people's choice of behavior and the magnitude of eutrophication. Assumptions are: there are a number of players who choose between alternative options: a cooperative and environment-oriented option is more costly than the other. The decision of each player is affected by “social pressure” as well as by economical cost of the options. The lake pollution increases with the total phosphorus released, and a high pollution level in the lake would enhance the social pressure. The model includes a positive and a negative feedback loops which create diverse dynamical behavior. The model often shows bistability — having an equilibrium with a high level of cooperation among people and clean water, and the other equilibrium with low cooperation and polluted water, which are simultaneously stable. The model also shows fluctuation between a high and a low levels of cooperation in alternating years, cycle with a longer periodicity, or chaotic fluctuation. Conservatism of people stabilizes the system and sometimes helps maintaining cooperation. The system may show unexpected parameter dependence — the improved phosphorus removing efficiency might make water more polluted if it causes the decline in the environmental concern and cooperation among people.     

Geography of plant breeding systems,agroclimatic similarity,and agricultural productivity: evidence from Nigeria

Agroclimatic conditions and agricultural research and development (R&D) including plant breeding activities by the public sector are some of the most significant exogenous factors in the agricultural sector. However, the effects of the interactions between these two sets of factors on agricultural productivity have not been studied widely in developing countries, despite potentially important implications on their plant breeding strategies. Using three‐wave panel data of agricultural households in Nigeria and spatial data on various agroclimatic parameters, we show that agricultural productivity and technical efficiency at the agricultural household level is significantly positively affected by the similarity of agroclimatic conditions between locations where agricultural households are located, and locations where major plant breeding institutes are located. These results hold after controlling for various socioeconomic characteristics of these households, including their physical distances to the breeding institutes. Findings are robust across parametric and nonparametric specifications such as Data Envelopment Method, and after addressing potential endogeneity of agroclimatic similarity and agricultural inputs variables in the production function. Productivity effects due to the locations of plant breeding institutes and resulting agroclimatic similarity can be potentially sizable given Nigeria's past productivity growth speed.     

Solar-powered cold-storage and agrifood market modernization in Nigeria

Modern cooling technologies that utilize renewable energy sources have been increasingly recognized as promising tools to address various challenges emerging in progressively complex agrifood systems in developing countries. Knowledge gaps about the actual impacts of these technologies in developing countries remain, especially in Africa south of the Sahara (SSA). This study fills this knowledge gap by providing evidence from the evaluation of recent interventions in northeast Nigeria in which seven small solar-powered cold storages were installed across seven horticulture markets. Combinations of difference-in-difference (DID) and variants of propensity-score-based methods suggest that cold storage significantly increased horticulture sales volumes and revenues of market agents. Back-of-the-envelope calculations indicate that increased net revenues for market agents may be sufficiently large to recoup cold storage investments and operating costs within a reasonable time frame. Using cold storage also reduced the share of food loss. It lengthened the products' shelf-life while raising prices received by market agents and farmers, which were associated with improved product quality, expanded value-adding activities by market agents, and increased use of advance payments.