The US stock market and the international value of the US dollar

We investigate the spillover effect of the US equity market on the value of the dollar and therefore on the return and volatility of US equity investments for the international investor. The data are daily observations of the S & P 500 and the US dollar in terms of seven foreign currencies covering the period 1971–2002. Using Geweke measures of feedback, we find a high percentage of contemporaneous association between daily movements in the S & P 500 index and changes in the value of the dollar. A consistently positive relationship between the S & P 500 and the dollar is found for the period 1992–2002, creating a compounding effect for the foreign investor in US equities. However, investment by foreigners in US equities did not result in consistently higher returns but in higher volatility compared to their US counterparts for the period 1971–2002.     

Stadium financing,usage and the impact of institutional change on consumer demand: The case of VFL Park, 1970–1986

Ownership, financing, and usage of stadiums are key issues that affect the commercial operations of sports leagues. Stadiums that are owned by leagues may generate deadweight losses if they are not used to full capacity. We (1) model demand to measure the impact of the Victorian Football League building a privately-funded stadium (VFL Park); (2) then use counterfactual scenarios to estimate social saving from different venues and playing days, and determine whether further welfare gains would have been possible. VFL Park provided greater control over revenue, but further institutional change was needed to fully exploit potential commercial gains from the stadium.     

Lessons from the global financial crisis – the case of Mainland China and Hong Kong

Abstract

The analysis of the intertwined reactions of Hong Kong and Mainland China to the 2008 Global Financial Crisis is considered in this study through the lenses of their stock markets. The GARCH-based analysis of stock market performance over the period December 2011–December 2014 shows that trade and equity sectors were the sectors most affected by the global recession; volatility was prevalent on the Shanghai stock market, whereas volatility persistence characterised the Hong Kong stock market. The results also show that the two stock markets recovered quite quickly. Tight controls applied by the financial authorities helped ensure some stability during the crisis.     

The current global financial crisis: Do Asian stock markets show contagion or interdependence effects?

In the framework of the current global economic crisis, a pertinent question is whether the world economies are suffering from contagion or interdependence effects. With its origins in the US sub-prime mortgage market crisis starting at the end of 2007, when a loss of confidence by investors in the value of securitized mortgages resulted in a liquidity crisis, hard-hitting the banking system and rapidly spreading into the financial markets, the effects of the crisis were automatically reflected in the rest of the world economies. These effects become more severe as the rest of the world is facing economic and financial instability. Therefore, the American shock can be seen as the trigger that revealed the other economies’ own financial problems. The main finding of this paper shows that the US stock markets are not generating contagious effects into the Asian stock markets. However, strong evidence of volatility transmission derived from these economies’ interlinkages has been detected.     

Comparing the technical efficiency of farms benefiting from different agricultural interventions in Kenya's drylands

Farmers in Kenya's drylands have difficulty accessing farm production resources and in consequence farm productivity is low. It is therefore important to find strategies for improving access to these scarce resources to help farmers use them efficiently. This paper analyses and compares the technical efficiency of five groups of small farms affected by five different agricultural interventions. The aim of the study was to identify intervention strategies that significantly improve farm efficiency. Data envelopment analysis was used to compute farm-level average technical efficiencies for each of the intervention groups. The results showed that average technical efficiency was highest for the farms that had participated in an irrigation intervention. The findings suggest that the strategies promoted by this intervention, such as access to irrigation, inputs and markets, have the most significant effect on farm efficiency.     

The Long‐run and Short‐run Effects of Foreign Direct Investment on Financial Development in African Countries

This paper contributes to the understanding of the other neglected effects of foreign direct investment (FDI) by analysing how FDI affects financial development in the short run and long run for a panel of 49 African countries over the period 1990–2016. The empirical evidence is based on a pooled mean group approach. With three panels differentiated by income level, the following findings are established: first, while there is a positive and significant long‐run relationship between FDI and financial development in Africa, in the short run the effect of FDI on financial development is negative. Second, the effect of FDI is positive and significant in the long run in the three sub‐samples. However, in the short run, the effect of FDI is negative and significant in lower‐income countries and non‐significant in lower‐middle‐income and upper‐middle‐income countries. Overall we find strong evidence supporting the view that FDI promotes financial development in African countries in the long run.     

Dividend policy of German firms: A panel data analysis of partial adjustment models

German firms pay out a lower proportion of their cash flows, but a higher proportion of their published profits than UK and US firms. We estimate partial adjustment models and report two major findings. First, German firms base their dividend decisions on cash flows rather than published earnings as (i) published earnings do not correctly reflect performance because German firms retain parts of their earnings to build up legal reserves, (ii) German accounting is conservative, (iii) published earnings are subject to more smoothing than cash flows. Second, to the opposite of UK and US firms, German firms have more flexible dividend policies as they are willing to cut the dividend when profitability is only temporarily down.     

Statistical analysis of under- and overinvoicing of imports

This paper uses trading partners' data comparisons at three different levels of refinement to verify whether the elimination of an over-valued exchange rate, which itself has been claimed to lead to over-valuation of imports, affects the valuation practice of importers. The advantages of correcting the import and export data of trading partners for eventual discrepancies in the volume of these trade flows is highlighted. Data for Turkey, Pakistan and The Netherlands are used. Turkey devalued in 1970, while Pakistan devalued in 1972. Data availability and the large discrepancy between reported exports to and imports from The Netherlands suggested the analysis of the data for this country.