Some Preliminary Findings on Hong Kong Business Cycles

This paper presents some preliminary quantitative findings on the characteristics of business cycles in Hong Kong. The recently developed "approximate bandpass filter" is used to extract the fluctuations at business cycle frequencies (8 to 32 quarters) of macroeconomic time series. Based on the filtered time series, the paper identifies the cyclical turning points, describes the pattern of output fluctuations, and examines the co‐movement of various macroeconomic variables.     

Financial Sector Volatility,Banking Market Structure and Exports

This paper assesses the impacts of financial sector volatility and banking market structure on industrial exports. By utilising the specification of Rajan and Zingales (American Economic Review 1998; 88 , 559) on the cross‐country, cross‐industry data from Manova (Journal of International Economics 2008; 76 , 33), we find that financial sector volatility, measured as the standard deviation of the growth of private credit, and banking market structure, measured as the share of the three largest banks’ assets in a country, respectively exert significantly negative and positive impacts on industrial exports, particularly for those industries that are more externally financially dependent. The findings are robust to a variety of kinds of sensitivity analysis and thus lend support to the notion that a more stable and concentrated banking system is important to the exports of those industries that rely more on external finance.     

Measuring the Transaction sector in the Australian economy, 1911–1991

Following Wallis and North's pioneering attempt to estimate the size of transaction costs in the United States over the period 1870 to 1970, we seek to augment this seminal study by applying their methodology to the Australian economy for the period 1911 to 1991. Broadly speaking, our results support the Wallis and North finding with comparable magnitudes and growth rates in both the private and public transaction sectors.     

Perks and the informativeness of stock prices in the Chinese market

While the literature shows that perks can affect firm values positively or negatively, we argue that firms with higher perks are more likely to be associated with a lower quality of financial reporting, which, in turn, can affect the informativeness of stock prices. Based on hand-collected data on perks from Chinese listed firms, we find that firms with lower perks are associated with higher informativeness of stock prices (or lower R-square). Moreover, the positive association between perks and R-square is shown to be weaker for firms with higher financial reporting quality through audit and earnings quality measures.     

Intraday information efficiency on the Chinese equity market

Bid-ask spread is a direct measure of information asymmetry. As such, it can be used to evaluate information efficiency. In this paper, we show that both the quoted and effective spreads on the Shanghai Stock Exchange are extremely high at the open, decrease over the trading day, and experience a small rebound at the close. The spread decreases with share volume, daily trades, and market capitalization, but increases with average trade size. We further examine the beta using the unbiasedness regression from Biais et al. [Biais, B., Hillion, P., Spatt, C. (1999). Price discovery and learning during the pre-opening period in the Paris Bourse. Journal of Political Economy, 107, 1218–1248] and find that intraday prices are efficient and unbiased for more liquid stocks. This suggests that liquidity prompts information-motivated trading, which, in turn, improves information dissemination. Moreover, our findings indicate that small and medium trades are more likely to facilitate the formation of efficient prices at the open and close of the market, while large trades play a more important role during the other trading periods.     

Will Japan,Taiwan or the US be isolated by China? A macroeconomic game approach

In Taiwan, Japan and even the United States, economic isolation has become a major concern due to the growing Chinese economy, which may lead to welfare losses for the isolated countries. On the basis of the framework developed by Plasmans et al. [Plasmans, J., Engwerda, J., van Aarle, B., Di Bartolomeo, G., Michalak, T., 2005. Dynamic Modelling of Monetary and Fiscal Cooperation Among Nations. Springer], this paper establishes a four-player game with an open-loop information structure to measure possible losses by an international policy coordination approach instead of the conventional free trade agreements. We simulate macroeconomic adjustments of the four countries according to the different institutional scenarios and economic shocks. The baseline simulation and sensitivity analyses indicate that Taiwan can get benefit by participating in coalitional mechanisms including China. In addition, most of the feasible policy coalitions cannot come into effect without US participation. This implies that at the current stage the US rather than China should be the main economic partner of Taiwan and Japan to prevent them from being economically marginalized.     

Revisiting the corroboration effects of earnings and dividend announcements

Using a unique market setting in Hong Kong, where (i) all firms release earnings and dividend information in the same announcement; (ii) corporate transparency is low; (iii) dividend income is non‐taxable and (iv) corporate ownership is highly concentrated, we re‐examine the corroboration effects of earnings and dividends. We use the control firm approach to avoid the return estimation bias resulting from observation clustering. We also add in variables and use econometric procedure to control for the potential impacts of earnings management, special dividends and heteroskedasticity. Our findings show that there exists a corroboration effect between the jointly announced signals.