Covered interest arbitrage with transaction costs: An evidence from the Hong Kong foreign exchange market

This paper deals with the effects of transaction costs on the efficacy of covered and one-way interest arbitrage under the linked exchange rate system in the Hong Kong foreign exchange market. First, we examine the arbitrage opportunities in the swap market and in domestic and foreign securities markets. Second, we measure the profitability of covered interest arbitrage and one-way arbitrage. Empirical findings have shown that allowing for transaction costs, covered interest arbitrage seems to entail less unexploited opportunities for profit. However, there exists a great deal of unexploited profit opportunities in one-way arbitrage in the Hong Kong financial market.We are grateful to two anonymous referees and the editor for their helpful comments on an earlier version of this paper.     

An eclectic theory of the choice of international entry mode

The choice of entry mode into a foreign market has a major impact on the success of a firm's international operations. However, the existing literature on the entry mode decision has either presented a list of considerations without identifying underlying constructs, or treated each entry decision in isolation. Here, a unifying framework is developed. This framework identifies three underlying constructs that influence the entry mode decision. These constructs are linked to considerations that have been previously discussed in the literature. It is argued that a firm's choice of entry mode depends on the strategic relationship the firm envisages between operations in different countries. A particular entry decision cannot be viewed in isolation. It must be considered in relation to the overall strategic posture of the firm. Further, the paper argues that different variables often suggest different entry modes, and that resolving these differences involves accepting trade-offs.     

Dynamic specification of demand functions: A cointegration approach

The single-equation approach has been commonly used in the studies of energy demand. However, as most of the data used in the energy demand model are unlikely to be stationary, this factor has to be taken into account when estimating the demand behavior. To overcome this problem, the authors have applied the cointegration and error-correction models to model Chinese coal consumption data. In order to contrast their performance with such traditional models as Hendry's general-to-specific approach, a forecast error comparison exercise has been conducted. In terms ofex post forecast errors, the Engle-Granger error correction model outperforms other chosen models. By using the Engle-Granger approach, it is possible to obtain important information about the behavior of coal demand in China.     

A correlated bivariate Poisson jump model for foreign exchange

This paper develops a new bivariate jump model to study jump dynamics in foreign exchange returns. The model extends a multivariate GARCH parameterization to include a bivariate correlated jump process. The conditional covariance matrix has the Baba, Engle, Kraft, and Kroner (1989) structure, while the bivariate jumps are governed by a Correlated Bivariate Poisson (CBP) function. Using daily data we find evidence of both independent currency specific jumps, as well as jumps common to both exchange rates of the Canadian dollar and Japanese Yen against the U.S. dollar. The paper concludes by investigating a time-varying structure for the arrival of jumps that relaxes the assumption of constant and bounded jump correlation imposed by the CBP function.I am indebted to two anonymous referees and the editor, Baldev Raj for helpful suggestions. I am also grateful for helpful comments from Adolf Buse, Ramazan Gencay, Rehim Kilic, John Maheu, Alex Maynard, Denis Pelletier, Denise Young, and seminar participants at the Tenth Annual Symposium of the Society for Nonlinear Dynamics and Econometrics (SNDE), Federal Reserve Bank of Atlanta 2002; the Midwest Econometrics Group (MEG) Meetings, Federal Reserve Bank of Kansas City 2001; Canadian Economics Association (CEA) Meetings, McGill University 2001.     

论当代中国政治发展的基本问题

政治发展实质上是政治文明建设问题。文章对当代中国社会主义政治发展的历史进程、本质要求、根本目标、根本途径和关键问题等进行了深入论析，阐明了政治发展的重要现实意义。     

Testing Calendar Effects of International Equity and Real Estate Markets

There are a lot of previous studies on calendar effects. However, most of them use traditional methods like regression. Hui et al. Habitat International 48, 38–45, (2015b) incorporated Shiryaev-Zhou index with logistic regression to study the Halloween and January effects of eight securitized real estate markets, but they fixed the moving-window size to be 130 days. How the change in moving-window size affects the calendar effects cannot be seen. In this study, we also apply the Shiryaev-Zhou index, but we allow the moving-window size to vary. Furthermore, we incorporated Shiryaev-Zhou index with analysis of mean (ANOM) and logistic regression to examine calendar effects of general equity and securitized real estate indices of Hong Kong, Japan, US, UK, France and Germany during the period 1996 – 2014. The results show that our new methods can detect additional channels of significant calendar effects of which normal methods fail to show. Furthermore, the general equity indices show significant Halloween and January effects. However, for the securitized real estate indices, the Halloween and January effects are less significant or even go into reverse in some cases. This study has two main implications. Firstly, investors can formulate a better trading strategy to earn more profits. Secondly, trends and phenomena found in equity markets may not be applicable to real estate markets, so investment rules on equity markets may not work on real estate markets.     

A tale of two prices: Liquidity and asset prices in multiple markets

This paper investigates the liquidity effect in asset pricing by studying the liquidity–premium relationship of an American depositary receipt (ADR) and its underlying share. Using the [Amihud, Yakov, 2002. Illiquidity and stock returns: cross-section and time series effects. Journal of Financial Markets 5, 31–56] measure, the turnover ratio and trading infrequency as proxies for liquidity, we show that a higher ADR premium is associated with higher ADR liquidity and lower home share liquidity, in terms of changes in these variables. We find that the liquidity effects remain strong after we control for firm size and a number of country characteristics, such as the expected change in the foreign exchange rate, the stock market performance, as well as several variables measuring the openness and transparency of the home market.     

Prospect and Markowitz stochastic dominance

Levy and Wiener (J Risk Uncertain 16(2), 147–163, 1998), Levy and Levy (Manage Sci 48(10), 1334–1349, 2002; Rev Fin Stud 17(4), 1015–1041, 2004) develop the prospect and Markowitz stochastic dominance theory with S-shaped and reverse S-shaped utility functions for investors. In this paper, we extend their work on prospect stochastic dominance theory (PSD) and Markowitz stochastic dominance theory (MSD) to the first three orders and link the corresponding S-shaped and reverse S-shaped utility functions to the first three orders. We also provide experiments to illustrate each case of the MSD and PSD to the first three orders and demonstrate that the higher order MSD and PSD cannot be replaced by the lower order MSD and PSD. Furthermore, we formulate the following PSD and MSD properties: hierarchy exists in both PSD and MSD relationships; arbitrage opportunities exist in the first orders of both PSD and MSD; and for any two prospects under certain conditions, their third order MSD preference will be ‘the opposite of’ or ‘the same as’ their counterpart third order PSD preference. By extending the work of Levy and Wiener and Levy and Levy, we provide investors with more tools to identify the first and third order PSD and MSD prospects and thus they could make wiser choices on their investment decision.     

Towards the operationalization of controversial news: a study of online news articles and reader comments during the 2017 presidential election in South Korea

Quality & Quantity - In this brief research note, we propose a set of concepts and methods for identifying and operationalizing controversial news items. Based on an analysis of online...