Demographic transition and economic growth in China,India and Pakistan

The authors of this paper adopt a Solow–Swan model extended to include demographic variables to analyze the overall effect of demographic transition on economic growth. The results, based on data from seventy countries over the period 1961–2003, reveal that GDP per capita growth is positively related to the growth differential between the working-age population and the total population, and negatively related to child and old-age dependency ratios. Based on these results, they find that population dynamics explain 46 percent of economic growth in per capita GDP in China over the period 1961–2003, 39 percent in India, and 25 percent in Pakistan. Furthermore, population dynamics are expected to have a positive effect on economic growth in India and Pakistan over the period 2005–2050, and a negative effect in China.     

Long-run money demand function in Argentina during 1935–1962: evidence from cointegration and error correction models

This paper provides a study of Argentina's money demand function during 1935–62 and 1946–62. These priods not only involved several important changes in Argentina's economy and banking system but also included high and volatile inflation. Using cointegration tests and error correction moderlling, results shows that even in periods of large variability there exists a stationary long-run demand function for real M1 and real M2 in Argentina. Error Correction models show that there is biddirectional causality between real money stock (M1 and M2) and the rate of inflation in both periods. Real income is found to be exogenous in all relationships. Thus results presented in this paper provide merit to Cagan's form of money demand function during high inflation periods.     

Stock market volatility and the crash of 1987: evidence from six emerging markets

This paper studies volatility, risk premia and the persistence of volatility in six emerging stock markets before and after the 1987 stock market crash. The empirical investigation is conducted by means of the GARCH in the mean model (GARCH-M) and monthly data from Argentina, Greece, India, Mexico, Thailand, and Zimbabwe between January of 1976 and August of 1994. Results indicate changes in the ARCH parameter, risk premia and persistence of volatility before and after the 1987 crash. But these noted changes are not uniform and depend upon the individual markets. Factors other than the 1987 crash may also be responsible for the changes.     

The impact of bank ownership concentration on impaired loans and capital adequacy

This paper examines the impact of bank ownership concentration on two indicators of bank riskiness, namely banks’ non-performing loans and capital adequacy. Using balance sheet information for around 500 commercial banks from more than 50 countries averaged over 2005–2007, we find that concentrated ownership (proxied by different levels of shareholding) significantly reduces a bank’s non-performing loans ratio, conditional on supervisory control and shareholders protection rights. Furthermore, ownership concentration affects the capital adequacy ratio positively conditional on shareholder protection. At low levels of shareholder protection rights and supervisory control, ownership concentration reduces bank riskiness.     

Short-run deviations and time-varying hedge ratios: Evidence from agricultural futures markets

This paper investigates the hedging effectiveness of time-varying hedge ratios in the agricultural commodities futures markets using four different versions of the GARCH models. The GARCH models applied are the standard bivariate GARCH, the bivariate BEKK GARCH, the bivariate GARCH-X and the bivariate BEKK GARCH-X. Futures data for corn, coffee, wheat, sugar, soybeans, live cattle and hogs are applied. Comparison of the hedging effectiveness is done for the within sample period (1980–2004), and two out-of-sample periods (2002–2004 and 2003–2004). Results indicate superior performance of the portfolios based on the GARCH-X model estimated hedge ratio during all periods.     

Information Uncertainty and Momentum Phenomenon Amidst Market Swings: Evidence From the Chinese Class A Share Market

This paper empirically investigates how firm-level information uncertainty impacts momentum profits in the Chinese Class A share market. We employ seven different factors to gauge the degree of firm-level information uncertainty—firm size, firm age, analysts’ coverage, return volatility, dispersion in analysts’ earnings forecast, trading volume, and the quality/strength of corporate governance (free float ratio). We find evidence showing that information uncertainty has an amplifying effect over the momentum profits, and the amplifying effect is more pronounced over the time periods following DOWN market state over the sample period from January 1996 to December 2013. The robustness of the empirical evidence is warranted by a risk-adjustment test based on the FF3F model and Wang and Xu’s (Financ Anal J 60(6):65–77, 2004) FF3F model, a sub-period analysis, and a different definition of market states. The empirical findings can provide an important reference point for international and domestic investors when adjusting investment strategies and portfolio positions in relatively volatile financial markets such as the Chinese stock market.     

Multiday expected shortfall under generalized t distributions: evidence from global stock market

Review of Quantitative Finance and Accounting - Earnings management research often uses discretionary accruals from Jones-type models. These models assume a linear relation between sales changes...     

Financial Innovations And Demand For United States M1 And M2 Components

This paper investigates the effects OF THE Depository Institution Deregulation and Monetary Control Act of 1980 on the demand function of the United States M1, M2 and their components. The empirical tests are conducted using monthly data from January 1959 to June 1997 and the Johansen cointegration procedure. Results show that the stated monetary act of 1980 considerably affected the income and interest rate demand elasticities of both M1, M2 and their components. Results show a fall in the M1 interest rate elasticity indicating M1 as possibly a more effective monetary policy too after 1980. Results fail to show a stationary M2 demand function during the 1980s and 1990s after the 1980 monetary act. The rate of adjustment of the monetary variables towards the long-run equilibrium is also affected by the 1980 Act. [E41, E44]     

Inverse moments of order statistics from Weibull distribution

Abstract

A general expression for moments of order statistics of positive and negative orders from Weibull distribution has been obtained and the result has been utilized to establish two identities.