Exploring the interaction between stock price index and exchange rates: an asymmetric threshold approach

This article examines the impact of stock market news on the foreign exchange markets of USA, Canada and UK, employing an innovative extension of the asymmetric threshold model of Apergis and Miller (2006). Under this framework we can disentangle the reaction of foreign exchange market to bad or good news and small or large news of stock returns. Our comprehensive daily data-set spans the period from January 1990 to June 2014. Using a cointegration and error correction model, we document the existence of a causal relationship between stock market and foreign exchange markets. Most interestingly, our results derived from the asymmetric threshold model confirm that the relationship between stock and foreign exchange markets is sensitive to short-term good or bad news and short-term small or large news. Our findings entail significant implications for policymakers, governments, risk managers and international investors.     

Stock market interdependence between Australia and its trading partners: does trade intensity matter?

We investigate the extent and manner of stock market interdependence between Australia and its trading partners and examine whether this is affected by trade intensity. Based on trade intensity, we classify Australia’s trading partners into major, medium and minor partners. We hypothesize that markets with greater (lower) trade intensity will be more (less) interdependent with Australia. We perform correlation (unconditional and conditional) analyses between Australia and its trading partners. Our results indicate that most of the markets that are highly correlated with Australia are its major trading partners. We conduct panel regression analysis to investigate whether trade intensity has any impact on the stock market correlations between Australia and its trading partners. The results show that trade intensity significantly and positively affect the correlations of Australia with its major trading partners. Thus, the results confirm our hypothesis that trade intensity drives stock market interdependence between Australia and its trading partners.     

Effects of corporate governance on the decision to voluntarily disclose corporate social responsibility reports: evidence from China

This article investigates effects of corporate governance on the decision to voluntarily disclose corporate social responsibility (CSR) reports. By using a unique longitude data set of Chinese publicly traded manufacturing firms from 2010 to 2016, this study finds that ownership structure and board characteristics are significantly associated with firms’ decisions to voluntarily disclose CSR reports. In particular, our study finds that state ownership, institutional ownership, managerial ownership and board size are positively and significantly associated with the decision to voluntarily disclose CSR reports. However, board independence is not related to the decision. We also find CEO duality is negatively and significantly related to the decision. Our findings highlight the role of corporate governance in firms’ transparency by influencing the voluntary disclosure of additional information on firms’ CSR activities.     

Economic Calculation: Private Property or Several Control?

Abstract

As the centenary of the 1917 Russian revolution approaches, it is worth reviewing the past 100 years’ discussion amongst economists on the possibility—or otherwise—of economic planning under socialism. The socialist calculation debate is of fundamental importance, not merely as a specialist application of economic ideas, but as an investigation of the foundations of economic activity. Every economic action is premised upon calculation, every choice depends upon an assessment of the costs and benefits of each alternative between which the agent must choose. The view of that choice and its attendant calculation is constitutive of the schools of thought—Marxian, neoclassical and Austrian—which have contributed to the debate. An understanding of the calculation debate is therefore required to understand how these paradigms stand in relation to each other. This article addresses one aspect of that debate—the claim by Austrian economists that socialism is impossible because the absence of private property in the means of production precludes economic calculation. The article suggests that several control rather than private property is required for economic calculation, and that several control is consistent with public ownership of the means of production. The Austrian argument on this point, therefore, is without force.     

FDI与房价

本文在存量模型基础上,构建了一个外资参与的房地产市场局部均衡模型,考察了外资对房价的影响。理论模型显示,需求环节外资流入将导致房价上涨,开发环节外资流入将导致房价下降。本文使用中国35个大中城市1996-2010年的房地产市场和FDI数据,发现开发环节外资（FDI）对中国大中城市房价具有显著负向影响。另一方面,FDI与房价的影响是非对称的,FDI对房价的影响大于房价对FDI的影响。因此,为抑制高房价,在对需求环节外资（“热钱”）严格限制下,应鼓励外资进入房地产开发。此外,收入是影响房价的最主要因素;城市化越快,房价越容易上涨。     

创新能力、所有权优势与中国企业 海外市场进入模式选择

市场进入模式是企业战略研究领域的一大核心主题。本文关注企业微观因素与东道国宏观因素对中国企业外国市场进入模式选择的影响。本文的结论是：创新能力强与国际化经验丰富的中国企业选择绿地新建模式进入外国市场的可能性较大;规模经济突出且所有权优势明显的中国企业选择并购模式的可能性大。规模经济突出和所有权优势明显的中国企业,选择合资模式进入外国市场的可能性大。在选择外国市场进入模式时,中国跨国公司较少考虑文化距离、政府治理水平以及基础设施等约束和激励因素;同时,规模效用和所有权优势而非创新能力与国际化经验始终发挥着重要的影响力。这可能是导致中国跨国公司“大而不强”、国际化竞争优势不足的重要原因。     

Investor Sentiment and Stock Market Volatility: Evidence from India

In this article, the authors probe the role of irrational investor sentiment in the determination of Indian stock market volatility. The authors developed a new irrational aggregate sentiment index (IASI) to examine the issue. The conditional volatility is extracted from the nonlinear univariate models for the market indices and the IASI. The vector autoregression (VAR) is carried out to analyze the relationship between the volatility of irrational aggregate sentiment index and stock market volatility. The authors find a unidirectional causality from sentiment to stock market volatility, and their findings highlight the significance of sentiment in explaining the stock market volatility in India.     

Is There Long Memory in Indian Stock Market Returns? An Empirical Search

The issue of long memory, though has important theoretical and practical implications, has not received much attention in India. This article examines the issue of long memory in mean of the stock returns by employing a set of sophisticated time-series tests including a bias reduced log periodogram test of Andrews and Guggenberger. The study used daily values of 29 major indices including sectoral indices traded on the National Stock Exchange and Bombay Stock Exchange from April 2003 to March 2012, which provide insights into relation between composition of indices and long memory. The findings of the study suggest significant presence of long memory in mean returns of the medium- and small-sized indices and weaker evidences for large cap indices. Further, the study identifies a relationship between presence of long memory and market structure variables. The use of linear models in the presence of long memory would result in incorrect inferences, and this calls for investigation of appropriate long memory model to generate profits in Indian stock market.     

Trading with Neighbors: Regional Stock Exchange Integration—The Mercado Integrado Latinoamericano

ABSTRACT

Who gains from the regional integration of stock exchanges? Exploring this question can identify motivators driving stock exchange integration between countries, and contribute to the wider debate whether such perceived gains are likely. This article examines the Latin American Integrated Market (MILA), currently comprised of Chile, Colombia, Mexico, and Peru. The plan, process, and difficulties facing MILA are examined. We conclude that investors from the region appear poised to reap the greatest rewards in the long-term, while regional brokers and investors, especially those based in Peru, have benefited most from the operation of MILA since 2011.     

Mergers and Acquisitions and Market Volatility of Brazilian Banking Stocks: An Application of GARCH Models

The main objective of this research was to investigate the impacts caused by announcements of mergers and acquisitions (M&As) on the volatility of the returns of Brazilian bank stocks from 1994 to 2015. In order to achieve the proposed objective, this study applied Generalized Autoregressive Conditional Heteroscedastic (GARCH) class models to the series to model their volatility. Our results confirmed the impact of the announcement of M&As on volatility. They suggest that M&A announcements are expected to cause a negative reaction if related to an expansion or a deal involving a less-well known bank, and a positive reaction if it involves well-known bank with good reputation—a higher level of confidence and a lower level of information asymmetry for investors.