The Informational Efficiency of the Equity Market As Compared to the Syndicated Bank Loan Market

The loan market is a hybrid between a public and a private market, comprised of financial institutions with access to private information about borrowing firms. We test whether this is reflected in informationally efficient price formation in the loan market vis-a-vis the equity markets, and reject this private information hypothesis. We also reject a liquidity hypothesis which suggests that equity markets always lead loan markets, despite bank lenders' access to private information, because of greater liquidity in equity markets. We further test, and reject, an asymmetric price reaction hypothesis that states that loan returns are more sensitive to negative information whereas equity returns respond symmetrically to both positive and negative information. We find evidence most consistent with an integrated markets hypothesis that suggests that both the equity and syndicated bank loan markets are highly integrated such that information flows freely across markets. This is particularly true when the equity market makers are also loan syndicate members.      

Cointegration and causality in the Asian and emerging foreign exchange markets: Evidence from the 1990s financial crises

This article examines the cointegration level, changes in the existence and directions of causality of the foreign exchange (FX) rates in the Asian and emerging markets during the 1990s financial crises. Engle and Granger's simple bivariate and Johansen's multivariate cointegrations are applied to the FX rates for the 1994 Mexican, 1997 Asian, 1998 Russian, and 1999 Brazilian crises. In addition, the article conducts the Granger causality test and impulse response analysis to examine the causality pattern in all the FX rates. The analysis shows most of the pre-Mexican causality disappears and significant numbers of new causality emerge in the 1994 Mexican crisis while the 1997 Asian crisis generates significant spillover effects into the later part of the 1998 Russian and 1999 Brazilian crises.     

Can Insurance Activity Act as a Stimulus of Economic Growth? Evidence from Time-Varying Causality in China

This article investigates the nexus between insurance and economic growth in China with a dynamic interactive mechanism to study different time periods. Using quarterly data from 1999 to 2015, the rolling-window causality test provides evidence of bidirectional causality between insurance activity and economic growth. However, the “supply-leading” pattern tends to dominate the “demand-following” pattern, which implies that in China insurance acts as a stimulus of economic growth during most of the period. Property insurance is more effective than life insurance in stimulating economic growth. Some temporary negative impacts from the development of the insurance sector show that China is in the midst of a transition from a closed economy to a more open economy and policy interventions by the government to liberalize the insurance sector. These findings offer several useful insights for policy makers in transition economies and developing countries.     

中国不同省份金融结构转变与产业结构升级关系的实证研究

随着我国社会主义市场经济改革的不断深入，现有金融结构已不能适应经济发展。本文从金融结构调整的角度出发，对中国较发达地区，欠发达地区以及基于全国的数据进行面板回归。通过对实证结果的分析，得出金融结构调整对产业结构调整并不是简单线性关系的结论，金融结构调整应有合理的范围，当金融结构在其范围内变化时，能够促进经济的增长，当金融结构的调整超过合理范围时，金融功能的负作用会逐渐增强，当负作用积累到一定程度，会对经济的发展起到阻碍作用，我国各省份应根据自己的实际发展情况和自然禀赋，选择合适的金融结构和经济发展模式。     

基于VAR模型的我国铜锌期货价格引导关系实证研究

铜、锌期货是大宗金属期货的重要品种，在期货投资市场上广受追捧。研究通过构建VAR模型，运用格兰杰因果检验，分析了近远月铜、锌期货价格之间相互引导关系，模型实证结论认为远月期铜、锌期货价格之间具有显著的相互引导关系，为期货市场上各类型投资者提供政策指引。     

Extreme risk spillovers between crude palm oil prices and exchange rates

This study is the first attempt to examine the extreme risk spillovers between Malaysian crude palm oil (CPO) and foreign exchange currencies of the three largest CPO importers: India, the European Union and China throughout the global financial crisis. Using daily data of three currencies, CPO spot and futures from 2000 to 2018, our results show: First, before the crisis, the unexpected change in foreign exchange rates is the primary driver of risk spillover to the CPO market. Second, during the crisis, the extreme movement of CPO spot returns is dominant in the Malaysian exchange rates relative to the euro. Third, after the crisis, the spillover flows from the CPO market to the foreign exchange market. Overall, our findings show the importance of CPO pricing dynamics in mitigating foreign exchange risk over the crisis period. This paper contributes to the extant literature by recognizing the effect of risk spillover on the targeted foreign exchange rate for portfolio allocation.     

On the tourism-led growth hypothesis in the UAE: a bootstrap approach with leveraged adjustments

The emerging market of the UAE has chosen attracting international tourism as one of the main strategies during the recent decades in order to diversify its economy. The main goal has been to achieve sustainable growth without overreliance on the volatile oil sector. This article investigates the impact of tourism on economic performance in the UAE by using bootstrapped causality tests with leverage adjustments. The results show that the tourism-led growth hypothesis can be supported empirically. Thus, the conducted policy by the UAE government to promote international tourism for achieving economic growth might be considered as a sustainable strategy.     

Does US news impact Asian emerging markets? Evidence from nonparametric causality-in-quantiles test

This paper aims to analyze whether US news on inflation and unemployment causes returns and volatility of seven emerging Asian stock markets from 1994 to 2014, by employing the causality-in-quantile approach. We find evidence that US news affect returns and/or volatility of all the seven stock markets considered, with these effects clustered around the tails of the conditional distribution of returns and volatility when they are either in bear or bull modes. In general, our results highlight the importance of modeling nonlinearity and studying entire conditional distributions of stock returns and volatility to draw correct inferences.     

Does Medical Equipment Expansion Lead to More Diagnostic Services? Evidence from China’s Sichuan Province

A major goal of China’s healthcare reform is to control the increasing healthcare spending, much of which can be attributed to the overuse of diagnostic tests and has been relatively less studied in the literature. This article analyzes the correlation between medical equipment expansion and the increase in diagnostic test expenditure in China, using Sichuan Province as an example. County-level data aggregated from hospitals’ annual reports in Sichuan Province from 2008 to 2012 were used. The results show a positive correlation between the expansion of medical equipment and the increase in diagnostic test expenditure. Our study provides implications on reforming China’s healthcare delivery system and medical equipment regulation policies.     

Do regional house prices converge or diverge in China?

This paper aims to test whether the regional house prices are convergent or divergent in China using a monthly panel data set of China’s 70 large and medium-sized cities from July 2005 to December 2010. This issue is closely related to understanding the efficiency of the country-level housing policies made by China’s central government. The test results suggest that the regional house prices in China are generally divergent, and thereby the country-level policies may be inefficient since they do not explicitly take the strong heterogeneity of China’s regional housing markets into consideration. As a consequence, it may be better for China’s central government to further decentralize and devolve its governance toward the housing market to the local governments.