The Market's Assessment of the Financial Services Modernization Act of 1999

We examine the impact of the events leading up to and including the passage of the Financial Services Modernization Act (FSMA) of 1999 on the stock returns of banks, brokerage firms, and insurance companies. We find that the impact is positive for all institutions. Bank gains are positively related to size and capitalization. Brokerage firms gain regardless of size, but the gains are inversely related to capitalization and insurance companies gain regardless of size or capital position. The strong positive reaction suggests that the market expects the institutions to benefit from the new opportunities created by the FSMA's passage.     

Computing equilibria of GEI by relocalization on a Grassmann manifold

An algorithm is described to compute equilibria of the general economic model with incomplete asset markets, that is, of GEI. The algorithm is based on the existence of a route of zeros of a homotopy whose domain includes the price simplex and a Grassmann Manifold. This route is followed, in effect, by localizing and following diffeomorphic pieces in Euclidean space, and by relocalizing as is necessary.     

Research notes and communications first-mover effects in multiple dynamic markets

A study of first-mover effects in semi-submersible oil-drilling suggests that first-entrants in international markets maintain higher market share after controlling for market localization and life cycle. Examining only surviving entrants at a point in time inflates this pioneering-market share relationship. Pioneering has an inter-market effect on market share, greater than the intra-market effect. Multinational firms may use market pioneering to resist localization pressures and enhance survival in foreign markets. The study suggests the importance of careful first-mover identification and market definition, a wider examination of first-mover effects over multiple markets, and control for measurement timing.     

The impacts of Hong Kong’s Currency Board reforms on the interbank market

Among the economies with a Currency Board System (CBS), Hong Kong (HK) is probably the one with the largest and most developed financial sector, as well as the highest capital mobility. Hence, studying HK’s CBS is not only crucial to HK, but also important for the understanding of the modern CBS. This paper outlines the major monetary reforms in HK since the late 1980s. The impacts of these reforms and the 1997–1998 Asian Financial Crisis are then examined empirically. We focus on the differentials between the US and HK interbank interest rates. We assume the conditional-mean equation follows an autoregressive process and the conditional-variance equation follows a generalized autoregressive conditional heteroscedasticity process. This model captures the time-varying level and volatility of the differential. In light of the empirical results we provide an assessment of the reforms in HK.     

Designing Optimal Crop Revenue Insurance

When the indemnity schedule is contingent on the farmer's price and individual yield, an optimal crop revenue insurance contract depends only on the farmer's gross revenue. However, this design is not efficient if, as is the case with available contracts, the coverage function is based on imperfect estimators of individual yield and/or price. The producer's degree of prudence and the extent of basis risks have important influences on the optimal indemnity schedule. In this broader context, optimal protection is not provided by available U.S. crop insurance contracts and may include combinations of revenue insurance, yield insurance, futures, and options contracts.     

Consumption and stock markets in Asian economies

This paper investigates the causal links between stock market performance and consumption for five Asian economies by applying the bound tests of Pesaran et al. and lag augmented VAR of Toda and Yamamoto . We find two‐way causal relationships between stock market performance and consumption in the cases of Hong Kong and Taiwan in the long run. The existence of such two‐way causal links indicates that stock market performance and consumption mutually affect each other, implying that the previous studies may have overestimated the wealth effect of the stock markets without taking account of the reverse causation from consumption to the stock markets. The short‐run effect of the stock market on consumption is more visible than the long‐run effect in most of the sample economies, suggesting that changes in consumption directly reflect stock market fluctuations.     

利用上市公司资源,加快重庆资本市场发展

通过对重庆市上市公司最新基本情况、统计数据、市场表现等资料的整理,及与兄弟省市市场的对比,剖析了重庆资本市场落后的根源,探索了加快重庆资本市场发展的途径.     

OPTIONS AND EFFICIENCY IN MULTIDATE SECURITY MARKETS

This paper extends the work of Ross (1976; Q. J. Econ. (90)1, 75–89) to multidate security markets. First, we show that if a primitive security separates states at the terminal date, then there exist multiperiod European options on that security generating dynamically complete markets. Second, we show that if a primitive security conditionally separates states at the terminal date, then there exist multiperiod European options on that security generating generically dynamically complete markets provided that certain conditions hold. Third, we show that there are economies for which the minimum number of multiperiod European options on a primitive security generating generically dynamically complete markets is relatively large. Finally, we show that in these economies, a relatively small number of multiperiod European options on possibly different portfolio strategies of primitive securities generates generically dynamically complete markets.     

Effet des Evolutions Techniques et des Changements de la Spécialisation Internationale sur les Marchés du Travail et les Systèmes Productifs: Comment les Statisticiens Pourraient-ils Relever les Défis?

Thinking about future needs and about what can reasonably be expected as feasible in the next century, how should producers of statistics direct their activity? Increasing complexity and diversity of needs leads us to recognize that, between producers and users of statistics, a mediating role is more and more often played by analysts and research workers who are requesting above all good data bases. Concerning infrastructures for statistics on productive systems, coordination between accountants and statisticians will be crucial, as well as adaptation of the constraints which, because of excessive worry about confidentiality, could prevent establishment or use of data bases. In an increasingly competitive world, where private firms will sell analyses and informations, particularly on very large enterprises, the public statistical service will remain essential in all respects. Intangible investments, innovations and many aspects of the internal organization of firms will create formidable challenges. Information on employment and labour markets has been much developed during the past decades; but on a few specific and difficult issues progress is still needed: lifecyles in the working-age population, acquisition of knowledge and skills in formal education and on the job, matching labour supplies and demands, and so on. Particular attention will have to be given to the lower levels of cultural and professional skills.