Regional Cooperation in the Use of Irrigation Water: Efficiency and Income Distribution

The paper presents an analysis of the economic potential of regional cooperation in water use in irrigation under conditions characterized by a general trend of increasing salinity. Income maximizing solutions for the region are derived and the related income distribution schemes are solved for, with the aid of cooperative game theory algorithms and shadow cost pricing. Distinction is made between distribution policies with and without side payments. The reasonableness and the acceptability of these schemes is later critically evaluated. The Nash-Harsanyi approach seems to be the most appropriate for the conditions studied.     

A time diversification approach to the emerging stock markets of Latin America: Argentina,Brazil, Chile,and Mexico

This article provides the analytical basis for the adoption of a longer view to portfolio diversification in Latin America. The benefits to be gained through time diversification are studied in the context of four countries: Argentina, Brazil, Chile, and Mexico. The empirical evidence of actual annualized returns indicates that risk in investment in Latin American equity returns tends to diminish over longer term investment horizons.     

Co-Movements of Latin American Equity Markets Before and After September 11, 2001

ABSTRACT

Empirical studies show that correlation between national equity markets tends to increase and the benefits of global portfolio diversification tend to decrease after events of global importance. A sufficiently long time period has passed since the September 11, 2001 terrorist attacks on the U.S. This time period provides a valuable opportunity to study if these events have changed the long-term co-movement patterns of international equity markets. We test this hypothesis using correlation analysis, principal components analysis and Granger causality statistical techniques by comparing the co-movement patterns of seven Latin American equity markets and the U.S. and Canadian equity markets during the five-year period before September 11 and during the five-year period afterward. Despite the findings of several previous studies on the world's other equity markets, our findings in this study indicate that correlation between the equity markets on the American continent decreased and the benefits of global portfolio diversification in the region increased after September 11, 2001.

RESUMEN. Los estudios empíricos muestran que la correlación entre los mercados de valores nacionales tiende a aumentar, mientras que las ventajas de la diversificación de la cartera global tienden a disminuir después de importantes eventos globales. Ya ha transcurrido suficiente tiempo desde el ataque terrorista del 11 de septiembre de 2001 en los Estados Unidos, Esto brinda una valiosa oportunidad para estudiar si estos eventos han cambiado los patrones de comovimiento a largo plazo de los mercados de valores nacionales. Ponemos a prueba esta hipótesis, los principales componentes del análisis, y las técnicas de la estadística causal comparadas por los patrones de comovimiento en los siete mercados de valores latinoamericanos, y los de los EE.UU y Canadá, durante el período quinquenal anterior al 11 de septiembre y durante el período quinquenal posterior a esa fecha. A pesar de los hallazgos que obtuvieron diversos estudios anteriores sobre los mercados de valores mundiales, nuestros hallazgos en este estudio indican que la correlación entre los mercados de valores en el continente americano ha bajado, y que los beneficios de la diversificación de la cartera global aumentaron en la región después del 11 de septiembre de 2001.

RESUMO. Estudos empíricos mostram que a correlação entre os mercados de ações nacionais tendem a aumentar e os benefícios da diversificação do portfólio global tendem a decrescer após acontecimentos de importância mundial. Um período bem longo transcorreu desde os ataques terroristas de 11 de setembro de 2001, nos Estados Unidos. Isto propicia uma oportunidade valiosa para analisar se estes acontecimentos mudaram os padrões de cointegração de longo prazo dos mercados de ações nacionais. Testamos esta hipótese através da análise de correlação, da análise dos componentes principais e das técnicas estatísticas de causalidade de Granger, comparando os padrões de cointegração de sete mercados de ações da América Latina e os mercados de ações americano e canadense, durante o período de cinco anos antes e depois do 11 de setembro. Apesar da descoberta de vários estudos anteriores sobre os demais mercados de ações do mundo, nossas descobertas neste trabalho indicam que a correlação entre os mercados de ações do continente americano decresceu e os benefícios de diversificação do portfólio mundial, na região, aumentaram, após o 11 de setembro de 2001.     

Strengthening Globalization’s Invisible Hand: What Matters Most?

In this paper, we investigate what matters most to sustaining strong economic growth in today’s more globalized, knowledge economy. An examination of 2005- 2006 statistical and survey data across 52 countries reveals that economic growth is driven mainly by developed and trustworthy financial markets, a well-educated and skilled workforce, and access to information and communications technologies. Moreover, we find that creditworthy financial markets are strengthened by free and open economies based on the rule of law and legal protections. Our findings support the notion that innovative ideas and entrepreneurship are at the heart of economic growth. However, these ideas need support from institutional policies and practices that create and sustain growth by providing needed protections and a market in which to finance them. JEL Classification F02, F16     

Co-movements of sector index returns in the world's major stock markets in bull and bear markets: Portfolio diversification implications

In this paper, principal components analysis and Granger causality tests are used to study the portfolio diversification implications of the co-movements of sector indexes in the US, UK, German, French, and Japanese stock markets in bull and bear markets. We find that, in a bull market, investors can obtain more benefit with global diversification than with domestic diversification even if they invest in the same sector in different countries as opposed to investing in different sectors within the same country. In a bear market, the sectors of different countries tend to be more closely correlated and country diversification opportunities are limited.     

Tests of technical trading strategies in the emerging equity markets of Latin America and Asia

This study examines the potential profit of ten Variable Length Moving Average (VMA) technical trading rules in ten emerging equity markets in Latin America and Asia from January 1982 through April 1995. The average difference in buy − sell returns after trading costs for each rule and country are compared to a buy and hold strategy. Taiwan, Thailand and Mexico emerge as markets where technical trading strategies may be profitable. We find no strong evidence of profitability for the other markets. However, we find that 82 out of the 100 country–trading rule combinations tested in ten emerging markets, disregarding their statistical significance, correctly predict the direction of changes in the return series. These findings may provide investors with important asset allocation information.     

Consumer Control and Empowerment: A Primer

This paper introduces consumer empowerment as a promising research area. Going beyond lay wisdom that more control is always better, we outline several hypotheses concerning (a) the factors that influence the perception of empowerment, and (b) the consequences of greater control and the subjective experience of empowerment on consumer satisfaction and confidence.     

World War II to 2011: Changes and Challenges in the Global Economy

This paper discusses six major changes and challenges that have emerged since World War II that will shape the global economy for the indefinite future. These are the changing economic role of women, the emergence of the global economic and financial system, the re-emergence of state-supported enterprises, the impact of the Internet, the global diffusion of opportunity and innovation, and globalization as an opportunity and a threat. How these challenges are addressed will have important consequences for business and for public policy. In addition to the prepared remarks, this paper also has a summary of the question-and-answer session that followed Dr. Hormats’ address.