Dynamic Modeling of Stock Market Interdependencies: An Empirical Investigation of Australia and the Asian NICs

2001 ◽  
Vol 04 (02) ◽  
pp. 235-264 ◽  
Author(s):  
Abul M. M. Masih ◽  
Rumi Masih
Keyword(s):  
Hong Kong ◽  
Stock Prices ◽  
Stock Markets ◽  
The Other ◽  
Substantial Contribution ◽  
Exogenous Shocks ◽  
Leading Role ◽  
Equilibrium Relationship ◽  
Short Run

This article examines the patterns of dynamic linkages among national stock prices of Australia and four Asian NIC stock markets namely, Taiwan, South Korea, Singapore and Hong Kong. By employing recently developed time-series techniques results seem to consistently suggest the relatively leading role of the Hong Kong market in driving fluctuations in the Australian and other NIC stock markets. In other words, given the generality of the techniques employed, Hong Kong showed up consistently as the initial receptor of exogenous shocks to the (long-term) equilibrium relationship whereas the Australian and the other NIC markets, particularly the Singaporean and Taiwanese markets had to bear most of the brunt of the burden of short-run adjustment to re-establish the long term equilibrium. Furthermore, given the dominance of the Hong Kong market in the region, the study also brings to light the substantial contribution of the Australian market in explaining the fluctuations to the other three markets, particularly Singapore and Taiwan. Finally, in comparison to all other NIC markets, Taiwan and Singapore appear as the most endogenous, with the former providing significant evidence of its short-term vulnerability to shocks from the more established market such as Australia.

Price Transmission and Market Openness

1998 ◽  
Vol 01 (02) ◽  
pp. 215-232
Author(s):  
Lifan Wu ◽  
Asani Sarkar
Keyword(s):  
New York ◽  
Hong Kong ◽  
Stock Prices ◽  
Stock Markets ◽  
Stock Exchange ◽  
Price Transmission ◽  
New York Stock Exchange ◽  
Response Patterns ◽  
Price Behavior ◽  
York Stock Exchange

This paper studies the degree of impact of stock prices listed on the New York Stock Exchange and Tokyo Stock Exchange regarding price behavior in Asian stock markets. Our evidence shows that the pattern and magnitude of impact varies. Returns in Hong Kong, Singapore, and Malaysia are more sensitive than those in Taiwan, Korea and Thailand. The response patterns in the Asian markets suggest that foreign influence is significantly correlated to the degree of market openness.

scholarly journals Direction of Causality between Financial Development and Economic Growth in Turkey

2021 ◽  
pp. 22-37
Author(s):  
Cengiz Yılmaz ◽  
Banu Demirhan
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
Gross Domestic Product ◽  
Financial Development ◽  
The Other ◽  
Development Indicators ◽  
Short Run ◽  
Causality Relationship ◽  
Using Data

This paper has investigated the causality relationship between financial development and economic growth in Turkey, using data from 2005:04 to 2020:03. We construct a time-series model to explore causality relationships between the variables. In the study, two indicators were used as financial development indicators: banking loans to the private sector and money supply to GDP (Gross Domestic Product). The empirical results have represented a bi-directional relationship between financial development and economic growth in the short run. On the other hand, we have not found a causality relationship in the long term.

scholarly journals The impact of Indonesian oil price (CPI) and macroeconomics on investments in the manufacturing sector in Indonesia

F1000Research ◽  
2021 ◽  
Vol 10 ◽  
pp. 338
Author(s):  
Handri Handri ◽  
Hendrati Dwi Mulyaningsih ◽  
Achmad Kemal Hidayat ◽  
Rudi Kurniawan ◽  
Ani Wahyu Rachmawati
Keyword(s):  
Energy Source ◽  
Stock Prices ◽  
Manufacturing Sector ◽  
Granger Causality Test ◽  
Oil Price ◽  
Causality Test ◽  
Long Run ◽  
Short Run ◽  
The Impact

Background: Indonesia consumes oil as the main energy source in the production process and as a result of the development of the manufacturing industry. Thus, investment in manufacturing stocks will be affected by oil price fluctuations and macroeconomic conditions. Changes in oil prices will affect the performance of the manufacturing sector which in turn affects manufacturing stock prices. This paper aims to examine the impact of Indonesia's oil price shocks and macroeconomic factors on stock price movements in the manufacturing sector. Methods: This study uses monthly data for the 2009-2016 period in the manufacturing sector, and 67 stocks were selected on the basis consistently available in the period of the research. The cointegration and causality technique was used in this paper; firstly we applied a unit-panel root test, Secondly, we performed a residual test to indicate whether there was cointegration among variables in the long run equilibrium, and short the short run, we used a Granger causality test. Results: The panel unit root test (both Shin and Fisher) and the Pedroni cointegration residual test show that the data is stationary at 1%  level of significance, thus all variables simultaneously achieve long-run equilibrium, and in the short run, the Granger causality test shows that there is one way direction causality Conclusions: For long-term investment in manufacturing stocks, investors must consider the exchange rate, as it is also as a determining factor in influencing the movement of manufacturing stock prices, inflation, and the production index. Meanwhile, weakening of the rupiah in the short run will also determine investment conditions due to the dependency on raw materials for production from foreign sources. The price of oil as an energy source in the manufacturing sector does not have a long-term relationship with other variables.

Cointegration of Asian Stock Markets: Empirical Evidence from India

2016 ◽  
Vol 6 (2) ◽  
Author(s):  
Beeralaguddada Srinivasa Veerappa
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
Causality Test ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Short Run ◽  
Auto Regressive ◽  
Global Stock Markets ◽  
Indian Stock Market

At present stock return is significantly related to other global stock markets. The present paper empirically investigates the short run and long run equilibrium relationship between the stock market of India, Japan Hong Kong, Singapore, Malaysia, China, and Australia monthly data during January 1995 to December 2013. Researcher employs correlation test, multivariate co-integration framework, Vector Auto Regressive error-correction model and Granger causality test with reference to financial up evils in Asia and world viz., Asian crisis (1997/98), financial crisis (2008) Inflation conditions, Natural disasters, financial up evils etc. of long run relationship. Results find that the Indian stock market return is significantly co-integrated with long run and short run situations/causalities in Asian Stock returns.

Article 140 Between Baghdad and KRG: The Future of Kirkuk Status in Post 16 October

2019 ◽  
Vol 75 (4) ◽  
pp. 510-524
Author(s):  
Hawre Hasan Hama
Keyword(s):  
Demographic Change ◽  
Democratic Party ◽  
The Other ◽  
Case Scenario ◽  
The Future ◽  
The Status ◽  
Short Run ◽  
The Will

The Iraqi state and the Kurds have always been at the odds over the territory around Kirkuk, particularly following the discovery of oil in the province in 1927. Both sides have claimed ownership of the province since that time and have sought to gain advantage over the other through various means. The region was subjected to a forced demographic change under the Arabisation policy during the reign of Ba’ath Party between 1968 and 2003. Following the overthrow of Saddam’s regime in 2003, the status of Kirkuk was to be constitutionally and peacefully resolved according to Article 58 of the 2004 interim constitution and then Article 140 of the 2005 permanent constitutions, which called for normalisation, a census, and a referendum in Kirkuk and other disputed areas to determine the will of their residents. Practically, however, various Iraqi governments and the two dominant Kurdish parties, the Patriotic Union of Kurdistan and the Kurdistan Democratic Party, were able to politicise implementation of Article 140. Although each blame the other, all share responsibility for the lack of implementation. This research investigates that experience and argues that the joint administration is the optimal scenario in the short run and independent region within the Iraqi state would be the best-case scenario in the long term.

scholarly journals Spatial and temporal variations of the concentrations of PM<sub>10</sub>, PM<sub>2.5</sub> and PM<sub>1</sub> in China

2015 ◽  
Vol 15 (23) ◽  
pp. 13585-13598 ◽  
Author(s):  
Y. Q. Wang ◽  
X. Y. Zhang ◽  
J. Y. Sun ◽  
X. C. Zhang ◽  
H. Z. Che ◽  
...  
Keyword(s):  
Northeast China ◽  
Southern China ◽  
Northern China ◽  
Temporal Variations ◽  
Substantial Contribution ◽  
Short Term ◽  
Leading Role ◽  
Variation Patterns ◽  
Increasing Trend

Abstract. Concentrations of PM10, PM2.5 and PM1 were monitored at 24 CAWNET (China Atmosphere Watch Network) stations from 2006 to 2014. The highest particulate matter (PM) concentrations were observed at the stations of Xian, Zhengzhou and Gucheng, on the Guanzhong Plain and the Huabei Plain (HBP). The second highest PM concentrations were observed in northeast China, followed by southern China. According to the latest air quality standards of China, 14 stations reached the PM10 standard, and only 7 stations, mainly rural and remote stations, reached the PM2.5 standard. The ratios of PM2.5 to PM10 showed a clear increasing trend from northern to southern China, because of the substantial contribution of coarse mineral aerosol in northern China. The ratios of PM1 to PM2.5 were higher than 80 % at most stations. PM concentrations tended to be highest in winter and lowest in summer at most stations, and mineral dust influenced the results in spring. A decreasing interannual trend was observed on the HBP and in southern China for the period 2006 to 2014, but an increasing trend occurred at some stations in northeast China. Bimodal and unimodal diurnal variation patterns were identified at urban stations. Both emissions and meteorological variations dominate the long-term PM concentration trend, while meteorological factors play a leading role in the short term.

scholarly journals The impact of COVID-19 pandemic shock on major Asian stock markets: evidence of decoupling effects

2021 ◽  
Vol 34 (2) ◽  
pp. 21-32
Author(s):  
Ibrahim A. Onour ◽  
Keyword(s):  
Hong Kong ◽  
Stock Prices ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Transition Probabilities ◽  
Spillover Effects ◽  
Switching Behavior ◽  
Short Period ◽  
Duration Effect ◽  
The Impact

Introduction. Despite the start of the outbreak of the virus (COVID-19) was in December 2019, stock markets did not respond immediately as there was little information about the expected duration of the crisis and whether China would be able to contain it within a short period of time, and the risks entailing to the global economy due to the virus spread becoming pandemic that endanger the global health situation. As a result of the great uncertainty that prevailed among investors in the third week of February, stock markets around the world incurred trillions of US dollars in losses in a single week (ending February) seen as the worst week for financial markets since the 2008 global financial crisis. The initial purpose of this paper is to assess the reaction of major Asian stock markets to the early outbreak of COVID-19 pandemic and its spillover effects among these markets. Material and methods. To capture switching behavior of major Asian stock markets due to the early outbreak of COVID-19, the paper uses daily price indexes of Shanghai composite, Hong Kong, Nikkei 225, and Korea stock market, during the period from December 2, 2019 to March, 13,2020. Markov switching dynamic regression (MSDR) employed to assess the behavior of each market to the response of the other markets’ behavior. Results. Our finding indicate evidence of two states that distinguish the behavior of the stock markets during the early outbreak of the pandemic. In state 1, when the significance of the pandemic was not fully realized there was a strong link and influence between these markets, but in state 2, when the scale and size of the pandemic realized these markets displayed decoupling behavior. Results also indicate, Hong Kong and Nikkie stock markets were the epicenter in both states. The impact of the pandemic news on the behavior of these markets as indicated by the transition probabilities of state 2, varied from 3 days duration effect (Hong Kong) to 3month duration effect (Nikkei 225). Discussion and conclusions. The interactive association between these stock markets is important for investors as well as for policy-makers. Increasing departure of stock prices from their fundamental driver, that is the common economic bonds linking these markets, implies increasing risk for investors in these stock markets. The duration of the shock as indicated by the transition probabilities show that Hong Kong stock exchange was the most resilient in the group, while Nikkei was the most reactive to the pandemic shock.

scholarly journals Usability and usefulness of eBooks on PPCs: How students' opinions vary over time

2009 ◽  
Vol 25 (1) ◽  
Author(s):  
Paul Lam ◽  
Shun Leung Lam ◽  
John Lam ◽  
Carmel McNaught
Keyword(s):  
Hong Kong ◽  
Teaching And Learning ◽  
Research Team ◽  
The Other ◽  
First Impressions ◽  
University Libraries ◽  
University Setting ◽  
Over Time

<blockquote><p>The number of academic eBooks in university libraries is increasing. Reading digital materials such as newspapers is valued in Hong Kong; however, students' perceptions of the value of reading academic eMaterials are not well known. In this study we investigated 12 students' use of academic eBooks on mobile readers in two ways. Six students had brief introduction to eBooks and they reported their first impressions of the technology. The other six students had a 12-week eBook reading period that was closely monitored by the research team. The experiences from the two groups of students generally affirmed that the technology has potential to enhance teaching and learning in a university setting. However, the experiences (especially of the long-term users) highlight a number of challenges that need to be addressed.</p></blockquote><p> </p>

scholarly journals ESTIMATING EQUITY RISK PREMIUM: THE CASE OF GREATER CHINA

2019 ◽  
Vol 22 (2) ◽  
pp. 195-212 ◽  
Author(s):  
Jie Zhu
Keyword(s):  
Hong Kong ◽  
Risk Premium ◽  
Stock Markets ◽  
Mainland China ◽  
Rate Of Return ◽  
Time Varying ◽  
Equity Risk Premium ◽  
Greater China ◽  
Equity Risk

The expected equity risk premium is a key input of many asset prcing models in…nance. There exist a number of methods to estimate the risk premium. It is alsowell documented that the risk premium is time-varying. This paper brie‡y reviews twodi¤erent approaches. More speci…cally, the historical average and relative estimationare taken into closer examination. The …rst approach is applied to estimate equity riskpremium for stock markets in Greater China when the stock markets were recoveringfrom the bottom. Then the relative estimation approach is also adopted to empiricaldata to justify the …ndings in the …rst one, which takes into consideration the lowerrequired rate of return for Chinese investors due to lack of investment opportunities.After making these adjustments, we …nd that risk premium in mainland China is close torisk premium for Hong Kong and Taiwan markets. All of those markets have higher riskpremium compared to US market. The risk premium for Shanghai and Shenzhen marketare about 8% and 10% respectively. For Hong Kong and Taiwan these numbers become8% and 9%, where the long-term forward-looking risk premium for US market is about4%.

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