Information Spillover Effect Between the U.S. REITs Market and Japan REITs Market

2021 ◽  
Vol 40 (2) ◽  
pp. 103-126
Author(s):  
Cha Soon CHoi
Keyword(s):  
Spillover Effect ◽  
Information Spillover ◽  
The U.S

scholarly journals The Effects from The U.S. and Japan to Emerging Stock Markets in Asia and Vietnam

2021 ◽  
Author(s):  
SDAG Lab
Keyword(s):  
Emerging Markets ◽  
Stock Prices ◽  
Stock Markets ◽  
Spillover Effect ◽  
Spillover Effects ◽  
The Philippines ◽  
Volatility Spillovers ◽  
Return Effect ◽  
Asian Emerging Markets ◽  
The U.S

The subprime mortgage crisis in the U.S. in mid-2008 suggests that stock prices volatility do spillover from one market to another after international stock markets downturn. The purpose of this paper is to examine the magnitude of return and volatility spillovers from developed markets (the U.S. and Japan) to eight emerging equity markets (India, China, Indonesia, Korea, Malaysia, the Philippines, Taiwan, Thailand) and Vietnam. Employing a mean and volatility spillover model that deals with the U.S. and Japan shocks and day effects as exogenous variables in ARMA(1,1), GARCH(1,1) for Asian emerging markets, the study finds some interesting findings. Firstly, the day effect is present on six out of nine studied markets, except for the Indian, Taiwanese and Philippine. Secondly, the results of return spillover confirm significant spillover effects across the markets with different magnitudes. Specifically, the U.S. exerts a stronger influence on the Malaysian, Philippine and Vietnamese market compared with Japan. In contrast, Japan has a higher spillover effect on the Chinese, Indian, Korea, and Thailand than the U.S. For the Indonesian market, the the return effect is equal. Finally, there is no evidence of a volatility effect of the U.S. and Japanese markets on the Asian emerging markets in this study.

scholarly journals Research on Information Spillover Effect of the RMB Exchange Rate and Stock Market Based on R-Vine Copula

Complexity ◽  
2020 ◽  
Vol 2020 ◽  
pp. 1-12
Author(s):  
Xiaofei Wu ◽  
Shuzhen Zhu ◽  
Suxue Wang
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Spillover Effect ◽  
Dependence Structure ◽  
Chinese Stock Market ◽  
Single Currency ◽  
Rmb Exchange Rate ◽  
The Exchange Rate ◽  
Information Spillover ◽  
Vine Copula

This paper studies the dependence structure and information spillover effect between the RMB exchange rate and the Chinese stock market based on the R-vine copula model and spillover index model. The results show that due to the occurrence of the trade war, the correlation between the three RMB exchange rate indicators and the two stock market indicators increases in varying degrees. In the intensity of spillover, the information spillover of the stock market to the RMB exchange rate is significantly enhanced, and the information spillover intensity of the RMB Index to the stock market increases, but the information spillover of the US dollar and Hong Kong dollar exchange rates to the stock market is significantly weakened. In the direction of spillover, the spillover of the RMB Index and stock market shows the characteristics of alternating transformation, while the exchange rate of a single currency and the stock market shows a one-way transmission from the stock market to the exchange rate. Additionally, the information spillover between the RMB exchange rate and the stock market is closely related to the degree of market openness. The RMB Index contains more information than the exchange rate of a single currency.

The Direction of Wage Spillovers in Manufacturing

ILR Review ◽  
1982 ◽  
Vol 36 (1) ◽  
pp. 102-112 ◽  
Author(s):  
Susan Vroman
Keyword(s):  
Union Wage ◽  
Manufacturing Sector ◽  
Spillover Effect ◽  
Traditional View ◽  
Model Specification ◽  
Wage Change ◽  
Empirical Results ◽  
Nonunion Wage ◽  
Data Period ◽  
The U.S

This study develops a model of wage behavior for both union and nonunion workers in the U.S. manufacturing sector and tests that model with separate union and nonunion wage-change series covering the period 1960 to 1978. The empirical results support the traditional view that union wage behavior influences or spills over into nonunion wage changes but not vice versa. These results are of particular interest because they contrast sharply with an earlier study by Flanagan that reported an opposite spillover effect. Flanagan's results are shown to be quite sensitive to the choice of model specification and data period.

Government governance, executive networks and corporate investment efficiency

2018 ◽  
Vol 8 (2) ◽  
pp. 122-139 ◽  
Author(s):  
Xin Jin ◽  
Junli Yu
Keyword(s):  
Design Methodology ◽  
Spillover Effect ◽  
Corporate Investment ◽  
Investment Behavior ◽  
Investment Efficiency ◽  
Conduction Path ◽  
Content Type ◽  
Informal Institution ◽  
Government Governance ◽  
Information Spillover

PurposeOwing to the importance of the investment behavior in China, the purpose of this paper is to find the influence of executive network and government governance on investment efficiency.Design/methodology/approachThe paper use China’s listed companies as sample to make an investment efficiency determinant model.FindingsIn this article, the authors find that larger executive network and higher government governance will lead to more corporate investment efficient. Furthermore, the informal institution – executive network, is not only an effective way to alleviate financing constraints, but also can solve underinvestment problem. While the improvement of local government governance can provide institutional protection, it will also be more conducive to restrain overinvestment behavior.Research limitations/implicationsThe authors have not explored conduction path. Especially, the authors have not examined whether information spillover effect or the release of resources constraints in executive network plays a more important role to ease investment insufficient.Originality/valueUnder the Chinese circumstance, relationship governance can not only promote companies to improve investment efficiency, but also provide an important guarantee for sustained macroeconomic growth.

scholarly journals The effects from the United States and Japan to emerging stock markets in Asia and Vietnam

2020 ◽  
Author(s):  
AISDL
Keyword(s):  
United States ◽  
Emerging Markets ◽  
Stock Prices ◽  
Stock Markets ◽  
Spillover Effect ◽  
Spillover Effects ◽  
The United States ◽  
The Philippines ◽  
Asian Emerging Markets ◽  
The U.S

The subprime mortgage crisis in the United States (U.S.) in mid-2008 suggests that stock prices volatility do spillover from one market to another after international stock markets downturn. The purpose of this paper is to examine the magnitude of return and volatility spillovers from developed markets (the U.S. and Japan) to eight emerging equity markets (India, China, Indonesia, Korea, Malaysia, the Philippines, Taiwan, Thailand) and Vietnam. Employing a mean and volatility spillover model that deals with the U.S. and Japan shocks and day effects as exogenous variables in ARMA(1,1), GARCH(1,1) for Asian emerging markets, the study finds some interesting findings. Firstly, the day effect is present on six out of nine studied markets, except for the Indian, Taiwanese and Philippine. Secondly, the results of return spillover confirm significant spillover effects across the markets with different magnitudes. Specifically, the U.S. exerts a stronger influence on the Malaysian, Philippine and Vietnamese market compared with Japan. In contrast, Japan has a higher spillover effect on the Chinese, Indian, Korea, and Thailand than the U.S. For the Indonesian market, the return effect is equal. Finally, there is no evidence of a volatility effect of the U.S. and Japanese markets on the Asian emerging markets in this study.

Are Stock Markets Interdependent? An Empirical Study of Selected Market Indices

GIS Business ◽  
2016 ◽  
Vol 11 (4) ◽  
pp. 57-67
Author(s):  
Falguni H. Pandya
Keyword(s):  
Granger Causality ◽  
Spillover Effect ◽  
Correlation Coefficients ◽  
Granger Causality Test ◽  
Causality Test ◽  
Market Index ◽  
International Investors ◽  
Basic Characteristics ◽  
Highly Correlated ◽  
Information Spillover

It has been acclaimed by various researchers that international diversification has reduced its charm as return-risk of the world markets are highly correlated due to information spillover effect and globalization. This study examines inter linkages and interactions, if any, among the selected twelve indices of developed and emerging economies. The study applies descriptive statistics, correlation coefficients and Granger Causality test to check basic characteristics of each indices and their correlation and impact on each other. Granger Causality test for some indices shows that return of one market index had causal influence on return in other market index. The finding of this paper gives good insights to the international investors who are looking to reduce risk for a given level of return.

scholarly journals Price and Variance Transmission from the U.S. Capital Market to Foreign Capital Markets; Evidence in the Financial Times Actuaries World Indices from 1991 to 1993

2020 ◽  
Vol 2 (2) ◽  
pp. 77
Author(s):  
Franco Parisi
Keyword(s):  
Capital Markets ◽  
Capital Market ◽  
Foreign Capital ◽  
Spillover Effect ◽  
The U.S

The U.S. impact on the Financial Times Actuaries World Indices (FTAWIS) is significant, in both pricing and variance. The pricing effect from the U.S. to the FTAWIS is significant in all cases. The U.S. spillover effect is significant in 18 cases over a total of 22 countries considered in the sample. This leads to the conclusion that the FTAWIS incorporate the information generated in the U.S. capital market in both pricing and variance.

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