DO PRICES CONVERGE AMONG INDONESIAN CITIES? AN EMPIRICAL ANALYSIS

We investigate consumer price convergence for 82 Indonesian cities using monthly data from 2014 to 2019. To do so, we employ recent techniques of club convergence and weak sigma convergence. The results reveal, first, consumer price divergence, implying price rigidities across the cities. Second, we find four clubs, suggesting that Indonesian cities converge along four unique transition paths. Third, we find weak evidence of consumer price convergence, suggesting that prices among Indonesian cities adjust, but not freely. Policy should therefore consider unique convergence paths for each club to promote stronger consumer price convergence.

Pricing Efficiency of Nifty BeES in Bullish and Bearish Markets

This article examines the pricing efficiency of Nifty BeES in bullish and bearish market conditions using high frequency data for a period of seven years. It seeks to address three questions. First, does the portfolio manager of Nifty BeES follow its benchmark replication strategy across different market conditions? Second, whether the portfolio manager minimizes the portfolio return volatility relative to the benchmark volatility. Third, whether the magnitude of premiums/discounts varies in bullish and bearish market conditions. Our findings suggest a significant difference in alpha-generation abilities of fund manager between the two market conditions. Tracking error was found to be relatively high in bearish conditions. The average premium is higher in bearish markets characterized with highest volatility. On the other hand, the average discount is higher in bullish markets characterized with least volatility. The price divergence disappears within three days and the market price and the fund’s net asset value (NAV) get aligned due to arbitrage mechanism.

RENTAL PRICE CONVERGENCE IN A DEVELOPING ECONOMY: NEW EVIDENCE FROM NONLINEAR PANEL UNIT ROOT TEST

We examine the hypothesis of nonlinear rental price convergence using relative rental price index of three major cities of Turkey namely, Istanbul, Izmir, and Ankara span from the period from January 1994 to February 2010. Our results indicate that all cities exhibit rental price convergence towards its national mean level for the period of January 1994 to December 2004. In contrast, none of the cities show evidence of convergence from January 2005 to February 2010. The evidence clearly shows rental price divergence in Turkish property market. Santruka Darbe tikrinama triju pagrindiniu Turkijos miestu — Stambulo, Izmiro ir Ankaros — netiesines rentos kainu konvergencijos hipoteze nuo 1994 m. sausio men. iki 2010 m. vasario men., taikant santykini rentos kainu indeksa. Tyrimu rezultatai rodo, kad nuo 1994 m. sausio men. iki 2004 m. gruodžio men. visuose miestuose rentos kainos artejo prie vidutinio nacionalinio lygio. Priešingai, tokios konvergencijos irodymu negauta ne vieno miesto atžvilgiu nuo 2005 m. sausio men. iki 2010 m. vasario men. Faktai aiškiai rodo Turkijos nekilnojamojo turto rinkos rentos kainu divergencija.