|
on South East Asia |
| By: | Hooi-Hooi Lean; Marwan Halim |
| Abstract: | This paper studies the cointegration and the bivariate causality relationship between exchange rates and stock prices on the seven Asian countries badly hit by the Asian Financial Crisis. Our empirical results show that, before the 1997 Asian Financial Crisis, all countries, except the Philippines and Malaysia, experience no evidence of Granger causality between the exchange rates and the stock prices. However, the causality but not the cointegration between the capital and financial markets appear to become strong during the Asian Financial Crisis period. Surprisingly, after the 911-terrorist-attack, the causality relationship between the two markets returns to normal as in the pre-Asian-crisis period and the cointegration relationship weakens between exchange rates and stock prices. Thus, we conclude that (1) Asian Financial Crisis has a bigger and more direct impact on the causality relationship between stock prices and currency exchanges in Asian markets and the 911-terrorist-attack basically has no impact on the causality relationship between the two markets; and (2) the financial and capital markets have become more mature and efficient after the crisis. |
| Keywords: | Asian Financial Crisis, 911-Terrorist-Attack, Dynamic Linkages, Cointegration, Bivariate Causality |
| JEL: | G15 |
| Date: | 2009–05 |
| URL: | http://d.repec.org/n?u=RePEc:mos:moswps:2005-10&r=sea |
| By: | Pami Dua (Department of Economics, Delhi School of Economics, Delhi, India); Upasna Gaur (Global Research Group, ICICI Bank Mumbai) |
| Abstract: | This paper investigates the determination of inflation in the framework of an open economy forward-looking as well as conventional backward-looking Phillips curve for eight Asian countries - Japan, Hong Kong, Korea, Singapore, Philippines, Thailand, China Mainland and India. Using quarterly data from the 1990s to 2005 and applying the instrumental variables estimation technique, we find that the output gap is significant in explaining the inflation rate in almost all the countries. Furthermore, at least one measure of international competitiveness has a statistically significant influence on inflation in all the countries. The differences in the developed and developing world are highlighted by the significance of agriculture related supply shocks in determining inflation in the case of developing countries. For all countries, the forward-looking Phillips curve provides a better fit compared to the backward looking variant. |
| Date: | 2009–04 |
| URL: | http://d.repec.org/n?u=RePEc:cde:cdewps:178&r=sea |
| By: | James Ang; Kunal Sen |
| Abstract: | In this paper, we provide a comparative account of the evolution of private saving in India and Malaysia, and analyze how policy changes in the financial sectors and pension systems help explain differences in their saving performance. Using the ARDL bounds estimation procedure, we find a fairly robust long-run relationship between private saving and its determinants in both countries. Consistent with the predictions made in the life cycle model, our results indicate that higher income growth stimulates private saving and an increase in age dependency retards private saving. The results provide some support for the hypothesis that financial liberalization results in lower private saving in both countries. The evidence also indicates that expected pension benefits tend to stimulate private saving in India, but that the reverse is found in Malaysia. |
| Keywords: | private savings; pension saving; financial liberalization; India; Malaysia. |
| JEL: | C22 O16 O53 |
| Date: | 2009–06 |
| URL: | http://d.repec.org/n?u=RePEc:mos:moswps:2008-13&r=sea |
| By: | Tuck Cheong Tang; Evan Lau |
| Abstract: | This study aims to examine the sustainability of balancing item (‘net errors and omissions’) of balance of payment accounts for OIC (Organisation of the Islamic Conference) member countries. The series specific panel unit root test (SURADF unit root tests) suggest that 9 out of 23 sampled OIC member countries have their balancing item sustainable - Albania, Coted’Ivoire, Indonesia, Kuwait, Malaysia, Mozambique, Pakistan, Tunisia, and Uganda. |
| Keywords: | Balancing Item (Net Errors and Omissions); Organisation of the Islamic Conference (OIC); Sustainability |
| JEL: | C22 F32 |
| Date: | 2009–06 |
| URL: | http://d.repec.org/n?u=RePEc:mos:moswps:2008-31&r=sea |
| By: | Lean Hooi Hooi; Wong Wing Keung; Russell Smyth |
| Abstract: | Extensive evidence on the prevalence of calendar effects suggests that there exists abnormal returns, but some recent studies have concluded that calendar effects have largely disappeared. In spite of the non-normal nature of stock returns, most previous studies have employed the mean-variance criterion or CAPM statistics, which rely on the normality assumption and depend only on the first two moments, to test for calendar effects. A limitation of these approaches is that they miss much important information contained in the data such as higher moments. In this paper, we use the Davidson and Duclos (2000) test, which is a powerful non-parametric stochastic dominance (SD) test, to test for the existence of day-of-the-week and January effects for several Asian markets using daily data for the period from 1988 to 2002. Our empirical results support the existence of weekday and monthly seasonality effects in some Asian markets but suggest that first order SD for the January effect has largely disappeared. |
| Keywords: | Stochastic dominance, Calendar anomalies, Asian markets. |
| JEL: | C14 G12 G15 |
| Date: | 2009–05 |
| URL: | http://d.repec.org/n?u=RePEc:mos:moswps:2005-16&r=sea |
| By: | Hooi Hooi Lean; Russell Smyth |
| Abstract: | International visitor arrivals from Malaysia’s ten major source markets are examined using Lagrange Multiplier (LM) unit root tests with one and two structural breaks to ascertain if shocks to the time path of tourist arrivals are permanent or transitory. The LM unit root test with one break is able to reject the unit root null for between 60 per cent of source markets where the break is specified as in the intercept and 90 per cent of source markets where the break is specified as in the intercept and slope. The LM unit root test with two breaks is able to reject the unit root null for all source markets, irrespective of how the break is specified. This result suggests that the effects of shocks on the growth path of tourist arrivals to Malaysia from its major markets are only transitory and that Malaysia’s tourist sector is sustainable in the long run. While the effects of shocks are not permanent we do find that following shocks the growth in tourist arrivals from Malaysia’s source markets have generally slowed. This result suggests there is a need to reduce the negative effects of slower growth in the recovery phase. |
| Date: | 2009–06 |
| URL: | http://d.repec.org/n?u=RePEc:mos:moswps:2006-11&r=sea |
| By: | James Ang |
| Abstract: | This paper examines the role of financial sector policies in determining private investment in the economies of India and Malaysia. The results suggest that the presence of significant directed credit programs favoring certain priority sectors in the economies appear to be harmful for private capital formation in both countries. Interest rate controls seem to have a positive impact on investment in the private sector, and the effect is found to be stronger in India. While high reserve and liquidity requirements exert a negative influence on private investment in India, the effect is found to be positive in Malaysia. |
| Keywords: | Private investment; financial sector policies; India; Malaysia. |
| JEL: | E22 O16 O53 |
| Date: | 2009–06 |
| URL: | http://d.repec.org/n?u=RePEc:mos:moswps:2008-07&r=sea |
| By: | TAKAHASHI Katsuhide; URATA Shujiro |
| Abstract: | The paper examines the use of Free Trade Agreements by Japanese companies. The FTAs analyzed include Japan's FTAs with Mexico, Malaysia and Chile. Based on 1,688 responses to a questionnaire survey conducted in 2008, the study finds that the utilization rate of FTAs ranges between 32.9% (Japan-Mexico FTA) and 12.2% (Japan-Malaysia FTA). The survey results and the statistical analysis of the determinants of the use of FTAs reveal obstacles to using FTAs that include the limited magnitude of foreign trade with the FTA partner countries, difficulty in obtaining the certificate of origin that is required to use the FTA, lack of knowledge of FTAs, and the small FTA tariff preference that is the difference between the MFN and FTA tariff rates. These findings indicate the need for the government and relevant agencies to reduce the cost of obtaining the certificate of origin and to make efforts to establish FTAs with Japan's major trading partners, such as the United States, EU and China, in order for Japanese companies to obtain greater benefits from FTAs. |
| Date: | 2009–06 |
| URL: | http://d.repec.org/n?u=RePEc:eti:dpaper:09025&r=sea |
| By: | Koi Nyen Wong |
| Abstract: | This study estimates the determinants of foreign demand for Malaysia's top five electronics exports by SITC (Standard International Trade Classification) product groups from 1990 to 2001. Cointegration results indicate a unique long-run relationship between export demand for electronic products and relative prices and foreign income. Both the estimated long-run income and price elasticities of export demand are greater than 1, conforming to a pattern found in most fast-growing economies and implying price is an important factor in explaining export growth with the exception of semiconductor exports. The present study has important policy implications to the competitiveness of electronics exports that can lead Malaysia’s transition towards high-technology industrialization. |
| Date: | 2009–06 |
| URL: | http://d.repec.org/n?u=RePEc:mos:moswps:2006-08&r=sea |
| By: | Koi Nyen Wong; Tuck Cheong Tang |
| Abstract: | Tourism has been identified as one of the key growth sectors in Singapore economy. Given that the city state has been recognised as one of the most open economies in the world, this study attempts to explore the causality relationships between tourism, openness to merchandise and services trade. Firstly, the study shows bi-direction causality between international visitor arrivals to Singapore and openness to merchandise trade. Secondly, there is a unidirectional causality from openness to services trade to international visitor arrivals to Singapore. The findings imply that further trade liberalisation in goods as well as services sectors can be seen as an important catalyst for the growth, and development of the tourism sector. Conversely, an increase in tourism activities could also encourage the host country to open itself to more international trade. Furthermore, it is imperative to liberalise the services sector in Singapore in order facilitate more openness in merchandise trade given a large scale of services constitutes goods trade. |
| Keywords: | Causality; Trade Openness; Tourism; Singapore. |
| JEL: | F41 L83 |
| Date: | 2009–06 |
| URL: | http://d.repec.org/n?u=RePEc:mos:moswps:2008-26&r=sea |
| By: | Koi Nyen Wong; Tuck Cheong Tang |
| Abstract: | Manufacturing and services have been regarded as the “twin engines†of growth for Singapore economy. As the economy is moving up the value chain from downstream to upstream activities, a significant proportion of FDI (foreign direct investment) has been attracted to the manufacturing and services sectors. This paper examines the causal relationships between inward FDI and the host country’s employment in these two sectors using tri-variate VAR (vector autoregressive) framework. The main findings show evidence of unidirectional causality, running from employment in manufacturing and services to FDI inflows. Furthermore, there is evidence showing strong employment linkages, predominantly from the manufacturing to services. The present study provides useful policy implications towards promoting foreign investment in emerging areas of and manpower development in both sectors of the economy. |
| Keywords: | Causality; foreign direct investment; employment; Singapore. |
| JEL: | E24 F21 |
| Date: | 2009–06 |
| URL: | http://d.repec.org/n?u=RePEc:mos:moswps:2008-15&r=sea |
| By: | Lee, Lena; Wong, Poh Kam |
| Abstract: | This study shows that the joint effects of the entrepreneur’s personality and an unpredictable environment, as well as the interaction effects of a low uncertainty avoidance culture, predict opportunity exploitation. Our study’s findings are consistent with the emerging opportunity-exploiter nexus framework of Shane and Venkataraman, which posits that the rate and nature of entrepreneurial exploitation activities are jointly determined by the nexus of environmental factors that shape the emergence of opportunities and the supply of opportunity-seekers with the right entrepreneurial personalities to exploit such opportunities. Specifically, we found that entrepreneurs who display a high level of extroversion, agreeableness, openness to experience, conscientiousness, and non-neuroticism, have a greater propensity to exploit novel opportunities in unpredictable environments and low uncertainty avoidance cultures. A study involving 570 entrepreneurs from UK, Thailand, and South Korea reveals that the interaction effects between personality and environmental unpredictability is more pronounced in cultures with a low high degree of uncertainty avoidance. |
| Keywords: | Opportunity exploitation; personality; culture |
| JEL: | L26 M13 |
| Date: | 2009–07–12 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:16194&r=sea |