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on South East Asia |
| By: | Gregory C Chow; Shicheng Huang; Linlin Niu |
| Abstract: | This paper studies the economic integration of East Asian economies among one another and with the US using co-movement of stock market prices. Both time-varying correlations and regressions are employed. We have traced the increased integration from 1980 to 2011 among the NIEs of Korea, Hong Kong, Taiwan and Singapore, the increase in integration of China since the Shanghai stock market opened in 1990 and the effect of the recent great economic recession of the US on its economic influence on the East Asian economies. |
| Keywords: | economic integration, time-varying regressions, East Asia, China, US, Japan, stock prices. |
| JEL: | C22 G12 |
| Date: | 2013–10–14 |
| URL: | http://d.repec.org/n?u=RePEc:wyi:wpaper:002042&r=sea |
| By: | Ying Fang; Shicheng Huang; Linlin Niu |
| Abstract: | We employ a Bayesian method to estimate a�time-varying coefficient version of the de facto currency basket model of�Frankel and Wei (2007) for the RMB of China, using daily data from February�2005 to July 2011. We estimate jointly the implicit time-varying weights of�all 11 currencies in the reference basket announced by the Chinese�government. We find the dollar weight has been reduced and is sometimes�significantly smaller than one, but there is no evidence of systematic�operation of a currency basket with a�discernible�pattern of significant�weights on other currencies. During specific periods, the reduced dollar weight has not been switched to other major international currencies, but�instead to some East Asian currencies, which is hard to explain by trade�importance to or trade competition with China. We examine currency baskets�of these East Asian Economies, which include major international currencies�and the RMB in their baskets. We find an evident tendency of Malaysia and�Singapore to increase the weights of RMB in their own currency baskets, and�a continuously significant positive weight of RMB in the basket of Thailand.�These findings suggest that the occasionally positive weights of some East�Asian currencies in RMB currency basket reflects the positive RMB weights in�these East Asian currency baskets, as these East Asian economies have been�systematically placing greater weights on RMB under the new regime of RMB�exchange rate. |
| Keywords: | RMB currency basket, time-varying regressions, East Asia,�China, US |
| JEL: | F31 F41 C11 |
| Date: | 2013–10–14 |
| URL: | http://d.repec.org/n?u=RePEc:wyi:wpaper:002045&r=sea |
| By: | Cheng Hsiao |
| Date: | 2013–10–14 |
| URL: | http://d.repec.org/n?u=RePEc:wyi:wpaper:001974&r=sea |
| By: | Joo Hwan Seo; Sung Yong Park; Larry Yu |
| Abstract: | This paper investigates the determinants of the relationship among Korean outbound tourism demand for Jeju Island and three other Asian island countries using the multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) and Vector Error Correction (VEC) models. It is found that pairwise conditional correlations among tourism demand for Jeju, Thailand, Singapore and the Philippines are not constant but time varying. Estimated conditional correlations among Jeju and the three Asian countries are negative over some time periods. This implies that the three Asian countries are substitutes for Jeju in certain specific time horizons. The VEC model is used to investigate the short-run and long-run dynamic relationships and the results reveal that Industrial Production Index and real exchange rates had the positive or negative impact on conditional correlations of tourism demand for these destinations. Tourism policy implications are discussed for managing tourism demand for these destinations. |
| Keywords: | Dynamic conditional correlation; Multivariate GARCH; Vector error correction model; Jeju Island; Korean outbound tourism |
| Date: | 2013–10–14 |
| URL: | http://d.repec.org/n?u=RePEc:wyi:journl:002100&r=sea |
| By: | Tingguo Zheng; Haomiao Zuo |
| Abstract: | This paper intends to examine the volatility spillover effect betweenselective developed markets including U.S., U.K., Germany, Japanand Hong Kong over the sample period from 1996 to 2011. Weintroduce a Markov switching causality method to model thepotential instability of volatility spillover relationships over mar-ket tranquil or turmoil periods. This method is more flexible as noprior information on the changing points or size of sample win-dow is needed. From the empirical results, we find the evidenceof the existence of spillover effects among most markets, and thebilateral volatility spillover effects are more prominent over tur-moil or crisis episodes, especially during Asia crisis and subprimemortgage crisis periods. Moreover, the distinct role of each marketis also investigated. |
| Keywords: | Volatility spillover, Markov switching, Granger causality, Range |
| JEL: | C32 C53 C58 |
| Date: | 2013–10–14 |
| URL: | http://d.repec.org/n?u=RePEc:wyi:journl:002202&r=sea |
| By: | Steve Ching; Cheng Hsiao; Shui Ki Wan |
| Abstract: | A panel data method is used to evaluate the impact of the Closer Economic Partnership Agreement (CEPA) signed between Mainland China and Hong Kong. Using the time series data of Hong Kong, Austria, Denmark, Finland, France, Germany, Italy, Japan, Korea, Netherlands, Norway, Singapore, Taiwan, U.K., and U.S. to construct what would have happened to Hong Kong's unemployment rate had there been no CEPA, we find that the CEPA effects gradually increases over time and eventually reached a constant level of reducing Hong Kong's unemployment rate by 9% a year. |
| JEL: | C01 C18 C23 C51 C54 |
| Date: | 2013–10–14 |
| URL: | http://d.repec.org/n?u=RePEc:wyi:journl:002168&r=sea |
| By: | Gregory C. Chow; Changjiang Liu; Linlin Niu |
| Abstract: | We use time-varying regression to model the relationship between returns in the Shanghai and New York stock markets, with possible inclusion of lagged returns. The parameters of the regressions reveal that the effect of current stock return of New York on Shanghai steadily increases after the 1997 Asian financial crisis and turns significantly and persistently positive after 2002 when China entered WTO. The effect of current return of Shanghai on New York also becomes significantly positive and increasing after 2002. The upward trend has been interrupted �during the recent global financial crisis, but reaches the level of about 0.4-0.5 in 2010 for both �markets. Our results show that China’s stock market has become more and more integrated to the �world market in the past twenty years with interruptions occurring during the recent global �economic downturn. |
| Keywords: | China; Globalization; Rate of Return; Stock Markets; Time-varying parameter regression. |
| JEL: | C29 C58 G14 P43 |
| Date: | 2013–10–14 |
| URL: | http://d.repec.org/n?u=RePEc:wyi:journl:002146&r=sea |
| By: | Biao Guo; Qian Han; Maonan Liu; Doojin Ryu |
| Abstract: | This is the first study to examine the intraday price discovery process between the Singapore Exchange and the China Financial Futures Exchange. Using one- and five-minute high-frequency data from May to November 2011, we found that China’s CSI 300 index futures dominated Singapore’s A50 index futures in terms of the price discovery process. However, A50 futures contracts also made a substantial contribution (26%-37%) to the price discovery process. A further division of the sample period into two sub-periods found that A50 futures dominated the price discovery process from May to August 2011 and that CSI 300 futures dominated the process from August to November 2011. These results have important implications for both traders and policymakers. |
| Date: | 2013–10–14 |
| URL: | http://d.repec.org/n?u=RePEc:wyi:wpaper:002049&r=sea |
| By: | Biao Guo; Qian Han; Maonan Liu; Doojin Ryu |
| Abstract: | This is the first study to examine the intraday price discovery and volatility transmission processes between the Singapore Exchange and the China Financial Futures Exchange. Using one- and five-minute high-frequency data from May to November 2011, we find that China’s CSI 300 index futures dominate Singapore’s A50 index futures in both intraday price discovery and intraday volatility transmission processes. However, A50 futures contracts also make a substantial contribution (26%-37%) in the price discovery process. These results have important implications for both traders and policymakers. |
| Keywords: | Price Discovery, Volatility Transmission, Futures Market, CSI 300, A50, Information Share. |
| Date: | 2013–10–14 |
| URL: | http://d.repec.org/n?u=RePEc:wyi:journl:002180&r=sea |
| By: | Maxime Lebovics; Niels Hermes; Marek Hudon |
| Abstract: | A major debate in microfinance focuses on the existence of a trade-off between the financial sustainability of microfinance institutions (MFIs) and their outreach to poor clients. This paper adds to this debate by analyzing whether financial and social efficiency are mutually exclusive in a context of implicit subsidies by the state and international donors. We use data from a sample of 28 Vietnamese MFIs and apply Data Envelopment Analysis (DEA) to identify the existence of a trade-off. Our analysis shows that for Vietnamese MFIs financial and social efficiency are not related. We interpret this as evidence for the fact that there is no support to believe that there is such a trade-off. Subsidies, based on which most Vietnamese MFIs currently operate, helps them to show high financial efficiency, while at the same time being able to attain their social goals. Nevertheless, this model may not be sustainable in the long-term. |
| Date: | 2014–05–05 |
| URL: | http://d.repec.org/n?u=RePEc:sol:wpaper:2013/161156&r=sea |
| By: | Gaëtan Fournier (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris 1 - Panthéon-Sorbonne); Marco Scarsini (Engineering and System Design Pillar - Singapore University of Technology and Design) |
| Abstract: | We consider a Hotelling game where a finite number of retailers choose a location, given that their potential customers are distributed on a network. Retailers do not compete on price but only on location, therefore each consumer shops at the closest store. We show that when the number of retailers is large enough, the game admits a pure Nash equilibrium and we construct it. We then compare the equilibrium cost bore by the consumers with the cost that could be achieved if the retailers followed the dictate of a benevolent planner. We perform this comparison in term of the induced price of anarchy, i.e., the ratio of the worst equilibrium cost and the optimal cost, and the induced price of stability, i.e., the ratio of the best equilibrium cost and the optimal cost. We show that, asymptotically in the number of retailers, these ratios are two and one, respectively. |
| Keywords: | Induced price of anarchy; induced price of stability; location games on networks; pure equilibria; large games |
| Date: | 2014–04 |
| URL: | http://d.repec.org/n?u=RePEc:hal:cesptp:halshs-00983085&r=sea |