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on Transition Economics |
| By: | Warwick J. McKibbin |
| Date: | 2005–12 |
| URL: | http://d.repec.org/n?u=RePEc:pas:camaaa:2005-29&r=tra |
| By: | Charles Ka Yui Leung (City University Hong Kong); Peiling Wei (City University Hong Kong) |
| Abstract: | Due to the relocation of manufacturing facilities from Hong Kong to Mainland China, it is widely believed that some vacant private factories have been used as offices in Hong Kong. Yet there is no direct and systematic evidence to support this speculation. In fact, according to MacGregor and Schwann (2003), industrial and commercial real estate shares some common features. Our research attempts to investigate empirically the price and volume relationship between industrial and commercial real estate, using both aggregate and disaggregate data from the industrial and commercial property markets in Hong Kong. The study was built on the observation that economic restructuring and geographical distance will affect the substitutability (and thus the correlation) of different types of property, and utilizes commonly used time series techniques for analysis. Policy implications are discussed. |
| Keywords: | aggregation bias, geographical distance, industrial real estate, |
| JEL: | G12 L80 R30 |
| Date: | 2006–02 |
| URL: | http://d.repec.org/n?u=RePEc:eab:financ:700&r=tra |
| By: | Fan, Xuejun; Jacobs, Jan; Lensink, Robert (Groningen University) |
| Abstract: | This paper contributes to the empirical finance-growth literature by examining the relationship between financial depth, banking sector development, stock market development and economic growth in China. After an extensive survey on recent financial reforms in China, we apply Granger (non-)causality tests for non-stationary variables to examine long-run and short-run causality between economic growth and financial development. We find positive relationships between financial depth, banking sector development and growth. However, stock market development does not seem to have a positive effect on long-run economic growth. |
| Date: | 2005 |
| URL: | http://d.repec.org/n?u=RePEc:dgr:rugccs:2005/09&r=tra |
| By: | Georgiy Nikitin (Institute for Economic Development, Boston University); Andrew Weiss (Institute for Economic Development, Boston University) |
| URL: | http://d.repec.org/n?u=RePEc:bos:iedwpr:dp-116&r=tra |
| By: | André Farber (Centre Emile Bernheim, Solvay Business School, Université Libre de Bruxelles, Brussels.); Nguyen Van Nam (National Economics University, Hanoi, Vietnam.); Quan Hoang Vuong (Centre Emile Bernheim, Solvay Business School, Université Libre de Bruxelles, Brussels.) |
| Abstract: | Vietnam launched its first-ever stock market, named as Ho Chi Minh City Securities Trading Center (HSTC) on July 20, 2000. This is one of pioneering works on HSTC, which finds empirical evidences for the following: Anomalies of the HSTC stock returns through clusters of limit-hits, limit-hit sequences; Strong herd effect toward extreme positive returns of the market portfolio;The specification of ARMA-GARCH helps capture fairly well issues such as serial correlations and fat-tailed for the stabilized period. By using further information and policy dummy variables, it is justifiable that policy decisions on technicalities of trading can have influential impacts on the move of risk level, through conditional variance behaviors of HSTC stock returns. Policies on trading and disclosure practices have had profound impacts on Vietnam Stock Market (VSM). The over-using of policy tools can harm the market and investing mentality. Price limits become increasingly irrelevant and prevent the market from self-adjusting to equilibrium. These results on VSM have not been reported before in the literature on Vietnam’s financial markets. Given the policy implications, we suggest that the Vietnamese authorities re-think the use of price limit and give more freedom to market participants. |
| Keywords: | GARCH, Vietnam, Emerging stock market, Policy Impacts. |
| JEL: | C12 C22 |
| Date: | 2006–04 |
| URL: | http://d.repec.org/n?u=RePEc:sol:wpaper:06-005&r=tra |