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Articles 31 - 38 of 38
Full-Text Articles in Business
Stock Markets And Income Inequality: A Cross-Country Study, Elizabeth Mathew
Stock Markets And Income Inequality: A Cross-Country Study, Elizabeth Mathew
Dissertations and Theses Collection (Open Access)
This paper conducts a comprehensive analysis to understand how stock market ratios affect net income inequality. The study of how finance impacts income distribution is relevant as the income distribution of a nation influences savings decisions, resource allocation, innovation incentives and public policy and hence impacts the process of economic development. Using a cross-sectional data set of 68 countries and panel data set of 61 countries from 1975 to 2005, I apply cross-sectional OLS and panel regressions to look at how stock market size, liquidity, and activity impact income inequality. While stock market size is found to strongly impact income …
Test For Infinite Variance In Stock Returns, Xian Ning Yan
Test For Infinite Variance In Stock Returns, Xian Ning Yan
Dissertations and Theses Collection (Open Access)
The existence of second order moment or the finite variance is a commonly used assumption in financial time series analysis. We examine the validation of this condition for main stock index return series by applying the extreme value theory. We compare the performances of the adaptive Hill's estimator and the Smith's estimator for the tail index using Monte Carlo simulations for both i.i.d data and dependent data. The simulation results show that the Hill's estimator with adaptive data-based truncation number performs better in both cases. It has not only smaller bias but also smaller MSE when the true tail index …
Rolling Adf Tests: Detecting Rational Bubbles In Greater China Stock Markets, Peng Huang
Rolling Adf Tests: Detecting Rational Bubbles In Greater China Stock Markets, Peng Huang
Dissertations and Theses Collection (Open Access)
Following Phillips, Wu and Yu (2007), this paper extends their bubble detecting work to several Greater China stock markets. Two alternative bubble detecting methods, the forward recursive ADF tests raised by Phillips et al. (2007) and the modified version, forward rolling ADF tests, are implemented and compared. Monte Carlo simulations are performed to determine the critical values of the ADF statistic under different sample size. Empirical results demonstrate that only rolling ADF tests are successful in detecting rational bubbles by overcoming the problem of periodically collapsing bubble. As we have expected, bubbles in China Mainland stock market are detected. Out …
Bundling Information Goods: The Case Of E-Journals, Yong Tan
Bundling Information Goods: The Case Of E-Journals, Yong Tan
Dissertations and Theses Collection (Open Access)
With the development of the Internet, e-business has become popular. Increasingly, e-journals are being sold via the Internet. E- journals have two main characteristics: one is the low marginal cost associated with access; the other is the large number of items. For the commercially motivated seller, the issue of bundling a large number of low marginal cost items so as to maximize profits needs to be dealt with. In this thesis, a solution by way of an intermediate bundle is proposed. It is found that the profit obtained under the proposed procedure is 4% to 5% higher than that under …
Moving Window Unit Root Test: Locating Real Estate Price Bubbles In Seoul Apartment Market, Shuping Shi
Moving Window Unit Root Test: Locating Real Estate Price Bubbles In Seoul Apartment Market, Shuping Shi
Dissertations and Theses Collection (Open Access)
Bubbles are characterized by rapid expansion followed by a contraction. Evans (1991) shows that stationarity tests suggested by Hamilton and Whiteman (1985) and Diba and Grossman (1988) are incapable of detecting periodically collapsing bubbles. Phillips, Wu, and Yu (2006) advanced the forward recursive unit root test which improves the power significantly in the presence of periodically collapsing bubbles. In this paper, we consider rolling window unit root test with a pre-selected optimum window. A combining use of conventional unit root test and forward recursive unit root test is suggested from the results of power comparison. Furthermore, we apply those three …
Regional Trade Agreements Revisited, Hui Chin Tan
Regional Trade Agreements Revisited, Hui Chin Tan
Dissertations and Theses Collection (Open Access)
The gravity model is a workhorse for econometric studies of the impact of regional trade agreements (RTAs). Despite its initial lack of theoretical basis, the model has been successfully derived from various trade theories. The latest theoretical derivation by Anderson and van Wincoop (2003) reveals that prior gravity studies have made the critical error of omitting the multilateral resistance variable, which results in biased estimates. Other recent studies have highlighted empirical issues with the commonly used procedure of log-linearizing the gravity model and estimating the parameters using Ordinary Least Squares (OLS) regression. Silva and Tenreyro (2006) point out that this …
Abnormal Trading Volume, Stock Returns And The Momentum Effects, Ying Zheng
Abnormal Trading Volume, Stock Returns And The Momentum Effects, Ying Zheng
Dissertations and Theses Collection (Open Access)
This paper intends to study the intermediate-term momentum and long-term reversal of stock prices by investigating the informational role of unusual trading volume for winner and loser stocks. I argue that unusual trading volume has different implications for winner and loser stocks. Specifically, high trading volume for losers is driven by purchases made by informed investors; while high trade volume for winners could be driven by either information or representativeness bias or both. The arguments are tested in the paper by showing that in the short run, losers/winners with high abnormal trading volume outperform losers/winners with low abnormal trading volume; …
Predicting A Currency Crisis Alternative Approaches And Applications To The Philippines, Fernando Antonio Iv Castillo
Predicting A Currency Crisis Alternative Approaches And Applications To The Philippines, Fernando Antonio Iv Castillo
Dissertations and Theses Collection (Open Access)
An arrival of a currency crisis can be anticipated through a comprehensive and properly specified Early Warning System (“EWS”). The costs that entail with experiencing a currency crisis far exceed the costs of spending a considerable amount of time to developing an EWS. In a report done by the IMF(1998), they estimated that emerging economies suffer an 8% cumulative loss in real output during a severe currency crisis. Likewise, evidence suggests that a simple look at traditional market indicators of currency and default risks will not provide much advance warning of an impending currency crisis. In a study done by …