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Articles 1 - 7 of 7
Full-Text Articles in Business
Dynamic Linkages Among Financial Markets In The Greater China Region: A Multivariate Asymmetric Approach, Kin-Yip Ho, Zhaoyong Zhang
Dynamic Linkages Among Financial Markets In The Greater China Region: A Multivariate Asymmetric Approach, Kin-Yip Ho, Zhaoyong Zhang
Zhaoyong Zhang
This study examines the volatility dynamics of the Greater China stock markets by employing a multivariate framework that incorporates the features of asymmetries, persistence and time-varying correlations. The multivariate framework with these features will contribute to a better understanding of the interdependence and integration among the stock markets in the Greater China region. Our results confirm the existence of volatility persistence and asymmetries, and there is some evidence of a common degree of persistence ('co-persistence') among the markets. It is also found that the Mainland Chinese markets are actually less volatile than the Taiwan and Hong Kong stock exchanges in …
Volume, Volatility And Information Linkages In The Stock And Option Markets, Kin-Yip Ho, Lin Zheng, Zhaoyong Zhang
Volume, Volatility And Information Linkages In The Stock And Option Markets, Kin-Yip Ho, Lin Zheng, Zhaoyong Zhang
Zhaoyong Zhang
This paper examines the relationship between option trading activity and stock market volatility. Although the option market is uniquely suited for trading on volatility information, there is little analysis on how trading activity in this market is linked to stock price volatility. The bulk of the discussion tends to focus on whether trading activity in the stock market is informative about stock volatility. To analyze the information in option trading activity for stock market volatility, a sample of 15 stocks with the highest option trading volume is selected. For each stock, it is noted that the trading activities in the …
Monetary Integration And Exchange Rate Issues In East Asia, Paul De Grauwe, Zhaoyong Zhang
Monetary Integration And Exchange Rate Issues In East Asia, Paul De Grauwe, Zhaoyong Zhang
Zhaoyong Zhang
Not available
A Monetary Union In East Asia: What Does The Common Cycles Approach Tell?, K Sato, David E. Allen, Zhaoyong Zhang
A Monetary Union In East Asia: What Does The Common Cycles Approach Tell?, K Sato, David E. Allen, Zhaoyong Zhang
Zhaoyong Zhang
There is controversy about whether a monetary union is feasible in the East Asian region. Amongst the criteria for establishing a monetary union, most of the existing studies focus on the symmetric issue of fundamental shocks and the extent of correlations by applying the Blanchard and Quah (1989) structural vector autoregression (VAR) technique, which includes the firstdifferenced variables in the model and examines only bilateral relationships. When forming a monetary union, the member countries need to renounce their monetary policy autonomy. If shocks to respective economies are symmetric, the cost of relinquishing the discretionary monetary policy is likely to be …
Should Chinese Renminbi Be Blamed For Its Trade Surplus: A Structural Var Approach, Zhaoyong Zhang, Kiyotaka Sato
Should Chinese Renminbi Be Blamed For Its Trade Surplus: A Structural Var Approach, Zhaoyong Zhang, Kiyotaka Sato
Zhaoyong Zhang
During the recent years, the Renminbi (RMB) exchange rate issue has been at the centre of ongoing debate over the source of global current account imbalance, especially with the United States. The objective of this study is to contribute to the current discussion by providing some new evidence on China’s exchange rate policy and the impacts of RMB devaluation/revaluation on China’s trade balance using a structural vector autoregression (VAR) approach. The results indicate that the dynamic effect of exchange rate on China’s trade balance is still very limited and China’s balance of trade is mainly determined by the world demand …
An Empirical Assessment Of A-Share Ipo Under-Pricing In China, Chan-Hyun Sohn, Albert Tsui, Feng Zhang, Zhaoyong Zhang
An Empirical Assessment Of A-Share Ipo Under-Pricing In China, Chan-Hyun Sohn, Albert Tsui, Feng Zhang, Zhaoyong Zhang
Zhaoyong Zhang
This paper investigates the under-pricing and long-run performance of 230 A-share IPOs issued in the Chinese markets using comparable firm multiples. We find that A-share IPOs are severely under-valued by issuers and underwriters at the offer, but over-valued by investors on the listing day. Both contribute to the severe under-pricing of IPOs in China. Our findings are robust across stock exchanges, classification of firms, criteria for choosing matching firms; absence of CSRC regulation and B-share market prices, respectively. The results also show that those over-valued IPOs by investors on the listing day under-perform those under-valued IPOs in the long-run.
New Estimates Of The Equilibrium Exchange Rate: The Case For The Chinese Renminbi, Kiyotaka Sato, Junko Shimizu, Nagendra Shrestha, Zhaoyong Zhang
New Estimates Of The Equilibrium Exchange Rate: The Case For The Chinese Renminbi, Kiyotaka Sato, Junko Shimizu, Nagendra Shrestha, Zhaoyong Zhang
Zhaoyong Zhang
We estimate the nominal equilibrium exchange rate (EER) of the Chinese renminbi (RMB) vis-à-vis the US dollar from 1995 to 2009. While most of the recent empirical studies on the EER employ a cross-country analysis, country-specific factors, especially supply-side real factors, are not fully taken into consideration in estimating the EER. To better reflect China's processing exports in the context of growing intra-regional trade in Asia, we incorporate in the empirical analysis the source-country breakdown data on import prices and input coefficients of intermediate inputs by constructing an annual new International input-output (IIO) table for the period from 1995 to …