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Full-Text Articles in Business

Dynamic Linkages Among Financial Markets In The Greater China Region: A Multivariate Asymmetric Approach, Kin-Yip Ho, Zhaoyong Zhang May 2014

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 May 2014

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 May 2014

Monetary Integration And Exchange Rate Issues In East Asia, Paul De Grauwe, Zhaoyong Zhang

Zhaoyong Zhang

Not available


The Impact Of The Interaction Between Economic Growth And Democracy On Human Development: Cross-National Analysis, Shrabani Saha, Zhaoyong Zhang May 2014

The Impact Of The Interaction Between Economic Growth And Democracy On Human Development: Cross-National Analysis, Shrabani Saha, Zhaoyong Zhang

Zhaoyong Zhang

This paper evaluates the effects of economic growth and democracy on human development using panel data over 170 countries for the period 1980-2010. Our results show that democracy enhances human development in any level of economic development. However, economic growth increases human development only in developing countries. The interaction effect between economic growth and democracy shows that democracy increase human development in developing countries where growth level is low.


A Monetary Union In East Asia: What Does The Common Cycles Approach Tell?, K Sato, David E. Allen, Zhaoyong Zhang May 2014

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 May 2014

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 …


Improving Technological Capability Of Beijing In The Context Of Multinational R&D Transfer, Jingyuan Zhao, Zhongying Qi, Zhaoyong Zhang May 2014

Improving Technological Capability Of Beijing In The Context Of Multinational R&D Transfer, Jingyuan Zhao, Zhongying Qi, Zhaoyong Zhang

Zhaoyong Zhang

The establishment of multinational R&D organisations in Beijing is an opportunity and challenge for improving Beijing technological innovation and technological capacity. Against the background of multinational R&D transfer, how to enhance Beijing's technological innovation capability is the theme of this study. This study analyses the stages, status, trends and characteristics of multinational R&D transfer in Beijing, and finds that multinational R&D organisations established in Beijing have positive and negative impacts on Beijing's technological innovation, presents the thinking of technological capability upgrade of later-development countries/regions, and claims that Beijing should enhance technical capacity based on independent R&D.


An Empirical Assessment Of A-Share Ipo Under-Pricing In China, Chan-Hyun Sohn, Albert Tsui, Feng Zhang, Zhaoyong Zhang May 2014

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.


East Asian Financial Crisis Revisited: What Does A Copula Tell?, Pei Fei, Albert Tsui, Zhaoyong Zhang May 2014

East Asian Financial Crisis Revisited: What Does A Copula Tell?, Pei Fei, Albert Tsui, Zhaoyong Zhang

Zhaoyong Zhang

We construct a regime-switching model of copulas to capture observed asymmetric dependence in daily changes of exchange rates in five selected East Asian economies during the 1997 financial crisis era. In particular, we investigate the effects of the financial crisis on asymmetric dependence in exchange rates returns and assess the asymmetric relationships between five currencies, including the Singapore Dollar, Japanese Yen, South Korea Won, Thailand Baht and Indonesia Rupiah. Various time-varying copula models will also be applied to examine the possible structural breaks. The results confirm significant changes at the dependence level, tail behaviour and asymmetry structures between returns of …


Modeling Information Linkages In The Stock And Options Markets, K Ho, L Zheng, Zhaoyong Zhang May 2014

Modeling Information Linkages In The Stock And Options Markets, K Ho, L Zheng, Zhaoyong Zhang

Zhaoyong Zhang

When markets are assumed to be complete, option trading should not contain new information for market participants, as options derive their prices from the underlying stocks. However, if markets are incomplete, then this unidirectional relationship may not be true, because informed traders may prefer to trade options instead of the underlying stocks for several reasons: one, option trading involves lower transaction costs and higher financial leverage; and two, investors who have private information about stock price volatility can only make their bet on volatility in the option market. Compared with the research on the relationship between options trading activity and …


Modeling The Fractional Integration In Volatility Between The Greater China Financial Markets, K. Ho, Zhaoyong Zhang May 2014

Modeling The Fractional Integration In Volatility Between The Greater China Financial Markets, K. Ho, Zhaoyong Zhang

Zhaoyong Zhang

The dynamics of the interrelationships among the financial markets in the Greater China area including Mainland China, Taiwan, and Hong Kong, is a noteworthy issue of economic research. This is not only because the financial markets in this region have grown rapidly over the past decade, but also because of the arguably asymmetric integration of the emerging Chinese economy with advanced countries in the real side of the economy and tight control over financial market. Since its establishment in the early 1990s, the Mainland Chinese stock market has expanded rapidly in terms of capitalization, turnover, and the new listings. Even …


Modelling Volatility Asymmetry Of Business Cycles In The Us, Ky Ho, Ak Tsui, Zhaoyong Zhang May 2014

Modelling Volatility Asymmetry Of Business Cycles In The Us, Ky Ho, Ak Tsui, Zhaoyong Zhang

Zhaoyong Zhang

No abstract provided.


An Analysis Of The Conditional Volatility Dynamics Of The Australian Business Cycle, K Ho, Ak Tsui, Zhaoyong Zhang May 2014

An Analysis Of The Conditional Volatility Dynamics Of The Australian Business Cycle, K Ho, Ak Tsui, Zhaoyong Zhang

Zhaoyong Zhang

No abstract provided.


New Estimates Of The Equilibrium Exchange Rate: The Case For The Chinese Renminbi, Kiyotaka Sato, Junko Shimizu, Nagendra Shrestha, Zhaoyong Zhang May 2014

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 …