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Articles 1 - 28 of 28
Full-Text Articles in Business
Terrorist Incidents And Tourism Demand: Evidence From Greece, Aristeidis Samitas, Dimitrios Asteriou, Stathis Polyzos, Dimitris Kenourgios
Terrorist Incidents And Tourism Demand: Evidence From Greece, Aristeidis Samitas, Dimitrios Asteriou, Stathis Polyzos, Dimitris Kenourgios
All Works
© 2017 Elsevier Ltd The purpose of this paper is to examine the impact of terrorism on tourism demand in Greece using monthly data from 1977 to 2012. We investigate whether this relationship is bidirectional and whether it exhibits long run persistence. Thus, we employ a large dataset of terrorist incidents and perform cointegration and long-run causality tests, correcting our data for cyclical seasonality and applying PCA to construct a terrorism proxy according to the severity of the incident. Our findings concur that terrorism has a significant negative impact on tourist arrivals to Greece and that causality is noted from …
Cointegration Of Matched Home Purchases And Rental Price Indexes: Evidence From Singapore, Badi H. Baltagi, Jing Li
Cointegration Of Matched Home Purchases And Rental Price Indexes: Evidence From Singapore, Badi H. Baltagi, Jing Li
Research Collection School Of Economics
This paper exploits the homogeneity feature of the Singapore private residential condominium market and constructs matched home purchase price and rental price series using the repeated sales method. These matched series allow us to conduct time series analysis to examine the long-term present value relationship in the housing market. Three key findings are obtained. First, we fail to establish a cointegrating relationship between the home purchase price and rental price based on nationally estimated indexes. Second, area-specific indexes demonstrate strong cross-correlations, invalidating the use of first generation panel unit root tests that ignore these cross-correlations. Third, Pesaran's CIPS test indicates …
Further Evidence On The Spatio-Temporal Model Of House Prices In The United States, Badi H. Baltagi, Jing Li
Further Evidence On The Spatio-Temporal Model Of House Prices In The United States, Badi H. Baltagi, Jing Li
Research Collection School Of Economics
Holly, Pesaran, and Yamagata (Journal of Econometrics 2010; 158: 160–173) use a panel of 49 states over the period 1975–2003 to show that state-level real housing prices are driven by economic fundamentals, such as real per capita disposable income, as well as by common shocks, such as changes in interest rates, oil prices and technological change. They apply the common correlated effects estimator of Pesaran (Econometrica 2006; 74(4): 967–101), which takes into account spatial interactions that reflect both geographical proximity and unobserved common factors. This paper replicates their results using a panel of 381 metropolitan statistical areas observed over the …
The Role Of Tourism In Poverty Reduction: An Empirical Assessment, Robertico Croes
The Role Of Tourism In Poverty Reduction: An Empirical Assessment, Robertico Croes
Rosen Faculty Scholarship and Creative Works
This paper assesses how tourism affects absolute poverty beyond its effects on growth in two developing countries. In particular, the author explores whether tourism spending leads to a decline in the proportion of people below the poverty line. An error correction model is applied to estimate the relationship between poverty and tourism spending. The results reveal that tourism does matter for the poor, but that it does not appear to have systematic effects, and that tourism development matters most for the poor at the lower levels of economic development. The findings from the two developing country case studies show differing …
Exchange Rate Adjustment And Output In South-East Asia, Kamal P. Upadhyaya, Robert Ranish, Neetu Kaushik, Rabindra Bhandari
Exchange Rate Adjustment And Output In South-East Asia, Kamal P. Upadhyaya, Robert Ranish, Neetu Kaushik, Rabindra Bhandari
Finance Faculty Publications
This paper studies the effect of currency devaluation on aggregate output level in South- East Asian countries using panel data from Thailand, Malaysia, Indonesia and the Philippines for a period from 1980 to 2010. An empirical model that includes monetary, fiscal and exchange rate variables is developed. Two versions of the model, one with real exchange rate and another with nominal exchange rate and foreign-to-domestic price ratio are estimated. An error correction model is developed and the time series properties of the panel data are diagnosed before estimating the model. The estimated results suggest that currency devaluations are contractionary in …
Intraday Price Discovery In Emerging Equity Market: Analysis Of Set50 Index, Set 50 Index Futures And Thaidex Set50 (Tdex), Chiraphol New Chiyachantana, Julaluck Choochuay, Tanakorn Likitapiwat
Intraday Price Discovery In Emerging Equity Market: Analysis Of Set50 Index, Set 50 Index Futures And Thaidex Set50 (Tdex), Chiraphol New Chiyachantana, Julaluck Choochuay, Tanakorn Likitapiwat
Research Collection Lee Kong Chian School Of Business
This study employs Vector Error Correction Model (VECM), information share and conditional information share methods to investigate price discovery in SET50 Index (cash index), SET50 Index Futures (futures index) and ThaiDex SET50 (exchange traded fund). Our findings indicate that there exists a long run relationship among three markets and a multi-market trading of derivatives markets and its underlying asset helps improve price efficiency. With respect to the degree of price formation process, SET50 Index Futures contributes most in price discovery process, followed by SET50 Index and ThaiDex SET50.
Reit Etfs Performance During The Financial Crisis., Stoyu Ivanov
Reit Etfs Performance During The Financial Crisis., Stoyu Ivanov
Faculty Publications
In this study the “disintegration hypothesis” is tested. It is examined whether the Vanguard Real Estate Investment Trust and iShares Dow Jones US Real Estate Index Fund exchange traded funds disintegrate from their underlying indexes during the recent financial crisis. Failure to support the “disintegration hypothesis” of the exchange traded fund and underlying index is found. It is also found that the Vanguard Real Estate Investment Trust exchange traded fund is consistently cointegrated with its underlying index the MSCI US REITs Index, before, during and after the financial crisis. It is also found that the iShares Dow Jones US Real …
Evaluating Economic Relationships Of Stapled And Traditional Australian Reits, Jaime Yong, David Allen, Lee Lim
Evaluating Economic Relationships Of Stapled And Traditional Australian Reits, Jaime Yong, David Allen, Lee Lim
Research outputs 2011
The number of Australian Real Estate Investment Trusts (AREITs) trading as stapled securities has grown significantly in the past ten years. Though this type of trust structure improves the income growth to investors, stapled AREITs are riskier relative to traditional AREITs that act primarily as holding companies of property assets. Academic literature on REIT characteristics has found that these assets have become less integrated with bonds and more with stocks. An increasingly mature AREIT market implies that prices of these assets have become more integrated with values of the underlying direct property investments. This study employs quarterly prices over 30 …
Comovement Between Emerging And Developed Stock Markets: An Investigation Through Cointegration Analysis, Searat Ali, Babar Zaheer Butt, Kashif Ur Rehman
Comovement Between Emerging And Developed Stock Markets: An Investigation Through Cointegration Analysis, Searat Ali, Babar Zaheer Butt, Kashif Ur Rehman
Faculty of Business - Papers (Archive)
Globalization has amplified interest of academics and investors to the subject of co movement among the stock markets of the world. This study investigates the co movement of Pakistan's Equity Market with the markets of India, China, Indonesia, Singapore, Taiwan, Malaysia, Japan, USA and UK by using co integration test on monthly stock prices from the period of July 1998 to June 2008. The results reveal that there is no co movement of Pakistan's equity market with the markets of UK, USA, Taiwan, Malaysia and Singapore. Therefore, investors can reduce risk through investment in these countries. Whereas the stock prices …
Testing The Impact Of Tourism On Competitiveness: The Case Of Puerto Rico, Robertico Croes, Manuel A. Rivera
Testing The Impact Of Tourism On Competitiveness: The Case Of Puerto Rico, Robertico Croes, Manuel A. Rivera
Rosen Faculty Scholarship and Creative Works
This study examines the empirical relationship between tourism and the competitiveness of a destination. It uses the cointegration and error correction model (ECM) in a bivariate context as a precondition to apply the Granger causality test. This procedure was carried out in the case of Puerto Rico's tourism industry during 1960–2004. The study found cointegration in the intertemporal rather than the contemporaneous effects, as well as a one-directional causality running from changes in tourism spending to changes in competitiveness. This result highlights the long-run equilibrium spending behaviour of tourists as a major concern of destination managers.
An Empirical Analysis Of Sustainability Of Trade Deficit: Evidence From Sri Lanka, Nelson Perera, R. Verma
An Empirical Analysis Of Sustainability Of Trade Deficit: Evidence From Sri Lanka, Nelson Perera, R. Verma
Faculty of Commerce - Papers (Archive)
In this paper, the long-run relationship between Sri Lankan exports and imports during the period 1950 to 2006 is examined using unit root tests and cointegration techniques that allow for an endogenously determined structural break. The results failed to support the existence of a long-run equilibrium between exports and imports in Sri Lanka. This finding questions the effectiveness of Sri Lanka’s current long-term macroeconomic policies and suggests that Sri Lanka is in violation of its international budget constraint.
A Model Of Inflation For Sri Lanka, Arusha V. Cooray
A Model Of Inflation For Sri Lanka, Arusha V. Cooray
Faculty of Commerce - Papers (Archive)
This paper uses two models: an open economy model and a closed economy model to estimate a price equation for Sri Lanka. The results suggest greater support for the open economy model. Consistent with previous studies for Sri Lanka, supply side factors appear to be important in influencing the general price level in Sri Lanka.
The Role Of Capital Formation And Saving In Promoting Economic Growth In Iran, R. Verma, E. Wilson, Mosayeb Pahlavani
The Role Of Capital Formation And Saving In Promoting Economic Growth In Iran, R. Verma, E. Wilson, Mosayeb Pahlavani
Faculty of Commerce - Papers (Archive)
This paper estimates the interdependencies between capital formation, saving and output for Iran. The analysis is complicated because of the conflicting theoretical and empirical findings of their relative roles in other studies, the lack of research on Iran whose turbulent history makes it difficult to disentangle the complex and changing interrelationships between output, saving and investment for the period of our study, 1960 to 2003. The analysis uses Lee and Strazicich (2004) procedure to endogenously determine that structural breaks occurred in 1979 for real output, 1983 for saving and 1977 for investment. These dates coincide with the effect of the …
The Dynamic Relationship Between Stock Prices And Exchange Rates: Evidence From Four Transition Economies, Lucia Morales
The Dynamic Relationship Between Stock Prices And Exchange Rates: Evidence From Four Transition Economies, Lucia Morales
Conference papers
This article examines the dynamic relationship between exchange rates and stock prices in four Easter European markets, Czech Republic, Hungary, Poland and Slovakia, using stock price and exchange rate data from these countries, as well as stock prices from the United States, Germany and the United Kingdom. The data set consists of daily data over a 7 year period from 1999 to 2006. Both the long-run and the short-run association between these variables are analyzed. We employed the Johansen cointegration technique, Vector Error Correction Modeling and the standard Granger causality test to analyze the relationship between these two financial variables. …
Are Chinese Stock Markets Increasing Integration With Other Markets In The Greater China Region And Other Major Markets?, G. Tian
Faculty of Commerce - Papers (Archive)
This paper investigates the cointegrating and long-term causal relationships between the Shanghai A and B-share market, and between these two markets and the Hong Kong, the Taiwanese, the Japanese and the US market of two sub periods between July 1993 and March 2007. On the basis of a new Granger non-causality test procedure developed by Toda-Yamamoto (1995) and Johansen’s (1988) cointegration test, my results suggest that a long-term equilibrium relationship measured by cointegration has been merged between the Chinese A-share market and the other markets in greater China region as well as the US market during the post-crisis period which …
Periodically Collapsing Bubbles In The Asian Emerging Stock Markets, Ako Doffou
Periodically Collapsing Bubbles In The Asian Emerging Stock Markets, Ako Doffou
WCBT Faculty Publications
This paper investigates empirically the existence of periodically collapsing bubbles in the Asian emerging stock markets using the Enders-Siklos (2001) momentum threshold autoregressive model. As explained in Bohl (2003), this non-linear time series technique can be used to analyze bubble driven run-ups in stock prices followed by a crash in a non- cointegration framework with asymmetric adjustment. This technique offers a more potent insight in the stock prices behavior than can possibly be obtained using conventional non-cointegration tests. The empirical findings for ten Asian emerging stock markets from 1993 to 2005 refute the bubble hypothesis.
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
Research outputs pre 2011
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 …
Dynamic Linkages Between Thai And International Stock Markets, Abbas Valadkhani, S. Chancharat
Dynamic Linkages Between Thai And International Stock Markets, Abbas Valadkhani, S. Chancharat
Faculty of Commerce - Papers (Archive)
This paper investigates the existence of cointegration and causality between the stock market price indices of Thailand and its major trading partners (Australia, Hong Kong, Indonesia, Japan, Korea, Malaysia, the Philippines, Singapore, Taiwan, the UK and the US), using monthly data spanning December 1987 to December 2005. Both the Engle-Granger two-step procedure (assuming no structural breaks) and the Gregory and Hansen (1996) test (allowing for one structural break) provide no evidence of a long-run relationship between the stock prices of Thailand and these countries. Based on the empirical results obtained from these two residual-based cointegration tests, potential long-run benefits exist …
Macroeconomic Forces And Stock Prices: Some Empirical Evidence From An Emerging Stock Market, G. B. Wickremasinghe
Macroeconomic Forces And Stock Prices: Some Empirical Evidence From An Emerging Stock Market, G. B. Wickremasinghe
Faculty of Business - Accounting & Finance Working Papers
This paper examines the causal relationships among stock prices and macroeconomic variables in an emerging stock market, the Colombo Stock Exchange (CSE). We use data on six macroeconomic variables and All share Price Index (ASPI) of the CSE for the period January 1985 to December 2004. In the empirical analysis, we employed recently developed root tests that possess better power and size properties than widely-used Dickey-Fuller type unit root tests. Johansen's test, Error-correction models, variance decomposition and impulse response analyses indicate that there are both short and long-run causal relationships among stock prices and macroeconomic variables in Sri Lanka. These …
Gold Investment As An Inflationary Hedge: Cointegration Evidence With Allowance For Endogenous Structural Breaks, A. C. Worthington, Mosayeb Pahlavani
Gold Investment As An Inflationary Hedge: Cointegration Evidence With Allowance For Endogenous Structural Breaks, A. C. Worthington, Mosayeb Pahlavani
Faculty of Commerce - Papers (Archive)
This note tests for the presence of a stable long-run relationship between the monthly price of gold and inflation in the United States from 1945 to 2006 and from 1973 to 2006. Since both the price of gold and the consumer price index have been subject to structural change over time, a novel unit root testing procedure is employed which allows for the timing of significant breaks to be estimated, rather than assumed exogenous. After taking these endogenously determined structural breaks into account, a modified cointegration approach provides strong evidence of a cointegrating relationship between gold and inflation in both …
Modelling Demand For Broad Money In Australia, Abbas Valadkhani
Modelling Demand For Broad Money In Australia, Abbas Valadkhani
Faculty of Commerce - Papers (Archive)
The existence of a stable demand for money is very important for the conduct of monetary policy. It is argued that previous work on the demand for money in Australia has not been very satisfactory in a number of ways. This paper examines the long- and short-run determinants of the demand for broad money employing the Johansen cointegration technique and a short-run dynamic model. Using quarterly data for the period 1976:3-2002:2, this paper finds, inter alia, that the demand for broad money is cointegrated with real income, the rate of return on 10-year Treasury bonds, the cash rate and the …
Cointegration And Structural Change In The Exports-Gdp Nexus: The Case Of Iran, Mosayeb Pahlavani
Cointegration And Structural Change In The Exports-Gdp Nexus: The Case Of Iran, Mosayeb Pahlavani
Faculty of Commerce - Papers (Archive)
This paper examines the major sources of economic growth in Iran using annual time series data (1960 to 2003). The time series properties of the data are analysed by Perrons innovational outlier and additive outlier models.
Sources Of Economic Growth In Iran: A Cointegration Analysis In The Presence Of Structural Breaks, Mosayeb Pahlavani
Sources Of Economic Growth In Iran: A Cointegration Analysis In The Presence Of Structural Breaks, Mosayeb Pahlavani
Faculty of Commerce - Papers (Archive)
This paper examines the major determinants of GDP growth in Iran using annual time series data spanning form 1960 to 2003.
An Application Of The New Cointegration Techniques In Export-Gdp Nexus In Iran, Mosayeb Pahlavani, Edgar J. Wilson
An Application Of The New Cointegration Techniques In Export-Gdp Nexus In Iran, Mosayeb Pahlavani, Edgar J. Wilson
Faculty of Commerce - Papers (Archive)
This paper examines the major determinants of GDP growth in Iran using annual time series data spanning form 1960 to 2003.
An Empirical Analysis Of The Black Market Exchange Rate In Iran, Abbas Valadkhani
An Empirical Analysis Of The Black Market Exchange Rate In Iran, Abbas Valadkhani
Faculty of Commerce - Papers (Archive)
The Iranian rial has been depreciated on average about 13 per cent per annum against the U.S dollar during the last four decades. This paper examines the long- and short-run determinants of the black market exchange rate employing the cointegration techniques and the annual time series data from 1960 to 2002. Consistent with previous studies and the monetary approach to the exchange-rate determination, it is found that the black market exchange rate is cointegrated with the relative consumer price indices in Iran and the U.S., real GDP and the relative import prices. However, in the short run only the rising …
What Determine Private Investment In Iran?, Abbas Valadkhani
What Determine Private Investment In Iran?, Abbas Valadkhani
Faculty of Commerce - Papers (Archive)
Iran’s Third Five-Year Development (2000/01-2004/05) has considered a pivotal role for private investment in creating seven to eight hundred thousand jobs per annum to stabilise the rate of unemployment. This paper examines the long- and short-run determinants of the private investment function by employing the Johansen multivariate cointegration technique and a short-run dynamic model. Using annual data for the period 1960-2000, this paper finds, inter alia, that private investment is cointegrated with non-oil GDP, and the rate of inflation. It is found that a one per cent increase in inflation in the long-run can immediately result in a one per …
Long- And Short-Run Determinants Of The Demand For Money In New Zealand: A Cointegration Analysis, Abbas Valadkhani
Long- And Short-Run Determinants Of The Demand For Money In New Zealand: A Cointegration Analysis, Abbas Valadkhani
Faculty of Commerce - Papers (Archive)
The existence of a stable demand for money is very important for the conduct of monetary policy even in this new era of inflation targeting. It is argued that previous work on the demand for money in New Zealand has been either not very satisfactory in a number of ways or outdated. This paper examines the long-run determinants of the demand for M3 employing the Johansen cointegration technique and quarterly data for the period 1988:1-2002:2. This paper finds, inter alia, that the demand for money is cointegrated with real income, the spread between interest on money and on non-money assets, …
An Examination Of The Relationship Between Stock Index Cash And Futures Markets: A Cointegration Approach, Michael A. Pizzi, Andrew J. Economopoulos, Heather M. O'Neill
An Examination Of The Relationship Between Stock Index Cash And Futures Markets: A Cointegration Approach, Michael A. Pizzi, Andrew J. Economopoulos, Heather M. O'Neill
Business and Economics Faculty Publications
The existence of price discovery, market efficiency and market stability associated with spot and futures markets continues as a prominent discussion among academics, practitioners and regulators. Numerous papers examine the role of price discovery in the futures markets for various types of commodities and financial assets. Generally, the studies by Garbade and Silber (1983), Herbst, McCormack and West (1987), Kawaller, Koch and Koch (1987) and Schroeder and Goodwin (1991) indicate that price discovery occurs more significantly in the futures market compared to the cash market.