Economics Commons^™

Modeling Transaction Data Of Trade Direction And Estimation Of Probability Of Informed Trading, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitch Warachka

Research Collection School Of Economics

This paper implements the Asymmetric AutoregressiveConditional Duration (AACD) model of Bauwens and Giot (2003) to analyzeirregularly spaced transaction data of trade direction, namely buy versus sellorders. We examine the influence of lagged transaction duration, lagged volumeand lagged trade direction on transaction duration and direction. Our resultsare applied to estimate the probability of informed trading (PIN) based on theEasley, Hvidkjaer and O’Hara (2002) framework. Unlike the Easley-Hvidkjaer-O’Hara model, which uses the daily aggregate number of buy and sellorders, the AACD model makes full use of transaction data and allows forinteractions between buy and sell orders.

Japan Pakistan Economic Relations: Challenges And Opportunities From Japan’S New Economy, Seiji Kojima

Business Review

I have various reasons to discuss the economic relations between Japan and Pakistan today. First, one of the most important and urgent tasks that the Pakistani Government faces is of course to achieve a robust and stable economic growth, thereby enabling to eradicate poverty from this country. As the largest bilateral donor and a major trade partner of Pakistan, it would be quite natural for Japan to place importance on the economic aspect of the relations with Pakistan. Second, this is an institute of business administration, and I imagine that the audience will show interest in the economic side of …

Towards A Vision 2030: Direction Of Industrial Development In Pakistan, Japan International Cooperation Agency ., International Development Center Of Japan .

Business Review

Pakistan needs to find out ways to promote expansion of the dynamic market economy. This Study attempted to present ways to promote industries, specifically in order to achieve “well-directed economic development” to be broken down into: upgrading of industrial structure, control of the underground economy and proper development of economic infrastructure. In addition, in relation to “building economic clusters, unique to its locality”, concrete recommendations should be presented for the purpose of “well-directed regional development”. The Study selected seven manufacturing sectors – textile, food processing, automobile, electronic & electrical, chemical, housing related and IT industries –, and looked into their …

Financial Reforms And Common Stochastic Trends In International Stock Prices: A Case Study Of Pakistan, Mohammed Nishat, Ch. Muhammad Irfan

Business Review

This study uses the co-integration and error-correction techniques to examine the linkages between Pakistan and other capital markets of developed economies (US, UK, Japan, Australia and Canada); regional markets in South Asia (India, Sri Lanka), East Asia (Indonesia, South Korea, Singapore, Malaysia, Taiwan, Philippines) and EU (Austria, Belgium, Denmark, Germany, Italy and Czech) countries. The results indicate a long-run relationship between Pakistani stock market and most of the international markets during the sample period (1997 to 2004). However, the longrun linkages were comparatively stronger with developed and EU markets. The direction of linkages in most cases, are from other regional …

Two Essays On Lead-Lag Patterns Between Trading Volume And Stock Return In China Stock Markets, Xiaotian Zhu

Theses and Dissertations in Business Administration

This dissertation systematically investigate the lead-lag relations between the trading volume and stock return patterns in China A share and B share markets through two streams of behavioral postulations. In the first part, we summarize all the potential lead-lag patterns between trading volume and stock returns and link them to the corresponding behavioral explanations. In particular, Lee and Swaminathan's (2000) Momentum Life Cycle theory best explains the strong negative relations between lagged trading volume and subsequent return in China A share market. The strong positive relations between lagged market return and subsequent trading volume found in both China's B share …

The Microeconomics Of International Price Dispersion, Ozlem Inanc

LSU Doctoral Dissertations

This dissertation investigates the reasons behind international price dispersion. The first essay, “International Price Dispersion and the Direction of Trade”, discusses the importance of trade cost as a determinant of international price dispersion. The importance of trade costs in segmenting product markets can not be captured by considering aggregate prices or in the absence of information on the direction of trade. The first essay, addresses this problem by utilizing product-specific prices along with cross-sectional productivity measures and bilateral trade flows that allow us to identify the probable source of any one product. The empirical approach used in this work is …

The Race To The Center And Other Lessons Of Globalization, Jagdish N. Bhagwati

Faculty Scholarship

An Interview with Kenta Tsuda, New York, NY, 1 June 2006.

]agdish Bhagwati is a professor of economics and law at Columbia University and senior fellow in international economics at the Council on Foreign Relations. His publications include The Economics of Underdeveloped Countries and In Defense of Globalization. He is the founder of the Journal of International Economics and Economics & Politics.

New Mexico Data Users Conference_2007, University Of New Mexico Bureau Of Business And Economic Research, New Mexico Economic Development Department

BBER Publications

This report compiles statewide and county-level demographic, economic, labor force, industry, trade, tourism, and population data for New Mexico. The publication includes economic forecasts, employment and income trends, export profiles, county profiles, and extensive data resources intended for planners, researchers, businesses, and government agencies.

Annual Economic Outlook Conference_Jan 2007, University Of New Mexico Bureau Of Business And Economic Research

BBER Publications

This report provides an overview of New Mexico's economic conditions, including employment, income, population growth, tourism, exports, manufacturing, and county-level demographic indicators. The volume combines economic forecasts with extensive state and local datasets intended to support business, government, and academic research.