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2003

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Institution
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Articles 31 - 32 of 32

Full-Text Articles in Finance

External Debt And Worsening Business Cycles In Less Developed Countries, Hing-Man Leung Jan 2003

External Debt And Worsening Business Cycles In Less Developed Countries, Hing-Man Leung

Research Collection School Of Economics

Less developed countries (LDCs) have seen considerable business cycles in recent decades. At the same time they have significantly increased their external-debt-to-GDP ratios. It seems natural to suspect that increased indebtedness and the amplified cycles are linked. The paper presents a simple macroeconomic model to formalize this connection. External debt is the novelty of this model. The paper's main contribution is to calibrate the dynamic parameter using the World Development Indicator. It is found that the LDC dynamic behavior is generally non-oscillatory. Alarmingly though, the dynamic convergent system in the 1970s has been replaced by one of divergence.


Effects Of Electronic Trading On The Hang Seng Index Futures Market, Joseph Fung, Donald Lien, Yiuman Tse, Yiu Kuen Tse Jan 2003

Effects Of Electronic Trading On The Hang Seng Index Futures Market, Joseph Fung, Donald Lien, Yiuman Tse, Yiu Kuen Tse

Research Collection School Of Economics

This paper investigates the effects of the migration of the Hang Seng Index futures from open-outcry trading to electronic trading. Using trade data over a window of six months we find evidence that, after the migration, the bid-ask spread of the futures contract decreases and the contribution of the futures price in information transmission increases. Furthermore, the asymmetry in volatility spillover reduces and the open interests of the futures market become smaller. These results suggest that the anonymity in trading and the higher speed of order execution in the electronic trading system attract informed traders to the futures market and …