Finance Commons^™

Essays On International Trade And Finance, Amat Adarov

Graduate Theses and Dissertations

The dissertation consists of three papers exploring the macroeconomic implications of heterogeneity of countries in financial development, economic interconnectedness via trade and financial linkages.

Chapter 1 examines whether countries which are more centrally located in the global trade network have more synchronized stock markets. Global trade data is used to construct a novel measure of random walk betweenness centrality (RWBC), measuring the extent to which a country lies on random pathways in-between other countries and is therefore likely to be a conduit in the transmission of a shock across global markets. Based on a panel dataset of 58 countries over …

The Household's Savings And The Industrial Production : A Time Series Analysis For Poland, Michal Wojewodzki

Lingnan Journal of Banking, Finance and Economics

In this paper the author will examine the short and long-run causality between the growth rate of households‟ savings in the consolidated banking system in Poland, and the Polish economic growth rate (using the industrial production index as its proxy). This research paper will cover Poland‟s economic development over the periods 1997 to 2010 (in a quarterly approach). The main purpose of this paper is to shed light on the direction of the causality between saving and growth, so that the Polish policymakers can either focus on policies promoting growth or focus on saving policies in order to effectively and …

A Quantitative Study Of Influential Factors On Hibor Under Hong Kong's Linked Exchange Rate System, Jianbin Situ

Lingnan Journal of Banking, Finance and Economics

Hong Kong Inter-Bank Offered Rate (HIBOR) is one of the most important interest rates in the Hong Kong money market. This paper studied some of the significant factors in determining HIBOR under Hong Kong‟s Linked Exchange Rate System using a VAR model to describe how various factors affect the movement of HIBOR. The result indicates that HIBOR, foreign exchange rate and M1 are correlated.

Herding Evidence In Chinese Stock Market : A Study Of The Relationship Between Stock Price Index And Trading Volume Based On Behavioral Finance Theory, Xiaofeng Zhao

Lingnan Journal of Banking, Finance and Economics

Over the last couple decades, more evidence has been found supporting the notion that investors are not always rational. Herding behaviors have been observed in both the stock market crash1 and financial bubbles2, which were beyond the understanding of modern finance theory. In this paper, the herding phenomenon was explored in the Chinese stock market by the study of the relationship between stock prices and trading volume over the past 7 years. It was found that the change of price is statistically significant to have caused the change of trading volume, but the reverse is not true. Theoretically, this identifies …

Analysis On Accrual-Based Models In Detecting Earnings Management, Tianran Chen

Lingnan Journal of Banking, Finance and Economics

This paper analyzes the problems with the alternative accrual-based models in detecting earnings management. The researcher will focus on comparing the Jones Model and the Modified Jones Model, which are the two most frequently used model in empirical analysis nowadays. Earnings management is a kind of management which uses accounting techniques to meet the executives‟ needs for earnings; it is a widely debated topic, hence it is worth looking at. Experts and professionals in this area found many approaches to detect the earnings management; within these approaches are the accrual-based models which include the modified Jones model, which currently is …

The Uncovered Interest Rate Parity Failure From 2002 To 2005 : An Implicit Consensus Of Carry Trade, Yui Law

Lingnan Journal of Banking, Finance and Economics

There are many literatures devoted to the study of the uncovered interest parity (UIP); however, majority of them focus on whether UIP exists and only a few concentrate on the pattern of the UIP failure. By using a panel VAR approach, this paper compares the intensive carry trade period, between 2002 and 2005, and the pre-intensive carry trade period, between 1998 and 2001. The results show that during the intensive carry trade period UIP failure was caused by the self-fulfilling behaviour of investors. High interest rate currencies made investors believed that the currencies would appreciate and bided their price even …

How Can Saving Deposit Rate And Hang Seng Index Affect Housing Prices : An Empirical Study In Hong Kong Market, Tao Tang

Lingnan Journal of Banking, Finance and Economics

The main objective of this paper is to examine the impact of savings deposit rate and Hang Seng index on real estate prices in Hong Kong Market. Two different periods are chosen to conduct this research: one period is the deflationary time, from 1998 to 2003, and the other is the reviving economical time from 2004 to 2007. The aim of this research is to examine the influences of these variables in different economic conditions, and find out whether there are any causal effects amongst them.

The Benefits Of Introducing A Housing Price Index Future In Hong Kong, Yingsi Feng

Lingnan Journal of Banking, Finance and Economics

It is widely recognized and accepted that, financial innovation such as options and futures can help to manage risk, speculate, arbitrage and discover price in financial markets. As such, the researcher believes that the introduction of a Housing Price Index Futures in Hong Kong can greatly improve the investment environment in Hong Kong‟s property market. Therefore, the purpose of this paper is to perform a feasibility study of the proposed Housing Price Index Futures in Hong Kong financial Market, to reveal the crucial need of this innovation for the betterment of the real estate market in Hong Kong, and the …

Evidences Of High Sensitivity Of Investors To Financial News After Crises : Cases Study Of Asian Financial Crisis And Sub-Prime, Yui Law

Lingnan Journal of Banking, Finance and Economics

In the academic field of international stock market, some critics argue that, after having a global financial crisis, stock markets around the world will become more integrated. In fact, many researchers have put forward empirical works showing that the co-relation, or Granger-Causality, among different stock markets, strengthens comparatively at the post crisis period. This finding is rational; however, the explanation given for the increased co-movement after the crisis is not sufficient. The critics suggest that this increase is caused by the increase in international arbitrage activities and the higher degree of integration among markets. The Purpose of this paper is …

Implications Of A Managed Floating Exchange Rate System On The Interest-Rate Behavior Of Singapore, Jingjing Wei

Lingnan Journal of Banking, Finance and Economics

Singapore and Hong Kong are two similar economies, but they have rather different monetary systems and exchange-rate regimes. Singapore’s managed floating exchange rate regime contrasts with Hong Kong’s currency board system (CBS) featured by the Hong Kong–United States dollar peg. In this paper, we appraise the implications of the managed floating exchange rate regimes on the interest-rate behavior of Singapore. We examine the Singapore-US interest differential under the Singapore’s exchange-rate regimes during the Asian Financial Crisis (AFC), current Global Financial Crisis and none-crisis periods by using generalized autoregressive conditional heteroscedasticity (GARCH) model. We hope that the good performance of Singapore’s …

Analysis Of Hong Kong To Be An Offshore Financial Center Of Rmb, Qichao Song

Lingnan Journal of Banking, Finance and Economics

In this article we aim to discuss the possibility and feasibility as well as the disadvantages and barriers for Hong Kong to be an offshore financial center of RMB. As the most biggest financial center in China, Hong Kong need to develop the RMB business for strengthening its position in the international competition. And we think that to become an RMB offshore financial center is not only an opportunity but also a responsibility for Hong Kong. We also give some suggestions on this issue.

Citizens’ Satisfaction With The Sar Government's Overall Performance In Post-Colonial Hong Kong : Result Of Ols Analysis, Luo Yang

Lingnan Journal of Banking, Finance and Economics

Through studying of the impact of the Hong Kong Special Administration Region government’s performance in various policy areas upon the level of citizen’s satisfaction with the government’s overall performance, this paper confirms the general wisdom that economic development is an important source of citizens’ satisfaction with the government’s performance. It further proves that, government’s performance on democratic development and freedom of speech and assembly are also very powerful variables in the model and its partial coefficients are impressive.

An Experimental Study About Effective Factors Of First-Day Offer Pricing : Taking Stock Markets As An Example, Yi Liu

Lingnan Journal of Banking, Finance and Economics

The author examines the literature with respect to the pricing of initial public offerings and focus upon the effective factors of pricing. Using a data base of all share offerings undertaken in Hong Kong over a one year period (in 2007), the author finds that there is considerable evidence for the proposition that large and well-capitalized companies tend to price their share offerings at a higher absolute level in order to get a higher level of first-day closing price. Using classical statistical methods, the author finds that the pricing strategy of offering companies is connected to shareholders’ desire of the …

The Fall Of Long-Term Capital Management, Xiaowei Guo

Lingnan Journal of Banking, Finance and Economics

The author examines the literature with respect to the pricing of initial public offerings and focus upon the effective factors of pricing. Using a data base of all share offerings undertaken in Hong Kong over a one year period (in 2007), the author finds that there is considerable evidence for the proposition that large and well-capitalized companies tend to price their share offerings at a higher absolute level in order to get a higher level of first-day closing price. Using classical statistical methods, the author finds that the pricing strategy of offering companies is connected to shareholders’ desire of the …

What Determines Public Pension Investment Risk-Taking Policy, Nancy Mohan, Ting Zhang

Economics and Finance Faculty Publications

State public pension plans, mostly defined benefit plans, cover pension benefits for 12.8 million active public employees and 5.9 million retirees and other annuitants. However, by the end of 2009, public pension plans had accumulated a total funding deficit of $697 billion (measured by the difference between actuarial pension assets and liabilities). On average, public pension funds cover 75 percent of their liabilities, but individual state results vary greatly.

The 2008 stock market crash strongly affected pension asset value in that equity allocation on average accounted for 56 percent of invested assets. The average 2009 pension asset beta of 0.63 …

Fund My Trip: Is Outmigration Changing The Functioning Of Microfinance In Rural Areas?, Vadim A. Berg

Independent Study Project (ISP) Collection

Remittances have been integral to Nepal’s economy since the 19^th century, and they have never been as crucial to the nation’s income as today, accounting for about a quarter of GDP. Microfinance first appeared in Nepal in the 1950s under the form of agricultural cooperatives, and today both saving and credit cooperatives and formal microfinance banks play an important role in giving rural populations access to financial institutions. Increasingly, both these two flows have begun to interact, and this research aims to shed light on these microfinance foreign employment loans. Is microcredit making migration a more affordable and viable …

Developing International Self-Reliance In Undergraduate Students Through Study Trips, Elizabeth Yobaccio, Ramesh Mohan, Jack Trifts

Finance Department Faculty Journal Articles

This paper reports on the development of a large scale international study trip program developed by an AACSB accredited institution to enhance the global perspective of its students. Developed collaboratively between the College of Business, the College of Arts and Sciences and the university's Student Affairs division, the program has resulted in more than 750 students participating in international experiences in one of 18 trips throughout the world. This paper documents the development of this program and provides important insights for anyone planning to offer a similar experience to their students.

How One Trade Could Change The World: High Frequency Trading And The Flash Crash Of 2010, Sarah Perlman

Honors Projects in Finance

Financial markets are controlled directly by a small population of people, but have direct effects on almost every aspect of the global community. Financial markets are now flooded with computerized algorithms that have drastically changed the face of trading. As with any advances in technology, there are always unforeseen events that create new challenges, and adjustments that need to be made. In our increasingly global and technological world, one wrong click of the mouse in New York could affect the stock markets in London, Tokyo, and Brazil. On May 6th, 2010, such a situation occurred and caused the Dow Jones …

Massachusetts And The Financial Crisis, College Of Management, University Of Massachusetts Boston

Financial Services Forum Publications

Although Massachusetts suffered the consequences of the crisis along with the rest of the US economy, the state weathered the storm relatively well. Now, with the impact of the policies still playing out, there are encouraging signs of recovery which may provide much needed relief for all.

Foreclosing Foreclosure: Escaping The Yawning Abyss Of The Deep Mortgage And Housing Crisis, Aleatra P. Williams

Northwestern Journal of Law & Social Policy

In 2007, Rick Sharga, vice president of marketing at RealtyTrac, stated that with more stringent lending and underwriting standards, “we will likely see a significant foreclosure decrease” within the next three years. However, a sustained and considerable decrease in foreclosures has yet to occur. In fact, the real estate market downfall and resulting mortgage and housing crisis have proven to be wider, deeper, and more serious than first anticipated. Since 2007, millions of homeowners faced, and continue to face, foreclosure proceedings. To provide protections for homeowners, federal and state actors have attempted regulatory and legislative solutions to stem the foreclosure …