Pre Crisis Research Articles

Urban Crises and Rental Values Differential in Kaduna Metropolis

The incessant outbreak of violent conflicts in Kaduna metropolis led to enmasse intrametropolitan population mobility and change of residence to areas perceived to be relatively safer for lives and property. The emergent of change residents has affected the values of rental properties in the metropolis. This paper examines the changes in rental values in the different residential areas as a consequence of the mobility that resulted from sectarian crises that occurred in February and May 2000. Data collected are on two time periods: mid-1999 (pre crisis period), and mid-2005 (post crisis-year) were obtained from the Estate surveyors and Property Valuer agents from 27residential areas vulnerable to violent conflicts occurrence. The analysis of the data reveals three groups of residential areas. These are areas with increased rental values (net-population gain) which experienced higher demand for accommodation, areas with net-population loss which experienced low demand for residential apartments, as the number of people moving out from the areas out-numbered the in-coming group, hence, rental values were generally lower, areas that changed little if at all, as the number of movements into or out of the areas were fairly even. Key Words: Urban crisis, rental values, Kaduna metropolis, violent conflicts

The Day of the Week, Turn of the Month and January Effect on Stock Market Volatility and Volume: Evidence from Bursa Malaysia

This paper focuses on three important calendar events namely day of the week, turn of the month and January effect. Using both a GARCH (1 1)-M model and a mixture of distribution hypothesis (MDH) this paper investigates the return and conditional volatility pattern of the Malaysian stock index over the period from 1994 to 2004. In an attempt to isolate the effect of the 1997 crisis, the sample period is divided into three sub periods namely “pre-crisis”, “during crisis” and “post crisis”. Findings indicate the presence of a week-end effect suggesting Monday returns to be significantly negative across the three sub periods and provide strong explanation for both return volatility pattern on Malaysian capital market. While No clear pattern of January or turn of the month effect was observed for the full sample. However, when the sample period is subdivided based on economic conditions, the turn of the month effect is found to be positive and significant for the pre crisis period and negative and significant for post crisis period. The January effect appeared to be present in the post crisis period only. While volume serves as mixture of distribution explaining return distribution and volatility pattern. While study lend some support to the mixture of distribution hypothesis, The findings imply that the behavioral pattern of Malaysian traders has been changed since the 1997 Asian crisis period, hence shed new light on anomalies study literature.

Stability of the Demand for Real Narrow Money in Indonesia: Evidence from the Pre and Post Asian Crisis Era

The stability of the demand for real M1 in Indonesia is empirically examined using quarterly data between 1981 and 2002. A cointegrated VAR methodology that isolates the period of structural breaks in the data generating process of the variables, caused by the Asian crisis, is used. The results show that the nominal M1 demand function is long run homogenous in the price level and the price level itself is endogenous in the equation for nominal M1. Therefore, a reparameterization towards the real M1 demand function is necessary. In the pre and post Asian crisis era, the demand function for real M1 in Indonesia is empirically stable and consists of a small number of variables. In the long run, the real private household consumption spending forms the permanent part of the demand for real M1 balances. Meanwhile, in the short run, the opportunity cost of holding real M1 balances, measured by the 1-month nominal interest rate of time deposits in commercial banks, and agents' seasonal preference for real money balances, are key determinants of the demand for real M1 balances. In addition, there is evidence of a co-breaking relationship between the real M1 balances and the real private household consumption spending in Indonesia during the Asian crisis.

Dynamic Interaction Among Asian Exchange Rates: Evidence from Asian Financial Crisis

This paper examines the pattern of interaction among Asian exchange rates, and how the pattern changed before and during/after the Asian financial crisis of 1997-98. The empirical tests are conducted using daily nominal exchanges rates based on the US dollar and the Japanese yen from several Far East countries and Australia during pre crisis period (1990-1997) and during/after crisis period (1997-2002). The empirical tests are conducted using Johansen multivariate cointegration method and band spectrum regressions. Results from both tests indicate substantial changes in the interaction and relationships between the Far East exchange rates before and after the crisis. Results from the band spectrum regressions indicate the increase in the domination of the US dollar in the region after the crisis.