Sub-sample Periods Research Articles

Oxidative Cross-Coupling Reactions

Using the correlations of VAR forecast errors at different horizons, this paper analyzes the dynamics of co-movements between crude oil and food prices. For each food price considered, a bivariate VAR model is estimated on two subsample periods: a pre-commodity-boom (1990M1–2006M12) and a post-boom period (2007M1–2015M5). Our results reveal strong positive co-movements between crude oil and food prices in the aftermath of the commodity boom, while no statistically significant co-movements are observed over the pre-boom period. Hence, our findings provide further empirical evidence on the actual linkages between the crude oil and agricultural markets.

Stock Market Integration of India with Rest of the World : An Empirical Study

The present study conducted an analysis of the stock market integration of India and a few selected countries of the globe. The study used the Engle-Granger bivariate co-integration test for the analytical purpose of ascertaining the long run equilibrium relation among the countries. The long run relationship of India with some of the selected countries across the globe was analyzed over three different phases. It was observed that cointegration of India with other stock markets was increasingly improving over the years with financial liberalization. The study found that the Indian stock market was more responsive to the other Asian stock markets during the recession phase than in any other sub-sample periods.

Co-Movements between Crude Oil and Food Prices: A Post-Commodity Boom Perspective

Using the correlations of VAR forecast errors at different horizons, this paper analyses the dynamics of co-movements between crude oil and food prices. For each food price considered, the VAR model is estimated on two subsample periods: a pre-commodity boom (1990M1-2006M12) and a post-boom period (2007M1-2015M12). Results show strong positive co-movements between the crude oil and food prices in the aftermath of the commodity boom, while no statistically significant co-movements are observed over the pre-boom period. Our findings then provide an additional empirical evidence on the actual linkages between the crude oil and agricultural markets.

The Noninformation Cost of Trading and Its Relative Importance in Asset Pricing

We show that the noninformation component of trading costs is priced in thecross-section of stock returns using intraday data for NYSE/AMEX stocks. Moreimportantly, we show that the noninformation component is much larger and morestrongly related to stock returns than is the adverse-selection component,indicating that the noninformation component plays a more important role inasset pricing than does the adverse-section component. We conduct a variety ofrobustness tests and show that our main results hold for different estimationmethods, measures of the adverse-selection cost, subsample periods, and controlvariables. We offer plausible explanations for these results.

The impact of hedging on firm value: evidence from US multinational corporations

This paper examines whether hedging can affect multinationals' firm value. Employing pooled cross-sectional time-series analysis of manually collected data of US multinational corporations from 2008 to 2015, this manuscript finds that (i) hedging activities are positively related to the firm value of multinational companies as implied by firm value maximisation theories; (ii) hedging significantly increases firm value by above 10% over the full-sample and the post-crisis sub-sample periods; but (iii) hedging appears insignificant and irrelevant during the global financial crisis period, which may indicate that global economic conditions could dominate any firm-level hedging activity effect. This is a new finding that contributes to the current hedging literature.

The impact of hedging on firm value: evidence from US multinational corporations

This paper examines whether hedging can affect multinationals' firm value. Employing pooled cross-sectional time-series analysis of manually collected data of US multinational corporations from 2008 to 2015, this manuscript finds that (i) hedging activities are positively related to the firm value of multinational companies as implied by firm value maximisation theories; (ii) hedging significantly increases firm value by above 10% over the full-sample and the post-crisis sub-sample periods; but (iii) hedging appears insignificant and irrelevant during the global financial crisis period, which may indicate that global economic conditions could dominate any firm-level hedging activity effect. This is a new finding that contributes to the current hedging literature.

Long memory volatility of gold price returns: How strong is the evidence from distinct economic cycles?

This paper examines the long memory behavior in the volatility of gold returns using daily data for the period 1985–2009. We divided the whole sample into eight sub-samples in order to analyze the robustness and consistency of our results during different crisis periods. This constitutes our main contribution. We cover four major world crises, namely, (i) the US stock market crash of 1987; (ii) the Asian financial crisis of 1997; (iii) the World Trade Center terrorist attack of 2001 and finally, (iv) the sub-prime crisis of 2007, in order to investigate how the fractional integrated parameter of the FIGARCH(1,d,1) model evolves over time. Our findings are twofold: (i) there is evidence of long memory in the conditional variance over the whole sample period; (ii) when we consider the sub-sample analysis, the results show mixed evidence. Thus, for the 1985–2003 period the long memory parameter is positive and statistically significant in the pre-crisis sub-samples, and there is no evidence of long memory in the crisis sub-sample periods; however the reverse pattern occurs for the 2005–2009 period. This highlights the unique characteristics of the 2007 sub-prime crisis.

The explanatory power of higher moment capital asset pricing model in the Karachi stock exchange

The study investigates the empirical validity of the higher-moment capital asset pricing model in the Karachi stock exchange. The sample consists of 313 stocks listed on the KSE over the sample period from July 2000 to June 2011. The findings suggest that covariance, co-skewness and co-kurtosis risks are mostly insignificantly priced in conditional and unconditional form over the full and sub-sample periods. However, over the sub-sample period of June 2007 to July 2009, the unconditional co-skewness risk is negatively and statistically significantly priced (white heteroskedasticity-consistent standard errors and covariance matrix). Co-skewness risk is marginally statistically significantly (at 10%) and correctly priced over the full sample period using the three-moment specification using white heteroskedasticity-consistent standard errors and covariance matrix. Furthermore, co-kurtosis risk is positively and statistically significantly priced over the sub-sample periods of July 2003 to February 2006 and July 2003 to June 2005 using Generalized Least Squares as estimation technique for the cross sectional regression.

MENA stock market volatility persistence: Evidence before and after the financial crisis of 2008

The global financial crisis began with a financial meltdown in the United States in early 2008 and then it had spread to the rest of the world. In this paper we test whether the MENA equity market volatility presents a different behavior before and after the financial crisis of 2008. Using long range dependence techniques we test for long memory in the returns, absolute and squared returns of the MENA equity markets. We subject the series to unit root tests that allow for structural breaks and use the Bai and Perron (1998, Econometrica, 66, 47; 2003a, J. Appl. Econometrics, 6, 72; 2003b, Econometrics J., 18, 1) to test for multiple breaks in the mean returns. The results indicate that the volatility measures represented by absolute and squared returns show evidence of long memory for the full and subsample periods, while the returns show a weak evidence of long memory. Considering the shift dates and corresponding to the 2008 financial crisis, the returns and volatility measures display less evidence of long memory in the after crisis period as opposed to the before crisis period. The change in the returns and volatility dynamics of these markets was due to financial and economic conditions that took place in the MENA region after the crisis.

The role of financial speculation in the energy future markets: A new time-varying coefficient approach

To study whether speculating behavior plays an important role in oil futures markets, this paper proposes a time-varying coefficient version of the model of Llorente, Michaely, Saar, and Wang (2002) and estimates the effect of the speculating behavior using a sieve maximum likelihood estimation method. Using the time-varying coefficient model and the data of crude oil and heating oil futures markets, we find that neither the speculative motive nor the hedging motive dominates the markets over the whole sample period. However, we find that one of the two motives dominates the markets over some subsample periods. More importantly, speculation dominates in both the crude oil and heating oil futures markets around 2008. These empirical findings support the argument that the speculating behavior significantly affected the sharp rise in the price of crude oil in 2008.

Effects of informational nudges on consumer debt repayment behaviors

This study examines the impact of billing disclosure changes mandated by the Credit Card Accountability Responsibility and Disclosure (CARD) Act on consumers’ decisions about their monthly credit card debt repayments. The study uses data from a nationally representative monthly survey of households from June 2006 through December 2011. Estimates show that the CARD Act disclosures were effective in inducing households to increase the amounts of credit card debt paid off each month, with the strongest effects seen in the proportion of households who pay off balances in full each month. Among households who continue to carry credit card debt, there is minimal evidence of repayment behavior changes due to CARD. Results are robust to controlling for selection into credit card ownership and to a variety of time controls and subsample periods.

The Determinants And Structural Change Of FDI In China A Study Based On City-Level Panel Data

As one of the important developing countries, China has experienced a tremendous amount of economic growth in the past 30 years. This in turn has attracted a huge amount of foreign direct investment (FDI) into the country. However, according to past literature, FDI location is imbalance in China. Building upon this finding, this paper attempts to identify factors affecting the location determinants of FDI in China. By introducing spatial variable into the analysis, this paper measures the agglomeration effect of a city level data. The results show that the spatial variable (market potential factor), plays a significant role in FDI flows. Also I find that previous FDI flow, market potential factor, infrastructure construction, government preferential policies and coastal location can attract FDI flow. While higher wages and education level effects are not clear. By separating the data into two sub-sample periods (1996-2002 and 2003-2008), I find that in response to the transformation of the economic situation, foreign investors shift their investment direction into regions with high education and high income level. This observation is different to previous studies. This study provides deeper perspective on the factors that attract FDI flows to China, and how the transformation of the economic environment change the direction of FDI flows.

The Relationship between Inflation and Unemployment in Ghana: Analysis of the Philips Curve

The aim of this study is to explore the relationship between inflation and unemployment in Ghana. The study also aims to test for the existent of the Philips curve in Ghana using the new Keynesian Philips curve model on annual time series data sampled from 1970 to 2013. The sample period was divided into two subsamples -from 1970 to 1982 and 1983 to 2013- in order to test for the effect of the Economic Recovery Programme on the relationship between inflation and unemployment. The empirical estimate reveals that, changes in unemployment does not brings about changes in inflation both subsample periods. Again, the study rejects evidence of the Philips curve in Ghana. This is attributed to the fast growing labour force that lack the appropriate skills to earn them a job placement, alarming rate of rural-urban migration, imperfect market information which has resulted in mismatch of that makes inflation unresponsive to changes in unemployment. Monetary policies to influence inflation would not bring about any trade-off between inflation and unemployment. To reduce the ever increasing unemployment in Ghana, policy direction should focus on creating job opportunities for both uneducated and educated individuals. Keywords : Inflation, Unemployment, Philips curve, Ghana

Are real exchanges rate series really persistent?: evidence from three commonwealth of independent states countries

This article sets out to examine the degree of persistence in the real exchange rates of Kazakhstan, Kyrgyzstan and Russia, and tests the validity of Purchasing power parity (PPP) using monthly data covering 1995:01–2013:12 period. The sum of autoregressive (AR) coefficients is used in order to examine persistence of the real exchange rate series and grid-bootstrap method is employed for the confidence intervals. The tests performed suggest two results: (1) Covering the full sample and sub-sample periods, excluding Kyrgyzstan in 1995:01–1998:07 and Russia in 2008:09–2013:12 periods, disregarding the structural breaks in the data generating process, there is high persistency in real exchange rates; (2) there is evidence in support of PPP covering the full sample for every country except for Kyrgyzstan in 1995:01–1998:07 and Russia in 2008:09–2013:12 periods.

Revisiting the causality between electricity consumption and economic growth in South Africa: a bootstrap rolling-window approach

The study revisits the causality relationship between electricity consumption per capita and economic growth per capita in South Africa for the period 1971-2009 using annual data and takes into consideration different time/sample periods in causal relationships using bootstrapping techniques in conjunction with rolling Granger non-causality tests. Full-sample Granger causality tests find no evidence of causal link between electricity consumption and economic growth. However, parameter stability tests indicate that there is instability in our VAR model and therefore findings from our full-sample Granger causality test cannot be relied upon. This motivates the use of bootstrap rolling-window estimation to investigate the electricity consumption-growth nexus which accounts for the time varying causal link between the two variables. The results indicate two sub-periods, 2002-2003 and 2005-2006, whereby electricity consumption had a causal effect on GDP. Apart for these brief sub periods, the results indicate no causality between the two series. However, these sub-sample periods go hand in hand with significant economic events that occurred in the South African electricity market during these sub-sample periods and the economy in general, indicating that the results can be attributed to real life events and not solely on data provided.

Monetary Transmission Mechanism in Pakistan: Credit Channel or Interest Rate Channel

This study uses vector autoregressive approach to estimate the relative importance of credit and interest rate channels in the monetary transmission mechanism of Pakistan by covering the period from 1991-Q3 to 2012-Q2. The purpose of the study is to explore the role played by monetary policy shocksin economic fluctuations. The results based on variance decomposition analysis and impulse response function demonstrate that for the combine sample period covering from 1991-Q3 to 2012-Q2 both the credit and interest rate channels seem inef ective and it was dif icult to distinguish which channel is more important during this period in Pakistan's case. The sample period was then divided into two subsample periods and both the channels were observed in two subsample periods. However, credit channel was dominant in the first sample covering 1991-Q3 to 2000-Q4 and interest rate channel performs a much greater role in transmitting policy shocks in the second sample period of 2001-Q1 to 2012- Q2. Hence, it is concluded that the role of both transmission channels changed during the last two decades. The role of the credit channel in transmitting monetary shocks has considerably weakened since the early 2000s, whereas interest rate channel is more important during this period. These results have important implications for policy design, supporting a greater emphasis on financial prices than the quantity of credit in order to accomplish the targets of monetary policy in Pakistan.

The Effect Of Probability And Uncertainty Models On Hedge Fund Performance Analysis

<p>This paper implements two types of framework to investigate the outperformance, selectivity, and market timing skills in hedge funds: uncertainty and probability. Using the uncertainty framework, the paper develops an uncertain fuzzy credibility regression model in the form of a linear and quadratic CAPM in order to estimate these performance skills. Using the probability framework the paper implements frequentist and Bayesian CAPMs (linear and quadratic) to estimate the same performance skills. We consider a data set of monthly investment style indices published by Hedge Fund Research group. The data set extends from January 1995 to June 2010. We divide this sample period into four overlapping sub-sample periods that contain different market trends. Using the probability framework, our results show that bounded rationality triggers inefficiencies in the market that fund managers can utilise to outperform the market. This market outperformance is due to selectivity and market timing skill during periods of economic recovery only. We admit that these results contradict the rational expectations model. However, with the uncertainty framework this effect disappears on behalf of the rational expectations model and the efficient market hypothesis. This disappearance may be a result of the increased amount of high frequency trading witnessed recently that has made market inefficiencies, which are the main source of hedge fund performance, rarer.</p>

Market Integration and Financial Crisis: New Evidence from Asian Paciic Markets

We  investigated  the  stock  market  integration  among  national  equity  indices  in  eight countries  from  the  period  of  1995  to  2009,  which  was  then  clustered  into  four  sub-sample periods. The multivariate time series analyses were employed to observe the degree and the existence  of  the  integration.  We  found  a  cointegrating  vector  in  each  of  three  sub-sample periods. Interestingly, in the 1997 inancial crisis, we found that there was no indication of cointegration relationship among the equity indices. The results of block causality tests and the accounting innovation analysis indicate that the short run dynamic interactions among the stock indices became more intense during the current inancial crisis, and that the U.S. stock market  played dominant role in the regional markets.   ");} // --> activate javascript

Housing and the Great Depression

This article considers the structural stability of the relationship between the real housing price and real GDP per capita for an annual sample that includes the Great Depression. We test for structural change in parameter values using a sample of annual US data from 1890 to 1952. The article examines the long-run and short-run dynamic relationships between the real housing price and real GDP per capita to determine whether these relationships experienced structural change over the sample period. We find that temporal Granger causality exists between these two variables only for subsamples that include the Great Depression. For the other subsample periods as well as for the entire sample period, no relationship exists between these variables.

The Equity Performance of U.S. Firms Emerging from Chapter 11 Bankruptcy

The aim of this study is to explore and assess the long-run stock return performance of the firms emerging from bankruptcy under Chapter 11 of the U.S. Bankruptcy Code using event study methodology in U.S. market. The abnormal return tests are executed for the full sample period 1994-2011 as well as two sub-sample periods of 1994-2006 and 2007-2011. Findings for the full sample period as well as first sub-sample period support substantial evidence of positive abnormal returns in short term as well as in long term. Several factors such as changing industrial code, state of incorporation and state of filing etc. are found to have significant effect on positive abnormal returns in the first sub-sample period. However, the results from the second sub-sample period exhibit mixed evidence of both positive and negative abnormal returns. Surprisingly, abnormal returns around the earnings announcements are also found significantly negative. The results from the second sub-sample period and around earnings announcements contradict the findings in previous studies which have documented highly positive abnormal returns for the companies emerging from bankruptcy.