| 1. |
- Algren, Niklas, et al.
(author)
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Panel cointegration of Chinese A and B shares
- 2009
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In: Applied Financial Economics. - : Routledge. - 0960-3107 .- 1466-4305. ; 19:23, s. 1859-1871
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Journal article (peer-reviewed)abstract
- We study information flows in China's stock markets. By using panel data methods we test for a unit root in the price premium of domestic investors’ A shares over foreign investors’ B shares, as well as cointegration between the A- and B-share prices on the Shanghai and Shenzhen stock exchanges. We find that the A-share premia are nonstationary, and that the A- and B-share prices are not cointegrated up till January 2001. After February 2001, when domestic investors were allowed to trade B shares, the A-share premia become stationary and the A- and B-share prices cointegrated. One interesting result from the panel data analysis is that most firms’ A and B shares are cointegrated, but not all firms. Cointegration is more likely for firms with a small A-share premium, low ratio of nontradeable shares, high growth rate and large B-share market capitalization relative to the A-share market capitalization. Our findings suggest that the relaxation of the investment restrictions decreased the segmentation between the A- and B-share markets in China.
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| 2. |
- Andersson, Per-Åke, 1954, et al.
(author)
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Inflation, Monetary Policy and Structural Adjustment in Zambia
- 2002
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In: International Economics. ; LV(4), s. 425-449
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Journal article (peer-reviewed)abstract
- This paper analyses the monetary policy and its impact on the rate of inflation during the economic structural adjustment programs in Zambia during 1987 to 1993. To avoid the Lucas critique, the focus is on a sample period, 1987 to 1993, which is relevant for analysing inflation and monetary policy during adjustment programs. The sample does not include other types of monetary regimes than the ones relevant for analysing the adjustment process. The supply of money and the price level are decomposed into permanent and transitory components. The results suggest that the price level in Zambia was driven by the supply of money, and that the authorities were able to reduce inflation by restricting the money supply process during the adjustment programs.
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| 3. |
- Andersson, Per-Åke, 1954, et al.
(author)
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Successful inflation targeting in Mozambique despite vulnerability to internal and external shocks
- 2012
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Reports (other academic/artistic)abstract
- Inflation has proven to be an important obstacle to successful economic adjustment in many countries. Despite both internal and external shocks to the economy, Mozambique has succeeded in controlling the inflation to gain high economic growth. This paper provides an econometric analysis of the dynamics behind the experience of Mozambique. Inflation is driven by both a purchasing power parity relation with South Africa and monetary factors. The result indicates that the country is using a crawling peg exchange rate regime.
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| 4. |
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| 5. |
- Andersson, Per-Åke, et al.
(author)
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Successful inflation targeting in Mozambique despite vulnerability to internal and external shocks
- 2013
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In: Zambia Social Science Journal. - Newcastle on Tyne, UK : Southern African Institute for Policy and Research. - 2079-5521.
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Journal article (peer-reviewed)abstract
- Inflation has proven to be an important obstacle to successful economic adjustment in many countries. Despite both internal and external shocks to the economy, Mozambique has succeeded in controlling the inflation to gain high economic growth. This paper provides an econometric analysis of the dynamics behind the experience of Mozambique. Inflation is driven by both a purchasing power parity relation with South Africa and monetary factors. The result indicates that the country is using a crawling peg exchange rate regime.
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| 6. |
- Bekiros, Stelios, et al.
(author)
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BUSINESS CYCLE (DE)SYNCHRONIZATION IN THE AFTERMATH OF THE GLOBAL FINANCIAL CRISIS: IMPLICATIONS FOR THE EURO AREA
- 2015
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In: Studies in Nonlinear Dynamics and Econometrics. - : De Gruyter. - 1081-1826 .- 1558-3708. ; 19:5, s. 609-624
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Journal article (peer-reviewed)abstract
- The introduction of Euro currency was a game-changing event intended to induce convergence of Eurozone business cycles on the basis of greater monetary and fiscal integration. The benefit of participating into a common currency area exceeds the cost of losing autonomy in national monetary policy only in case of cycle co-movement. However, synchronization was put back mainly due to country-specific differences and asymmetries in terms of trade and fiscal policies that became profound at the outset of the global financial crisis. As opposed to previous studies that are mostly based on linear correlation or causality modeling, we utilize the cross-wavelet coherence measure to detect and identify the scale-dependent time-varying (de)synchronization effects amongst Eurozone and the broad Euro area business cycles before and after the financial crisis. Our results suggest that the inforcement of an active monetary policy by the ECB during crisis periods could provide an effective stabilization instrument for the entire Euro area. However, as dynamic patterns in the lead-lag relationships of the European economies are revealed, (de)synchronization varies across different frequency bands and time horizons.
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| 7. |
- Bekiros, Stelios, et al.
(author)
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On the time scale behavior of equity-commodity links: Implications for portfolio management
- 2016
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In: Journal of international financial markets, institutions, and money. - : Elsevier. - 1042-4431 .- 1873-0612. ; 41, s. 30-46
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Journal article (peer-reviewed)abstract
- We investigate the time-scale relationships between US equity and commodity markets. The empirical evidence from the risk-return profitability analysis based on the wavelet coherence measure shows that equity and commodity markets exhibit time-varying comovement patterns and behave differently across investment horizons. Moreover, we find evidence of time-frequency causality between the two investigated markets. Our results can have important implications for optimal asset allocation and portfolio diversification.
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| 8. |
- Bekiros, Stelios, et al.
(author)
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Pitfalls in Cross-Section Studies with integrated Regressors: Survey and New Developments
- 2018
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In: Journal of Economic Surveys. - : Wiley-Blackwell. - 0950-0804 .- 1467-6419. ; 32:4, s. 1045-1073
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Journal article (peer-reviewed)abstract
- In cross-section studies, if the dependent variable is I(0) but the regressor is I(1), the true slope must be zero in the resulting "unbalanced regression." A spuriously significant relationship may be found in large cross sections, however, if the integrated regressor is related to a stationary variable that enters the DGP but is omitted from the regression. The solution is to search for the related stationary variable, in some cases the first difference of the integrated regressor, in other cases a categorical variable that can take on limited number of values which depend on the integrated variable. We present an extensive survey, new developments and applications in finance.
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| 9. |
- Bjuggren, Carl Magnus
(author)
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Family Matters : Essays on Family Firms and Employment Protection
- 2013
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Doctoral thesis (other academic/artistic)abstract
- This thesis is a study of firm dynamics, family ownership, and employment protection. It addresses the implications of employment protection on firm productivity and how family owned firms react differently with regard to economic shocks. It also investigates whether family ownership matters for the probability of exhibiting high growth. By using a novel data identification strategy, family ownership is identified in full population register data. The thesis also highlights some important caveats in the official statistics on self-employment.
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| 10. |
- Boako, Gideon, et al.
(author)
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Commodities price cycles and their interdependence with equity markets
- 2020
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In: Energy Economics. - : ELSEVIER. - 0140-9883 .- 1873-6181. ; 91
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Journal article (peer-reviewed)abstract
- This study examines the time-scale connectedness between returns on nine African stock markets and commodities markets across energy, agriculture, metals, and beverage. First, we examine multi-scale (short-, medium-, and long-run) wavelet structural relationships between African stocks and commodities using the bivariate wavelet coherence. We establish that commodities and African stock returns co-move across multiple scales and co-integrate in the long run, albeit sparse. Second, we analyze the portfolio performance of the African stock markets with other commodities using wavelet-based diversified and undiversified portfolios in a translation-invariant manner to calculate the scale-specific Sharpe ratios over different sub-periods rather than giving a one-shot look for the entire sample. This enables us to examine how risk-adjusted returns vary across different periods. The results confirm that having a combined portfolio of commodities and equities improves performance over different investment horizons. Specifically, we observe that in non-crisis periods, particularly from 2001-2006 the equally weighted and optimally weighted portfolios show the greatest performances. However, as we enter into the crisis zones such as the Asian crisis of 1997-2000 and the global financial and Eurozone debt crisis the risk-aversion of investors become prominent as the risk-minimizing portfolios record the highest performances. (C) 2020 Elsevier B.V. All rights reserved.
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