This paper uses the Fama-French three-factor model to explain the cross-section of stock returns over various time scales using a new approach. The new approach is based on a wavelet multiscaling method that decomposes a given time series on a scale-by-scale basis. The empirical results provide...

This paper examines the effect of initial margin requirements on long-run and short-run volatilities in the Japanese stock market using the Component GARCH model. Our empirical results show that when we do not divide the margin requirement into positive and negative changes, increasing margin...

How does the optimal risk exposure of assets change as their investment horizons increase? Does this impact investment portfolio decision-making, in particular, optimal asset allocation between value and growth strategies over various investment horizons? This paper adopts a new approach to...

This paper examines the relationship between the stock and the futures return over the various time horizons. In contrast to previous studies, wavelet analysis allows us to decompose the data into various time scales. Using this technique, we find that in the short- and long-run, there is a...

Based on a macro-model framed in terms of China's agricultural, industrial, government and household sectors, this paper aims to identify the effects of agricultural production fluctuations on the Chinese macroeconomy over the period 1949-89. Using annual national time-series data,...

In the international edible oil markets, there is believed to be high substitutability between vegetable oils and fats produced under different conditions. In light of this, we consider the question: what is the nature of the long‐run relationships between vegetable oil prices? Long‐run...

This paper examines the determinants of export growth for four of the Asian newly industrialising economies (NIEs): Hong Kong, Korea, Singapore and Taiwan. Using the framework of cointegration and error correction modelling, it is found that, in the case of Singapore, income effects,...