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Stock Market Integration between Three CEECs, Russia and the UK
Caporale, Guglielmo Maria - 2013
This paper estimates a tri-variate VAR-GARCH(1,1)-in-mean model to examine linkages between the stock markets of three Central and Eastern European countries (CEECs), specifically the Czech Republic, Hungary, and Poland, and both the UK and Russia. The adopted framework allows to analyse...
Persistent link: https://www.econbiz.de/10013095004
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Deviations from the Law of One Price in Japan
Cheung, Yin-Wong - 2013
Using 25 years of monthly data on individual Japanese retail prices, we study the behavior of product-specific Law of One Price (LOP) deviations. Individual tradable products, compared with nontradables, are more likely to have different distributions of LOP deviations across cities. Their...
Persistent link: https://www.econbiz.de/10012753617
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Testing for Convergence in Stock Markets : A Non-Linear Factor Approach
Caporale, Guglielmo Maria - 2013
This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...
Persistent link: https://www.econbiz.de/10013095490
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Stock Market Integration in Asia : Global or Regional? Evidence from Industry Level Panel Convergence Tests
Caporale, Guglielmo Maria - 2017
This paper examines global and regional stock market integration in Asia at both the aggregate and disaggregate (industry) level by applying the Phillips-Sul (2007) tests for panel and club convergence. The main findings can be summarised as follows. In the pre-2008 crisis period, no...
Persistent link: https://www.econbiz.de/10012953892
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Cross-Country Relative Price Volatility : Effects of Market Structure
Cheung, Yin-Wong; Fujii, Eiji - 2021
Using annual data on nine manufacturing sectors of eighteen OECD countries, the article studies the implications of market structure for cross-country relative price variability. It is found that, in accordance with predictions from a standard markup pricing model, reductions in market...
Persistent link: https://www.econbiz.de/10013318560
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Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash
Pesaran, Bahram - 2013
Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated...
Persistent link: https://www.econbiz.de/10013094817
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Aggregation in Large Dynamic Panels
Pesaran, M. Hashem - 2015
This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is … Pesaran (2003), an optimal aggregate function is derived, and the limiting behavior of the aggregation error is investigated … Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper …
Persistent link: https://www.econbiz.de/10013038262
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Socio-Economic Heterogeneity and Electoral Turnout : An Aggregate Analysis with Precinct-Level Data
Bellettini, Giorgio - 2014
In this paper we perform an empirical analysis to investigate the impact of socio-economic heterogeneity on electoral turnout. We exploit a unique dataset on local elections in an Italian municipality, which merges information on socio-economic characteristics of about 370,000 individuals with...
Persistent link: https://www.econbiz.de/10013045917
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Dialects, Cultural Identity, and Economic Exchange
Falck, Oliver; Heblich, Stephan; Lameli, Alfred; … - 2021
We investigate whether time-persistent cultural borders impede economic exchange across regions of the same country. To measure cultural differences we evaluate, for the first time in economics, linguistic micro-data about phonological and grammatical features of German dialects. These data are...
Persistent link: https://www.econbiz.de/10013316242
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Tax Interactions among Belgian Municipalities : Does Language Matter?
Gerard, Marcel; Jayet, Hubert; Paty, Sonia - 2021
from 1985 to 2004. A special emphasis is put on the role of the language spoken in the various municipalities. Our results … sensitive to tax rates set by their close neighbors only. We also reject the hypothesis that the language does not matter: in … municipalities speaking different languages than between municipalities speaking the same language. That observation is particularly …
Persistent link: https://www.econbiz.de/10013316397