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Testing for Multiple Bubbles in the BRICS Stock Markets
Chang, Tsangyao; Aye, Goodness C.; Gupta, Rangan - Institut de Préparation à l'Administration et à la … - 2014
In this study, we apply a new recursive test proposed by Philips et al (2013) to investigate whether there exist multiple bubbles in the BRICS (Brazil, Russia, India, China and South Africa) stock markets, using monthly data on stock price-dividend ratio. Our empirical results, the first of its...
Persistent link: https://www.econbiz.de/10010891074
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Testing for Multiple Bubbles in the BRICS Stock Markets
Chang, Tsangyao; Ranjbar, Omid; Gil-Alana, Luis A.; … - Department of Economics, Faculty of Economic and … - 2014
In this study, we apply a new recursive test proposed by Philips et al (2013) to investigate whether there exist multiple bubbles in the BRICS (Brazil, Russia, India, China and South Africa) stock markets, using monthly data on stock price-dividend ratio. Our empirical results, the first of its...
Persistent link: https://www.econbiz.de/10011274361
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Is Per Capita Real GDP Stationary? An Empirical Note for 16 Transition Countries
Chang, Tsangyao - In: International Journal of Business and Economics 10 (2011) 1, pp. 81-86
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Persistent link: https://www.econbiz.de/10010598953
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The Feldstein-Horioka Puzzle in South Africa: A Fractional Cointegration Approach
Gil-Alana, Luis A; André, Christophe; Gupta, Rangan; … - Department of Economics, Faculty of Economic and … - 2015
fractional integration and cointegration techniques to account for high persistence in the series. We find evidence of fractional … cointegration between saving and investment, indicating some degree of persistence in the gap between the two variables. We also … financial deregulation process in South Africa. While fractional cointegration holds before the break, it does not thereafter …
Persistent link: https://www.econbiz.de/10011149762
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Long-Run Purchasing Power Parity with Asymmetric Adjustment: Evidence from Mainland China and Taiwan
Lu, Yang-Cheng; Chang, Tsangyao; Yu, Chin-Ping - In: Journal for Economic Forecasting (2011) 3, pp. 59-70
This study applies threshold cointegration test advanced by Enders and Siklos (2001) to investigate the properties of …
Persistent link: https://www.econbiz.de/10009321268
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A REEXAMINATION OF SOUTH KOREA¡¯S AGGREGATE IMPORT DEMAND FUNCTION: THE BOUNDS TEST ANALYSIS
Chang, Tsangyao; Ho, Yuan-Hong; Huang, Chiung-Ju - In: Journal of Economic Development 30 (2005) 1, pp. 119-128
This paper uses a robust estimation method referred to as the unrestricted error correction model - the bounds test analysis to re-analyze the long-term relationships between the demand for imports and it¡¯s determinants for South Korea over the period 1980-2000. Our results show that the...
Persistent link: https://www.econbiz.de/10009351175
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REVISITING HYSTERESIS IN UNEMPLOYMENT FOR TEN EUROPEAN COUNTRIES: AN EMPIRICAL NOTE ON A MORE POWERFUL NONLINEAR (LOGISTIC) UNIT ROOT
Chang, Tsangyao; Ho, Yuan-Hong; Huang, Chung-Ju - In: Journal of Economic Development 32 (2007) 1, pp. 49-57
In this empirical note we use a more powerful nonlinear (logistic) unit root test advanced by Leybourne et al. (1998) to investigate the hysteresis in unemployment for ten European countries for the period 1961-2003. The hypothesis is confirmed for all the European countries for which Leybourne...
Persistent link: https://www.econbiz.de/10009351253
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Purchasing power parity in transition countries: Old wine with new bottle
He, Huizhen; Ranjbar, Omid; Chang, Tsangyao - In: Japan and the World Economy 28 (2013) C, pp. 24-32
This study questions whether the long-run purchasing power parity (PPP) holds in the transition economies (Bulgaria, the Czech Republic, Hungary, Latvia, Lithuania, Poland, Romanian, and Russia) for the period from January 1995 to October 2011. We employ the Sequential Panel Selection Method...
Persistent link: https://www.econbiz.de/10010730205
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Does globalization affect the insurance markets? Bootstrap panel Granger causality test
Chang, Tsangyao; Cheng, Shu-Ching; Pan, Guochen; Wu, … - In: Economic Modelling 33 (2013) C, pp. 254-260
This study applies the bootstrap panel Granger causality test to identify whether globalization promotes insurance activity using data from Sigma reports of the Swiss Reinsurance Company of 8 Eastern Asian countries over the period of 1979–2008. Empirically, results for one-way Granger...
Persistent link: https://www.econbiz.de/10010737991
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Purchasing power parity in transition countries: Sequential panel selection method
He, Huizhen; Chang, Tsangyao - In: Economic Modelling 35 (2013) C, pp. 604-609
This study applies the Sequential Panel Selection Method (SPSM), proposed by Chortareas and Kapetanios (2009) to test the validity of long-run purchasing power parity (PPP) for a sample of 14 transition countries, using real effective exchange rates, from 1994 to 2012 (for both monthly and...
Persistent link: https://www.econbiz.de/10010719374