(GEM) based on the dynamic equicorrelation of trading volume and stock returns. We find that the hot IPO effect ends after two years with the imbalance between demand and supply for GEM stock relieved, which indicates that the rational learning process requires almost two years for most...

In this paper, we propose a discrete version of the short-term and long-term component model of the agricultural futures prices. The maximum likelihood estimate of each parameter is obtained using an adaptive filtering algorithm. The diagnostics statistically support the specification of the...

This study empirically analyzes the sources of the exchange rate fluctuations in India by employing the structural VAR model. The VAR system consists of three variables, i.e., the nominal exchange rate, the real exchange rate, and the relative output of India and a foreign country. Consistent...

This paper empirically analyzes India's money demand function during the period of 1980 to 2007 using monthly data and the period of 1976 to 2007 using annual data. Cointegration test results indicated that when money supply is represented by M1 and M2, a cointegrating vector is detected among...

Panel data for individual Chinese provinces from 1980 to 2007 was used to estimate the saving-investment model used by Feldstein and Horioka (1980), shed light on changes to China's domestic capital mobility since the adoption of the Open Door Policy, and determine whether there has been any...

We empirically examined the issue of budget sustainability for 11 euro area countries. Empirical analyses using non-stationary panel data analysis rejected, with statistical significance, the possibility of fiscal collapse in euro area countries during the period 1999 to 2005. This supports the...

In this paper, we use panel data to empirically analyze the stability of the export functions of LDCs for the period 1980-2004 using the nonstationary panel time series analysis. We find that the use of panel data for the region of the LDC clearly supports a cointegrating relationship. Our...

This paper examines the relationship between globalization, financial deepening, and inequality in sub-Saharan Africa between 1980 and 2002. We provide the first detailed econometric analysis in this regard covering the entire sub-Saharan African region; such an analysis has hardly been...

This paper empirically analyzes whether a hypothesis from Aukrust (1977) applies to two phenomena in Japan: wage spillover between internationally competitive industries (exposed sectors) and domestically protected industries (sheltered sectors), and wage- and price- setting in those industries....