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) in a sample of 15 Latin American countries using monthly data spanning from December 1994 to February 2010. SPSM classifies...

In this study, we use the newly developed and refined panel stationary test with structural breaks to investigate the time-series properties of stock prices for the G-7 stock markets during the 2000–2007 period. The empirical results from numerous earlier panel-based unit root tests which do...

In this paper, we find evidence of the intra- and inter-period beta instability of firms in the Taiwan stock market during its financial development from 1982 to 1998. Particularly noteworthy is the result that the proportions of firms exhibiting beta instability, in the full sample and two...

The role of steam coal was constrained by the Kyoto Protocol and the Copenhagen Climate Summit which call for reduced emissions of green house gases and related measures. These agreements increase the importance in properly managing emissions. Coupled with rapidly increasing demand from China...

Two pairs of confidence intervals for a proportion, similar to that of Larson, are compared. It can be shown through computer simulation experiments that, for certain values of p, the confidence interval obtained by the approximation is superior.

A methodology is proposed to test the lead-lag relation between portfolio returns under price-limit restriction. The price-limit restriction is an important microstructure of the Taiwan stock market. Prior research on US stock return found that the lagged return of large-cap portfolios are...

Variation in the price of steel is an important factor to take into consideration when discussing cost control and management decisions in the construction industry. We employ various conventional and advanced econometrics methods to examine the interrelationships of steel prices in three...

This paper examines the effects of market liberalization on exchange-rate exposure of exporting firms and its possible time-varying nature. Using Taiwanese exporting firms as a test case, particularly, we consider the effects of the timing of the three liberalization events through which the...