The article investigates to what extent various underlying macro (oil, supply, demand and portfolio) shocks impact the fluctuations of Japanese stock prices by developing a multivariate structural vector autoregression (SVAR) model. The results from a Markov regime-switching (MS) specification...

This paper investigates the impact of disposable income and assets on consumer spending trends in China. By employing the vector error correction model on the national quarterly data, we demonstrate that the wealth effects arising from asset value changes are remarkable. There is only one...

This study investigates the pricing efficiency of the Shanghai 50 ETF (SSE 50 ETF), the first exchange-traded fund (ETF) in China. The empirical results demonstrate that ETF market prices and net asset values (NAV) are cointegrated and there is unidirectional causality from price to NAV. The...

This paper investigates the link between hot money and business cycle volatility in China from January 1997 to December 2009. Using the structural vector error correction model, we find a considerable degree of long-run cointegration and bidirectional causality effects between hot money and...

The paper investigates the relationship between changes in asset wealth and the trend movements of household consumption in urban China. Using the vector error correction cointegration model, we demonstrate that there is a unique long-run cointegrating relationship between household consumption,...

This paper examines the extent of asymmetric effects and the hypothesis of Japanese dominance in East Asian financial integration by analyzing the transmission mechanism to local interest rates from interest rates originating in both Japan and the US. The results support a weak version of the...