A bulk of literature has identified the major economic drivers of Hong Kong’s rapid and steady economic performance over the last three decades. Of the major economic drivers identified, the performance of the stock market has received less attention. This paper examines the causal links...

This paper examines the ASEAN-5 countries and explores the impact of structural breaks on the level of financial integration in that region. An extended cointegration procedure allowing for three types of structural break, is employed and compared with the standard Johansen procedure, for daily...

Prediction of volatility is to a larger extent anchored on the properties of a volatility time series i.e. mean-reversion or random-walk. The consistency of mean-reversion or random-walk on the ZSE stock price and return volatility remain unexplored. This study therefore attempts to investigate...

This paper develops a present value framework that reflects expectations of future changes in liquidity and liquidity premia. In our framework, a liquidity premium depends explicitly on prices, dividends, costs, and returns. We find that the liquidity premium for the CRSP market portfolio is...

Harry Markowitz (1959) develops "mean-variance model". Based on this model, Sharpe (1964), Lintner (1965) and Black (1972) build CAPM. However, empirical findings are not in favor of CAPM. Then，Merton (1973) generalizes CAPM and proposes ICAPM. Afterwards, Fama and French (1996) take the idea...

This paper focuses on testing possible linkages among international gold and ASEAN emerging markets based on daily data from July 28, 2000 to March 31, 2009. The Granger causality test and the Johansen cointegration technique were applied to examine possible short-run associations and the...

This paper analyzes the interrelation between foreign direct investment and economic growth in terms of intersectoral externalities using panel data of 30 provinces in China from 1993 to 2007. A two-sector model, including both foreign-funded sector and domestic-funded sector, is derived to...

This paper analyzes the interrelation between foreign direct investment and economic growth in terms of intersectoral externalities using panel data of 30 provinces in China from 1993 to 2007. A two-sector model, including both foreign-funded sector and domestic-funded sector, is derived to...

This paper examines the sources of economic growth in Algeria, studying the key drivers of their slow and weak economic performance, during the period of 1979-2019 from the perspective of the augmented growth accounting framework and the growth regression method. More specifically, the paper...

This paper examines the relationship between financial sector reforms and sustainable economic growth in Ghana. Employing the autoregressive distributed lag (ARDL) bounds testing approach and using GDP per capita as a growth indicator, this paper establishes a long-run relationship between...