Refine your search
Collections
Co-Authors
A B C D E F G H I J K L M N O P Q R S T U V W X Y Z All
Luo, Yongli
- Economic Freedom, Financial Crisis and Stock Volatilities in Emerging Markets
Abstract Views :257 |
PDF Views:0
Authors
Affiliations
1 School of Business, Wayland Baptist University, IN
1 School of Business, Wayland Baptist University, IN
Source
International Journal of Financial Management, Vol 4, No 1 (2014), Pagination: 1-10Abstract
This paper explores how equity market volatilities are related with the Index of Economic Freedom for 22 emerging countries over 1995-2010 by considering the impacts of financial crisis. Consistent with theory, we find the overall economic freedom index and its components exert significant impacts on equity market volatilities. Specifically, the index components within the categories of regulatory efficiency (such as business freedom and monetary freedom) and limited government (fiscal freedom, and government spending) exhibit strong and significant explaining powers to the stock market volatilities. However, the other index components within the categories of rule of law and open markets are not significant. In addition, the stock market volatilities are significantly higher when the country confronts either one of the currency crisis, inflation crisis, stock market crash, debt crisis, or banking crisis. The results are consistent across different levels of inflation and wealth in emerging markets.Keywords
Economic Freedom, Financial Crisis, Stock Volatility, Emerging Markets- The Herding Behavior and Financial Crisis:Evidence from Chinese ADRs
Abstract Views :226 |
PDF Views:2
Authors
Affiliations
1 Associate Professor, Department of Accounting Economics and Finance, Archie W. Dunham College School of Business, Houston Baptist University, US
1 Associate Professor, Department of Accounting Economics and Finance, Archie W. Dunham College School of Business, Houston Baptist University, US
Source
International Journal of Financial Management, Vol 9, No 4 (2019), Pagination: 11-15Abstract
This paper investigates the herding behavior among Chinese American Depository Receipts (ADRs) during 1993-2008. We find the evidence of herding among Chinese ADRs in both rising and falling markets. Moreover, the herding has no significant difference in the host market (NYSE or NASDAQ), where the ADRs were traded, and the underlying markets (mainland China or Hong Kong), where the ADRs were issued. However, we find that herding occurs only among those Chinese ADRs issued during the time of Internet bubble, indicating that market timing has great effects on herding behavior, while the origin of issuers does not matter. Thus, this paper concludes that the herding behavior of Chinese ADRs supports the informationdriven hypothesis, and this result has important implication on global financial crisis. This paper suggests that information-driven herding exists among Chinese ADRs. The results support our hypothesis that Chinese ADRs are dominated by sophisticated investors. To further stabilize ADR stock markets, it is imperative to improve information transparency of the underlying firms, especially those Chinese ADRs issued during the time of Internet bubble.Keywords
Herding Behavior, Financial Crisis, Chinese ADRs.References
- Bikhchandani, S., & Sharma, S. (2000). Herd behavior in financial markets: A review. IMF Working Paper WP/00/48 (International Monetary Fund, Washington).
- Chang, E. C., Cheng, J. W., & Khorana, A. (2000). An examination of herd behavior in equity markets: An international perspective. Journal of Banking and Finance, 24(10), 1651-1679.
- Demirer, R., & Kutan, A. (2006). Does herding behavior exist in Chinese stock markets? Journal of International Financial Markets, Institutions and Money, 16(2), 123-142.
- Devenow, A., & Welch, I. (1996). Rational herding in financial economics. European Economic Review, 40(3-5), 603–615.
- Lin, T., Chiang, T. C., Mason, J. R., & Nelling, E. (2008). Herding behavior in Chinese stock markets: An examination of A and B shares. Pacific-Basin Finance Journal, 16(1-2), 61-77.
- Uchida, H., & Nakagawa, R. (2007). Herd behavior in the Japanese loan market: Evidence from bank panel data. Journal of Financial Intermediation, 16(4), 555-583.
- Nofsinger, J. R., & Sias, R. W. (1999). Herding and feedback trading by institutional and individual investors. Journal of Finance, 54(6), 2263-2295.
- Regional Heterogeneity, Monetary Shock, and Bank Lending: Evidence from Chinese Real Estate Market
Abstract Views :92 |
PDF Views:0
Authors
Affiliations
1 Associate Professor, The Department of Accounting, Economics, and Finance, Houston Baptist University, Texas, USA, GB
1 Associate Professor, The Department of Accounting, Economics, and Finance, Houston Baptist University, Texas, USA, GB
Source
International Journal of Financial Management, Vol 11, No 2 (2021), Pagination: 1-12Abstract
This paper investigates whether the Chinese real estate price rise is a national monetary shock and driven mainly by monetary shocks, or is controlled by the regional governments and driven mainly by local bank lending activities. The paper attempts to reveal how the determinants on residential property prices differ from those of the commercial property prices. Using both cross-sectional OLS regression and dynamic GMM method, it shows that, historically, movements in Chinese house prices have strong regional heterogeneity, meaning that they have mainly been driven by the local (provincial or region-specific) components, rather than nation-wide components. In addition, the local income level is a strong candidate in explaining the housing price movements. The paper extends prior literature by shedding light on the current debate that increases in house prices in China reflect a national phenomenon, rather than a collection of “local bubbles”. In addition, the paper empirically addresses the role of monetary shock and bank lending activities in the Chinese real estate market.Keywords
Chinese Real Estate, Monetary Policy, Bank Lending, Regional HeterogeneityReferences
- Andrusz, G. D. (1984). Housing and urban development in the USSR. Albany, NY: State University of New York Press.
- Arellano, M., & Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. Review of Economic Studies, 58(2), 277-297.
- Baltagi, B., Demetriades, P., & Law, S. H. (2009).Financial development and openness: Evidence from panel data. Journal of Development Economics, 89, 285-296.
- Bian, Y., & Logan, J. R. (1996). Market transition and the persistence of power: The changing stratification system in urban China. American Sociological Review, 61(5), 739-758.
- Campbell, J. Y. (2006). Household finance. Journal of Finance, 4, 1553-1604.
- Chirinko, R. S., Haan, L., & Sterken, E. (2008). Asset price shocks, real expenditures, and financial structure: A multi-country analysis. CESifo Working Paper Series 2342, CESifo Group Munich.
- Del Negro, M., & Otrok, C. M. (2005). Monetary policy and the house price boom across U.S. states. FRB of Atlanta Working Paper No. 2005-24. Retrieved from http://ssrn.com/abstract=831066
- Deng, L., Shen, Q., & Wang, L. (2009). Housing policy and finance in China: A literature review. Prepared for US Department of Housing and Urban Planning.
- Deng, Y., Morck, R., Wu, J., & Yeung, B. (2011). Monetary and fiscal stimuli, ownership structure, and China’s housing market. NBER Working Paper No. 16871.
- Englehardt, G. V., & Poterba, J. M. (1991). House prices and demographic changes: Canadian evidence. Regional Science and Urban Economics, 21(4), 539-546.
- Fratantoni, M., & Schuh, S. (2003). Monetary policy, housing, and heterogeneous regional markets. Journal of Money, Credit, and Banking, 35(4), 557-589.
- Friedman, B. S. (1983). Public housing in China: Policies and practices. Journal of Housing, 40(3), 82-85.
- Geweke, J. F. (1977). The dynamic factor analysis of economic time series. In D. Aigner and A. Goldberger (Ed.), Latent Variables in Socioeconomic Models (pp. 365-383). Amsterdam, North Holland.
- Iacoviello, M., & Minetti, R. (2008). The credit channel of monetary policy: Evidence from the housing market.Journal of Macroeconomics, 30(1), 69-96.
- Lee, Y. F. (1988). The urban housing problem in China.China Quarterly, 115, 387-407.
- Liang, Q., & Cao, H. (2007). Property prices and bank lending in China. Journal of Asian Economics, 18(1), 63-75.
- Quigley, J. M. (1987). Interest rate variations, income, and home improvement decisions. Review of Economics and Statistics, 69(4), 636-643.
- Sargan, J. D. (1958). The estimation of economic relationships using instrumental variables. Econometrica, 26(3), 393-414.
- Sargent, T. J., & Sims, C. A. (1977). Business cycle modeling without pretending to have too much: A priori economic theory. In Sims et al. (Ed.), New Methods in Business Cycle Research (pp. 45-108).
- Federal Reserve Bank of Minneapolis, Minneapolis, MN.
- State Council of People’s Republic of China. (1994). The decision of the State Council on deepening urban housing system reform. Retrieved from http://www.bjjs.gov.cn/publish/portal0/tab932/info3639.htm
- Stock, J. H., & Watson, M. H. (1989). New indices of coincident and leading indicators (pp. 351-393). NBER Macroeconomics Annual. Cambridge and London: MIT Press.
- Wang, F. (2003). Housing improvement and distribution in urban China: Initial evidence from China’s 2000 census. The China Review, 3(2), 121-143.
- Wang, Y. (1990). Private sector housing in urban China since 1949: The case of Xian. Housing Studies, 7(2), 119-137.
- Wang, Y., & Murie, A. (2000). Social and spatial implications of housing reform in China. International Journal of Urban and Regional Research, 24(2), 397-417.
- Ye, J., & Wu, Z. (2008). Urban housing policy in China in the Macroregulation period 2004-2007. Urban Policy and Research, 26(3), 283-295.
- Ye, J., Wu, D., & Wu, J. (2006). A study on the Chinese housing policy during social transition: Practice and development. Housing Finance International, 20(3), 50-58.
- Zhou, M., & Logan, J. R. (1996). Market transition and the commodification of housing in China. International Journal of Urban and Regional Research, 20(3), 400-421.