International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach

This paper develops a non-Bayesian methodology to analyze the time-varying structure of international linkages and market efficiency in G7 countries. We consider a non-Bayesian time-varying vector autoregressive (TV-VAR) model, and apply it to estimate the joint degree of market efficiency in the sense of Fama (1970, 1991). Our empirical results provide a new perspective that the international linkages and market efficiency change over time and that their behaviors correspond well to historical events of the international financial system.Comment: 21 pages, 2 tables, 6 figure

The Financial Crisis and the Stock Markets of the CEE Countries

Stock markets in Central and Eastern European (CEE) countries significantly collapsed during the financial crisis of 2008. We studied whether the collapse of stock markets in CEE countries was due to international linkages of deteriorating fundamentals or international spillovers of speculative bubbles. To this end, we estimated a state-space model to decompose the stock market indexes of three large CEE countries (Czech Republic, Hungary, and Poland) into fundamentals and speculative bubbles. We then used the techniques of cointegration analysis to study the long-run linkages of fundamentals and speculative bubbles. Our results suggest that international long-run linkages varied over time. The long-run linkages with the U.S. stock market strengthened in terms of both fundamentals and speculative bubbles during the market jitters caused by the financial crisis of 2008.stock markets, fundamentals, speculative bubbles, cointegration analysis, CEE countries, Kalman filter

Asset market linkages in crisis periods

We characterize asset return linkages during periods of stress by an extremal dependence measure. Contrary to correlation analysis, this non-parametric measure is not predisposed towards the normal distribution and can account for non-linear relationships. Our estimates for the G-5 countries suggest that simultaneous crashes in stock markets are about two times more likely than in bond markets. Moreover, stock-bond contagion is about as frequent as flight to quality from stocks into bonds. Extreme cross-border linkages are surprisingly similar to national linkages, illustrating a potential downside to international financial integration JEL Classification: G1, F3, C49Bivariate Extreme Value Analysis, Extreme Co-movements, Flight to Quality

Geographical and Multi-product Linkages of Markets: Impact on Firm Equilibrium Interactions (Some Evidence from the European Car Market)

This paper aims to study geographical and multi-product linkages of markets (multiple market presence) and firm behaviour interdependence as a result of such linkages existence. In particular, it attempts to answer whether the multimarket linkages lead to more cooperative behaviour among the firms, which results in higher prices and profits, and whether the degree of collusive/cooperative behaviour varies across markets. These issues are investigated within a structural oligopoly model for differentiated products for the European automobile market on the basis of the aggregate product-level data for 1970-1999. The results of the study reveal weak (quantitative) effect of multimarket contact on market conduct/pricing in the European car market as well as provide some evidence on the redistribution of the market power from the more collusive to the more competitive markets due to multimarket contact. --multimarket contact,collusion,automobile industry,test for non-nested hypothesis,menu test,structural oligopoly models

How can agricultural interventions contribute in improving nutrition health and achieving the MDGs in least developed countries?

There are strong conceptual linkages between agricultural development and nutrition improvements which may be categorised into three main pathways: the development, own-production and market pathways. Evidence on the efficacy of these pathways is mixed with some strong, some negative and some weak impacts. These findings reflect both the importance of agriculture for nutrition and the conditionality of that importance on contextual factors. They are also the result of insufficient high quality empirical research investigating these linkages. The most effective ‘pathways’ and interventions linking agricultural change to improved nutritional outcomes change with economic growth and development, with declining importance of the development and own-production pathways and increasing importance of the market pathway. Substantial challenges in operationalizing agricultural-nutrition linkages need to be overcome to better exploit potential opportunities

Financial contagion: Evolutionary optimisation of a multinational agent-based model

Over the past two decades, financial market crises with similar features have occurred in different regions of the world. Unstable cross-market linkages during a crisis are referred to as financial contagion. We simulate crisis transmission in the context of a model of market participants adopting various strategies; this allows testing for financial contagion under alternative scenarios. Using a minority game approach, we develop an agent-based multinational model and investigate the reasons for contagion. Although the phenomenon has been extensively investigated in the financial literature, it has not been studied through computational intelligence techniques. Our simulations shed light on parameter values and characteristics which can be exploited to detect contagion at an earlier stage, hence recognising financial crises with the potential to destabilise cross-market linkages. In the real world, such information would be extremely valuable in developing appropriate risk management strategies

An Arrested Virtuous Circle? Higher Education And High-Tech Industries In India

We provide a brief but comprehensive overview of linkages between higher education and the high tech sector and study the major linkages in India. We find that the links outside of the labor market are weak. This is attributed to a regulatory structure that separates research from the university and discourages good faculty from joining, which erodes the quality of the intellectual capital necessary to generate new knowledge. In the labor market, we find a robust link between higher education and high-tech industry, but despite a strong private sector supply response to the growth of the high-tech industry, the quality leaves much to be desired. Poor university governance may be limiting both labor market and non-labor market linkages. Industry efforts to improve the quality of graduates are promising but over reliance on industry risks compromising workforce flexibility. Addressing the governance failures in higher education is necessary to strengthen the links between higher education and high tech industry.

Stock Market Interdependence: Evidence from Australia

This study examines the relationship between Australia’s stock market and the five largest international markets for the period 1991 through 2001. Preliminary findings, using correlation statistics, indicated potential benefits to international diversification for the Australian investor. Further analysis, conducted in the VAR framework using the Johansen co-integration method, found that the Australian market has short and long run linkages with the United States, while tests with other markets found little evidence of interdependence. Moreover, only the US market was found to Grangercause the Australian market.Interdependence, price linkages, internationalisation.

Beggar-Thy-Self Advertising: A Multi-Market Model of Generic Promotion for Dairy Products

We develop a multi-market equilibrium displacement model that allows for demand linkages (substitutes or complements) across downstream product markets, and supply linkages through the common use of a raw commodity as the key input. Applying the model to the dairy sector, we find that the effectiveness of producer-funded advertising, and thus optimal advertising intensities, depends on the demand relationships across dairy product markets (cross-price and cross-advertising elasticities), as well as the re-allocation of raw milk towards the advertised market. We argue that the previous literature, which ignores the horizontal linkages highlighted here, tends to overstate the effectiveness of generic commodity promotion for dairy, and thus results in too much advertising.Marketing,

A mixed-game agent-based model of financial contagion

Over the past two decades, financial market crises with similar features have occurred in different regions of the world. Unstable cross-market linkages during financial crises are referred to as financial contagion. We simulate the transmission of financial crises in the context of a model of market participants adopting various strategies; this allows testing for financial contagion under alternative scenarios. Using a minority game approach, we develop an agent-based multinational model and investigate the reasons for contagion. Although contagion has been extensively investigated in the financial literature, it has not been studied yet through computational intelligence techniques. Our simulations shed light on parameter values and characteristics which can be exploited to detect contagion at an earlier stage, hence recognising financial crises with the potential to destabilise cross-market linkages. In the real world, such information would be extremely valuable to develop appropriate risk management strategies