The Asymmetric Impulse of the Sunshine Effect on Stock Returns and Volatilities

This study constructs a variety of GARCH models with the consideration of the generalized error distribution to analyze the relationship between the cloud cover and stock returns in Taiwan in the whole sample period (1986 to 2007) and in the two sub-sample periods (1986 to 1996 and 1997 to 2007). The data include Taiwan Stock Exchange Capitalization Weighted Stock Index and the U.S. Dow Jones Industrial Average index to proxy the impact of U.S. stock market on Taiwan’s stock market performance. The empirical finding of this study could be used to reconfirm the existence of the so-called sunshine effect. The empirical results suggest that the cloud cover has significantly negative impact on Taiwan’s stock market, especially in the low cloud cover periods. Moreover, we also examine the sunshine effect with the consideration of the first and second moments and find that when adding the two moments, the sunshine effect is not significant in the stock returns but in the stock return volatilities, which is different from outcomes in previous studies.behavior finance, stock returns, stock volatility, Sunshine effect, Threshold model

Can gold effectively hedge risks of exchange rate?

This study tests whether gold can effectively hedge exchange rate risks. We take into account the asymmetric characteristic of exchange rate fluctuations and use the dynamic panel threshold model in order to select gold prices in major gold-related currencies in the world: the Australian dollar, the Canadian dollar, the euro, the Indian rupee, the Japanese yen, the South African rand, and the British pound. Using monthly data from January 1999 to January 2010, with lagged one-period exchange rate returns (US dollar depreciation rate) as the threshold variable, the estimation results suggest that there are two thresholds at –7.5% and –3.7%. These can be divided into regime 1 (exchange rate returns ≤ –7.5%), regime 2 (–7.5% < exchange rate returns ≤ –3.7%), and regime 3 (exchange rate returns > –3.7%). Regarding the effectiveness of gold hedging, regime 2 is higher than is regime 3. The risk hedging effect of regime 1 is not significant because it might be caused by the excessive devaluation of the US dollar in the short-term and the overshooting of the exchange rate adjustment, making gold unable to hedge the devaluation risks of the US dollar

Asymmetric Inflation Hedge of Housing Return: A Non-linear Vector Error Correction Approach

Conclusions of past works on the inflation hedging ability of real estate investment are not consistent. The reason for this perplexity might be the neglect of separation between high and low state of inflation, which has a great influence on empirical results. In order to examine the inflation hedging effectiveness of real estate with Taiwanese monthly housing returns and inflation, this paper uses the inflation as the threshold variable to create the nonlinear vector correction model that divides the inflation rates into high and low regime. We find robust evidence that when inflation rates are higher than 0.83% threshold value, housing returns are able to hedge against inflation, and, otherwise, they are unable. Using new methodology to discover new implications is main contribution of this study.Housing prices; Inflation; Nonlinear VECM; Taiwan

A measure of marketing price transmission in the rice market of Taiwan

The goal of this paper is to test whether changes in the marketing margin betweenthe farm and the retail prices can result in an asymmetric relationship between the farm and the retail prices in the rice market of Taiwan. By separating the transaction cost variation into two regimes, this paper utilizes a two-regime TVECM with the error correction term serving as the threshold variable to create a non-linear threshold model. The empirical results show that when the marketing margin is lower than the threshold value, the market system operates freely and there is feedback between the farm and retail prices. However, when the marketing margin is higher than the threshold value, the government intervenes in the market and the causality between the farm and retail prices no longer exists. The conclusions are as follows. Changes in the marketing margin can cause the asymmetric price transmission between the farm and retail prices in Taiwan’s rice markets; therefore, ignoring the effect of the marketing margin could lead to errors in the models. When the marketing margin is higher than the threshold value, the government intervenes in the market and the causality between the two prices is broken

Mjerenje prijenosa marketinške marže na Tajvanskom tržištu riže

The goal of this paper is to test whether changes in the marketing margin between the farm and the retail prices can result in an asymmetric relationship between the farm and the retail prices in the rice market of Taiwan. By separating the transaction cost variation into two regimes, this paper utilizes a two-regime TVECM with the error correction term serving as the threshold variable to create a non-linear threshold model. The empirical results show that when the marketing margin is lower than the threshold value, the market system operates freely and there is feedback between the farm and retail prices. However, when the marketing margin is higher than the threshold value, the government intervenes in the market and the causality between the farm and retail prices no longer exists. The conclusions are as follows. Changes in the marketing margin can cause the asymmetric price transmission between the farm and retail prices in Taiwan’s rice markets; therefore, ignoring the effect of the marketing margin could lead to errors in the models. When the marketing margin is higher than the threshold value, the government intervenes in the market and the causality between the two prices is broken.Cilj ovog rada je provjeriti da li promjene u marketinškoj marži između cijene na farmi i maloprodajne cijene mogu uzrokovati asimetrični odnos između navedenih cijena na tržištu riže u Tajvanu. Razdvajanjem varijacija transakcijskog troška u dva režima, ovaj rad koristi dvorežimski TVECM s parametrom korekcije greške kao prag varijablom za stvaranje nelinearnog modela praga. Empirijski rezultati pokazuju da, kad je marketinška marža niža od vrijednosti praga, tržišni sustav funkcionira slobodno i postoji povratna veza između cijene na farmi i maloprodajne cijene. Međutim, kada je marketinška marža veća od praga vrijednosti, država intervenira na tržištu i uzročna povezanost dviju cijena više ne postoji. Zaključci su kako slijedi. Promjene u marketinškoj marži mogu uzrokovati asimetrični prijenos cijene između cijene na farmi i cijene na malo na tajvanskom tržištu riže; dakle, ignoriranje učinka marketinške marže može dovesti do greške u modelima. Kada je marketinška marža veća od praga vrijednosti, država intervenira na tržištu i prekida se uzročna veza između navedenih dviju cijena

Could the Stock Return be a Leading Indicator of the Economic Growth in the Depression? Analysis Based on Nonlinear Dynamic Panel Model

This chapter examines whether the stock return can be a leading indicator of economic growth in the depression. A nonlinear dynamic panel data model is constructed with the use of the new current depth of recession (NCDR) indicator as the regime switched factor. Our findings show that in the recession period, the stock return can significantly explain the economic growth. As to the impact of a country’s development level and business cycle stages, the stock return can serve as a leading indicator of the economic growth in the Asian emerging markets in the recovery subperiod

Quantile panel-type analysis for income inequality and healthcare expenditure

This study investigates the causal relationship between Income Inequality and Healthcare Expenditure within a quantile panel-type causality framework using yearly panel data from 2004 to 2017. The empirical results show that within the high-growth regime of health expenditure to income ratio, reducing the deterioration of income inequality can make the ratio of health expenditure to income keep increasing. Besides, within the extreme income inequality regime, the ratio of health expenditure to income continues to increase, which can reduce the deterioration degree of income inequality. This paper presents evidence that to improve the continuous deterioration of income inequality; it should focus on the continuous increase in the ratio of health expenditure to income, not just the continuous increase in health expenditure. Accordingly, policy-makers should be cautious about the momentum between the ratio of health expenditure to income and income inequality when they reach the extremely quantiles

The impacts of life insurance asymmetrically on health expenditure and economic growth: dynamic panel threshold approach

This study examines the impacts of life insurance asymmetrically on health expenditure and economic growth. Using the dynamic panel threshold model, we find that life insurance growth has a regime switch factor that may change the relationship between health expenditure growth and economic growth. Our results show that the asymmetrical information of life insurance growth affects the causal relationship between health expenditure growth and economic growth. In a low life insurance growth regime, the negative growth of life insurance can stimulate health expenditure and economic growth, which can have a positive feedback effect. However, in the interval of high life insurance growth, the growth does not affect health expenditure or economic growth; there is an adverse feedback effect between economic growth and health expenditure growth, whereby economic growth stimulates health expenditure growth, but health expenditure growth reduces economic growth

Optimization of nano coating to reduce the thermal deformation of ball screws

To reduce the thermal deformation of ball screws, the process of nano coating preparation for coating on ball screws to reduce temperature rise and thereby thermal deformation was discussed in this article. Simultaneously, the cooling mechanism was presented. The thermal channels and the relatively even distribution of graphene in the nano coating were observed in scanning electron microscopic images. In terms of the preparation of nano coating, optimization design was carried out to obtain the optimized material ratio and nozzle flow through orthogonal experiment. The influence of design parameters of nano coating on reducing thermal deformation was also discussed. The experimental results show that the maximum temperature rise, thermal deformation, and time to reach thermal balance decreased by 12.5, 69.1, and 46.3%, respectively. The effectiveness of nano coating in reducing thermal deformation was validated experimentally