"Convergence and Catching Up in ASEAN: A Comparative Analysis"

The increasing diversity of average growth rates and income levels across countries has generated a large literature on testing the income convergence hypothesis. Most countries in South-East Asia, particularly the five founding ASEAN member countries (ASEAN-5), have experienced substantial economic growth, with the pace of growth having varied substantially across countries. Recent empirical studies have found evidence of several convergence clubs, in which per capita incomes have converged for selected groupings of countries and regions. This paper applies different time series tests of convergence to determine if there is a convergence club for ASEAN-5, as well as ASEAN-5 and the USA. The catching up hypothesis states that the lagging country, with low initial income and productivity levels, will tend to grow more rapidly by copying the technology of the leader country, without having to bear the associated costs of research and development. Given the important effects of technological change on growth, this paper also examines whether ASEAN-5 is catching up technologically to the USA.

Income Disparity between Japan and ASEAN-5 Economies: Converge, Catching Up or Diverge?

The objective of this study is to empirically examine the income disparity between Japan and each of the five major economies of South East Asia (ASEAN-5) during the period of 1960 to 1997, utilizing the popular augmented Dickey-Fuller (ADF) unit root test. The results provide evidence of income divergence between Japan and each of the ASEAN-5 economies. To avoid the problem associated with structural break, this study proceeds with the jointly crash and changes in trend model proposed by Zivot and Andrews (1992), and is able to obtain evidence of long run income convergence between the Japanese and Singaporean economies. As for the rest of the four ASEAN countries- Indonesia, Malaysia, the Philippines and Thailand, the earlier results of income divergence remain valid and hence suggest that it would be a more realistic and urgent goal to narrow the income gap among these five core economies of ASEAN.

Is There Any International Diversification Benefits in ASEAN Stock Markets?

This study finds that there is a common force which brings all the five ASEAN stock markets together in the long run by the nonparametric tests. This suggests that shocks from any of these five markets may spillover to the other markets in the same region. The recent Asian financial crisis bears a good testimony to this ‘contagion effect'. Subsequently, there would be no long run gain from international portfolio diversification. Specifically, investors with long run horizons may not benefit from an investment made across the countries in this ASEAN region. One possible explanation for this intra-ASEAN stock markets integration is their strong economic ties, especially intra-ASEAN trade and investment that has indirectly linked their stock indices.

On the disappearance of Tuesday effect in Australia

Day of the week (DOW) effect has been well known in many markets. The United States, the United Kingdom, Canada, and Switzerland all have been found to exhibit significant average negative Monday returns [Agrawal and Tandon, 1998]. Other developing markets in Indonesia, Malaysia and Thailand are also found to have the same seasonality [Choudhry, 2000]. Australia however displays its DOW effect on Tuesdays rather than on Mondays (Jaffe and Westerfield [1985], Easton and Faff [1994]). Jaffe and Westerfield [1985] suggest that there might be a linkage between the U.S. Monday seasonal and the Asia-Pacific DOW effect as they are one day out of phase due to different time zone. Since then, a few studies have examined the relationship of daily returns among the markets. But to our knowledge, no study has directly investigated the relationship between U.S. Monday and Australia Tuesday effect. We therefore re-examine the anomaly and document that the DOW effect in Australia is Granger caused by the weekend effect in U.S. and not the other way conditional on the weekend effects in the U.K. and Japanese markets. We also find that in the post 1987 period, where the U.S. Monday returns are positively significant, Australia Tuesday returns also reverses its effect. This latter finding provides further evidence that the anomaly in Australia is induced by the weekend effect in the U.S

Experimental and numerical studies of acoustical and ventilation performances of glass louver window

The noise attenuation and ventilation performances of the glass louver window were investigated using experimental and numerical methods in order to improve the understanding of this common feature in noise mitigation issue. Sound pressure levels (SPLs) data were measured for frequencies ranging from 100 Hz to 6000 Hz for a room fitted with a louver window. It was found that the louver window was able to attenuate 1.4 %, 5.5 % and 12.0 % of the noise when the panels were partially and fully closed at 30°, 60° and 90°, respectively. For frequencies below 3000 Hz, the best attenuation occurred around 1700 Hz to 2000 Hz for all panel angles. The insertion loss (IL) is similar for frequencies ranging from 3000 Hz to 6000 Hz when the louver window was fully closed at 90°. The velocity magnitude of the air passed through the louver panels increased with increased panel angle. The reduction of the mass flow rate for air passed through the louver window when the panels were partially closed at 30° and 60° are 7.7 % and 46.2 %, respectively

Is MYR/USD a random walk? New evidence from the BDS test

This study empirically investigates the daily MYR/USD exchange rate return series in the light of the random walk hypothesis. Recent breakthroughs pertaining to non-linear dynamics and chaos, coupled with the rapid acceleration in computer power, have made it possible to more robustly test for the random walk in financial and economic data. This study uses a new non-linear statistical test, namely the Brock-Dechert-Scheinkman (BDS) test to examine whether the MYR/USD exchange rate return series are random walk with the property of being independent and identically distributed. The results overwhelmingly reject the hypothesis that the MYR/USD data examined in this study are random, independent and identically distributed since some cycles or patterns show up more frequently than would be expected in a true random series. These results may have implications for the weak form market efficiency, if the underlying structure can be profitably exploitable, which remains an avenue for further research

AUSFTA and its implications for the Australian stock market

This paper investigates whether current and future domestic and United States macroeconomic variables can explain long and short run stock returns in Australia. This is undertaken with a view to examining the potential implications of the Australia-United States Free Trade Agreement (AUSFTA). America is included in the analysis as a “foreign influence”. In the recent past it has been Australia’s second largest trading partner after Japan. The long run relationship tested in this study is based on the present value model of stock prices, which is tested using a range of cointegration and causality tests. These include the Johansen ML test, Long Run Structural Modelling, a Vector Error Correction Model and Variance Decomposition. A present value model based on domestic and external economic variables is estimated for the Australian market. American economic activity does not currently have a significant influence on Australian stock markets in the long run and is less influential than domestic economic activity. However, we would expect this to become more significant in the future, as a result of the dismantling of trade barriers in financial services and investments which will be associated with the implementation of AUSFTA

Non-linear dependence in the Malaysian stock market

This study empirically investigates the presence of non-linearity in the Malaysian stock market, employing the Brock-Dechert-Scheinkman (BDS) and Hinich bispectrum tests. The BDS results reveal that the characteristics of the returns series in the Malaysian stock market are driven by non-linear mechanisms. Subsequent application of the Hinich bispectrum test confirms the results of the BDS test. The result of the present study has strong implications on the empirical work involving the Malaysian stock market as the existence of non-linearity suggests the inappropriateness of using linear methods for drawing inferences