Equity Diversification in Two Chinese Share Markets: Old Wine and New Bottle

This study provides evidence that there exist long-run benefits for investors from diversifying in two Chinese share markets over the period January 5, 2000 to December 31, 2005. The evidence is based on tests for pairwise cointegration between the Shanghai and Shenzhen¡¦s A-share and B-share stock price indexes, using five cointegration tests, namely PO, HI, JJ, KSS, and BN approaches. The results from these five tests are robust and consistent in suggesting that these two Chinese share markets are not pairwise cointegrated with each other. These findings could be valuable to individual investors and financial institutions holding long-run investment portfolios in these two Chinese share markets.

An Empirical Note on Testing the Cointegration Relationship Between the Real Estate and Stock Markets in Taiwan

This note studies the long-run relationship between real estate and stock markets in the Taiwan context over the 1986Q3 to 2006Q4 period, using standard cointegration test of Johansen and Juselius (1990) and that of Engle-Granger (1987) as well as the fractional cointegration test of Geweke and Porter-Hudak (1983). The results from both types of cointegration tests strongly indicate that these two markets are not cointegrated with each other. With respect to risk diversification, it is obvious that investors and financial institutions should have included both assets in the same portfolio during that period.

The price impact of foreign institutional herding on large-size stocks in the Taiwan stock market

[[abstract]]This study constructs a panel threshold regression model to explore the price impact of foreign institutional herding of firms listed in the Taiwan Stock Exchange during January 2000 to June 2008. Our panel threshold model is constructed to explore the price impact of foreign institutional investors’ herding in the Taiwan stock market after controlling the firm size. By examining the presence of threshold effect, this study analyzes whether firm size would obviously and asymmetrically affect the explanation for the effect of changes in foreign investors’ share ownership on abnormal returns. The empirical results of this study find the significant evidence of threshold effect which divides the stocks into large-size and small-size firms. It is found that foreign institutional investors in the Taiwan stock market tend to hold large-size stocks listed in the Taiwan Stock Exchange. There is an apparent increase in the subsequent abnormal returns on large-size stocks bought in bulk by foreign investors. The signals of changes in share ownership initiated by foreign institutional investors would reveal further information for improving the performance of asset reallocation decisions in Taiwan. The panel threshold model constructed in this paper well describes the price impact of institutional herding yet eschews the possibly subjective data snooping issue resulting from the two-pass sorting method as proposed by previous related researches.[[booktype]]紙

Long-Run Purchasing Power Parity with Asymmetric Adjustment: Evidence from Mainland China and Taiwan

This study applies threshold cointegration test advanced by Enders and Siklos (2001) to investigate the properties of asymmetric adjustment in long-run purchasing power parity (PPP) for both Mainland China and Taiwan during the January 1986 to October 2009 period. Although there is evidence of long-run PPP for both Mainland China and Taiwan, the adjustment mechanism is asymmetric. These results have important policy implications for both Mainland China and Taiwan under study.threshold cointegration test; Purchasing Power Parity; asymmetric adjustment; Mainland China; Taiwan

Simultaneously encoding movement and sEMG-based stiffness for robotic skill learning

Transferring human stiffness regulation strategies to robots enables them to effectively and efficiently acquire adaptive impedance control policies to deal with uncertainties during the accomplishment of physical contact tasks in an unstructured environment. In this work, we develop such a physical human-robot interaction (pHRI) system which allows robots to learn variable impedance skills from human demonstrations. Specifically, the biological signals, i.e., surface electromyography (sEMG) are utilized for the extraction of human arm stiffness features during the task demonstration. The estimated human arm stiffness is then mapped into a robot impedance controller. The dynamics of both movement and stiffness are simultaneously modeled by using a model combining the hidden semi-Markov model (HSMM) and the Gaussian mixture regression (GMR). More importantly, the correlation between the movement information and the stiffness information is encoded in a systematic manner. This approach enables capturing uncertainties over time and space and allows the robot to satisfy both position and stiffness requirements in a task with modulation of the impedance controller. The experimental study validated the proposed approach