A stock market is considered to be efficient if it accurately reflects all the relevant information in determining security prices. In international stock markets, if the assets with identical risks offer similar level of expected returns, then markets are said to be integrated. This paper investigates the stock market efficiency and integration of eight selected economies in the Asia-Pacific region. The sample is composed of 4 Emerging/ Developing (Sri Lanka, China, Malaysia and Pakistan) and 4 Developed (Australia, Hong Kong, Japan and Singapore) markets. The motivation of this paper is two-fold. The first objective is to investigate whether the selected stock markets are efficient at individual level, while the second is to examine whether international diversification is effective. The results revealed that there is no evidence against the efficiency of Japan's stock market while markets of Sri Lanka, Pakistan and Australia are proved to be inefficient. For China, Malaysia, Hong Kong and Singapore, the tests gave inconclusive results with regard to market efficiency. The cointegration analysis confirmed that there are no long-run co-movements between the stock prices, and thus international diversification within economies in the sample is effective. DOI: 10.4038/ss.v38i1.1223 Staff Studies Volume 38 Numbers 1& 2 2008 p.95-117
{"title":"Stock Market Efficiency and Integration: A Study of Eight Economies in the Asia-Pacific Region","authors":"D. Samaratunga","doi":"10.4038/SS.V38I1.1223","DOIUrl":"https://doi.org/10.4038/SS.V38I1.1223","url":null,"abstract":"A stock market is considered to be efficient if it accurately reflects all the relevant information in determining security prices. In international stock markets, if the assets with identical risks offer similar level of expected returns, then markets are said to be integrated. This paper investigates the stock market efficiency and integration of eight selected economies in the Asia-Pacific region. The sample is composed of 4 Emerging/ Developing (Sri Lanka, China, Malaysia and Pakistan) and 4 Developed (Australia, Hong Kong, Japan and Singapore) markets. The motivation of this paper is two-fold. The first objective is to investigate whether the selected stock markets are efficient at individual level, while the second is to examine whether international diversification is effective. The results revealed that there is no evidence against the efficiency of Japan's stock market while markets of Sri Lanka, Pakistan and Australia are proved to be inefficient. For China, Malaysia, Hong Kong and Singapore, the tests gave inconclusive results with regard to market efficiency. The cointegration analysis confirmed that there are no long-run co-movements between the stock prices, and thus international diversification within economies in the sample is effective. DOI: 10.4038/ss.v38i1.1223 Staff Studies Volume 38 Numbers 1& 2 2008 p.95-117","PeriodicalId":362386,"journal":{"name":"Staff Studies","volume":"108 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-10-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124809669","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The debate among economists concerning the efficiency of monetary versus fiscal policy has been rekindled in recent years with the publication of what most economists know familiarly as the Andersen-Jordan paper [3]. The major conclusion of this paper that "evidence was found which is consistent with the proposition that the influence of monetary actions on economic activity is more certain than that of fiscal actions" [3, 22] and the statistical assumptions underlying their evidence have come under widespread criticism [9; 10; 11; 21]. The major contention offered by the critics of Andersen-Jordan is the reverse-causation
{"title":"Federal Reserve defensive behavior and the reverse causation argument","authors":"R. Lombra, Raymond G. Torto","doi":"10.2307/1056292","DOIUrl":"https://doi.org/10.2307/1056292","url":null,"abstract":"The debate among economists concerning the efficiency of monetary versus fiscal policy has been rekindled in recent years with the publication of what most economists know familiarly as the Andersen-Jordan paper [3]. The major conclusion of this paper that \"evidence was found which is consistent with the proposition that the influence of monetary actions on economic activity is more certain than that of fiscal actions\" [3, 22] and the statistical assumptions underlying their evidence have come under widespread criticism [9; 10; 11; 21]. The major contention offered by the critics of Andersen-Jordan is the reverse-causation","PeriodicalId":362386,"journal":{"name":"Staff Studies","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1973-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116217969","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
T HE appropriations series collected by the National Industrial Conference Board (NICB) come closer than any other data to pinpointing the time of investment decisions. This paper reports a study of the time lags between the basic stimulants of investment output, cash flow, and interest rate and these appropriations. We find that appropriations respond quickly to these incentives. Three points summarize the results for the all manufacturing:
{"title":"The lags between investment decisions and their causes","authors":"Shirley Almon","doi":"10.2307/1926195","DOIUrl":"https://doi.org/10.2307/1926195","url":null,"abstract":"T HE appropriations series collected by the National Industrial Conference Board (NICB) come closer than any other data to pinpointing the time of investment decisions. This paper reports a study of the time lags between the basic stimulants of investment output, cash flow, and interest rate and these appropriations. We find that appropriations respond quickly to these incentives. Three points summarize the results for the all manufacturing:","PeriodicalId":362386,"journal":{"name":"Staff Studies","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1968-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130003044","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"The use of interest rate policies as a stimulus to economic growth","authors":"R. Emery","doi":"10.17016/IFDP.1971.3","DOIUrl":"https://doi.org/10.17016/IFDP.1971.3","url":null,"abstract":"","PeriodicalId":362386,"journal":{"name":"Staff Studies","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123981447","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 1900-01-01DOI: 10.1007/978-94-009-1213-7_8
Flint Brayton, P. Clark
{"title":"The macroeconomic and sectoral effects of the Economic Recovery Tax Act: some simulation results","authors":"Flint Brayton, P. Clark","doi":"10.1007/978-94-009-1213-7_8","DOIUrl":"https://doi.org/10.1007/978-94-009-1213-7_8","url":null,"abstract":"","PeriodicalId":362386,"journal":{"name":"Staff Studies","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129456066","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Changes in bank ownership: the impact on operating performance","authors":"Paul F. Jessup","doi":"10.21034/sr.1","DOIUrl":"https://doi.org/10.21034/sr.1","url":null,"abstract":"","PeriodicalId":362386,"journal":{"name":"Staff Studies","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125693690","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 1900-01-01DOI: 10.1007/978-1-349-07120-3_7
Henry S. Terrell, Rodney H. Mills
{"title":"International Banking Facilities and the Eurodollar Market","authors":"Henry S. Terrell, Rodney H. Mills","doi":"10.1007/978-1-349-07120-3_7","DOIUrl":"https://doi.org/10.1007/978-1-349-07120-3_7","url":null,"abstract":"","PeriodicalId":362386,"journal":{"name":"Staff Studies","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130488459","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Explaining changes in Euro-dollar positions: a study of banks in four European countries","authors":"Rodney H. Mills","doi":"10.17016/ifdp.1971.1","DOIUrl":"https://doi.org/10.17016/ifdp.1971.1","url":null,"abstract":"","PeriodicalId":362386,"journal":{"name":"Staff Studies","volume":"213 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117101275","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Impact of the dollar depreciation on the U.S. price level: an analytical survey of empirical estimates","authors":"P. Hooper, Barbara R. Lowrey","doi":"10.17016/IFDP.1979.128","DOIUrl":"https://doi.org/10.17016/IFDP.1979.128","url":null,"abstract":"","PeriodicalId":362386,"journal":{"name":"Staff Studies","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121634652","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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