Pub Date : 2018-01-01DOI: 10.17256/JER.2018.23.3.004
S. Tabibian, Zhaoyong Zhang
This study examines the impact of stock split announcement on stock return volatility in Bursa Malaysia during 2004-2014. The study uses event study methodology and investigates interaction relationships between various control variables. We found significantly positive abnormal returns on both splits announcement and announcement of book closing date, while they are insignificant on the splits execution date and circular-day. The finding indicates a stronger market reaction to the split announcement and execution date in the third period (2010-2014) compared to the first (2004-2006) and second (2007-2009) period. Also, the significant and positive abnormal return on the Ex-date in the third period demonstrates the effective role of securities regulation changes and improvement. We also found a significantly positive abnormal announcement return for the sub-samples, implying that from investors' viewpoint the stock splits in Bursa Malaysia is good news.
{"title":"Stock split announcement and return volatility:: Evidence from Malaysia","authors":"S. Tabibian, Zhaoyong Zhang","doi":"10.17256/JER.2018.23.3.004","DOIUrl":"https://doi.org/10.17256/JER.2018.23.3.004","url":null,"abstract":"This study examines the impact of stock split announcement on stock return volatility in Bursa Malaysia during 2004-2014. The study uses event study methodology and investigates interaction relationships between various control variables. We found significantly positive abnormal returns on both splits announcement and announcement of book closing date, while they are insignificant on the splits execution date and circular-day. The finding indicates a stronger market reaction to the split announcement and execution date in the third period (2010-2014) compared to the first (2004-2006) and second (2007-2009) period. Also, the significant and positive abnormal return on the Ex-date in the third period demonstrates the effective role of securities regulation changes and improvement. We also found a significantly positive abnormal announcement return for the sub-samples, implying that from investors' viewpoint the stock splits in Bursa Malaysia is good news.","PeriodicalId":90860,"journal":{"name":"International journal of economic research","volume":"27 1","pages":"265-290"},"PeriodicalIF":0.0,"publicationDate":"2018-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85263729","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 : 2018-01-01DOI: 10.17256/JER.2018.23.1.002
Sung‐min Kim, Jin‐Tae Hwang
In this paper, we examine the relationship between service offshoring and overall wage inequality in the U.S. labor market. Using data from CPS, EU KLEMS, and WIOD, we find that service offshoring shows a biased pattern on wage inequality in that it would affect largely a certain class who work in the service sector, not all sectors. Specifically, service offshoring would enlarge both the 90/10 and 90/50 wage gaps in the service sector. This implies that it can substitute in part for the middle-skill group in the service sector, reducing the relative skill premium of the corresponding workers
{"title":"The biased pattern of global outsourcing","authors":"Sung‐min Kim, Jin‐Tae Hwang","doi":"10.17256/JER.2018.23.1.002","DOIUrl":"https://doi.org/10.17256/JER.2018.23.1.002","url":null,"abstract":"In this paper, we examine the relationship between service offshoring and overall wage inequality in the U.S. labor market. Using data from CPS, EU KLEMS, and WIOD, we find that service offshoring shows a biased pattern on wage inequality in that it would affect largely a certain class who work in the service sector, not all sectors. Specifically, service offshoring would enlarge both the 90/10 and 90/50 wage gaps in the service sector. This implies that it can substitute in part for the middle-skill group in the service sector, reducing the relative skill premium of the corresponding workers","PeriodicalId":90860,"journal":{"name":"International journal of economic research","volume":"24 1","pages":"39-56"},"PeriodicalIF":0.0,"publicationDate":"2018-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77938261","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 : 2016-01-01DOI: 10.13140/RG.2.2.27911.80800
Teddy Chandra
The aim of this research is to analyze the market reaction towardsannouncement of fuel price’s changing during Joko Widodo’s Era 2014 – October 2015. The indicators used in this study are abnormal return and trading volume activity. Event study method is used to examine the market’s reaction and measure the differences before and after the announcement of fuel price changing. The sampleare all companies listed in Subsector of Property in October 2013 October 2015. The results showed that there are significant abnormal returns fluctuated during fuel price changing, and no significant difference in abnormal returns before and after the announcement. While trading volume activity showed no significant difference before and after the announcement of fuel price.
{"title":"ANALYSIS OF CHANGES FUEL PRICE DURING PRESIDENTIAL JOKO WIDODO 2014 – 2015 ON SHARE PRICE ON SUB SECTOR PROPERTY INDONESIA STOCK EXCHANGE","authors":"Teddy Chandra","doi":"10.13140/RG.2.2.27911.80800","DOIUrl":"https://doi.org/10.13140/RG.2.2.27911.80800","url":null,"abstract":"The aim of this research is to analyze the market reaction towardsannouncement of fuel price’s changing during Joko Widodo’s Era 2014 – October 2015. The indicators used in this study are abnormal return and trading volume activity. Event study method is used to examine the market’s reaction and measure the differences before and after the announcement of fuel price changing. The sampleare all companies listed in Subsector of Property in October 2013 October 2015. The results showed that there are significant abnormal returns fluctuated during fuel price changing, and no significant difference in abnormal returns before and after the announcement. While trading volume activity showed no significant difference before and after the announcement of fuel price.","PeriodicalId":90860,"journal":{"name":"International journal of economic research","volume":"26 1","pages":"1521-1539"},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77343704","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 : 2015-04-16DOI: 10.17256/JER.2015.20.2.001
S. Herath, G. Maier
The growing empirical literature testing informational efficiency of real estate markets uses data from various contexts and at different levels of aggregation. The results of these studies are mixed. We use a distinctive meta-analysis to examine whether some of these study characteristics and contexts lead to a significantly higher chance for identification of an efficient real estate market. The results generated through meta-regression suggest that use of stock market data and individual level data, rather than aggregate data, significantly improves the probability of a study concluding efficiency. Additionally, the findings neither provide support for the suspicion that the view of market efficiency has significantly changed over the years nor do they indicate a publication bias resulting from such a view. The statistical insignificance of other study characteristics suggests that the outcome concerning efficiency is a context-specific random manifestation for the most part. (authors' abstract)
{"title":"Informational efficiency of the real estate market: A meta-analysis","authors":"S. Herath, G. Maier","doi":"10.17256/JER.2015.20.2.001","DOIUrl":"https://doi.org/10.17256/JER.2015.20.2.001","url":null,"abstract":"The growing empirical literature testing informational efficiency of real estate markets uses data from various contexts and at different levels of aggregation. The results of these studies are mixed. We use a distinctive meta-analysis to examine whether some of these study characteristics and contexts lead to a significantly higher chance for identification of an efficient real estate market. The results generated through meta-regression suggest that use of stock market data and individual level data, rather than aggregate data, significantly improves the probability of a study concluding efficiency. Additionally, the findings neither provide support for the suspicion that the view of market efficiency has significantly changed over the years nor do they indicate a publication bias resulting from such a view. The statistical insignificance of other study characteristics suggests that the outcome concerning efficiency is a context-specific random manifestation for the most part. (authors' abstract)","PeriodicalId":90860,"journal":{"name":"International journal of economic research","volume":"3 1","pages":"117-168"},"PeriodicalIF":0.0,"publicationDate":"2015-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83373994","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 : 2015-01-01DOI: 10.17256/jer.2015.20.1.005
Deokwoo Nam
This paper studies the eect of habit formation in consumption on the real exchange persistence under monetary policy shocks. Closed economy models of monetary policy have emphasized the ability of habit formation to generate endogenous persistence, which has en - couraged the open economy literature to incorporate habit forma - tion into theoretical models to generate greater persistence in the real exchange rate. However, there has not yet been a thorough evaluation of the habit formation eect in the real exchange rate context. By incorporating habit formation into the model of Be - nigno (2004), it is shown that the habit formation eect depends on the degree of price stickiness assumed within and across countries as well as the design of the monetary policy rule. Habit formation does not aect the dynamics of the real exchange rate under sym - metric price adjustment and does not signicantly contribute to the persistence of the real exchange rate for more general cases
{"title":"Habit formation, asymmetric price adjustment, and real exchange rate persistence","authors":"Deokwoo Nam","doi":"10.17256/jer.2015.20.1.005","DOIUrl":"https://doi.org/10.17256/jer.2015.20.1.005","url":null,"abstract":"This paper studies the eect of habit formation in consumption on the real exchange persistence under monetary policy shocks. Closed economy models of monetary policy have emphasized the ability of habit formation to generate endogenous persistence, which has en - couraged the open economy literature to incorporate habit forma - tion into theoretical models to generate greater persistence in the real exchange rate. However, there has not yet been a thorough evaluation of the habit formation eect in the real exchange rate context. By incorporating habit formation into the model of Be - nigno (2004), it is shown that the habit formation eect depends on the degree of price stickiness assumed within and across countries as well as the design of the monetary policy rule. Habit formation does not aect the dynamics of the real exchange rate under sym - metric price adjustment and does not signicantly contribute to the persistence of the real exchange rate for more general cases","PeriodicalId":90860,"journal":{"name":"International journal of economic research","volume":"32 1","pages":"83-116"},"PeriodicalIF":0.0,"publicationDate":"2015-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75614402","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 : 2015-01-01DOI: 10.17256/jer.2015.20.1.002
Shi-Hwan Lee, Hangyong Lee
Following Diebold and Yilmaz (2009, 2012) with generalized fore - cast error variance decompositions, we measure spillover effects across the credit spreads of different bond ratings in Korea. The es - timation results suggest that approximately 35 percent of the fluc - tuations in credit spreads are explained by spillover effects. We also find asymmetry in the spillover effects: a shock to a credit spread tends to spillover more strongly into lower-rated spreads than into higher rated spreads. Rolling regression and sub-sample results re - veal that spillover effects are stronger during the period of financial crisis
{"title":"Spillover effects across credit spreads in Korean bond market","authors":"Shi-Hwan Lee, Hangyong Lee","doi":"10.17256/jer.2015.20.1.002","DOIUrl":"https://doi.org/10.17256/jer.2015.20.1.002","url":null,"abstract":"Following Diebold and Yilmaz (2009, 2012) with generalized fore - cast error variance decompositions, we measure spillover effects across the credit spreads of different bond ratings in Korea. The es - timation results suggest that approximately 35 percent of the fluc - tuations in credit spreads are explained by spillover effects. We also find asymmetry in the spillover effects: a shock to a credit spread tends to spillover more strongly into lower-rated spreads than into higher rated spreads. Rolling regression and sub-sample results re - veal that spillover effects are stronger during the period of financial crisis","PeriodicalId":90860,"journal":{"name":"International journal of economic research","volume":"24 1","pages":"21-38"},"PeriodicalIF":0.0,"publicationDate":"2015-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88503239","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 : 2015-01-01DOI: 10.17256/jer.2015.20.1.004
Hyerin Kim, Yungsan Kim
In this paper, we used a CGE model featuring detailed energy sec - tors to estimate the economic costs of two alternative policies of re - ducing electricity consumption. The first policy is to increase the electricity tariffs by 10 percent across the board. The second policy is mandatory reduction of electricity consumption for large indus - trial customers, which impose the same reduction rate on all target users. The simulation results show that the latter has greater nega - tive impact on the economy than the former. On annual basis, the former reduces real GDP by 0.062 percent and the latter by 0.085 percent when they both achieve the same overall power consump - tion reduction of 7.385 percent. These results confirm the princi - ple that a market-based approach to balance supply and demand is more efficient than a command-and-control approach
{"title":"The economic cost of mandatory reduction of electricity demand:: A CGE analysis of the Korean case","authors":"Hyerin Kim, Yungsan Kim","doi":"10.17256/jer.2015.20.1.004","DOIUrl":"https://doi.org/10.17256/jer.2015.20.1.004","url":null,"abstract":"In this paper, we used a CGE model featuring detailed energy sec - tors to estimate the economic costs of two alternative policies of re - ducing electricity consumption. The first policy is to increase the electricity tariffs by 10 percent across the board. The second policy is mandatory reduction of electricity consumption for large indus - trial customers, which impose the same reduction rate on all target users. The simulation results show that the latter has greater nega - tive impact on the economy than the former. On annual basis, the former reduces real GDP by 0.062 percent and the latter by 0.085 percent when they both achieve the same overall power consump - tion reduction of 7.385 percent. These results confirm the princi - ple that a market-based approach to balance supply and demand is more efficient than a command-and-control approach","PeriodicalId":90860,"journal":{"name":"International journal of economic research","volume":"5 1","pages":"57-82"},"PeriodicalIF":0.0,"publicationDate":"2015-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84348673","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 : 2015-01-01DOI: 10.17256/jer.2015.20.2.004
Khalid M. Kisswani
In this paper we use annual data from 1970-2012 to test the effect of OPEC production on oil prices through three different data structures. We use Engle and Granger, and Johansen and Pedroni cointegration tests to study the long-run relation between OPEC production and oil prices, besides applying Granger causality and Toda and Yamamoto tests to check the causality between the series. The findings show that OPEC production does not manipulate oil prices at the country-by-country and pooled levels, however, the effect is confirmed for OPEC acting as a cohesive entity. Moreover, the results show that OPEC production does not cause oil prices at the country-by-country and pooled levels as well.
{"title":"Does OPEC influence crude oil prices?: Testing for cointegration and causality effect","authors":"Khalid M. Kisswani","doi":"10.17256/jer.2015.20.2.004","DOIUrl":"https://doi.org/10.17256/jer.2015.20.2.004","url":null,"abstract":"In this paper we use annual data from 1970-2012 to test the effect of OPEC production on oil prices through three different data structures. We use Engle and Granger, and Johansen and Pedroni cointegration tests to study the long-run relation between OPEC production and oil prices, besides applying Granger causality and Toda and Yamamoto tests to check the causality between the series. The findings show that OPEC production does not manipulate oil prices at the country-by-country and pooled levels, however, the effect is confirmed for OPEC acting as a cohesive entity. Moreover, the results show that OPEC production does not cause oil prices at the country-by-country and pooled levels as well.","PeriodicalId":90860,"journal":{"name":"International journal of economic research","volume":"2 1","pages":"231-255"},"PeriodicalIF":0.0,"publicationDate":"2015-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74357913","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 : 2015-01-01DOI: 10.17256/JER.2015.20.2.002
L. Jaeck, Julien Hanoteau, Gilbert Bougi
This paper analyzes the setting of sustainability standards, such as those recently implemented in Europe and in the United States, as a political compromise pressured by the lobbying of competing industries and under the indirect influence of ecologists. Using a common agency model of lobbying, we extend Yandle's theory of `Bootleggers and Baptists' of interdependence between interest groups. Paradoxically, the indirect and information-based influence of ecologists can lead to a less constraining standard. We show, in a context of trade liberalization, that this influence leads nonetheless to a tightening of standards in large countries
{"title":"Indirect influence, lobbies interdependence and ecological protectionism","authors":"L. Jaeck, Julien Hanoteau, Gilbert Bougi","doi":"10.17256/JER.2015.20.2.002","DOIUrl":"https://doi.org/10.17256/JER.2015.20.2.002","url":null,"abstract":"This paper analyzes the setting of sustainability standards, such as those recently implemented in Europe and in the United States, as a political compromise pressured by the lobbying of competing industries and under the indirect influence of ecologists. Using a common agency model of lobbying, we extend Yandle's theory of `Bootleggers and Baptists' of interdependence between interest groups. Paradoxically, the indirect and information-based influence of ecologists can lead to a less constraining standard. We show, in a context of trade liberalization, that this influence leads nonetheless to a tightening of standards in large countries","PeriodicalId":90860,"journal":{"name":"International journal of economic research","volume":"23 1","pages":"169-198"},"PeriodicalIF":0.0,"publicationDate":"2015-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77953863","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 : 2015-01-01DOI: 10.17256/jer.2015.20.2.003
H. Zeaiter
This study investigates the determinants of sovereign default risk in 123 developing countries over the period 1970-2012. Adopting an approach distinct from the literature, this paper employs a continuous measure of the accumulated arrears of interest payments and principal repayments on private and official external debt as a proxy for sovereign default. Apart from the importance of the current account balance, short-term debt, credit to the private sector, output, lending interest rate, and the exchange rate, empirical results show that the presence of the HIPC relief program is found to mask a portion of the true effects of the economic and political factors on debt arrears. In addition, in contrast to middle-income countries, political risk exhibits a negative impact on accumulated arrears in low-income countries. Arrears are found to be responsive to lending interest rate only in the middle-income and nonHIPC countries. Moreover, in the HIPC and low-income countries arrears are found to be more sensitive to volatility in the exchange rates. This study recommends that indebted countries: (1) stabilize their exchange rate, (2) rationally manage external debt, and (3) enhance transparency in governmental institutions.
{"title":"Sovereign debt defaults:: Evidence from developing countries","authors":"H. Zeaiter","doi":"10.17256/jer.2015.20.2.003","DOIUrl":"https://doi.org/10.17256/jer.2015.20.2.003","url":null,"abstract":"This study investigates the determinants of sovereign default risk in 123 developing countries over the period 1970-2012. Adopting an approach distinct from the literature, this paper employs a continuous measure of the accumulated arrears of interest payments and principal repayments on private and official external debt as a proxy for sovereign default. Apart from the importance of the current account balance, short-term debt, credit to the private sector, output, lending interest rate, and the exchange rate, empirical results show that the presence of the HIPC relief program is found to mask a portion of the true effects of the economic and political factors on debt arrears. In addition, in contrast to middle-income countries, political risk exhibits a negative impact on accumulated arrears in low-income countries. Arrears are found to be responsive to lending interest rate only in the middle-income and nonHIPC countries. Moreover, in the HIPC and low-income countries arrears are found to be more sensitive to volatility in the exchange rates. This study recommends that indebted countries: (1) stabilize their exchange rate, (2) rationally manage external debt, and (3) enhance transparency in governmental institutions.","PeriodicalId":90860,"journal":{"name":"International journal of economic research","volume":"25 1","pages":"199-229"},"PeriodicalIF":0.0,"publicationDate":"2015-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75870531","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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