Showing papers in "International Review of Economics & Finance in 2014"

TL;DR: In this article, the authors examined the existence and prevalence of investor herding behavior in a segmented market setting, the Chinese A and B stock markets, and found that investors exhibit different levels of herding behaviour, in particular, herding strongly exists in the B-share markets.

TL;DR: In this article, the authors examined the relationship between oil and stock markets in Europe and the USA at the aggregate and sectoral levels using wavelet multi-resolution analysis, and found evidence of contagion and positive interdependence between these markets.

TL;DR: In this article, the authors investigated the dynamic dependence between crude oil prices and stock markets in ten countries across the Asia-Pacific region during the period from January 4, 2000 to March 30, 2012 by using unconditional and conditional copula models.

TL;DR: The authors investigated the relationship between changes in oil prices and economic activity and found that the impact of oil price shocks on stock prices in these large NIEs is mixed, partly in contrast to the effects on the U.S. and developed countries' stock markets.

TL;DR: In this article, the authors investigated the sources of the dynamic relationship between real exchange rates and stock return differentials in relation to the US market for the developed and emerging Asian markets.

TL;DR: Li et al. as mentioned in this paper used a panel data analysis to examine the dividend policy at Chinese firms and found that firms that pay less in cash dividends are associated with more related-party transactions, which represents wealth expropriation from general stockholders.

TL;DR: In this paper, a multivariate asymmetric dynamic conditional correlation GARCH model was adopted to examine the interdependence of US dollar (USD) exchange rates expressed in euro (EUR), British pound (GBP), and Swiss franc (CHF).

TL;DR: In this paper, the authors apply the Granger-causality approach and endogenous breakpoint test to offer an operational definition of contagion to examine European Economic and Monetary Union (EMU) countries public debt behavior.

TL;DR: In this article, the authors explored the effect of corporate governance on equity liquidity in Thailand and found a significant relationship between governance and liquidity within firms over time based on a sample of largest firms in Thailand from 2006 to 2009.

TL;DR: In this paper, the authors analyzed contagion effects in a worldwide framework using three different econometric models and found no significance evidence supporting contagion effect derived from the US stock markets.

TL;DR: In this article, the authors used wavelet analysis to investigate causality between the spot exchange rate and the nominal interest rate differential for seven country pairs, which includes Sweden and found that an increase in the Swedish interest rate compared to that of another country is associated with a lower Swedish krona price of the other country's currency.

TL;DR: In this article, the authors examined the determinants of joint default risk of euro area countries during 2007-2011 and found that financial linkages are an active contagion transmission channel only in the case of the troubled periphery euro area economies.

TL;DR: The authors assesses the hedging and downside risk benefits of using gold for currency risk management at different investment horizons, using wavelet multi-resolution analysis, finding positive dependence between gold and US dollar depreciation against a wide set of currencies for all time scales for the period January 2000 to March 2013.

TL;DR: This article examined the comovement between the Chinese and US stock markets over the period between January 4, 2000 and January 13, 2012 and found that there is no cointegration relationship between the two markets, even when allowing for structural change.

TL;DR: This article explored whether gold prices have a reliable out-of-sample relationship with the Australian dollar/US dollar nominal and real exchange rates using daily and quarterly data, respectively, spanning the period 2000-2012.

TL;DR: In this paper, the effects of product differentiation and product market competition on technology licensing by an outside innovator were studied. And they showed that both the innovator and the society prefer royalty licensing compared to auction, irrespective of Cournot and Bertrand competitions, if the number of potential licensees is sufficiently large.

TL;DR: This paper analyzed the dual long memory properties of four major foreign exchange markets of the world oil exporter Saudi Arabia, using the ARFIMA-FIGARCH model under several global events.

TL;DR: In this paper, a study complements the governance literature by investigating how Taiwan listed firms adjusted their governance structure to cope with the 2008 financial crisis and found that there are significant differences in the factor scores, such as Board Power (of the largest shareholders), Information Transparency and Related Party Transactions.

TL;DR: In this paper, the impact of the CSI 300 index futures on the underlying spot market in terms of feedback trading model was examined and a univariate AR-GJR-GARCH-M model was employed for the analysis.

TL;DR: In this paper, the authors examined volatility transmission patterns for pairs of six stock markets of countries of the Gulf Cooperation Council (GCC) and pairs of these markets with the three global markets (S&P 500 index, Oil-WTI prices and MSCI-world), using the Multi-Chain Markov Switching (MCMS) model.

TL;DR: The frequency of women occupying the CEO office has increased but remains at low levels, less than 5% for the Fortune 500 companies as discussed by the authors, which suggests areas where more inquiry is needed to resolve conflicting results.

TL;DR: In this article, the authors examined the Canada-US real exchange rate since the early 1970s to test two popular explanations of the long-run real currency exchange rate based on the influence of sectoral productivities and commodity prices.

TL;DR: In this paper, the authors established four-sector general equilibrium models to investigate how an inflow of foreign capital influences the skilled-unskilled wage inequality in the presence of the endogenous public infrastructure provision.

TL;DR: In this article, the authors proposed that large and small firms treat their seasoned equity differently: small firms time the market, whereas large firms use discretionary accruals to increase their proceeds.

TL;DR: In this article, the authors estimate the time-varying long-run correlations between crude oil and the major asset classes; then the structural changes in these correlations are determined with various methodologies.

TL;DR: In this article, the role of the relationship between investment and finance as the main source of both financial instability and business cycle fluctuations is analyzed by building an agent-based model, explicitly considering the complex nature of credit markets as strongly interactive and evolving structures that can be suitably depicted by networks.

TL;DR: In this paper, the causal relationship between the current account deficit and government budget deficit for eleven OECD countries by employing the panel Granger causality analysis was examined and it was found that the Barro-Ricardo Equivalence hypothesis is applicable to France and the UK.

TL;DR: In this paper, the authors examined investor herds in the market for American Depository Receipts (ADRs) using daily price data on 305 ADRs traded in US exchanges issued by corporations from 19 countries.

TL;DR: In this article, a variant of Extreme Bound Analysis (EBA) is used to examine if any of the existing studies on the determinants of sovereign default is robust to small changes in the conditioning information set, and the robustness of the observed association between sovereign default and credit worthiness, growth, leverage on export earnings, debt service ratio, reserves, inflation, exchange rate, trade deficit, corruption, and democratic accountability.

TL;DR: In this article, the economic and political determinants of country credit risk in both developed and emerging economies by using sovereign yield spreads as risk indicators were analyzed using Bayesian Model Averaging.