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  • 1.
    Gunduz, Lokman
    et al.
    Faculty of Economics and Administrative Sciences, Beykent University, 34900 Istanbul, Turkey.
    Hatemi-J, Abdulnasser
    University of Skövde, School of Technology and Society.
    Is the tourism-led growth hypothesis valid for Turkey?2005In: Applied Economics Letters, ISSN 1350-4851, E-ISSN 1466-4291, Vol. 12, no 8, p. 499-504Article in journal (Refereed)
    Abstract [en]

    Like many developing countries, Turkey has also given priority to the development of tourism industry as a part of its economic growth strategy. This study intends to investigate whether tourism has really contributed to the economic growth in Turkey. The interaction between tourism and economic growth is investigated by making use of leveraged bootstrap causality tests. This method is robust to the existence of non-normality and ARCH effects. Special attention is given to the choice of the optimal lag order of the empirical model. It is found that the tourism-led growth hypothesis is supported empirically in the case of Turkey.

  • 2.
    Gündüz, Lokman
    et al.
    Beykent University - Department of International Trade.
    Hatemi-J, Abdulnasser
    University of Skövde, School of Technology and Society.
    On the Causal Relationship Between Stock Prices and Exchange Rates: Evidence from MENA Region2005In: Focus on Economic Growth and Productivity / [ed] L. A. Finley, New York: Nova Science Publishers, Inc., 2005, p. 85-97Chapter in book (Refereed)
  • 3.
    Gündüz, Lokman
    et al.
    Department of Business, Beykent University, Istanbul, Turkey.
    Hatemi-J., Abdulnasser
    University of Skövde, School of Technology and Society.
    Stock Price and Volume Relation in Emerging Markets2005In: Emerging markets finance & trade, ISSN 1540-496X, E-ISSN 1558-0938, Vol. 41, no 1, p. 29-44Article in journal (Refereed)
    Abstract [en]

    This paper explores the causal relationship between stock prices and volume figures for stock markets in the Czech Republic, Hungary, Poland, Russia, and Turkey. Prior to running causality tests, the time series properties of the data are carefully investigated and special attention is given to the choice of optimal lag order. Granger causality tests, based on the Toda-Yamamoto (1995) procedure, reveal that there is no causal relationship between the variables in the Czech Republic. In Hungary, there is a bidirectional causality irrespective of volume or market turnover tested. In Poland, while there is bidirectional causality between stock prices and volume, there exists a unidirectional causality running from market turnover to stock prices. The stock prices unidirectionally cause both volume and market turnover without any feedback in the case of Russia and Turkey. These results have important implications regarding market efficiency and the effects of different market characteristics on the stock price/volume relation.

  • 4.
    Hacker, R. Scott
    et al.
    Jönköping International Business School, PO Box 1026, SE-551 11 Jönköping, Sweden.
    Hatemi-J., Abdulnasser
    University of Skövde, School of Technology and Society.
    A Test for Multivariate ARCH Effects2005In: Applied Economics Letters, ISSN 1350-4851, E-ISSN 1466-4291, Vol. 12, no 7, p. 411-417Article in journal (Refereed)
    Abstract [en]

    This paper extends Engle's LM test for ARCH affects to multivariate cases. The size and power properties of this multivariate test for ARCH effects in VAR models are investigated based on asymptotic and bootstrap distributions. Using the asymptotic distribution, deviations of actual size from nominal size do not appear to be very excessive. Nevertheless, there is a tendency for the actual size to overreject the null hypothesis when the nominal size is 1% and underreject the null when the nominal size is 5% or 10%. It is found that using a bootstrap distribution for the multivariate LM test is generally superior in achieving the appropriate size to using the asymptotic distribution when (1) the nominal size is 5%; (2) the sample size is small (40 observations) and/or the VAR system is stable. With a small sample, the power of the test using the bootstrap distribution also appears better at the 5% nominal size

  • 5.
    Hacker, R. Scott
    et al.
    Jönköping Int Business Sch, Dept Econ, Jönköping, Sweden.
    Hatemi-J., Abdulnasser
    University of Skövde, School of Technology and Society.
    Optimal lag-length choice in stable and unstable VAR models under situations of homoscedasticity and ARCH2008In: Journal of Applied Statistics, ISSN 0266-4763, E-ISSN 1360-0532, Vol. 35, no 6, p. 601-615Article in journal (Refereed)
    Abstract [en]

    The performance of different information criteria - namely Akaike, corrected Akaike (AICC), Schwarz-Bayesian (SBC), and Hannan-Quinn - is investigated so as to choose the optimal lag length in stable and unstable vector autoregressive (VAR) models both when autoregressive conditional heteroscedasticity (ARCH) is present and when it is not. The investigation covers both large and small sample sizes. The Monte Carlo simulation results show that SBC has relatively better performance in lag-choice accuracy in many situations. It is also generally the least sensitive to ARCH regardless of stability or instability of the VAR model, especially in large sample sizes. These appealing properties of SBC make it the optimal criterion for choosing lag length in many situations, especially in the case of financial data, which are usually characterized by occasional periods of high volatility. SBC also has the best forecasting abilities in the majority of situations in which we vary sample size, stability, variance structure (ARCH or not), and forecast horizon (one period or five). frequently, AICC also has good lag-choosing and forecasting properties. However, when ARCH is present, the five-period forecast performance of all criteria in all situations worsens.

  • 6.
    Hacker, R. Scott
    et al.
    Jönköping International Business School, PO Box 1026, SE-551 11 Jönköping, Sweden.
    Hatemi-J, Abdulnasser
    University of Skövde, School of Technology and Society.
    Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application2006In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 38, no 13, p. 1489-1500Article in journal (Refereed)
    Abstract [en]

    Causality tests in the Granger's sense are increasingly applied in empirical research. Since the unit root revolution in time-series analysis, several modifications of tests for causality have been introduced in the literature. One of the recent developments is the Toda-Yamamoto modified Wald (MWALD) test, which is attractive due to its simple application, its absence of pre-testing distortions, and its basis on a standard asymptotical distribution irrespective of the number of unit roots and the cointegrating properties of the data. This study investigates the size properties of the MWALD test and finds that in small sample sizes this test performs poorly on those properties when using its asymptotical distribution, the chi-square. It is suggested that use be made of a leveraged bootstrap distribution to lower the size distortions. Monte Carlo simulation results show that an MWALD test based on a bootstrap distribution has much smaller size distortions than corresponding cases when the asymptotic distribution is used. These results hold for different sample sizes, integration orders, and error term processes (homoscedastic or ARCH). This new method is applied to the testing of the efficient market hypothesis.

  • 7.
    Hacker, R. Scott
    et al.
    Jönköping International Business School, PO Box 1026, SE-551 11 Jönköping, Sweden.
    Hatemi-J., Abdulnasser
    University of Skövde, School of Technology and Society.
    The effect of regime shifts on the long-run relationships for Swedish money demand2005In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 37, no 15, p. 1731-1736Article in journal (Refereed)
    Abstract [en]

    When the possibility of an unknown structural break is allowed and it is taken into account we find a significant long-run relationship between Swedish money demand and its determinants that is not found when no break is considered. The estimated elasticities show that money demand is more responsive to its determinants in the period after the break than before. Possible underlying reasons for the occurrence of this break and its implications are explained.

  • 8.
    Hacker, R. Scott
    et al.
    Internationella Handelshögskolan (Jönköping International Business School) Högskolan i Jönköping.
    Hatemi-J, Abdulnasser
    University of Skövde, School of Technology and Society.
    Time-Varying estimates for the Natural Rate of Unemployment and the Philips Curve in the US using the Kalman Filter2005In: Economia Internazionale / International Economics, ISSN 0012-981X, Vol. 58, no 3, p. 327-337Article in journal (Refereed)
    Abstract [en]

    The objective of this study is to provide estimates of the Phillips curve in the US during the period 1951-2001 using some time-varying parameters and the Kalman filter. Time-varying estimates for the sensitivity of inflation to the unemployment rate are provided in addition to time-varying estimates for the NAIRU (the non-accelerating inflation rate of unemployment). Our results for the NAIRU do not significantly differ from that of others with time-varying estimates of it, with it peaking around 1980 (1979 in our case). Inflation is found to have become increasingly sensitive to unemployment in the late 1950s through the early 1970s, and peaked in the late 1970s – early 1980s. After that, the sensitivity decreased only slightly.

  • 9.
    Hatemi-J, Abdulnasser
    University of Skövde, School of Technology and Society. Department of Business and Management, University of Kurdistan-Hawler.
    Forecasting properties of a new method to determine optimal lag order in stable and unstable VAR models2008In: Applied Economics Letters, ISSN 1350-4851, E-ISSN 1466-4291, Vol. 15, no 4, p. 239-243Article in journal (Refereed)
    Abstract [en]

    This simulation study investigates the forecasting performance of a new information criterion suggested by Hatemi-J (2003) to pick the optimal lag length in the stable and unstable vector autregression (VAR) models. The conducted Monte Carlo experiments reveal that this information criterion is successful in selecting the optimal lag order in the VAR model when the main aim is to draw ex-ante (forecasting) inference regardless if the VAR model is stable or not. In addition, the simulations indicate that this information criterion is robust to autoregressive conditional heteroskedasticity effects.

  • 10.
    Hatemi-J, Abdulnasser
    University of Skövde, School of Technology and Society.
    Is the Equity Market Informationally Efficient?: Evidence from Leveraged Bootstrap Analysis2005In: Economia Internazionale / International Economics, ISSN 0012-981X, Vol. 57, no 2, p. 1-13Article in journal (Refereed)
  • 11.
    Hatemi-J, Abdulnasser
    University of Skövde, School of Technology and Society.
    Multivariate tests for autocorrelation in the stable and unstable VAR models2004In: Economic Modelling, ISSN 0264-9993, E-ISSN 1873-6122, Vol. 21, no 4, p. 661-683Article in journal (Refereed)
    Abstract [en]

    This study investigates the size and power properties of three multivariate tests for autocorrelation, namely portmanteau test, Lagrange multiplier (LM) test and Rao F-test, in the stable and unstable vector autoregressive (VAR) models, with and without autoregressive conditional heteroscedasticity (ARCH) using Monte Carlo experiments. Many combinations of parameters are used in the simulations to cover a wide range of situations in order to make the results more representative. The results of conducted simulations show that all three tests perform relatively well in stable VAR models without ARCH. In unstable VAR models the portmanteau test exhibits serious size distortions. LM and Rao tests perform well in unstable VAR models without ARCH. These results are true, irrespective of sample size or order of autocorrelation. Another clear result that the simulations show is that none of the tests have the correct size when ARCH is present irrespective of VAR models being stable or unstable and regardless of the sample size or order of autocorrelation. The portmanteau test appears to have slightly better power properties than the LM test in almost all scenarios.

  • 12.
    Hatemi-J., Abdulnasser
    University of Skövde, School of Technology and Society.
    Tests for cointegration with two unknown regime shifts with an application to financial market integration2008In: Empirical Economics, ISSN 0377-7332, E-ISSN 1435-8921, Vol. 35, no 3, p. 497-505Article in journal (Refereed)
    Abstract [en]

    It is widely agreed in empirical studies that allowing for potential structural change in economic processes is an important issue. In existing literature, tests for cointegration between time series data allow for one regime shift. This paper extends three residual-based test statistics for cointegration to the cases that take into account two possible regime shifts. The timing of each shift is unknown a priori and it is determined endogenously. The distributions of the tests are non-standard. We generate new critical values via simulation methods. The size and power properties of these test statistics are evaluated through Monte Carlo simulations, which show the tests have small size distortions and very good power properties. The test methods introduced in this paper are applied to determine whether the financial markets in the US and the UK are integrated.

  • 13.
    Hatemi-J, Abdulnasser
    et al.
    University of Skövde, School of Technology and Society.
    Gunduz, Lokman
    The Effect of Asian Financial Crises on the Casual Relationship between Stock prices and Exchange rates: Evidence from MENA Region2004In: Finance Letters, ISSN 1740-6242, Vol. 2, no 2, p. 6-10Article in journal (Refereed)
    Abstract [en]

    This paper examines the causality between the exchange rates and stock prices in the Middle East and North Africa Region before and after Asian financial crisis. We empirically find that there is a unidirectional Granger causality from exchange rates to stock prices for Israel and Morocco before and after the Asian financial crisis, and for Jordan only after the crisis. However the causality runs from stock prices to exchange rates for Turkey after the Asian financial crisis. Moreover, we do not find any support for causal relationship between these two variables for Egypt

  • 14.
    Hatemi-J, Abdulnasser
    et al.
    University of Skövde, School of Technology and Society.
    Hacker, R. Scott
    Department of Economics, Jönköping International Business School, Jönköping, Sweden.
    An Alternative Method to Measure Contagion with an Application to the Asian Financial Crisis2005In: Applied Financial Economics Letters, ISSN 1744-6546, E-ISSN 1744-6554, Vol. 1, no 6, p. 343-347Article in journal (Refereed)
    Abstract [en]

    This paper investigates the size properties of a test for contagion based on an asymptotic t-distribution. The simulations show that this asymptotic test does not have correct size properties. An alternative test method based on case-resampling bootstrapping is introduced to improve on the correctness of inference. The simulations show that this new test has much better size properties. It also has quite high power properties and it is robust to ARCH effects. The method is applied to testing for contagion from Thailand to Indonesia during the Asian financial crisis.

  • 15.
    Hatemi-J, Abdulnasser
    et al.
    University of Skövde, School of Technology and Society.
    Hacker, R. Scott
    Jönköping International Business School, Jönköping, Sweden.
    Capital mobility in Sweden: a time-varying parameter approach2007In: Applied Economics Letters, ISSN 1350-4851, E-ISSN 1466-4291, Vol. 14, no 15, p. 1115-1118Article in journal (Refereed)
    Abstract [en]

    This article investigates the degree of capital mobility in Sweden during 1993 to 2004 using quarterly data. A time varying parameter model is estimated by the Kalman filter, and it shows that the relationship between investment as share in gross domestic product (GDP) and saving as share in GDP is much less than one (within the interval of 0.25-0.35), indicating substantial capital mobility. However, since the coefficient in each period is statistically different from zero, capital is still not perfectly mobile. Nevertheless, capital mobility seems to have increased until 1995 when Sweden became a member of EU and after membership there seems to be no significant increase in capital mobility.

  • 16.
    Hatemi-J, Abdulnasser
    et al.
    University of Skövde, School of Technology and Society.
    Hacker, Scott
    The Effect of Real Exchange Rates on Trade balances in the Short and Long Run: Evidence from German Trade with Transitional Central European Economies2004In: Economics of Transition, ISSN 0967-0750, Vol. 12, no 4, p. 777-799Article in journal (Refereed)
    Abstract [en]

    Using generalized impulse response functions, this study tests for the trade J-curve for three transitional central European countries – the Czech Republic, Hungary, and Poland – in their bilateral trade with respect to Germany. Our findings suggest that for each country there are some characteristics associated with a J-curve effect: after a (real or nominal) depreciation the export-to-import ratio briefly drops to below its initial value within a few months and then rises to a long run equilibrium value higher than the initial one.

  • 17.
    Hatemi-J, Abdulnasser
    et al.
    University of Skövde, School of Technology and Society.
    Irandoust, Manuchehr
    Department of Economics, University of Örebro, Örebro SE-701 82, Sweden / Department of Accounting, Finance and Economics, Griffith University, Brisbane, QLD, Australia.
    A bootstrap-corrected causality test: another look at the money–income relationship2006In: Empirical Economics, ISSN 0377-7332, E-ISSN 1435-8921, Vol. 31, no 1, p. 207-216Article in journal (Refereed)
    Abstract [en]

    Previous studies of the causal relationship between money supply and real output are based on asymptotic distributions. If the assumption of normality is not fulfilled and if ARCH effects are present, asymptotic distributions perform inaccurately. In this paper, we reinvestigate the potential causal relationship between money and output by applying an alternative methodology based on the leveraged bootstrapped simulation techniques using data from Denmark, Japan, Sweden, and the US. We find unidirectional causality from money to output for the sample countries except for Sweden for which causality is bi-directional. This finding of unidirectional causality between money and output supports monetary business-cycle models and reveals one important policy implication—that is, in looking for the sources of output fluctuations, money might be a major factor.

  • 18.
    Hatemi-J, Abdulnasser
    et al.
    University of Skövde, School of Technology and Society.
    Irandoust, Manuchehr
    University of Örebro.
    Bilateral trade elasticities: Sweden versus her trade partners2005In: American Review of Political Economy, ISSN 1551-1383, Vol. 3, no 2, p. 38-50Article in journal (Refereed)
    Abstract [en]

    This study explores the long-run bilateral trade elasticities between Sweden and its six major trading partners for the period 1960-1999. Tests for unit roots and cointegration in a panel perspective are conducted. The estimated cross sectional trade elasticities show that trade is highly sensitive to changes in income but less sensitive to real exchange rate fluctuations. The bilateral trade elasticities disclose that the Marshall-Lerner condition is not satisfied (except for Germany) and real depreciation of the Swedish currency has less favorable impact on the trade balance. The policy implications of our findings are also discussed.

  • 19.
    Hatemi-J, Abdulnasser
    et al.
    Deakin University, Australia.
    Irandoust, Manuchehr
    UAE University, United Arab Emirates.
    Controlling Money Supply and Price Level in a Cointegration Model with Unknown Regime Shifts2008In: Journal of Applied Business Research, E-ISSN 2157-8834, Vol. 24, no 2, p. 139-146Article in journal (Refereed)
  • 20.
    Hatemi-J, Abdulnasser
    et al.
    University of Skövde, School of Technology and Society.
    Irandoust, Manuchehr
    University of Örebro.
    Foreign Aid and Economic Growth: New Evidence from Panel Cointegration2005In: Journal of Economic Development, ISSN 0254-8372, Vol. 30, no 1, p. 71-80Article in journal (Refereed)
    Abstract [en]

    The relationship between foreign aid and economic growth is investigated for a panel of developing countries (Botswana, Ethiopia, India, Kenya, Sri-Lanka, and Tanzania) over the period 1974-1996. The results reveal that the variables contain a panel unit root and they cointegrate in a panel perspective. The long-run elasticities (close to one for most countries) show that foreign aid has a positive and significant effect on economic activity for each country in the sample. A policy implication which may be drawn from the study is that foreign capital flows can have a favorable effect on real income by supplementing domestic savings.

  • 21.
    Hatemi-J, Abdulnasser
    et al.
    University of Skövde, School of Technology and Society.
    Irandoust, Manuchehr
    University of Skövde, School of Technology and Society.
    Is pricing to market behavior a long-run phenomenon?: A non-stationary panel analysis2004In: Empirica, Vol. 31, no 1, p. 55-67Article in journal (Refereed)
    Abstract [en]

    This paper examines how the Swedish imports prices react to exchange rate changes in the long run. It finds, through non-stationary panel analysis, that the Swedish import prices (for the majority of industries) change but not in proportion to exchange rate changes. The evidence from panel cointegration also shows that pricing behavior of the Swedish imports varies across industries and such variations could be related to industry-specific characteristics.

  • 22.
    Hatemi-J., Abdulnasser
    et al.
    University of Skövde, School of Technology and Society. Department of Business and Management , University of Kurdistan-Mawler.
    Irandoust, Manuchehr
    Department of Economics and Finance, UAE University, P.O. Box 17555, AL-Ain, United Arab Emirates.
    The Fisher effect: a Kalman filter approach to detecting structural change2008In: Applied Economics Letters, ISSN 1350-4851, E-ISSN 1466-4291, Vol. 15, no 8, p. 619-624Article in journal (Refereed)
    Abstract [en]

    This article uses quarterly data on short-run nominal interest rates and inflation rates over the last four or three decades collected from Australia, Japan, Malaysia and Singapore to test whether the Fisher relation has empirical support. Since meaningful Fisher effect tests critically depend on the integration and cointegration properties of the variables, we present some empirical evidence on these issues and we also apply the Kalman filter to estimate the time-varying parameters. The results show that the data are generally rejecting a full Fisher effect. This implies that nominal interest rates do not respond point-for-point to changes in the expected inflation rates. The possible reasons for the inability to detect a full Fisher effect are also discussed.

  • 23.
    Hatemi-J, Abdulnasser
    et al.
    University of Skövde, School of Technology and Society.
    Irandoust, Manuchehr
    Department of Economics, University of Örebro, SE-701 82 Örebro, Sweden.
    The Response of Industry Employment to Exchange Rate Shocks: evidence from panel cointegration2006In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 38, no 4, p. 415-421Article in journal (Refereed)
    Abstract [en]

    This study investigates the long-run relationship between employment and exchange rate shocks at the industry level for France. Using panel unit roots and panel cointegration analysis, it is found that the French industries are quite sensitive to exchange rate changes. The estimated long-run elasticities reveal that exchange rates do influence industry employment in the expected way, that is, real appreciations are associated with decline in manufacturing for all industries in the sample

  • 24.
    Hatemi-J, Abdulnasser
    et al.
    University of Skövde, School of Technology and Society.
    Maneschiöld, Per-Ola
    University of Skövde, School of Technology and Society.
    The Risk-Adjusted Interest Rate Parity: Panel Data Evidence2004In: Economia internazionale/International Economics, ISSN 0012-981X, Vol. 57, no 1, p. 1-10Article in journal (Refereed)
  • 25.
    Hatemi-J, Abdulnasser
    et al.
    University of Skövde, School of Technology and Society.
    Morgan, Bryan
    Department of Accounting, Finance and Economics, Griffith Business School, Griffith University, Brisbane, QLD 9726, Australia.
    Liberalized emerging markets and the world economy: testing for increased integration with time-varying volatility2007In: Applied Financial Economics, ISSN 0960-3107, E-ISSN 1466-4305, Vol. 17, no 15, p. 1245-1250Article in journal (Refereed)
    Abstract [en]

    Due to increasing globalization and its potential benefits, many emerging markets have introduced capital liberalization policies to attract much needed foreign direct investment. The objective of this article is to empirically investigate whether the conducted deregulation policies resulted in greater integration of emerging financial markets with the world market. For this purpose, a novel method introduced by Hatemi-J and Hacker (2005) is utilized to calculate the parameters as well as to test the significance of these parameters. This method is shown to be robust to nonnormality and time-varying volatility that usually characterize financial data and therefore it can provide more accurate inference compared to other methods. We find that only four of 17 emerging markets have become more integrated with the world market after implementing the liberalization policy.

  • 26.
    Hatemi-J, Abdulnasser
    et al.
    University of Skövde, School of Technology and Society.
    Roca, Eduardo
    Department of Accounting, Finance and Economics, Griffith University, Nathan, QLD 4111, Australia.
    A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods2006In: Economic Modelling, ISSN 0264-9993, E-ISSN 1873-6122, Vol. 23, no 6, p. 993-1007Article in journal (Refereed)
    Abstract [en]

    This article investigates the issue of international portfolio diversification with respect to the three largest financial markets in the world-namely the US, Japan and the UK. In addition to making use of traditional portfolio analysis, we also suggest a procedure to calculate bootstrap correlation coefficients that can take into account the dynamic structure between the markets as measured by bootstrapped causality tests. Weekly data is used. The results from the first approach are supporting international diversification. The bootstrapped causality tests provide additional empirical support for this conclusion since the size of the causal effects is negligible and the bootstrap correlations are similar as the standard ones. (c) 2006 Elsevier B.V. All rights reserved.

  • 27.
    Hatemi-J, Abdulnasser
    et al.
    University of Skövde, School of Technology and Society.
    Roca, Eduardo
    School of Accounting, Banking and Finance , Griffith University , Nathan, Queensland, Australia.
    An examination of the equity market price linkage between Australia and the European Union using leveraged bootstrap method2004In: The European Journal of Finance, ISSN 1466-4364, Vol. 10, no 6, p. 475-488Article in journal (Refereed)
    Abstract [en]

    The paper examines the equity market price interaction between Australia and the European Union - represented by the UK, Germany and France - based on the Toda-Yamamoto causality test, which is bootstrapped with leveraged adjustments. A new information criterion is used to choose the optimal lag order. Weekly MSCI data covering the period 1988 to 2001 is used, divided into two subperiods to allow for a structural break arising from the ERM crisis of 1992. Results show that, during the period before the ERM crisis, no significant causal links exist between Australia and any of three EU countries. During the period after the ERM crisis, Australia also had no causal links with Germany and France but it had with the UK, with causality running from the UK to Australia but not vice-versa. Thus, Australian investors may find the German and French, but not the UK, equity markets, attractive venues for their international diversification. German and French, but not British, investors may also obtain the same benefit from the Australian equity market.

  • 28.
    Hatemi-J, Abdulnasser
    et al.
    University of Skövde, School of Technology and Society.
    Roca, Eduardo
    Department of Accounting, Finance and Economics, Centre for Corporate Governance and Firm Performance, Griffith University, Nathan, QLD 4111, Australia.
    Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach2006In: Applied Economics Letters, ISSN 1350-4851, E-ISSN 1466-4291, Vol. 13, no 5, p. 293-299Article in journal (Refereed)
    Abstract [en]

    A crucial input in the hedging of risk is the optimal hedge ratio - defined by the relationship between the price of the spot instrument and that of the hedging instrument. Since it has been shown that the expected relationship between economic or financial variables may be better captured by a time varying parameter model rather than a fixed coefficient model, the optimal hedge ratio, therefore, can be one that is time varying rather than constant. This study suggests and demonstrates the use of the Kalman Filter approach for estimating time varying hedge ratio - a procedure that is statistically more efficient and with better forecasting properties.

  • 29.
    Hatemi-J, Abdulnasser
    et al.
    University of Skövde, School of Technology and Society.
    Roca, Eduardo
    School of Accounting, Banking and Finance, Griffith University, Nathan, Australia.
    Do birds of the same feather flock together?: The case of the Chinese states equity markets2004In: Journal of international financial markets, institutions, and money, ISSN 1042-4431, E-ISSN 1873-0612, Vol. 14, no 3, p. 281-294Article in journal (Refereed)
    Abstract [en]

    We examine the equity market price interdependence between China, Hong Kong, Singapore, and Taiwan based on the [Journal of Econometrics 66 (1995) 225] causality test which we bootstrap with leveraged adjustments. A new information criterion is used to choose the optimal lag order. We cover the period January 1, 1993–September 10, 2001 taking into account the Asian financial crisis in 1997. We find that before the Asian crisis, the only interaction among the Chinese markets was between Singapore and the markets of Taiwan and Hong Kong with the causality running from the former to the latter. However, after the Asian crisis, the Chinese equity markets became more interdependent among themselves although Hong Kong remained non-influential.

  • 30.
    Hatemi-J, Abdulnasser
    et al.
    University of Skövde, School of Technology and Society.
    Roca, Eduardo
    Department of Accounting Finance and Economics, Griffith University, Nathan, QLD 4111, Australia.
    Exchange Rates and Stock Prices Interaction during Good and Bad Times2005In: Applied Financial Economics, ISSN 0960-3107, E-ISSN 1466-4305, Vol. 15, no 8, p. 539-546Article in journal (Refereed)
    Abstract [en]

    Using bootstrap causality tests with leveraged adjustments, the link between exchange rates and stock prices in Malaysia, Indonesia, Philippines and Thailand is investigated for the periods immediately before and during the 1997 Asian crisis. Two variables are found to be significantly linked in the non-crisis period but not at all during the crisis period. The implications of this result in terms of hedging, market efficiency, market integration and policy intervention are explained in the paper.

  • 31.
    Hatemi-J, Abdulnasser
    et al.
    University of Skövde, School of Technology and Society.
    Roca, Eduardo
    Which Initiates the Price Discovery Process – Spot or Futures Market?: Evidence from Bootstrap Causality Tests with Leveraged Adjustments2004In: Finance Letters, ISSN 1740-6242, Vol. 2, no 4, p. 1-6Article in journal (Refereed)
    Abstract [en]

    We re-examine the long-term price interaction between the Australian equity market and futures market based on bootstrap causality tests with leverage adjustments to take into account multivariate ARCH effects and with the use of a new information criterion to choose the lag order. We cover the period January 1, 1988 to May 10, 2002. We find that the futures price Granger-causes the spot price but not vice-versa. Hence, our results indicate that price discovery starts with the futures market and information transmission between the two markets is not efficient.

  • 32.
    Hatemi-J, Abdulnasser
    et al.
    University of Skövde, School of Technology and Society.
    Roca, Eduardo
    Tang, Fang
    US Equity Market Spill-Over and Contagion Effects on Selected Asian Markets Vis-A-Vis September 112005In: Economia Internazionale / Journal of international economics, ISSN 0012-981X, Vol. 58, no 4, p. 449-470Article in journal (Refereed)
    Abstract [en]

    Considering the global dominarnce of the US equity market, it is expected that the impact of September 11 on the US market would spill-over to other markets. Since this terrible event had created a global climate of fear and uncertainty, it is possible that the US spill-over effect could have been driven not only by fundamental factors but also by non-fundamental ones. Thus, contagion could have played a dominant role in transmitting the effect of September 11 from the US to other markets. In this paper, we verify whether indeed this has happened. Based on leveraged bootstrap causality tests, we examine the causal effects of the US on Indonesia, China, Japan, Taiwan and Singapore in relation to September 11. We found that the causal effects of the US on Japan and Singapore intensified as a result of September 11; however, we did not find these to be associated with contagion effects. It appears that the September 11 impact on the US market was not transmitted to the other Asian markets as the US influence on these markets either remained the same or even diminished.

  • 33.
    Irandoust, Manuchehr
    et al.
    Department of Economics, University of Örebro, SE-701 82, Örebro, Sweden.
    Hatemi-J, Abdulnasser
    University of Skövde, School of Technology and Society.
    Pricing strategy, mark-up adjustment and foreign competition in the car industry2005In: International Journal of Automotive Technology and Management: IJATM, ISSN 1470-9511, Vol. 5, no 3, p. 305-319Article in journal (Refereed)
    Abstract [en]

    This paper examines, empirically, the impact of exchange rate fluctuations and foreign competition on pricing strategy in the car industry. The study shows how the Swedish car export prices react to exchange rate changes and market conditions in the five major destination markets (France, Germany, Japan, the UK, and the USA). It has been demonstrated, through non-stationary panel analysis, that the Swedish export prices in the car industry change but not in proportion to exchange rate changes. The evidence reveals that price adjustments are associated with stabilisation of local currency prices. Our findings also show that the pricing behaviour of the Swedish car exporters varies across destination markets and such variations could be related to market-specific characteristics and market structure.

  • 34.
    Schuller, Bernd-Joachim
    et al.
    University of Skövde, School of Technology and Society.
    Hatemi-J, Abdulnasser
    The Development of the German Economy since 1995: A View from the Outside2005In: Den okände (?) grannen: Tysklandsrelaterad forskning i Sverige / [ed] Mai-Brith Schartau & Helmut Müssener, Huddinge: Centrum för Tysklandsstudier, Södertörns högskola , 2005, p. 214-241Chapter in book (Other academic)
    Abstract [en]

    Measured in GDP and population, the German national economy is the third largest one in the OECD behind the USA and Japan345. But as national accounts and foreign trade statistics show, the German economy is much more open for international trade than the two larger economies, i.e. foreign trade in Germany is – related to GDP – much larger. In absolute terms, yet, foreign trade in the USA is larger than in Germany. But though the Japanese economy is twice as large as the German one, German foreign trade is larger than the Japanese one. It is well known that both the German and the Japanese economies are stagnating, i.e. GDP is not growing very much in these countries.

1 - 34 of 34
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