Time series analysis for the interest rates relationships among China, Hong Kong, and Taiwan money markets

Nieh, Chien-Chung; Yau, Hwey-Yun

doi:10.1016/j.asieco.2003.11.003

Cited by 12 publications

(8 citation statements)

References 43 publications

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“…By using traditional tests, Perron (1989) demonstrates that in the presence of a structural break in the time series, many perceived non-stationary series are in fact stationary . Further work by Zivot and Andrew (1992) elaborates and overthrows the presumed exogenous break point, and develops a unit-root test with an endogenous structural break, which we regard as a more suitable test for the order of integration of series (Nieh and Yau, 2004). The results of the Zivot-Andrew tests indicate that the ln(SHA) series carry unit-roots in the level and reject the null of non-stationarity in the first difference.…”

Section: Resultsmentioning

confidence: 94%

The relationship between stock returns and the foreign exchange rate: the ARDL approach

Tian

2010

Journal of the Asia Pacific Economy

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This study employs the ARDL cointegration approach in order to examine the impact of financial liberalization on the relationships between the exchange rate and share market performance in China.We discovered that cointegration has existed between the Shanghai A Share Index and the exchange rate of the renminbi against the US dollar and Hong Kong dollar since 2005, when the Chinese exchange rate regime became a flexible, managed, floating system.We found that both the exchange rate and the money supply influenced stock price, with a positive correlation. We further show that the money supply increase was largely caused by a huge 'hot money' inflow from other countries in recent years. After local currency appreciation, hot money, followed by the money supply increase, pushed the market into a high level, based on expectations regarding the local currency's further appreciation.

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Section: Resultsmentioning

confidence: 94%

The relationship between stock returns and the foreign exchange rate: the ARDL approach

Tian

2010

Journal of the Asia Pacific Economy

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“…Further elaborated work by Zivot and Andrew (1992) overthrew the presumed exogenous break point and develops a unit-root test with endogenous structure break, which has been regarded as a more suitable test for the order of integration of series (Nieh and Yau 2004).…”

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confidence: 99%

Are Chinese Stock Markets Increasing Integration With Other Markets in the Greater China Region and Other Major Markets?

Tian

2007

Australian Economic Papers

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This paper investigates the cointegrating and long-term causal relationships between the Shanghai A and Bshare market, and between these two markets and the Hong Kong, the Taiwanese, the Japanese and the US market of two sub periods between July 1993 and March 2007. On the basis of a new Granger non-causality test procedure developed by Toda-Yamamoto (1995) andJohansen's (1988) cointegration test, my results suggest that a long-term equilibrium relationship measured by cointegration has been merged between the Chinese A-share market and the other markets in greater China region as well as the US market during the post-crisis period which covers the period since Chinese A-share market was opened to the Qualified Foreign Institutional Investors (QFII) in 2002. I also found that the Shanghai A-share market uni-directionally Granger-causes the other regional markets after the Asian financial crisis, while the A-share market and Hong Kong H-share market have had a significant feedback relationship since then. However, I found no evidence there has been cointegrating relationship between Shanghai B-share market and any other market ever since the B-share market was opened to the local retail investors in 2001. This paper investigates the cointegrating and long-term causal relationships between the Shanghai A and B-share market, and between these two markets and the Hong Kong, the

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“…Stationary of Y series in concern is determined by examining the statistical significance of β coefficient. Lag length related to the equations can be identified according to the criteria such as Schwarz Information Criterion and Akaike Information Criteria (AIC) (Nieh & Yau, 2004).…”

Section: Methodsmentioning

confidence: 99%

Turizm Sektörünün Ekonomik Büyüme Üzerindeki Etkisi: Türkiye Üzerine Ampirik bir Çalışma

Bulgan¹,

Maden²,

Yıldırım³

2019

Journal of Yaşar University

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In this study, it was aimed to reveal the effect of tourism sector in Turkey on the economy between the years of 1980-2016. Within this context, the effect of tourism incomes on the growth rate of GDP per capita in the ARDL model established. According to error correction factor found as a result of the analysis, the effect of shock that is possible to occur in the short term within the model without constant term can be eliminated in 1/1.10 term whereas the effect of shock in the model with constant term can be eliminated in 1/1.95 term. Moreover, a significant and positive relation between the factors was identified in the short and long term. It is believed that the sector should be featured more in order to increase these positive effects of Turkish tourism on economy.

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Time series analysis for the interest rates relationships among China, Hong Kong, and Taiwan money markets

Cited by 12 publications

References 43 publications

The relationship between stock returns and the foreign exchange rate: the ARDL approach

The relationship between stock returns and the foreign exchange rate: the ARDL approach

Are Chinese Stock Markets Increasing Integration With Other Markets in the Greater China Region and Other Major Markets?

Turizm Sektörünün Ekonomik Büyüme Üzerindeki Etkisi: Türkiye Üzerine Ampirik bir Çalışma

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