This study constructs a variety of GARCH models with the consideration of the generalized error distribution to analyze the relationship between the cloud cover and stock returns in Taiwan in the whole sample period (1986 to 2007) and in the two sub-sample periods (1986 to 1996 and 1997 to...

This paper extends recent investigations into risk contagion effects on stock markets to the Vietnamese stock market. Daily data spanning October 9, 2006 to May 3, 2012 are sourced to empirically validate the contagion effects between stock markets in Vietnam, and China, Japan, Singapore, and...

The goal of this paper is to test whether changes in the marketing margin between the farm and the retail prices can result in an asymmetric relationship between the farm and the retail prices in the rice market of Taiwan. By separating the transaction cost variation into two regimes, this paper...

This study creates the threshold vector autoregression model and employs quarterly data of Taiwan from 1981 to 2006 to examine the relationship between foreign direct investment (FDI) and domestic gross direct investment (GDI). Our framework provides a consideration of business cycle asymmetry...

This study constructs a variety of GARCH models with the consideration of the generalized error distribution to analyze the relationship between the cloud cover and stock returns in Taiwan in the whole sample period (1986 to 2007) and in the two sub-sample periods (1986 to 1996 and 1997 to...

This study examines the impact of financial liberalization on the returns and volatility of eleven emerging stock markets. Time points of structural changes in the data are detected first based on the iterated cumulative sums of squares (ICSS) algorithm developed by Incl?n and Tiao (1994). Using...

This study uses the unexpected stock return as the threshold variable to proxy for the business cycle and construct the threshold vector error correction model (TVECM) to examine whether an asymmetric causal relationship exists between the housing return and four macroeconomic variables, namely,...

The goal of this paper is to test whether changes in the marketing margin between the farm and the retail prices can result in an asymmetric relationship between the farm and the retail prices in the rice market of Taiwan. By separating the transaction cost variation into two regimes, this paper...

This paper uses the panel data of 15 countries from 2009 to 2020 to construct the time-varying parameter panel vector error correction model for testing the hypothesis of dynamic hedging characteristics of gold on exchange rate. As the existing literature has never considered that the foreign...