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 paper examines the Vietnamese stock market with an extension of the recent investigation of risk contagion effects. Daily data spanning October 9, 2006–June 19, 2009 are sourced for the empirical validation of the risk contagion between the stock markets in Vietnam, China, and the U.S. To...

<title>Abstract</title>This study tests whether gold can effectively hedge exchange rate risks. We take into account the asymmetric characteristic of exchange rate fluctuations and use the dynamic panel threshold model in order to select gold prices in major gold-related currencies in the world: the Australian...

Many economists believe that China avoided the so-called Asian flu due to its strong balance of payments position and substantial foreign reserves. This study introduces an improved method for testing financial-crisis contagion and shows that crisis-contagion effects were significant among...

This article is an attempt to test, through the use of forward forecasting test on dynamic conditional correlation (DCC), for contagion between Taiwan and US stocks under asymmetry. The process includes three steps. The first step uses the iterated cumulative sums of squares (ICSS) algorithm to...

The relations between institutional investors' behavior and futures returns are examined in this study. Evidence suggests that net trading volume by foreign investors and investment trust have forecasting power for futures returns. In addition, the study applies a time-varying parameter vector...

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 article employs financial development as the threshold variable to construct a threshold model and to re-examine the findings in Rousseau and Vuthipadadorn (2005) for 10 Asian economies. Our results show that in the high financial development regime, financial development could fuel...

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...