This note studies the long-run relationship between real estate and stock markets in the Taiwan context over the 1986Q3 to 2006Q4 period, using standard cointegration test of Johansen and Juselius (1990) and that of Engle-Granger (1987) as well as the fractional cointegration test of Geweke and...

We examine the effect of Chinese news on announcement drift and investigate its application to portfolio management, applying a linguistic analysis to extract various dimensions of the information content. Our empirical results reveal a positive (negative) relationship between news sentiment and...

We apply computational linguistic text mining (TM) analysis to extract and quantify relevant Chinese financial news in an attempt to further develop the classical early warning models of financial distress. Extending the work of Demers and Vega (2011), we propose a measure of the degree of...

This paper investigates the causal relationships between sentiment and returns under different market scenarios. In contrast to previous studies that subjectively identify the bullish and bearish markets, we apply a threshold model to detect the extreme level of investors’ sentiment...

Nonlinear models that include the threshold autoregressive model and the threshold cointegration model (TVECM) are applied from the behavioral finance point of view to examine the dynamics between the investor fear gauge proxied by the volatility index (<i>TVIX</i>) and the market index (<i>TAIEX</i>) in...

We propose a corporate default rating process for the Taiwan Stock Market which incorporates financial ratios, corporate governance, macroeconomic variables and financial media reports. Multi-measurements of the ‘distress intensity of default-corpus’ (DIDC) using linguistic analysis are...

This study provides evidence that there exist long-run benefits for investors from diversifying in two Chinese share markets over the period January 5, 2000 to December 31, 2005. The evidence is based on tests for pairwise cointegration between the Shanghai and Shenzhen¡¦s A-share and...

This study applies threshold cointegration test advanced by Enders and Siklos (2001) to investigate the properties of asymmetric adjustment in long-run Purchasing Power Parity (PPP) for China during the period of March 1985 to September 2008. Although there is evidence of long-run PPP for China,...

This study applies threshold cointegration test advanced by Enders and Siklos (2001) to investigate the properties of asymmetric adjustment in long-run Purchasing Power Parity (PPP) in 22 selected African countries during the period of January 1980 to December 2003. Although there is evidence of...

In this article, we re-investigate the validity of Purchasing Power Parity (PPP) for a sample of 10 East-Asia countries over the period of January 1987 to June 2005, using a recently developed econometric technique of the panel stationary test with multiple structural breaks, proposed by...