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Article
Publication date: 19 September 2018

Wanjun Yao and Shigeyuki Hamori

The purpose of this paper is to examine the long-term relationship between farm size and productivity in China at the national level.

Abstract

Purpose

The purpose of this paper is to examine the long-term relationship between farm size and productivity in China at the national level.

Design/methodology/approach

In contrast to the micro-data examination conducted by earlier literature, in this study, the authors use household aggregate panel data on 29 provinces in China for 1988–2012. Using the panel data PMG model, the authors control the factor of difference in land quality due to the fixed effect in each province, and the authors consider the difference in the long-run coefficients of farm size and land productivity rather than the difference in their short-run relationship. Thus, the authors examine the long-term relationship between farm size and productivity. Furthermore, the authors examine the robustness of this relationship in the long-term using samples of rice, wheat and corn production by region.

Findings

In contrast with the findings presented previously, the authors find that the relationship between farm size and agricultural productivity is statistically positive in the long term.

Originality/value

The relationship between farm size and agricultural productivity is a key research issue in agricultural and development economics. In China, many studies have provided evidence of the inverse relationship between farm size and agricultural productivity at the family farm level. However, this inverse relationship seems to reflect specific regions and specific periods in the relationship between farm size and land productivity. At the nationwide level, in the long-term, this is not an inverse but a positive relationship. It is desirable to expand farm size for the long-term development of agriculture.

Details

China Agricultural Economic Review, vol. 11 no. 2
Type: Research Article
ISSN: 1756-137X

Keywords

Article
Publication date: 1 March 2021

Md. Saifur Rahman and Shahari Farihana

This paper aims to examine whether the US influences the ASEAN + 3 financial market integration.

Abstract

Purpose

This paper aims to examine whether the US influences the ASEAN + 3 financial market integration.

Design/methodology/approach

A two-stage cointegration test is used in the estimation by using equity indices from selected member economies and the USA.

Findings

The finding of this study shows that the equity markets of ASEAN + 3 are integrated especially after the Asian crisis period reflecting the regional cooperation. There is a strong market nexus between ASEAN + 3 and the USA, but the ASEAN + 3 financial cooperation agreement does not depend on the US financial market.

Originality/value

The study offers invaluable policy implications for developing the nexus in the regional equity markets.

Article
Publication date: 13 January 2021

Monsurat Ayojimi Salami

This study aims to critically examine the pricing of Islamic financial assets (Sharīʿah-compliant assets, Sharīʿah-compliant securities, Sharīʿah-compliant financing and Sukuk) in…

Abstract

Purpose

This study aims to critically examine the pricing of Islamic financial assets (Sharīʿah-compliant assets, Sharīʿah-compliant securities, Sharīʿah-compliant financing and Sukuk) in the three South-East Asia countries such as Malaysia, Indonesia and Brunei to provide necessary information to the policymakers and Islamic finance investors for making a sound decision.

Design/methodology/approach

This study used secondary data and used the nonlinear autoregressive distributed lags (NARDL) model to estimate the reaction of Islamic financial assets in South-East Asia towards price changes. Wald-test was used to diagnose the final model.

Findings

The result of this study shows that the majority of Islamic financial assets in the three South-East Asia countries exhibit positive and negative long-run effects. The findings reveal a long-run asymmetric relationship that supports rockets and feathers effects. The indication is that Islamic financial assets pricing deviates from weak form EMH. Pricing of Islamic financial assets reveals unfair pricing.

Practical implications

Price adjustment of Islamic financial assets requires urgent attention of policymakers to prevent Sharīʿah non-compliant risk. Therefore, the Shariah advisory board in those countries, Accounting and Auditing Organization for Islamic Financial Institutions and Islamic Financial Services Board are hereby advised to act on the factors that might enable rockets and feathers effects on the pricing of Islamic financial assets, as the long-run asymmetric relationship is established.

Originality/value

This study is novel as it critically and simultaneously examines the pricing behaviour of Islamic financial assets in the three South-East Asian countries. The findings from the study provide vital information on the pricing behaviour of Islamic financial assets to the policymakers and investors.

Details

Journal of Financial Reporting and Accounting, vol. 19 no. 3
Type: Research Article
ISSN: 1985-2517

Keywords

Article
Publication date: 4 February 2021

Yeşim Aliefendioğlu, Harun Tanrivermis and Monsurat Ayojimi Salami

This paper aims to investigate asymmetric pricing behaviour and impact of coronavirus (Covid-19) pandemic shocks on house price index (HPI) of Turkey and Kazakhstan.

Abstract

Purpose

This paper aims to investigate asymmetric pricing behaviour and impact of coronavirus (Covid-19) pandemic shocks on house price index (HPI) of Turkey and Kazakhstan.

Design/methodology/approach

Monthly HPIs and consumer price index (CPI) data ranges from 2010M1 to 2020M5 are used. This study uses a nonlinear autoregressive distributed lag model for empirical analysis.

Findings

The findings of this study reveal that the Covid-19 pandemic exerted both long-run and short-run asymmetric relationship on HPI of Turkey while in Kazakhstan, the long-run impact of Covid-19 pandemic shock is symmetrical long-run positive effect is similar in both HPI markets.

Research limitations/implications

The main limitations of this study are the study scope and data set due to data constraint. Several other macroeconomic variables may affect housing prices; however, variables used in this study satisfy the focus of this study in the presence of data constraint. HPI and CPI variables were made available on monthly basis for a considerably longer period which guaranteed the ranges of data set used in this study.

Practical implications

Despite the limitation, this study provides necessary information for authorities and prospective investors in HPI to make a sound investment decision.

Originality/value

This is the first study that rigorously and simultaneously examines the pricing behaviour of Turkey and Kazakhstan HPIs in relation to the Covid-19 pandemic shocks at the regional level. HPI of Kazakhstan is recognized in the global real estate transparency index but the study is rare. The study contributes to regional studies on housing price by bridging this gap in the real estate literature.

Details

International Journal of Housing Markets and Analysis, vol. 15 no. 1
Type: Research Article
ISSN: 1753-8270

Keywords

Article
Publication date: 8 August 2016

George Saridakis, Miguel Angel Mendoza, Rebeca I. Muñoz Torres and Jane Glover

Although a lot of research has been done on the link between self-employment and unemployment, often focusing on the short-run of the relationship, the long-run association…

Abstract

Purpose

Although a lot of research has been done on the link between self-employment and unemployment, often focusing on the short-run of the relationship, the long-run association between the two variables has not received adequate attention. The paper aims to discuss these issues.

Design/methodology/approach

In this paper the authors examine the long-run relationship between self-employment and unemployment using panel cointegration methods allowing for structural breaks and covering a wide range of European OECD countries using the COMPENDIA data set over the period 1990-2011.

Findings

The findings indicate that a long-run relationship between self-employment and unemployment exist in the panel, but the cointegrating coefficients are unstable.

Originality/value

The estimates finds positive and statistically significant long-run association between self-employment and unemployment exists for more than 50 per cent of the countries included in the sample after the break. For the rest of the countries the authors find either negative or statistically insignificant association.

Details

Journal of Economic Studies, vol. 43 no. 3
Type: Research Article
ISSN: 0144-3585

Keywords

Article
Publication date: 7 January 2019

Athanasios Tsagkanos, Costas Siriopoulos and Konstantina Vartholomatou

The purpose of this paper is to examine two novel theories that concern the relationship between stock market development (SMD) and foreign direct investment (FDI). The authors…

1596

Abstract

Purpose

The purpose of this paper is to examine two novel theories that concern the relationship between stock market development (SMD) and foreign direct investment (FDI). The authors focus on Greece that was demoted to the emerging market category in 2013–2014 in the international lists.

Design/methodology/approach

This study is based on the period 1988–2014 that includes the sub-periods 1988–2001 (emerging market) and 2002–2014 (developed market). The authors adopt cointegration methods examining, on the one hand, if the relationship between SMD and FDI is positive or negative and, on the other hand, if it is long run or short run. The authors complete the analysis using the Markov Switching regression model for the test of robustness.

Findings

The results exhibit a weak positive and symmetric long-run relationship for the full period. In the first sub-period, the relationship is strong but in the second sub-period it is not significant. The results are confirmed by the Markov Switching regression model.

Originality/value

The precise definition of a theoretical framework that is tested by a compact empirical methodology leads to a novel suggested policy that will upgrade the Greek market to developed market as soon as possible.

Details

Journal of Economic Studies, vol. 46 no. 1
Type: Research Article
ISSN: 0144-3585

Keywords

Article
Publication date: 1 March 2013

Nafeesa Yunus

The aim of the study is to utilize cointegration techniques and analyze the degree of linkages among four key property types (retail, office, industrial, and residential) of eight…

Abstract

Purpose

The aim of the study is to utilize cointegration techniques and analyze the degree of linkages among four key property types (retail, office, industrial, and residential) of eight major countries throughout North America and Europe. Additionally, the study evaluates whether investors can attain greater diversification benefits by investing across specific property sectors within their own nations in the long‐run. Finally, the study examines whether certain property sectors can be considered the “leader” that drives the remaining sectors over time.

Design/methodology/approach

Multivariate cointegration tests developed by Johansen and Johansen and Juselius are utilized to evaluate whether long‐run equilibrium relationship(s) exist among the four property sectors. If evidence of cointegration is found, hypothesis tests are implemented to separate out the markets that can be excluded from the cointegrating relationships and to identify the markets that are the sources of the common trends (weakly exogenous), respectively.

Findings

Long‐run cointegration results indicate that the four property sectors of the USA, Canada, Netherlands, and the UK have fully converged implying limited diversification possibilities. The property sectors of Finland, France, Germany and Sweden, however, have only partially converged. Further analysis reveals that for these four countries, the industrial sectors provide the greatest long‐run diversification benefits. Finally, weak exogeneity tests indicate that for an overwhelming majority of the countries under consideration, the residential sectors are the sources of the common stochastic trends, that “lead” the remaining property types towards the long‐run equilibrium relationships.

Practical implications

The conclusions from this study should be beneficial to investors, portfolio managers, pension fund managers and other institutional investors in the USA and abroad who are contemplating to invest across property sectors within their own countries in making more informed portfolio allocation decisions. The findings also highlight the importance of implementing time‐series econometric techniques to accurately and appropriately model interactions among property sectors over time.

Originality/value

This is one of the few studies that utilize modern‐day timeseries techniques to analyze the dynamic interactions among the property sectors of eight major nations throughout North America and Europe. Prior studies, have been limited to modeling interrelationships between the property sectors of the USA and UK, with little attention given to other major real estate markets.

Details

Journal of Property Investment & Finance, vol. 31 no. 2
Type: Research Article
ISSN: 1463-578X

Keywords

Article
Publication date: 20 June 2023

Madhur Bhatia and Rachita Gulati

The purpose of the paper is to explore the long-run impact of board governance and bank performance on executive remuneration. More specifically, the study addresses two…

Abstract

Purpose

The purpose of the paper is to explore the long-run impact of board governance and bank performance on executive remuneration. More specifically, the study addresses two objectives. First, the authors investigate the long-run relationship between pay and performance hold for the Indian banking industry. Second, the authors explore the moderating role of the board in explaining the relationship between executive pay and performance.

Design/methodology/approach

The study uses multivariate panel co-integration approaches, i.e. fully modified and dynamic ordinary least square, to explain the co-integrating relationship between executive pay, governance and performance of Indian banks. The analysis is conducted for the period from 2005 to 2018.

Findings

The results of co-integration tests reveal a long-run relationship between executive pay, board governance and bank performance. The long-run estimates produce evidence in favour of the dynamic agency theory, suggesting that the implications of asymmetric information can be mitigated by associating the current executive pay with the bank performance in the previous periods. The finding of this study reveals that improvements in the board quality serve as a monitoring tool to constrain excessive pay and moderate the executives’ pay. Furthermore, the interaction of performance and board governance negatively impacts pay, supporting a substitution approach. It implies that setting optimal pay packages for executives necessitates enhanced and efficient board governance practices.

Practical implications

The study recommends significant policy implications for regulators and the board of directors that executive pay significantly responds to the bank’s performance and good board governance practices in the long run.

Originality/value

This paper provides novel evidence of long-run pay-performance-governance relation using a panel co-integration approach.

Details

Corporate Governance: The International Journal of Business in Society, vol. 24 no. 1
Type: Research Article
ISSN: 1472-0701

Keywords

Abstract

Details

Quantitative and Empirical Analysis of Nonlinear Dynamic Macromodels
Type: Book
ISBN: 978-0-44452-122-4

Article
Publication date: 2 August 2019

Sima Siami-Namini and Darren Hudson

The purpose of this paper is to investigate both linear and/or nonlinear effects of inflation on income inequality and to test the Kuznets hypothesis using panel data of 24…

3401

Abstract

Purpose

The purpose of this paper is to investigate both linear and/or nonlinear effects of inflation on income inequality and to test the Kuznets hypothesis using panel data of 24 developed countries (DCs) and 66 developing countries (LDCs) observed over the period of 1990–2014.

Design/methodology/approach

This paper explores the short- and long-run Granger causality relationship between inflation and income inequality using the Toda and Yamamoto (1995) procedure and a Vector Error Correction Model (VECM) approach. The existence of a nonlinear relationship between inflation and income inequality is confirmed implying as inflation rises income inequality decreases. Income inequality then reaches a minimum and then starts rising again. The findings of this paper show the existence of Kuznets “U-shaped” hypothesis between income inequality and real GDP per capita in DCs group, and the existence of Kuznets’ inverted “U-shaped” hypothesis for LDCs group.

Findings

The results indicate that there is no bi-directional Granger causality between inflation and income inequality in the short-run, but, there is bi-directional Granger causality in the long-run for both the DCs and LDCs group. The results help us to assess the effectiveness of monetary policy in reducing income inequality in both the DCs and LDCs group. As a policy implication, monetary policy is often aimed at controlling the annual rate of inflation in the long-run with a short-run focus on reducing output gaps and creating employment. However, managing inflation may have implications for income inequality.

Originality/value

This is original research paper which analyzes the “U-shaped” and inverted “U-shaped” paths of income inequality and real GDP per capita for large sample of two group countries including developed and developing countries, respectively. Also, this paper analyzes the nonlinear relationship between inflation and income inequality in two groups. Furthermore, this paper investigates the short- and long-run relationship between variables. The results are important for policy makers.

Details

Journal of Economic Studies, vol. 46 no. 3
Type: Research Article
ISSN: 0144-3585

Keywords

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