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1 – 10 of over 83000Jingya Li, Zongyuan Li and Ming-Hua Liu
The authors examine the interest rate pass-through in Hong Kong (HK) and Macao both in the long term and short term.
Abstract
Purpose
The authors examine the interest rate pass-through in Hong Kong (HK) and Macao both in the long term and short term.
Design/methodology/approach
The authors use time series methodology, i.e. unit root, cointegration and error correction models.
Findings
The results show that in the post-global financial crisis (GFC) period, both the long-run and short-run interest rate pass-through from policy rates to prime rates have disappeared in Macao and are weakened significantly in Hong Kong. The long-term relationship between deposit rates and policy rates no longer exists in either market while the short-term relationship has been reduced significantly.
Research limitations/implications
The results indicate that the effectiveness of monetary policy in HK and Macao has been seriously undermined in the post-GFC period. New tools are needed in both regions.
Practical implications
Monetary policy transmission via bank interest rates in both HK and Macao are no longer effective after the outbreak of the GFC.
Social implications
Effort to stimulate the economy and/or control inflation will be hampered.
Originality/value
To the best of the authors’ knowledge, this is the first study to examine the impact of the GFC on the effectiveness of monetary policy transmission in HK and Macao.
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Zulfiqar Ali Imran and Muhammad Ahad
This study aims to compare the safe-haven properties of different asset markets such as gold, dollar, oil and disaggregated real estate sector (house, plot and residential…
Abstract
Purpose
This study aims to compare the safe-haven properties of different asset markets such as gold, dollar, oil and disaggregated real estate sector (house, plot and residential) against equity returns in Pakistan over the monthly period of January 2011–December 2020.
Design/methodology/approach
The authors use wavelet coherence to encapsulate the overall dependence and correlation of asset classes. Further, the authors also study the potential of diversification at the tail of returns distribution by applying the wavelet value-at-risk (VaR) framework.
Findings
The results of wavelet coherence show that the dependence is weaker (stronger) in the short (long)-term investment horizon. Moreover, the findings of wavelet VaR reveal that the degree of co-movement between gold and equity returns greatly affects the portfolio risk followed by residential property and oil.
Practical implications
The findings are beneficial for the individual investor, fund managers and financial advisors looking for the optimal portfolio combination that hedges the excessive negative movements in equity returns subject to the heterogeneity in the investment horizon.
Originality/value
This is a primary effort to estimate safe-haven investments opportunities at a large spectrum, including disaggregated real estate sector against stock returns in Pakistan. Moreover, this study uses wavelet coherence and wavelet VaR which have an advantage over traditional analysis for diversification.
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Roland Füss, Dieter G. Kaiser and Felix Schindler
This chapter aims to determine whether diversification benefits accrue from adding emerging market hedge funds (EMHFs) to an emerging market bond/equity portfolio, and…
Abstract
This chapter aims to determine whether diversification benefits accrue from adding emerging market hedge funds (EMHFs) to an emerging market bond/equity portfolio, and subsequently whether the type of exposure hedge funds provide is justified by their fees. We use multivariate cointegration analysis to show that the advantages of adding hedge funds to balanced portfolios are limited for the three regions of Asia, Eastern Europe, and Latin America, as well as for the entire global emerging market universe. In summary, we find that emerging market hedge funds are generally redundant for diversifying long-only emerging market investment portfolios with long-term investment horizons. This result also holds when we extend our sample by the global financial crisis in 2008 and 2009 and allow for structural breaks according to the Gregory-Hansen (1996) test. Hence, even during the global financial crisis in 2008 and 2009, when risk diversification was most needed, long-term comovements between hedge funds and traditional assets is, with the exception of the Eastern European region, not disrupted. Because EMHF returns are heavily influenced by the emerging market equity and bond markets, we conclude that the “alpha fees” charged by EMHFs may not always be appropriate for the three main regions under consideration. This also holds, however, to a lesser extent, for a global diversification among hedge funds and traditional assets in emerging markets.
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Investment in Australia’s property market, whether directly or indirectly through Australian real estate investment trusts (A-REITs), grew remarkably since the 1990s. The degree…
Abstract
Purpose
Investment in Australia’s property market, whether directly or indirectly through Australian real estate investment trusts (A-REITs), grew remarkably since the 1990s. The degree of segregation between the property market and other financial assets, such as shares and bonds, can influence the diversification benefits within multi-asset portfolios. This raises the question of whether direct and indirect property investments are substitutable. Establishing how information transmits between asset classes and impacts the predictability of returns is of interest to investors. The paper aims to discuss these issues.
Design/methodology/approach
The authors study the linkages between direct and indirect Australian property sectors from 1985 to 2013, with shares and bonds. This paper employs an Autoregressive Fractionally Integrated Moving Average (ARFIMA) process to de-smooth a valuation-based direct property index. The authors establish directional lead-lag relationships between markets using bi-variate Granger causality tests. Johansen cointegration tests are carried out to examine how direct and indirect property markets adjust to an equilibrium long-term relationship and short-term deviations from such a relationship with other asset classes.
Findings
The authors find the use of appraisal-based property data creates a smoothing bias which masks the extent of how information is transmitted between the indirect property sector, stock and bond markets, and influences returns. The authors demonstrate that an ARFIMA process accounting for a smoothing bias up to lags of four quarters can overcome the overstatement of the smoothing bias from traditional AR models, after individually appraised constituent properties are aggregated into an overall index. The results show that direct property adjusts to information transmitted from market-traded A-REITs and stocks.
Practical implications
The study shows direct property investments and A-REITs are substitutible in a multi-asset portfolio in the long and short term.
Originality/value
The authors apply an ARFIMA(p,d,q) model to de-smooth Australian property returns, as proposed by Bond and Hwang (2007). The authors expect the findings will contribute to the discussion on whether direct property and REITs are substitutes in a multi-asset portfolio.
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Wei Kang Loo, Melati Ahmad Anuar and Suresh Ramakrishnan
– The purpose of this paper is to examine the long-run relationship and short-term linkage between the Asian REIT markets and their respective macroeconomic variables.
Abstract
Purpose
The purpose of this paper is to examine the long-run relationship and short-term linkage between the Asian REIT markets and their respective macroeconomic variables.
Design/methodology/approach
The data collected comprised total return REIT Index from Japan, Hong Kong, Singapore, Malaysia, Thailand, Taiwan and South Korea and their macroeconomic variables from the date of availability of the data until December 2014. The macroeconomic variables are either available in monthly or quarterly basis, they will be separately tested with REIT Index respectively to their frequency. All the variables are tested for its stationarity prior to the investigation of their long-run relationship and short-term linkage using Johansen cointegration test and Granger causality test.
Findings
The results showed that certain of the emerging REIT markets show a higher degree of integration with macroeconomic variables in the long run. This implies that the emerging REIT markets are more sensitive towards the change in macroeconomic environment in relative to the developed REIT markets.
Practical implications
The paper implied that the distinction of each market structure and their unique way of policy implementation. The findings can assists policy makers to understand about the significance of policy implementation on the Asian REIT markets prior to decision making and also for the portfolio management my asset managers.
Originality/value
The paper is one of the few attempts at assessing the long-term relationship and short term linkage between the Asian REIT markets and the macroeconomic variables.
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The paper seeks to examine cycles and common cycles in the real estate markets of the UK, Japan, Singapore, Hong Kong and Malaysia using a combination of time domain and frequency…
Abstract
Purpose
The paper seeks to examine cycles and common cycles in the real estate markets of the UK, Japan, Singapore, Hong Kong and Malaysia using a combination of time domain and frequency domain methods.
Design/methodology/approach
The paper identifies the patterns of cyclical movement (if any) in the five public real estate markets, and searches for common cycle characteristics and patterns in international real estate markets. In addition to the time domain analyses, these empirical investigations are further empowered by a frequency domain method that includes spectral and co‐spectral analyses.
Findings
International real estate markets are characterized by cyclical behavior that exhibits phenomenal fluctuations. The markets are also pro‐cyclical; they do tend to move together. Furthermore, some differences in the patterns of the common cycles and their lead‐lag linkages are evident.
Research limitations/implications
International investors would probably benefit from diversifying real estate stocks across the UK and Asian real estate markets, especially in the short and medium terms. However, the long‐term cyclical patterns across the national real estate stock markets are not sharply different, indicating that smaller diversification benefits are to be expected in the long term.
Originality/value
Common cycle analysis advances investors' understanding of the long‐term relationship and medium‐ and short‐term linkages across international real estate markets, thereby allowing investors and portfolio managers an opportunity to discern any contrasting cyclical patterns at all frequencies so as to assist in their portfolio decisions.
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The literature on activity‐based costing (ABC) that deals with the allocation of indirect purchasing costs primarily draws on a transactional approach to purchasing. This presents…
Abstract
Purpose
The literature on activity‐based costing (ABC) that deals with the allocation of indirect purchasing costs primarily draws on a transactional approach to purchasing. This presents a problem, since a large share of purchasing takes place within relationships. The purpose of this paper is to point out complexities in applying ABC to indirect purchasing costs, when purchasing takes place within long‐term relationships. The interaction model is used as a framework.
Design/methodology/approach
A case study is conducted on a first‐tier supplier in the Swedish automotive industry to illustrate real‐life purchasing practices and to point out subsequent difficulties in applying ABC principles. This firm is selected because efforts have simultaneously been undertaken to employ supplier relationship management (SRM) and to implement costing techniques. About 23 interviews were conducted and approximately 31 hours of interview data were collected.
Findings
The case shows that many functions tend to be involved in exchange within long‐term relationships. This generates additional purchasing‐related costs not previously recognized in the costing literature. It also leads to difficulties in allocating these costs.
Originality/value
Complexities when implementing ABC are presented, concerning: allocation of costs relating to SRM; allocation of costs pertaining both to transactions and to relationships; less apparent cost drivers due to involvement of many functions in exchanges; and cost allocation over time.
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This article examines the changes in the relationship between government departments and the UK construction industry brought about by the privatisation of the Property Services…
Abstract
This article examines the changes in the relationship between government departments and the UK construction industry brought about by the privatisation of the Property Services Agency (PSA). In particular, it shows that while there has been some encouragement for closer, and more long‐term, collaboration, in reality government departments seem to be stuck in a short‐term, win‐lose orientation. The article concludes by arguing that this is a product of four factors: the lack of experience among both purchasers and providers of long‐term partnership arrangements; the risk‐aversive nature of the Civil Service; the pressure on departments from ministers to minimise risk; and government guidelines on competitive tendering which make it difficult to enter into long‐term agreements.
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Lisa R. Williams, Terry L. Esper and John Ozment
The advent of the Internet and electronic communications has enabled companies to be more responsive to their customers. However, the same technological advancements are changing…
Abstract
The advent of the Internet and electronic communications has enabled companies to be more responsive to their customers. However, the same technological advancements are changing the marketplace and providing an impetus for changes in strategic alliance and partnership structures. Successful leaders of the future will have to understand how to operate in the new marketplace and within the evolving organizational structures where alliances and partnerships are changing. The purpose of this article is to shed light on the current and future organizational structures in the logistics industry. Toward that end, traditional supply chain management (SCM), electronic supply chain management (eSCM), and the resulting impact on strategic alliances and partnerships will be explored. Additionally, considering the inherent ability of the eSC to be dynamic and adaptable, the new type of leader that is likely to be most successful in this new structure is discussed.
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The purpose of this paper is to explore dynamics of stock price movements of an emerging market, Bangladesh with that of USA, Japan and India.
Abstract
Purpose
The purpose of this paper is to explore dynamics of stock price movements of an emerging market, Bangladesh with that of USA, Japan and India.
Design/methodology/approach
The long‐term relationships among the markets are analyzed using the Johansen and Juselius multivariate cointegration approach. Short‐run dynamics are captured through vector error correction models. Further investigation on short‐run dynamics is carried out through impulse response analysis.
Findings
There is evidence of cointegration among the markets demonstrating that stock prices in the countries studied here share a common stochastic trend. Impulse response analysis shows that shocks to the US market do have an impact on the Bangladesh market. The evidence of Bangladesh stock market responding to shocks in the Indian market is weak. Shocks to the Japanese market do not generate a response in the Bangladesh market.
Research limitations/implications
As these markets share a common stochastic trend no diversification benefit is possible from cross‐border investments. Investors could further enhance their understanding of market behaviour by comparing the observations here with those of studies that adopt technical analysis, fundamental analysis and consider financial anomalies.
Originality/value
The evidence of cointegration and the short run dynamic relationship help investors in making efficient investment decisions in the Bangladesh stock market.
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