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1 – 10 of over 29000In this chapter the author studies the capital market efficiency hypothesis and checks whether the stock price adjustment dynamics is instantaneous, continuous, and linear or not…
Abstract
In this chapter the author studies the capital market efficiency hypothesis and checks whether the stock price adjustment dynamics is instantaneous, continuous, and linear or not. In particular, the author proposes to analyze the stock price evolution while taking into account the presence of transaction costs, the coexistence of heterogeneous investors, and the interdependence between stock markets. On the one hand, he provides strong evidence to suggest that the efficiency hypothesis is rejected. On the other hand, he proves that the stock index adjustment is rather discontinuous, asymmetrical, and nonlinear. Using threshold cointegration techniques, he proposes a new nonlinear modeling to reproduce the CAC40 adjustment dynamics that not only replicates the French market adjustment dynamics in the presence of market frictions but also captures the interdependence between the French and American stock markets, highlighting the reaction of French shareholders in relation to the changes in the behaviour of American speculators.
The aim of this study is to investigate why housing prices differ between regions, and to estimate the speed‐of‐adjustment.
Abstract
Purpose
The aim of this study is to investigate why housing prices differ between regions, and to estimate the speed‐of‐adjustment.
Design/methodology/approach
A variety of factors explains the differences in the prices of single‐family houses. Changes in disposable income over time and across regions as well as the cost of capital are important determinants. The model is based on a DiPasquale and Wheaton model where the developments of the house prices are a function of macroeconomic factors such as economic growth, changes in employment and interest rate. It is estimated on a two‐equation error correction model: first, the long‐run price equation and, second, a short‐run price model.
Findings
The estimates suggest that the speed‐of‐adjustment ranges from 16 to 78 per cent (around 50 per cent on average) depending on the region. In regions with a low population density, higher price adjustment rates are observed. Moreover, the speed‐of‐adjustment is higher in an upturn economy than in a downturn reflecting that negative housing stock adjustments is much slower than positive adjustments.
Originality/value
The main contribution is that the speed‐of‐adjustment to the long‐run equilibrium price for 21 regions is estimated instead of at a national level and, furthermore, cyclical asymmetry in responses is tested and such differences are found. It is estimated that the rate of adjustment to long‐run equilibrium price varies considerably between regions.
Dennis Chan and M. Ariff
Builds on the work of Damodaran (1993) and Brisley and Theobald (19967) on measuring the speed with which stock markets convert information into price changes by using a simpler…
Abstract
Builds on the work of Damodaran (1993) and Brisley and Theobald (19967) on measuring the speed with which stock markets convert information into price changes by using a simpler model of the price adjustment coefficient and applying it to 1988‐1966 data from the Hong Kong, US and Japanese markets and the Morgan Stanley Capital International indexes. Explains the methodology and presents the detailed results, which show that the Hong Kong adjustment is similar to the US and Japan for systematic and for all information; although the range of adjustment speeds depends on the sector and composition of the indexes. Makes many comparisons between the three markets and suggests that this method of describing market efficiency could provide a more consistent and objective ranking of worlds capital markets.
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The level of inventories, particularly the finished‐goods inventories, is a good gauge of adjustment in inputs and outputs of the firms in a market economy and plays an important…
Abstract
The level of inventories, particularly the finished‐goods inventories, is a good gauge of adjustment in inputs and outputs of the firms in a market economy and plays an important role in business fluctuations (see, e.g., Abramovitz, 1950, and Stanback, 1962).
During the 1980s Latin America’s inflation problem worsened and successive stabilization programmes failed in many countries. This led to an increasing concern about the degree of…
Abstract
During the 1980s Latin America’s inflation problem worsened and successive stabilization programmes failed in many countries. This led to an increasing concern about the degree of rigidity imposed on the economy by different labour market structures built up over many decades. Wage indexation, in particular, was often blamed for the failure of stabilization and adjustment programmes. Examines the different components of an indexing system and assesses the degree of flexibility that the systems implemented in some countries brought to the labour market. While a particular indexing system may have the effect of reducing wage flexibility in certain periods, the analysis of data at the macro level shows that in the long term wage indexation has not been insurmountable obstacle. Stresses that wage determination is just one of the key processes with a substantial influence on inflation. In the case of high inflationary countries, the existence of various key prices draw attention to the need for co‐ordination in the adjustment of different prices during the application of a stabilization programme.
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Gaetano Lisi and Mauro Iacobini
This paper aims to pose an important starting point for the application of the search-and-matching models to real estate appraisals, thus reducing the “gap” between practitioners…
Abstract
Purpose
This paper aims to pose an important starting point for the application of the search-and-matching models to real estate appraisals, thus reducing the “gap” between practitioners and academicians. Due to relevant trading frictions, the search-and-matching framework has become the benchmark theoretical model of the housing market. Starting from the large related literature, this paper develops a simplified approach to modelling the frictions that focuses on the direct relationship between house price and market tightness (a common feature only for the labour market matching models). The characterization of the equilibrium through two main variables simplifies the analysis and allows using the theoretical model for empirical purposes, namely, the real estate appraisals.
Design/methodology/approach
This work is both theoretical and empirical. Theoretically, a long-run equilibrium model with a positive share of vacant houses and home seekers is determined along with price and market tightness. Also, the conditions of existence and uniqueness of the steady-state equilibrium are determined. Unlike most of the search-and-matching models in the housing literature, the out-of-the steady-state dynamics are also analyzed to show the stability of the equilibrium. Empirically, to show the usefulness of the theoretical model, a numerical simulation is performed. By using two readily available housing market data – the expected time on the market and the average number of trades – it is possible to determine the key variables of the model: price, market tightness and matching opportunities for both buyers and sellers. Although the numerical simulation concerns the Italian housing market, the proposed model is generally valid, being empirically applicable to all real estate markets characterized by non-negligible trading frictions. Indeed, the proposed model can be used to compare housing markets with different features (concerning the search and matching process), as well as analyse the same housing market in different time periods (because the efficiency of the search and matching process can change).
Findings
Several important results are obtained. First, the price adjustment – i.e. the difference between the actual selling price and the price obtained in an ideal situation of frictionless housing market – is remarkable. This means that the sign and the size of the price adjustment depend on the extent of trading frictions in the housing market. Precisely, the higher the trading frictions on the demand side (more buyers and less sellers), the higher the actual selling price (the price adjustment is positive), whereas the higher the trading frictions on the supply side (less buyers and more sellers), the lower the actual selling price (the price adjustment is negative). Accordingly, the real estate appraisers should assess the trading frictions in the housing market before determining the price adjustment. Second, an increase in the number of trades affects the house price only if the time on the market varies. Also, the higher the variation in the time on the market, the larger the house price adjustment. Indeed, the expected time on the market reflects the opportunities to matching for both parties and thus the trading frictions. If the time on the market increases (decreases), the seller will receive less (more) opportunities to match; thus, the actual selling price will be driven downwards (upwards).
Originality/value
As far as the authors are aware, none of the existing works in the search and matching literature has considered how to take advantage of this theoretical approach to estimate the house price in the presence of trading frictions in the housing market. Indeed, the proposed theoretical model may be a useful tool for real estate appraisers, as it is able to derive the trading frictions from the time on the market and the number of trades, thus estimating properly the house price.
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Patricia L. Chelley‐Steeley and James M. Steeley
On 29 January 2001, Euronext LIFFE introduced single security futures contracts on a range of global companies. The purpose of this paper is to examine the impact that the…
Abstract
Purpose
On 29 January 2001, Euronext LIFFE introduced single security futures contracts on a range of global companies. The purpose of this paper is to examine the impact that the introduction of these futures contracts had on the behaviour of opening and closing UK equity returns.
Design/methodology/approach
The paper models the price discovery process using the Amihud and Mendelson partial adjustment model which can be estimated using a Kalman filter.
Findings
Empirical results show that during the pre‐futures period both opening and closing returns under‐react to new information. After the introduction of futures contracts opening returns over‐react. A rise in the partial adjustment coefficient also takes place for closing returns but this is not large enough to cause over‐reaction.
Originality/value
This is the first study to examine the impact of a single security futures contract on the speed of spot market price discovery.
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Lili Yin, Lizhong Duan, Yinran Zhang, Hangyu Liu, Chongxu Zhang, Qiaoqiao Sun and Qi Lu
Through a questionnaire survey, the purpose of this paper is to understand and analyse the cognitions of medical service price of medical workers in various regions of China, and…
Abstract
Purpose
Through a questionnaire survey, the purpose of this paper is to understand and analyse the cognitions of medical service price of medical workers in various regions of China, and discuss the policy suggestions on the price dynamic adjustment of medical service.
Design/methodology/approach
The authors conducted a questionnaire survey on the cognition of medical service price medical workers in various regions of China, and then the grey relational analysis theory is used to analyse the data obtained from the questionnaire survey.
Findings
The investigation and analysis shows some cognitions of hospital workers on the price of medical services in various regions in China, the authors analyse the results of grey relational analysis and come up with suggestions for relevant departments.
Research limitations/implications
Although a plenty of research on the current situation of medical service price cognition of China is discussed in the paper, it is not complete; thus, a large amount of information needs to be consulted further. The data obtained from the questionnaire are less used and the utilisation rate is lower, which may result in one-sided results and need further investigation.
Practical implications
Through the investigation and analysis, the authors can determine about the implementation of medical service prices in various parts of China from the perspective of hospital workers to a certain degree, and try to explore the relevant policy recommendations for the dynamic adjustment of medical service prices.
Social implications
The price of medical services refers to the fees for registration, diagnosis, inspection, surgery, nursing and medicine. In a narrow sense, the price of medical services refers to the standard of charge for medical services except drugs. This paper mainly refers to the narrow sense. As one of the important means and methods for the government to control the medical service market, medical service price is also an important basis for the economic source of medical institutions. The adjustment of medical service price is related to the interests of all aspects of society.
Originality/value
Medical service price is an important basis for the economic source of medical institutions, the adjustment of medical service price is related to the interests of all aspects of society and it is a hot issue of social concern. Through the investigation and analysis, the authors use grey relational analysis to know about the medical service prices in various parts of China from the perspective of hospital workers to a certain degree, and try to explore the relevant policy recommendations for the dynamic adjustment of medical service prices.
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Guoyin Jiang, Shan Liu, Wenping Liu and Yan Xu
Social media facilitates consumer exchanges on product opinions and provides comprehensive knowledge of online products. The interaction between consumers and e-retailers evolves…
Abstract
Purpose
Social media facilitates consumer exchanges on product opinions and provides comprehensive knowledge of online products. The interaction between consumers and e-retailers evolves into a collective set of dynamics within a complex system. Agent-based modeling is well suited to stimulate such complex systems. The purpose of this paper is to integrate agent-based model and technique for order performance by similarity to ideal solution (TOPSIS) to simulate decision behaviors of e-retailers in competitive online markets.
Design/methodology/approach
An agent-based network model using the TOPSIS driven by actual price data is developed. The authors ran an experimental model to simulate interactions between online consumers and e-retailers and to record simulation data. A nonparametric test is used to conduct data analysis and evaluate the sensibility of parameters.
Findings
Simulation results showed that different profits could be obtained for various brands under different social network structures. E-retailers could achieve more profits through cross-selling than single-selling; however, the highest profits can be achieved when some adopt cross-selling, whereas others use single-selling. From a game perspective, the equilibrium for price-adjustment frequency can be determined from the simulation data. Thus, price adjustment differences significantly affect e-retailer profit.
Originality/value
This study provides new insights into the evolutionary dynamics of online markets. This work also indicates how to build an integrated simulation model with an agent-based model and TOPSIS and how to use an integrated simulation model and interpret its results.
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