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Asia-Pacific Stock Returns around the Lehman Shock and Beyond: time-varying conditional correlations
( Jun Nagayasu ) 세종대학교 경제통합연구소 2013 Journal of Economic Integration Vol.28 No.3
This paper attempts to identify economic and financial factors contributing to the changing correlations of recent stock returns. Time-varying correlations have been documented in previous studies, but few attempts have been made to investigate their evolution. Focusing on the Asia-Pacific region, this paper shows that daily return correlations tend to be higher in advanced countries, are negatively correlated with the distance between markets, and increase at times of active trading and financial turmoil. Furthermore, while some explanatory variables tend to lose their statistical significance during financial crises, volume data have strengthened their relationship with return correlations, particularly around the Lehman Shock.
Relative Prices and Wages in China: Evidence from a Panel of Provincial Data
( Ying Liu ),( Jun Nagayasu ) 세종대학교 경제통합연구소 (구 세종대학교 국제경제연구소) 2008 Journal of Economic Integration Vol.23 No.1
Using Chinese provincial data, we examine the relationship between relative prices and wages, which can be derived on the basis of the Balassa-Samuelson theorem. First, considering cross sectional dependency in our data, we implement recently developed panel unit root tests. We report strong evidence of non-divergence in the prices of provinces vis-a-vis those of the benchmark (Beijing) and weaker evidence in wages. In the latter case, the results seem sector-specific, suggesting that wages in some industries are not following the trend in Beijing. Secondly, using sectorlevel data, we find evidence that relative prices can be explained by relative wages.