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ID:
078039
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| Publication |
2007.
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| Summary/Abstract |
In the presence of de jure capital account inconvertibility, but in spite of high trade openness of China, existing empirical work, using daily data, has not found any evidence of international financial integration of its A-share market. In this paper we shed new light on this issue, examining a long sample of active trading, over 1992-2005, within the framework of a regime-switching error correction model, with a major focus on the role of temporal aggregation. With end-of-week closing prices we do not find any long run relationship between the Shanghai market and either the New York or the Hong Kong market, thus replicating previous findings. However, with weekly-averaged indices, up to late 1996, the Shanghai index was cointegrated with the S&P 500. Subsequently, this relationship broke down and a long run relationship with the Hang Seng index gradually arose. Information flows, as well as the prospects of de jure financial opening, and the growing awareness of valuation concepts among Chinese domestic investors, in the presence of identical fundamentals (multiple listing of Mainland firms), help explain the evidence of long run financial integration in spite of capital controls
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| 2 |
ID:
169896
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| Summary/Abstract |
Studies that deal with financial development and energy intensity usually show the single effect of one variable on another or the causality running between them during the whole sample period. But this study is an attempt to explore the regime switching effect of financial development on energy intensity in different periods within the sample. Using yearly data from 1972 to 2017 in case of Bangladesh, a Markov-switching vector error correction model is applied to carry out the study, and the results reveal a two-regime switching nature of the effect of financial development on energy intensity. Financial development plays a stimulating role in regime 1 where it plays an inhibiting role in regime 2 to influence energy intensity. The duration of regime 1 is longer than that of regime 2 specifying that the promoting effect of financial development on energy intensity is more enduring than the inhibiting effect in Bangladesh. The results have important policy implications to formulate energy policy and to maintain a balance between financial development and energy intensity in Bangladesh and other emerging nations.
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