Applications of nonferrous metal price volatility to prediction of China's stock market

The aim of the present work is to examine whether the price volatility of nonferrous metal futures can be used to predict the aggregate stock market returns in China. During a sample period from January of 2004 to December of 2011, empirical results show that the price volatility of basic nonferrous metals is a good predictor of value-weighted stock portfolio at various horizons in both in-sample and out-of-sample regressions. The predictive power of metal copper volatility is greater than that of aluminum. The results are robust to alternative measurements of variables and econometric approaches. After controlling several well-known macro pricing variables, the predictive power of copper volatility declines but remains statistically significant. Since the predictability exists only during our sample period, we conjecture that the stock market predictability by metal price volatility is partly driven by commodity financialization.

The Extent of Voluntary Information in the Annual Report and the Share Price Volatility： Application of DEA and SFA on the French Market

In the current paper, the authors investigate empirically the relationship between the share price volatility and the amount of voluntary information disclosed in the corporate annual report. The authors use the data envelopment analysis （DEA） and the stochastic frontier analysis （SFA） models on a sample of 50 listed French firms belonging to the Soci6t6s des Bourses Fran^aises （SBF250） index from 2004 to 2008. The authors focus on the extent of voluntary disclosure in the annual reports that have been measure by using a composite disclosure index. Then, the authors study the relevance of disclosure policies through the ability of the voluntary disclosure level to effectively reduce the share price volatility. The findings of DEA and SFA provide, in average, highly efficient scores of the sample, reveal the several dispositions taken by the French Exchange Market authorities and the initiative of French firms to improve the market stability. In addition, the findings highlight, in average, stability of the firms＇ efficiency scores over the studied period. The authors explain these findings by the stability of corporate disclosure policy as suggested in previous literature （e.g., Botosan, 1997）. However, there are some differences between the findings of SFA and DEA models.

The Effects of Oil Price Volatility on Some Macroeconomic Variables in Nigeria： Application of Garch and Var Models

The price of Nigeria＇s premium crude, the Bonny light has declined by about 51.8 percent between September 2014 and January 2015. Given that this resource is the major source of revenue for Nigeria, the possible effects on the economy of these continuing shocks in oil prices are definitely of prime interest in order to predict the effects of a drastic change in oil prices, on the Nigerian economy as a whole. This study investigates the impact of oil price shocks on the Nigerian economy using quarterly time series data from 1985Q2-2014Q3. The study employed GARCH model and a multivariate VAR analysis using impulse response functions and variance decompositions tests to examine the interrelationship among the variables. The impulse response functions show that oil price shocks have immediate and prolonged effect on all the macroeconomic variables considered. Thus, we conclude that oil price shocks have a direct impact on real GDP, total monetary assets and credit to private sector and as such urgent and serious efforts should be made to cut back on government expenditure, increase the tax base, diversify the economy and improve the overall efficiency and scope of other existing non-oil revenue sources, so as to ameliorate the impact of falling oil prices.

Macroeconomic impacts of oil price volatility： mitigation and resilience

Dependency sectors, most notably on oil-derived fuels in various in mobility, has left the global economy vulnerable to several macroeconomic economic side effects. Numerous studies have addressed the effect of price volatility on specific economic parameters. However, the current literature lacks a comprehensive review of the interactions between global macroeconomic performance and oil price volatility （OPV）. Price volatility is intrinsic in commodity markets, but has been advancing at a faster rate in the crude oil market in comparison to other commodities over the past decade, reflecting the status ofoil as the most globalised commodity. In this paper, the analytical literature review and analysis of the behavioral responses of macroeconomic agents to OPV shows that such volatility has several damaging and destabilizing macro- economic impacts that will present a fundamental barrier to future sustainable economic growth if left unchecked. To ensure macroeconomic isolation from OPV, a combination of supply and demand-side policies have been recom- mended that can help to mitigate and build resilience to the economic uncertainty advanced by OPV.

The Impacts of Trade Restrictions on World Agricultural Price Volatility during the COVID-19 Pandemic

During the COVID-19 pandemic,countries applied trade restrictions to insulate their domestic markets from the world market.However,these trade policies could have amplified international market price fluctuations.This paper explores the effects of trade restrictions on international agricultural price volatility.A theoretical model is developed to quantify how trade policies amplify the initial shock.Using panel data covering 71 countries from January 2020 to July 2021,we examine empirically the effects of trade policies on world agricultural price volatility.The results show that trade distortions further induced volatility of world agricultural prices by around 22 percent during the COVID-19 pandemic.The multiplier effects are much more substantial in agricultural exporting countries than in importing countries.Large countries like China and the US could make significant contributions to stabilizing world prices by limiting the extent of unilateral trade policy interventions.

Analysis of Price and Industry Dynamics of Sustainable and Specialty Coffee in Costa Rica

Volatility of commodity prices has affected dramatically the coffee industry in recent years, particularly small holder farmers. Differentiation of coffee through certification, such as sustainahility and quality attributes, has been proposed as a strategy for protection of the farmers against volatility in the international prices. This research paper evaluated three different models to explore the effectiveness of the differentiation strategies in protecting the farmer against price volatility in recent years, focusing on the case of Costa Rica. Evidence showed important differences in the price dynamics over time when comparing three groups of coffee.

Nonlinear dynamics of pork price in China

This paper primarily analyzes the evolution path of China＇s pork price by employing the threshold autoregression model（TAR）. Considering the unit root test with a threshold effect and heteroskedasticity of the TAR model, we show that the pork price series is a unit root process in each regime, and the heteroskedasticity in the TAR model greatly affects the results of linearity test. We find that the changing process of pork price has two regimes： mild regime and expansion regime. In particular, a change belongs to an expansion regime if it is larger than 0.5881; otherwise, it falls in the mild regime.

An impact assessment of the COVID‑19 pandemic on Japanese and US hotel stocks

This study proposes two new regime-switching volatility models to empirically analyze the impact of the COVID-19 pandemic on hotel stock prices in Japan compared with the US,taking into account the role of stock markets.The first model is a direct impact model of COVID-19 on hotel stock prices;the analysis finds that infection speed negatively affects Japanese hotel stock prices and shows that the regime continues to switch to high volatility in prices due to COVID-19 until September 2021,unlike US stock prices.The second model is a hybrid model with COVID-19 and stock market impacts on the hotel stock prices,which can remove the market impacts on regime-switching volatility;this analysis demonstrates that COVID-19 negatively affects hotel stock prices regardless of whether they are in Japan or the US.We also observe a transition to a high-volatility regime in hotel stock prices due to COVID-19 until around summer 2021 in both Japan and the US.These results suggest that COVID-19 is likely to affect hotel stock prices in general,except for the influence of the stock market.Considering the market influence,COVID-19 directly and/or indirectly affects Japanese hotel stocks through the Japanese stock market,and US hotel stocks have limited impacts from COVID-19 owing to the offset between the influence on hotel stocks and no effect on the stock market.Based on the results,investors and portfolio managers should be aware that the impact of COVID-19 on hotel stock returns depends on the balance between the direct and indirect effects,and varies from country to country and region to region.

Empirical Study on the Multifractal Phenomenon of Chinese Stock Market

Many recent researches with empirical data have demonstrated that financial data have multifractal properties. To study the properties of Chinese stock market, the Shanghai Stock Exchange Composite Index (SSECI) from January 1999 to July 2001 (a quotation taken every 5 min) is analyzed using multifractal theories, and it is found that the return volatility correlations are of power laws with a non unique scaling exponent. It is verified that Chinese stock market is quite similar to foreign financial markets in terms of multifractal properties.

Noise Trader Model of Agricultural Product Prices： Evidence from the Chinese Garlic Market

This paper explores the determinants of the abnormal and volatile fluctuations of China＇s agricultural product prices in recent years by examining the trading behavior of traders, especially that of irrational noise traders. We present an overlapping generations model of the garlic market in which noise traders with erroneous beliefs influence prices. Noise traders＇ beliefs create a risk in the price of agricultural products that deters rational arbitrageurs from aggressively betting against them through changing supplies in a way that enables prices to diverge significantly from fundamental values even in the absence of fundamental risk. We also show that asymmetry of supply information, low price elasticity of demand, speculative capital inflows, restricted distribution channels, distorted wholesale markets from the perspective of market mechanisms and low risk aversion, biased self-attribution, and projection bias from the perspective of investor psychology, all influence expectations of investors and increase the volatility of agricultural product prices.

Financialisation in emerging economies:a systematic overview and comparison with Anglo-Saxon economies

Financialisation research has originally focussed on the US experience,but the concept is now increasingly applied to emerging economies(EMEs).There is a rich literature stressing peculiarities of individual country experiences,but little systematic comparison across EMEs.This paper fills this gap,providing an overview of the debate and identifying six financialisation interpretations for EMEs.These different interpretations stress(1)financial deregulation,(2)foreign financial inflows,(3)asset price volatility,(4)the shift from bank-based to market-based finance,(5)business debt,and(6)household indebtedness.We construct and compare measures of the six financialisation interpretations across a sample of 17 EMEs from Latin America,emerging Europe,Africa and Asia,contrasting them with the US and UK,two financialised economies.We find considerable variation in financialisation experiences of EMEs.Asset price volatility is found across the continents.Asia has been more exposed to capital inflows,stock markets have gained importance and private sector debt has risen.In emerging Europe financial deregulation has been more pronounced with lower levels but strong increases in household debt.The picture is similar in South Africa,the African EME in the sample,where household debt is comparatively high.Financialisation in Latin America is weaker according to our measures.

The effect of nighttime-trading of futures markets on information flows:Evidence from China

In the past couple of years,China’s futures exchanges have launched nighttime trading sessions.We use daily data from 23 commodity futures to investigate the impact of this important policy change.Our findings suggest that the launching of nighttime trading effectively improved the efficiency of futures prices and reduced the volatility of prices.The normality of returns improves during the post-nighttime trading period.As documented in the literature,the interactions between trading activities(i.e.,trading volume and open interest)and volatility conform better to the observed patterns in developed markets.This study provides sound evidence that China has taken steady steps toward its goal of establishing price-setting power in key commodities on world financial markets.