Current Issue : October - December Volume : 2016 Issue Number : 4 Articles : 5 Articles
This paper investigates the dynamic conditional correlations (DCC) of stock returns between China\nand international markets. Statistics suggest that stock-return correlations across markets are\ntime-varying, displaying a structural change triggered by an upward shift in China�s adoption of\nfinancial liberalization and the occurrence of the worldwide financial crisis. The dynamic correlations\nare closely tied to geographic location: the highest correlation is with Hong Kong, followed\nby Taiwan and Korea; the correlations with Europe and the US are low. The DCC series are negatively\nassociated with the relative P/E ratios and are positively associated with the risk from the\nUS market....
Nonlinear Grey Bernoulli Model is proposed to enhance the prediction accuracy. In this study, artificial neural network (ANN) is used to modify the residual error of NGBM. Then, ANN error plus original forecasted value is a new estimated value. The newly proposed method termed NGBM (1,1) with ANN error correction is used to forecast Taiwan�s gross domestic product (GDP). The results show the proposed method is more accurate than NGBM and is proven to be effective in forecasting....
In this study, optimal portfolio of an investor is studied when there are taxes, dividends, transaction costs and a risk-free asset with time varying rate of returns under constant elasticity of variance model. The Hamilton-Jacob–Bellman (HJB) equation associated with the optimization problem is obtained using the Ito’s lemma. Explicit solution of the power utility maximization is obtained. It is found that the optimal investment of the investor is dependent on horizon and wealth. Also found is that the investment in the risky asset increased by a fraction of the wealth when transaction costs and taxes are charged on the total investment of the investor. The investor should take the horizon and wealth dependency of his investment into consideration when making investment policy decisions....
This paper presents the dynamic linkages between infrastructure and economic growth in Nigeria. Economic development in Nigeria can be facilitated and accelerated by the presence of infrastructure. If these facilities and services are not in place, development will be very difficult and in fact can be likened to a very scarce commodity that can only be secured at a very high price and cost. In this study, two models are specified, and after applying the substitution method (reduce form equation), the two models collapsed to one which enabled the researcher to use OLS to run the regression. From the result, it is clear that infrastructure is an integral part of Nigeria economic growth. Underminding it (infrastructure) is underminding the growth and development of Nigerian economy. The study has shown that infrastructure is an intermediate goods and service for the real sector and a finished goods and service for consumers. So, if the real sector which is the engine of growth is to propel Nigerian growth and development, infrastructure should be given qualitative and adequate attention....
This study investigated the determinants of FDI in Africa during the time period from 1974 to 2013, and annual data from the World Bank, African Union and United Nation. The study used GMM estimator and conducted three estimations, namely, 5 years, 8 years and 10 years average� estimations. Besides, to robustness check the results, the study used PMG estimator and therefore the full sample countries has been divided into three groups according to the income level, namely, low-income, lower middle-income and upper middle-income groups. The results suggested that the net inflows of the FDI in Africa are determined by economic growth, human capital, infrastructure, domestic investment and trade openness of the region....
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