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  • 1.
    Kang, Sang Hoon
    et al.
    Pusan Natl Univ, South Korea.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Ahmed, Ali
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Yoon, Seong-Min
    Pusan Natl Univ, South Korea.
    Multi-scale causality and extreme tail inter-dependence among housing prices2018In: Economic Modelling, ISSN 0264-9993, E-ISSN 1873-6122, Vol. 70, p. 301-309Article in journal (Refereed)
    Abstract [en]

    This study explores multi-scale causality and extreme tail dependence structures among housing prices in four cities: Seoul, Hong Kong, Tokyo, and New York. We apply two different and unique approaches in our analysis of monthly housing price data: (i) the frequency domain Granger casualty test and (ii) the non-parametric copula test. Employing the frequency domain casualty test, we find both bi-directional and uni-directional causalities at different frequency bands. Additionally, the nonlinear copula estimates indicate asymmetric tail dependence for housing price pairs in all four cities. Finally, the Hong Kong housing market has a greater effect on the Seoul and Tokyo housing markets than does the New York housing market.

  • 2.
    Kyophilavong, Phouphet
    et al.
    National University of Laos, Laos .
    Shahbaz, Muhammad
    COMSATS Institute Informat Technology, Pakistan .
    Salah Uddin, Gazi
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Does J-curve phenomenon exist in case of Laos? An ARDL approach2013In: Economic Modelling, ISSN 0264-9993, E-ISSN 1873-6122, Vol. 35, p. 833-839Article in journal (Refereed)
    Abstract [en]

    This study aims to test the existence of J-curve phenomenon in Laos economy using quarterly data over the period of 1993-2010. The ARDL bounds testing approach to cointegration is used to examine short run as well as long run impact of real depreciation of Lao kip on Lao trade balance. The empirical results suggest that there is J-curve effect in case of Laos. The impact of real depreciation of the Lao kip on Lao trade balance is insignificant in long run. In short-run, real depreciation has inverse impact on Laos trade balance. The long-run trade balance is determined by domestic income.

  • 3.
    Salah Uddin, Gazi
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Kumar Tiwari, Aviral
    ICFAI University of Tripura, India .
    Arouri, Mohamed
    EDHEC Business Sch, France .
    Teulon, Frederic
    IPAG Business School, IPAG Lab, France.
    On the relationship between oil price and exchange rates: A wavelet analysis2013In: Economic Modelling, ISSN 0264-9993, E-ISSN 1873-6122, Vol. 35, p. 502-507Article in journal (Refereed)
    Abstract [en]

    We may find numerous works in the existing literature regarding the cohesion between oil prices and exchange rates, yet an exact shape of the relationship remains undefined. By restoring to wavelet analysis and using a rich database from Japan, this study contributes to the literature by investigating the said relationship within the time-frequency space. Over the time horizon, it is being established that the strength of the relationship between oil price and exchange rate keeps changing. If the Bank of Japan needs to control the exchange rate, it should give proper importance to shocks on oil prices, while formulating exchange rate policy.

  • 4.
    Salah Uddin, Gazi
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Shahbaz, Muhammad
    COMSATS Institute Informat Technology, Pakistan .
    Arcuri, Mariadele
    Linköping University, Department of Science and Technology. Linköping University, The Institute of Technology.
    Teulon, Frederic
    IPAG Business School, IPAG — Lab, France.
    Financial development and poverty reduction nexus: A cointegration and causality analysis in Bangladesh2014In: Economic Modelling, ISSN 0264-9993, E-ISSN 1873-6122, Vol. 36, p. 405-412Article in journal (Refereed)
    Abstract [en]

    This paper contributes to the literature by investigating the relationship between financial development, economic growth and poverty reduction in Bangladesh using quarter frequency data over the period of 1975-2011. This issue is of importance for developing economics given the role of financial sector in mobilizing and allocating savings into productive investments. We use an innovative empirical approach based on ARDL cointegration with structural breaks. Our findings show that a long-run relationship between financial development, economic growth and poverty reduction exists in Bangladesh. Financial development helps to reduce poverty, but its effect is not linear.

  • 5.
    Shahbaz, Muhammad
    et al.
    COMSATS Institute Informat Technology, Pakistan .
    Carlos Leitao, Nuno
    University of Evora, Portugal .
    Salah Uddin, Gazi
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Arouri, Mohamed
    EDHEC Business Sch, France .
    Teulon, Frederic
    IPAG Business School, IPAG Lab, France.
    Should Portuguese economy invest in defense spending? A revisit2013In: Economic Modelling, ISSN 0264-9993, E-ISSN 1873-6122, Vol. 35, p. 805-815Article in journal (Refereed)
    Abstract [en]

    In this paper, we investigate the causal relationship between defense spending and economic growth in Portugal during the period of 1980-2010. We apply the ARDL bounds testing approach in the presence of structural break. The ARDL-ECM estimation results disclose that the relations between defense spending, capital, labor and economic growth are country specific. The interesting finding of this study is that there is a U-shaped relationship that exists between defense spending and economic growth. In addition, the unidirectional causality from defense spending to economic growth exists in the case of Portugal. Therefore, defense spending can play an important role in economic development of Portugal.

  • 6.
    Shahbaz, Muhammad
    et al.
    COMSATS Institute Informat Technology, Pakistan .
    Nawaz, Kishwar
    COMSATS Institute Informat Technology, Pakistan .
    Arouri, Mohamed
    EDHEC Business Sch, France .
    Teulon, Frederic
    IPAG Business Sch, France .
    Salah Uddin, Gazi
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    On the validity of the Keynesian Absolute Income hypothesis in Pakistan: An ARDL bounds testing approach2013In: Economic Modelling, ISSN 0264-9993, E-ISSN 1873-6122, Vol. 35, p. 290-296Article in journal (Refereed)
    Abstract [en]

    The present paper contributes in existing economic literature by investigating the validity of the Keynesian Absolute Income hypothesis in Pakistan by applying the ARDL approach to cointegration. The findings of this paper validate the Keynesian absolute income hypothesis in Pakistan, where public savings and financial development add in private savings. This study opens up new insights for government to improve the level of private savings.

  • 7.
    Uddin, Gazi Salah
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Sjö, Bo
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Shahbaz, Muhammad
    COMSATS Institute of Information Technology, Lahore, Pakistan.
    The causal nexus between financial development and economic growth in Kenya2013In: Economic Modelling, ISSN 0264-9993, E-ISSN 1873-6122, Vol. 35, p. 701-707Article in journal (Refereed)
    Abstract [en]

    This paper aims to reexamine the relationship between financial development and economic growth in Kenya over the period of 1971–2011. Since the financial sector plays a vital role in mobilizing and allocating savings into productive ventures, the core issue of this investigation remains important for developing economics. The examination is based on a Cobb–Douglas production augmented by incorporating financial development. A simulation based ARDL bounds testing and Gregory and Hansen's structural break cointegration approaches are being utilized in this study. Cointegration is being found between the series in the presence of a structural break in 1992. It is also being established that, in the long run, the development of the financial sector has a positive impact on economic growth. Here remains an important policy implication for the concerned individuals of Kenya, that is, they may emphasize on financial development to ignite economic growth.

  • 8.
    Vidal, Marta
    et al.
    University of Complutense Madrid, Spain.
    Vidal-Garcia, Javier
    Harvard University, MA 02138 USA.
    Hooi Lean, Hooi
    University of Sains Malaysia, Malaysia.
    Uddin, zi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    The relation between fees and return predictability in the mutual fund industry2015In: Economic Modelling, ISSN 0264-9993, E-ISSN 1873-6122, Vol. 47, p. 260-270Article in journal (Refereed)
    Abstract [en]

    We propose and test a methodological framework to examine the relation between mutual fund fees and return predictability. Gil-Bazo and Ruiz-Verdu (2009) drew attention to the puzzling fact that funds with worse before-fee performance charge higher fees. We make another contribution to the literature about the market for equity mutual funds: we find strong evidence of predictability for mutual fund fees. Funds with both positive and negative relations with fees show strong evidence of negative return predictability for their fees. Our findings are robust to alternative estimation methods and under the assumption of conditionally heteroskedastic stock returns. Our results also show that conditioning information (e.g. dividend yield, t-bill yield, default spread and term spread) are useful in selecting funds with superior performance and are valuable for asset allocation decisions.

  • 9.
    Vidal-Garcia, Javier
    et al.
    University of Valladolid, Spain.
    Vidal, Marta
    University of Complutense Madrid, Spain.
    Boubaker, Sabri
    University of Paris Est, France.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    The short-term persistence of international mutual fund performance2016In: Economic Modelling, ISSN 0264-9993, E-ISSN 1873-6122, Vol. 52, no part B, p. 926-938Article in journal (Refereed)
    Abstract [en]

    This paper examines the short-term persistence in performance of equity mutual funds around the world between 1990 and 2013. Using a large survivorship bias-free sample of 35 countries, we document strong evidence of persistence in daily mutual fund returns over quarterly measurement periods. We rank countries by abnormal return and estimate the performance of each country for the following quarter. We find statistically and economically significant performance persistence that is more pronounced for the top and bottom countries. The post-ranking abnormal return disappears when performance is examined over longer time periods. Thus, our results confirm that superior performance is a short-lived phenomenon. (C) 2015 Elsevier B.V. All rights reserved.

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