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  • 1.
    Algren, Niklas
    et al.
    Department of Finance and Statistics, Hanken School of Economics,, Helsingfors, Finland.
    Sjö, Bo
    Swedish Agency for Development Evaluation, Karlstad, Sweden.
    Zang, Yianhua
    Center for Finance, University of Gothenburg, Sweden.
    Panel cointegration of Chinese A and B shares2009In: Applied Financial Economics, ISSN 0960-3107, E-ISSN 1466-4305, Vol. 19, no 23, p. 1859-1871Article in journal (Refereed)
    Abstract [en]

    We study information flows in China's stock markets. By using panel data methods we test for a unit root in the price premium of domestic investors’ A shares over foreign investors’ B shares, as well as cointegration between the A- and B-share prices on the Shanghai and Shenzhen stock exchanges. We find that the A-share premia are nonstationary, and that the A- and B-share prices are not cointegrated up till January 2001. After February 2001, when domestic investors were allowed to trade B shares, the A-share premia become stationary and the A- and B-share prices cointegrated. One interesting result from the panel data analysis is that most firms’ A and B shares are cointegrated, but not all firms. Cointegration is more likely for firms with a small A-share premium, low ratio of nontradeable shares, high growth rate and large B-share market capitalization relative to the A-share market capitalization. Our findings suggest that the relaxation of the investment restrictions decreased the segmentation between the A- and B-share markets in China.

  • 2.
    Andersson, Per-Åke
    et al.
    Department of Economics and Statistics, University of Gothenburg.
    Sjö, Bo
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Inflation, Monetary Policy and Structural Adjustment in Zambia2002In: International Economics, Vol. 55, no 5, p. 425-449Article in journal (Refereed)
    Abstract [en]

    This paper analyses the monetary policy and its impact on the rate of inflation during the economic structural adjustment programs in Zambia during 1987 to 1993. To avoid the Lucas critique, the focus is on a sample period, 1987 to 1993, which is relevant for analysing inflation and monetary policy during adjustment programs. The sample does not include other types of monetary regimes than the ones relevant for analysing the adjustment process. The supply of money and the price level are decomposed into permanent and transitory components. The results suggest that the price level in Zambia was driven by the supply of money, and that the authorities were able to reduce inflation by restricting the money supply process during the adjustment programs.

  • 3.
    Andersson, Per-Åke
    et al.
    Depertment of Economics and Statistics, University of Gothenburg, Sweden.
    Sjö, Bo
    Linköping University, Department of Management and Engineering, Economics. Linköping University, The Institute of Technology.
    Successful inflation targeting in Mozambique despite vulnerability to internal and external shocks2013In: Zambia Social Science Journal, ISSN 2079-5521Article in journal (Refereed)
    Abstract [en]

    Inflation has proven to be an important obstacle to successful economic adjustment in many countries. Despite both internal and external shocks to the economy, Mozambique has succeeded in controlling the inflation to gain high economic growth. This paper provides an econometric analysis of the dynamics behind the experience of Mozambique. Inflation is driven by both a purchasing power parity relation with South Africa and monetary factors. The result indicates that the country is using a crawling peg exchange rate regime.

  • 4.
    Bekiros, Stelios
    et al.
    IPAG Business School, Paris, France.
    Nguyen, Duc Khuong
    IPAG Business School, France .
    Uddin, Gazi Salah
    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.
    BUSINESS CYCLE (DE)SYNCHRONIZATION IN THE AFTERMATH OF THE GLOBAL FINANCIAL CRISIS: IMPLICATIONS FOR THE EURO AREA2015In: Studies in Nonlinear Dynamics and Econometrics, ISSN 1081-1826, E-ISSN 1558-3708, Vol. 19, no 5, p. 609-624Article in journal (Refereed)
    Abstract [en]

    The introduction of Euro currency was a game-changing event intended to induce convergence of Eurozone business cycles on the basis of greater monetary and fiscal integration. The benefit of participating into a common currency area exceeds the cost of losing autonomy in national monetary policy only in case of cycle co-movement. However, synchronization was put back mainly due to country-specific differences and asymmetries in terms of trade and fiscal policies that became profound at the outset of the global financial crisis. As opposed to previous studies that are mostly based on linear correlation or causality modeling, we utilize the cross-wavelet coherence measure to detect and identify the scale-dependent time-varying (de)synchronization effects amongst Eurozone and the broad Euro area business cycles before and after the financial crisis. Our results suggest that the  inforcement of an active monetary policy by the ECB during crisis periods could provide an effective stabilization instrument for the entire Euro area. However, as dynamic patterns in the lead-lag relationships of the European economies are revealed, (de)synchronization varies across different frequency bands and time horizons.

  • 5.
    Bekiros, Stelios
    et al.
    European University Institute, Florence Italy,Paris France, Rimini Italy.
    Nguyen, Duc Khuong
    IPAG Business School, Paris, France.
    Uddin, Gazi Salah
    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.
    On the time scale behavior of equity-commodity links: Implications for portfolio management2016In: Journal of international financial markets, institutions, and money, ISSN 1042-4431, E-ISSN 1873-0612, Vol. 41, p. 30-46Article in journal (Refereed)
    Abstract [en]

    We investigate the time-scale relationships between US equity and commodity markets. The empirical evidence from the risk-return profitability analysis based on the wavelet coherence measure shows that equity and commodity markets exhibit time-varying comovement patterns and behave differently across investment horizons. Moreover, we find evidence of time-frequency causality between the two investigated markets. Our results can have important implications for optimal asset allocation and portfolio diversification.

  • 6.
    Bekiros, Stelios
    et al.
    Athens University of Economics and Business, Greece; European University Institute, Italy.
    Sjö, Bo
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Sweeney, Richard J.
    McDonough School of Business, Georgetown University, USA.
    Pitfalls in Cross-Section Studies with integrated Regressors:  Survey and New Developments2018In: Journal of economic surveys (Print), ISSN 0950-0804, E-ISSN 1467-6419, Vol. 32, no 4, p. 1045-1073Article in journal (Refereed)
    Abstract [en]

    In cross-section studies, if the dependent variable is I(0) but the regressor is I(1), the true slope must be zero in the resulting "unbalanced regression." A spuriously significant relationship may be found in large cross sections, however, if the integrated regressor is related to a stationary variable that enters the DGP but is omitted from the regression. The solution is to search for the related stationary variable, in some cases the first difference of the integrated regressor, in other cases a categorical variable that can take on limited number of values which depend on the integrated variable. We present an extensive survey, new developments and applications in finance.

    The full text will be freely available from 2020-03-08 00:33
  • 7.
    Danaquah, Michael
    et al.
    University of Ghana.
    Ohemeng, William
    GIMPA Business School, Accra,Ghana.
    Sjö, Bo
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    The effects of transaction costs on the optimal price and production risk management for cocoa-exporting countries2015In: African Review of Economics and Finance, ISSN 2042-1478, E-ISSN 2410-4906, Vol. 7, no 2, p. 84-104Article in journal (Refereed)
    Abstract [en]

    This paper derives and estimates empirically the role of transactions costsfor the optimal price-risk hedge ratios for four cocoa producing SSA countries(Cameroon, Ghana, Nigeria and Cote d’Ivoire). Using monthly data from 1966to 2009, transaction costs are introduced in two commonly used approaches forfinding optimal hedge ratios under both price and production risk; the mean-variance approach and the logarithmic utility based approach. For the meanvariance the optimal hedge ratios for cocoa are around 0.93 and 1.0 for allcountries and different transaction costs and levels of risk aversion. For thelogarithmic utility approach, which is supposed to be a more realistic approach the hedge ratios are lower than unity, differ more across countries and arereduced by higher transaction costs. Therefore developing appropriate marketregulations where transaction cost on intermediaries are kept to minimal isrelevant for these countries. 

  • 8.
    Durevall, Dick
    et al.
    Department of Economics, University of Gothenburg, Sweden.
    Sjö, Bo
    Linköping University, Department of Management and Engineering, Economics. Linköping University, The Institute of Technology.
    The Dynamics of Inflation in Ethiopia and Kenya2012Report (Other academic)
    Abstract [en]

    This study provides an assessment of the main drivers of inflation in Ethiopia and Kenya by developing single-equation error correction models for the Consumer Price Index in each country. This approach takes into account a number of potential sources of the recent surge in inflation, including excess money supply, exchange rates, food and non-food world prices, world energy prices and domestic agricultural supply shocks. We find that the inflation rates in both Ethiopia and Kenya are driven by similar factors; world food prices and exchange rates have a long run impact, while money growth and agricultural supply shocks have short-to-medium run effects. There is also evidence of substantial inflation inertia in both countries. The key conclusion is that there is no nominal anchor for inflation in either country in the form of a clear and well-functioning monetary or exchange rate policy.

  • 9.
    Irandoust, Manuchehr
    et al.
    University of Örebro.
    Sjö, Bo
    McGill University, Montreal, Canada and University College of Skovde .
    The Behavior of the Current Account in Response to Unobservable and Observable Shocks2000In: International economic journal, ISSN 1016-8737, E-ISSN 1743-517X, Vol. 14, no 4, p. 41-57Article in journal (Refereed)
    Abstract [en]

    The intertemporal approach to the balance of payments states that nonstationary flows in the current account will cointegrate or cotrend, unless there are permanent productivity shocks or long-run policy distortions. This paper examines the dynamics of the current account for a small open economy, using data from Sweden. The results show borderline cointegration for the current account. Recursive estimates disclose that there is no stable tendency towards finding cointegration. Cointegration is found for the first part of the sample, but from 1990 the cointegration test performs badly until speculative attacks force Sweden to give up the peg of the krona in 1992. In terms of the intertemporal approach, policy could be creating the imbalance, solved with the depreciation in 1992, after which the external accounts gradually move back to long-run equilibrium.

  • 10.
    Kyophilavong, Phouphet
    et al.
    Faculty of Economics and Business Management, National University of Laos, Vientiane, Laos.
    Uddin, Gazi Salah
    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.
    An examination of the remittance, financial development, and economic growth in developing countries2013In: Journal of Economic and Financial Modelling, ISSN 2322-0503, Vol. 1, no 1, p. 47-55Article in journal (Refereed)
  • 11.
    Nguyen, Duc Khuong
    et al.
    IPAG Business School, Paris, France.
    Sevi, Benoit
    Universite Grenoble Alpes, France .
    Sjö, Bo
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    The role of trade openness ands investment i examining the energy-growth-pollution nexus: Empirical evidence for China and India.2017In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 49, no 40, p. 4083-4098Article in journal (Refereed)
    Abstract [en]

    Most of the existing literature dealing with the relationship between carbon emissions, energy consumption and economic growth either suffers from ignoring relevant variables such as trade openness or investment, or suffers from using econometric methods that are unable to distinguish between short and long-term causality and are not robust to the degree of integration of time series used for the analysis. This paper suggests using the autoregressive distributed lag (ARDL) approach along with additional explanatory variables such as measures of trade and investment to shed a new light on the link between emissions, energy consumption and income in the two largest and energy-intensive developing economies: China and India. Our results, over the 1971-2009 period, provide evidence that investment plays a major role in shaping the relationship between carbon emissions, energy consumption and income in China while this is not the case in India. Furthermore, trade openness is found to play a key function in the short-term in China but does not contribute to the emissions-energy-growth scenario in India.

  • 12.
    Odonkor, Theodora Akweley
    et al.
    Department of Banking and Finance, University of Professional Studies, Accra, Ghana.
    Osei, Bright Addiyah
    Department of Banking and Finance, University of Professional Studies, Accra, Ghana.
    Sjö, Bo
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Risk-taking, Ownership and Excess Reserves in the Ghanaian Banking System2016In: Journal of Emerging Market Finance, ISSN 0972-6527, E-ISSN 0973-0710, Vol. 15, no 2, p. 147-168Article in journal (Refereed)
    Abstract [en]

    This study looks at the effects of ownership structure, and on the risk taking behaviour of banks in Ghana. Using data from twenty-one (21) banks during 2000-2010, the study employs random effects panel data regressions.  The results show that banks prefer to hold high excess reserves instead of lending to borrowers when they perceive the markets to be risky. Locally owned banks tend to be more efficient in managing their risk than foreign-owned banks while closed corporations tend to perform better in managing risk than locally-owned banks.   

  • 13.
    Odonkor, Theodora Akweley
    et al.
    Department of Banking and Finance, University of Professional Studies, Legon-Accra, Ghana.
    Osei, Bright Addiyiah
    Department of Banking and Finance, University of Professional Studies, Legon-Accra, Ghana.
    Sjö, Bo
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Risk-taking, Ownership and Excess Resserves in the Ghanian Banking System2013Conference paper (Other academic)
    Abstract [en]

    This study looks at the effects of ownership structure, and on the risk taking behavior of banks in Ghana. Using data from twenty-one (21) banks during 2000-2010, the study employs random effects panel data regressions.  The results show that banks prefer to hold high excess reserves instead of lending to borrowers when they perceive the markets to be risky. Locally owned banks tend to be more efficient in managing their risk than foreign-owned banks while closed corporations tend to perform better in managing risk than locally-owned banks.   

  • 14.
    Ohemeng, William
    et al.
    GIMPA Business School, Accra, Ghana.
    Sjö, Bo
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Hedging under uncertainty: Price risk management for cocoa exporting countries2013Conference paper (Refereed)
    Abstract [en]

    For commodity-exporting countries in the Sub-Saharan African (SSA), for which a few primary agricultural products revenues represent a substantial portion of total government income, volatilities in prices could compromise the public balances of these governments and destabilize the economies. This research derives and estimates empirically the cocoa price risk optimal hedge ratio and strategy for a producing SSA country that is subject to volatility in both the price and the production. This objective is addressed by focusing on expected utility maximization (EUM) under the assumptions of mean-variance and logarithmic utilities frameworks to derive optimal hedge ratios for Cameroon, Ghana, Nigeria and Cote d’Ivoire. We relaxed two traditional assumptions of EUM to better reflect reality. Simulating within the range of various risk parameters and transaction costs, the optimal hedge ratios prescribed for the study show no significant differences among the countries, with the hedge ratios closer to unity. The hedge ratios prescribed by the logarithmic utility function is well below unity for various range of transactional cost. The study finds that, for weakly and strongly risk averse investors hedge ratios tend to increase monotonically as the risk aversion level increases. Therefore developing appropriate market regulations where transaction cost on intermediaries are kept to minimal is relevant for these countries.

  • 15.
    Ohemeng, William
    et al.
    GIMPA Business School, Accra, Ghana.
    Sjö, Bo
    Linköping University, Department of Management and Engineering, Economics. Linköping University, The Institute of Technology.
    Risk premiums, market efficiency and optimal hedging. The case of cocoa futures markets.2012Conference paper (Other academic)
    Abstract [en]

    It is widely believed that speculative activity has increased progressively in the cocoa futures markets. Some believe that speculators move the futures markets away from their fundamentals thereby distorting relative prices and intensifying price volatility. This study, therefore, examines the efficiency of the price discovery mechanism in cocoa futures markets over the period 1982-2010.

    We find that cash and futures prices are non-stationary and cointegrate to stationary vector. Price discovery is done in the cash market and spreads to the futures markets. It seems as if futures prices are determined by a markup on cash prices, or the cost of carry. The cash price on the other hand appears to be a random walk implying that markets are efficient. Liberalization of market and the possibility of increased speculation seem to have little influence on price formation and the relation between cash and futures prices. The findings provide support for not hedging since cash prices incorporate all information, and support for hedging in the case of cash flow limitations since futures prices are determined in an efficient way.

  • 16.
    Ohemeng, William
    et al.
    GIMPA Business School, Accra,Ghana.
    Sjö, Bo
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Danaquah, Michael
    Hedging under Uncertainty: Optimal price Risk Management under Transaction Costs for Cocoa Exporting Countries2015In: African Review of Economics and Finance, ISSN 2042-1478, Vol. 7, no 1Article in journal (Refereed)
    Abstract [en]

    This paper derives and estimates empirically the role of transactions costs for the optimal price-risk hedge ratios for four coca producing SSA countries (Cameroon, Ghana, Nigeria and Cote d’Ivoire). Using monthly data from 1966 to 2009, transaction costs are introduced in two commonly used approaches for finding optimal hedge ratios under both price and production risk;  the mean-variance approach and the logarithmic utility based approach.  For the mean variance the optimal hedge ratios for cocoa are around 0.93 and 1.0 for all countries and different transaction costs and levels of risk aversion. For the logarithmic utility approach, which is supposed to be a more realistic approach the hedge ratios are lower than unity, differ more across countries and are reduced by higher transaction costs. Therefore developing appropriate market regulations where transaction cost on intermediaries are kept to minimal is relevant for these countries.

  • 17.
    Ohemeng, William
    et al.
    GIMPA Business School, Accra, Ghana.
    Sjö, Bo
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Danaquah, Michael
    University of Ghana, Legon, Accra, Ghana.
    Market Efficiency and Price Discovery in Cocoa Markets2016In: Journal of African Business, ISSN 1522-8916, Vol. 17, no 2, p. 209-224Article in journal (Refereed)
    Abstract [en]

    This paper tests the efficiency and price discovery mechanism in the cocoa cash and futures markets over the period March 1981- August 2009. The results indicate that the price discovery is done in the cash market and spreads to the futures markets and that the futures price can be seen as an unbiased predictor of future cash prices. There is no sign of a risk premium in the futures price. Since the cash behaves like a random walk we cannot reject market efficiency.   

  • 18.
    Rakar, Fredrik
    et al.
    REGLAB, Stockholm, Sweden.
    Andersson, Per-Åke
    Department of Economics and Statistics, University of Gothenburg, Sweden.
    Sjö, Bo
    Linköping University, Department of Management and Engineering, Economics. Linköping University, The Institute of Technology.
    Move SADEV to Dar es Salaam2012In: Development Today, ISSN 0803-6209, E-ISSN 1504-6230, no 5, p. 14-15Article in journal (Other (popular science, discussion, etc.))
    Abstract [en]

    The Swedish Agency for Public Management has produced a harsh assessment of SADEV, the independent evaluation set up in Karlstad by the Swedish government in 2006. It points to a lack of capacity to deliver, no functioning quality assurance system, lousy management, a strong focus on procedures instead of results, no real results after 6 years.

    Against this background, the authors propose, that the Swedish government should take the so-called Paris Agenda seriously and together with other donors set up an evaluation unit in Africa. This unit should then hire researchers from both donor and receiving countries to do scientifically based evaluations on foreign aid. 

  • 19.
    Simatele, Munacinga
    et al.
    Business School, Hertfordshire University, U.K., and Wits Business School, R.S.A..
    Sjö, Bo
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Sweeny, Richard
    1518 Tulane Rd, Claremont, CA 91711, U.S.A.
    Do Developing Countries Lose Money on Central Bank Intervention? The Case of Zambia in Copper-Market Boom and Bust2016Report (Other academic)
    Abstract [en]

    This paper is the first to discuss and estimate risk-adjusted intervention profits for a developing country, Zambia, representative of sub-Sahara African countries, of low-income and aid-recipient countries and the many developing countries dependent on natural-resource or staple exports. During the sample period 1996-2009, the copper market was a bust in the first half, with low prices and weak export demand; the Bank of Zambia intervened largely to sell dollars. The market boomed in the second half, and the BOZ largely bought dollars, save for a sharp break and rebound in 2008-2009. Estimated profits are positive for the whole period and are economically and statistically significant for the whole period and the second half. These estimates come from a new method developed in this paper. This method extends and corrects previous measures in the literature. It allows separating profits into those arising from timing ability and those arising from average exposure to risk, the equivalent of alpha or "stock picking. "Because risk premiums are not available for Zambia, this paper uses an instrumental variables approach to adjust for risk. The paper also the first to investigate and fix problems arising from simultaneous equations bias.

  • 20.
    Sjö, Bo
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Bekiros, Stelios
    IPAG Business School, Paris, France.
    Siverskog, Jonathan
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Medicine and Health Sciences.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Analyzing Contagion and Tail Dependence in Global Real Estate Markets using NonParametric Flexible Copulas2017Conference paper (Other academic)
    Abstract [en]

    The global financial crisis and the collapse of the collateralized debt obligation (CDO) market have brought increased attention to the proper modeling of housing price co-movements worldwide. We aim at detecting possible contagion effects in international real estate markets while accommodating dependence during extreme tail events. We propose a novel copula based approach incorporating second-moment effects that not only accounts for asymmetric tail dependence, but also allows for time-varying correlation in price movements. Unlike previous studies wherein static copula-based models are utilized, we extend our methodology by employing nonparametric copulas with the adjustment of flexible specification. Common Gaussian or mixture copulas lack the required tail features to capture the empirical stylized facts in housing markets. We proved the lack of monotonicity imposed by parametric methods was evidently not supported by our data. Using monthly data in seven major global markets, we confirm that prices do exhibit correlations that change over time, whilst more importantly their tail dependence structure for extreme losses strengthens in the midst of market turmoil.

    We indicated that especially during downturns, CDOs do not provide the level of diversification widely assumed before the subprime crisis. Information on tail dependence would better allow policy makers to anticipate real estate prices on a global scale.

  • 21.
    Sjö, Bo
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Sweeney, Richard J.
    McDonough School of Business, Georgetown University.
    Time-varying foreign-exchange risk and central bank intervention: estimating profits from intervention and speculation2000In: Journal of international financial markets, institutions, and money, ISSN 1042-4431, E-ISSN 1873-0612, Vol. 10, no 3-d, p. 275-286Article in journal (Refereed)
    Abstract [en]

    Failure to risk-adjust estimates of profits, from central-bank foreign exchange intervention or from private speculation, can have large effects on the estimated profits, including changing signs. Many choices arise in deciding how to adjust profits for risk. The time period over which a market model is fit has mixed effects on calendar-year profits; variations in profits across calendar years is much more important than the period over which the market model is fit. In some cases, but not in all, results are sensitive to whether a US stock market index is used or a world market index. For non-US central banks or private speculators, the relevant market index might be denominated in USD, but alternatively might be denominated in a foreign currency. For the Swedish central bank, estimated profits decline importantly if an index measured in USD is used instead of an index measured in SEK. In estimating market models where beta is conditioned on some measure of intervention, likely candidates are intervention or cumulative intervention; the first has an effect for one or a few days, the second has long-term effects. Estimates show that the choice can make an important difference, though the effects are not all one way.

  • 22.
    Sjö, Bo
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences. McGill Univeristy, Montreal, Canada.
    Zhang, Jianhua
    Department of Economics, Göteborg University.
    Market segmentation and information diffusionin China’s stock markets2000In: Journal of Multinational Financial Management, ISSN 1042-444X, E-ISSN 1873-1309, Vol. 10, no 3-4, p. 421-438Article in journal (Refereed)
    Abstract [en]

    This study analyses the information diffusion between Chinese A shares (restricted todomestic investors) and B shares (restricted to foreign investors). The results show that thereis an important long-run information diffusion between A and B shares. In the Shanghaistock market, information flows from foreign to domestic investors. However, in the smallerand less liquid Shenzhen stock market, the information diffusion goes in the opposite way.The direction of the information diffusion is determined by the choice of stock exchange

  • 23.
    Uddin, Gazi Salah
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Chakraborty, Sanjib
    Hossain, Rubayet
    Sjö, Bo
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Energy Price Differential and Industrial Production Growth in Mexico: A Wavelet Approach2013In: Green design, materials and manufacturing processes: proceedings of the 2nd International Conference on Sustainable Intelligent Manufacturing, Lisbon, Portugal, June 26-29, 2013 / [ed] Bártolo, Helena, Taylor Francis Group , 2013, p. 125-129Conference paper (Other academic)
    Abstract [sv]

    The rise of manufacturing intelligence is fuelling innovation in processes and products concerning a low environmental impact over the product's lifecycle. Sustainable intelligent manufacturing is regarded as a manufacturing paradigm for the 21st century, in the move towards the next generation of manufacturing and processing technologies. The manufacturing industry has reached a turning point in its evolution and new business opportunities are emerging. With sustainable development arises the immense challenge of combining innovative ideas regarding design, materials and products with non-polluting processes and technologies, conserving energy and other natural resources. On the other hand, sustainability has become a key concern for government policies, businesses and the general public. Model cities are embracing novel ecosystems, combining environmental, social and economic issues in more inclusive and integrated frameworks. Green Design, Materials and Manufacturing Processes includes essential research in the field of sustainable intelligent manufacturing and related topics, making a significant contribution to further development of these fields. The volume contains reviewed papers presented at the 2nd International Conference on Sustainable Intelligent Manufacturing, conjointly organized by the Centre for Rapid and Sustainable Product Development, Polytechnic Institute of Leiria, and the Faculty of Architecture, Technical University of Lisbon, both in Portugal. This event was held at the facilities of the Faculty of Architecture, Lisbon, from June 26 to June 29, 2013. A wide range of topics is covered, such as Eco Design and Innovation, Energy Efficiency, Green and Smart Manufacturing, Green Transportation, Life-Cycle Engineering, Renewable Energy Technologies, Reuse and Recycling Techniques, Smart Design, Smart Materials, Sustainable Business Models and Sustainable Construction. Green Design, Materials and Manufacturing Processes is intended for engineers, architects, designers, economists and manufacturers who are actively engaged in the advancement of science and technology regarding key sustainability issues, leading to more suitable, efficient and sustainable products, materials and processes.

  • 24.
    Uddin, Gazi Salah
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Muzaffar, Ahmed Taneem
    University of Western Sydney.
    Arouri, Mohamed
    Centre Clermontois de Recherche en Gestion et Management (CRCGM), Clermont-Ferrand, France.
    Sjö, Bo
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Understanding the Relationship Between Inflation and Growth: A Wavelet Transformation Approach in the Case of Bangladesh.2017In: The World Economy, ISSN 0378-5920, E-ISSN 1467-9701, ISSN 1467-970, Vol. 40, no 9, p. 1918-1933Article in journal (Refereed)
    Abstract [en]

    This paper reexamines the relationship between inflation and economic growth in developing countries. Both the theoretical and the empirical literature are extremely divided on this issue.  We apply a relatively new empirical technique – the continuous wavelet transform – to Bangladesh. Bangladesh is of interest because of its remarkable economic growth and poverty reduction during the last 30 years in combination with, for a developing country, a controlled inflation. The wavelet analysis is a contribution because it displays how the correlation and the lead-lag structure between variables change over time scales, taking into account that growth and inflation can follow several different cycles.    

    Co-movements between variables are generally studied in the time domain. Results from studies in the time domain study can be sensitive to the frequency of observations. On the other hand studies in the frequency domain are not easily translated into time domains that can be associated with economic policies. The wavelet methodology finds a balance between time and frequency domains.

    Our study finds that growth Granger causes inflation at all frequency scales, starting from the short run to the very long run. Inflation, on the other hand, Granger causes growth in the long run but not in the short run. This result has implications for Bangladesh, and as such for similar developing countries, where some policymakers believe that inflation must be kept at very low levels for sustained economic growth. 

  • 25.
    Uddin, Gazi Salah
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, The Institute of Technology.
    Sjö, Bo
    Linköping University, Department of Management and Engineering, Economics. Linköping University, The Institute of Technology.
    Business Cycle Synchronization between Germany and Countries Inside and Outside Euro area2013Conference paper (Other academic)
    Abstract [en]

    This paper analyzes the business cycle synchronization across European economies inside and outside the euro. Our objective is to test whether there are any differences between the synchronization between Germany and other European countries that are either in the euro area or outside the euro area. We study the synchronization with France, Finland, Italy, Denmark, Norway, Sweden and UK, 

    Business cycle synchronization can be studied in either the time domain or in the frequency domain. The results can be sensitive to the frequency of observations, i.e. quarterly or yearly data. On the other hand studies in the frequency domain is not always easy to translate into a time domain that corresponds with lead and lags associated with economic policy and investment decisions.    

    We use a wavelet-based measure of comovement which makes it possible to find a balance between the time and the frequency domain features of the data and, which constitutes a refinement to previous approaches. The wavelet measure of cohesion allows us to assess how synchronization evolves over time and across frequencies simultaneously. We find that the strength of comovement of business cycles differ among countries and changes over the time horizon. 

  • 26.
    Uddin, Gazi Salah
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, The Institute of Technology.
    Sjö, Bo
    Linköping University, Department of Management and Engineering, Economics. Linköping University, The Institute of Technology.
    Remittances, Financial Development and Economic Growth in Bangladesh2013Conference paper (Other academic)
    Abstract [en]

    In Bangladesh, remittances from migrant workers are an important component of national income and a source for financing consumption and investment. This paper investigates the relationship between remittances, financial sector development and economic growth in Bangladesh over the period of 1976-2011. We apply a cointegration approach to explore this relationship and find a long-run steady among these variables. In the long-run, the inflow of remittances and the expansion of the financial sector drive the growth in GDP, whereas in the short run remittances act a shock absorber to income changes. The policy implications are discussed in the text.

  • 27.
    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.
    Remittances, Financial Developments and Economic Growth in Bangladesh2013In: South Asia Economic Journal, ISSN 1391-5614, E-ISSN 0973-077X, Vol. 14, no 2, p. 261-273Article in journal (Refereed)
    Abstract [en]

    In Bangladesh, remittances from migrant workers are an important component of national income and a source for financing consumption and investment. This article investigates the relationship between remittances, financial sector development and economic growth in Bangladesh over the period of 1976–2011. In the long run, the inflow of remittances and the expansion of the financial sector drive the growth in GDP, whereas in the short run, remittances act as a shock absorber to income changes.

  • 28.
    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.

1 - 28 of 28
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