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Pacific-Basin stock markets and real activity
Abstracts of colume 2
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than those which do not. In particular, the m i n i m u m variance portfolio out-performed all other strategies in the sample period.
Keywords: D o m e s t i c diversification; Estimation risk; Industry sectors JEL Classification: G l l
P r e - a n n o u n c e m e n t s h a r e p r i c e r u n - u p s a n d a b n o r m a l t r a d i n g v o l u m e in t a k e o v e r t a r g e t ' s s h a r e s : m test o f the m a r k e t s p e c u l a t i o n h y p o t h e s i s P a u l G. M u r r a y V o l . 2, N o s . 2 - 3 , p p . 3 1 9 - 3 4 8 This paper examines the effect o f media speculation (a proxy for market speculation) on p r e - a n n o u n c e m e n t takeover target share price run-ups and abnormal trading volume. Using 60 Australian takeover targets over the period f r o m the end o f 1988 to mid 1992, it was found that media speculation has a substantial effect on p r e - a n n o u n c e m e n t share price activity. Media speculation however, was found not to have a significant effect on p r e - a n n o u n c e m e n t abnormal trading volume. The results appear to be more consistent with a market speculation argument than insider trading.
Keywords: Takeover; Speculation; Target; Insider trading; Australia J E L Classification: G14; G34
Pacific-Basin stock markets and real activity Yin-Wong
Cheung, Jia He, Lilian Ng
V o l . 2, N o s . 2 - 3 , pp. 3 4 9 - 3 7 3 This paper investigates the relationship between the Pacific-Basin country stock returns and real e c o n o m i c activity. It also examines the importance o f the Japanese and U.S. e c o n o m i e s to the Pacific-Basin financial markets by investigating the effects o f the f o r m e r ' s industrial production growth rates on the latter's stock market m o v e m e n t s . W e find that the representative global instrumental variables can explain up to 18% o f the m o n t h l y portfolio real return variability in the Pacific-Basin stock markets and 46% o f the quarterly variability. Our evidence s h o w s that U.S. industrial production g r o w t h rates tend to exhibit a stronger and more stable relationship with the Pacific-Basin real stock returns.
Keywords: Asset pricing; Pacific-Basin stock markets; Real activity; Maximal R2; M E P JEL Classification: G12; G15
143
than those which do not. In particular, the m i n i m u m variance portfolio out-performed all other strategies in the sample period.
Keywords: D o m e s t i c diversification; Estimation risk; Industry sectors JEL Classification: G l l
P r e - a n n o u n c e m e n t s h a r e p r i c e r u n - u p s a n d a b n o r m a l t r a d i n g v o l u m e in t a k e o v e r t a r g e t ' s s h a r e s : m test o f the m a r k e t s p e c u l a t i o n h y p o t h e s i s P a u l G. M u r r a y V o l . 2, N o s . 2 - 3 , p p . 3 1 9 - 3 4 8 This paper examines the effect o f media speculation (a proxy for market speculation) on p r e - a n n o u n c e m e n t takeover target share price run-ups and abnormal trading volume. Using 60 Australian takeover targets over the period f r o m the end o f 1988 to mid 1992, it was found that media speculation has a substantial effect on p r e - a n n o u n c e m e n t share price activity. Media speculation however, was found not to have a significant effect on p r e - a n n o u n c e m e n t abnormal trading volume. The results appear to be more consistent with a market speculation argument than insider trading.
Keywords: Takeover; Speculation; Target; Insider trading; Australia J E L Classification: G14; G34
Pacific-Basin stock markets and real activity Yin-Wong
Cheung, Jia He, Lilian Ng
V o l . 2, N o s . 2 - 3 , pp. 3 4 9 - 3 7 3 This paper investigates the relationship between the Pacific-Basin country stock returns and real e c o n o m i c activity. It also examines the importance o f the Japanese and U.S. e c o n o m i e s to the Pacific-Basin financial markets by investigating the effects o f the f o r m e r ' s industrial production growth rates on the latter's stock market m o v e m e n t s . W e find that the representative global instrumental variables can explain up to 18% o f the m o n t h l y portfolio real return variability in the Pacific-Basin stock markets and 46% o f the quarterly variability. Our evidence s h o w s that U.S. industrial production g r o w t h rates tend to exhibit a stronger and more stable relationship with the Pacific-Basin real stock returns.
Keywords: Asset pricing; Pacific-Basin stock markets; Real activity; Maximal R2; M E P JEL Classification: G12; G15