Measuring international competitiveness: experience from East Asia

Manzur, Meher; Wong, Wing-Keung; Chee, Inn-Chau

doi:10.1080/000368499323265

Cited by 22 publications

(14 citation statements)

References 24 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…It incorporates the presence of non-stationarity, long-term relationships and short-run dynamics in the modeling process. A detailed description of cointegration can be found in Dolado, et al (1990), Perman (1991), Hamilton (1994), Manzur, et al (1999) and Penm, et al (2003).…”

Section: Methodsmentioning

confidence: 99%

The relationship between stock markets of major developed countries and Asian emerging markets

Wong

Penm

Terrell

et al. 2004

Journal of Applied Mathematics and Decision Sciences

Self Cite

View full text Add to dashboard Cite

Abstract. With the emergence of new capital markets and liberalization of stock markets in recent years, there has been an increase in investors' interest in international diversification. This is so because international diversification allows investors to have a larger basket of foreign securities to choose from as part of their portfolio assets, so as to enhance the reward-to-volatility ratio. This benefit would be limited if national equity markets tend to move together in the long run. This paper thus studies the issue of co-movement between stock markets in major developed countries and those in Asian emerging markets using the concept of cointegration. We find that there is co-movement between some of the developed and emerging markets, but some emerging markets do differ from the developed markets with which they share a long-run equilibrium relationship. Furthermore, it has been observed that there has been increasing interdependence between most of the developed and emerging markets since the 1987 Stock Market Crash. This interdependence intensified after the 1997 Asian Financial Crisis. With this phenomenon of increasing co-movement between developed and emerging stock markets, the benefits of international diversification become limited.

show abstract

Section: Methodsmentioning

confidence: 99%

The relationship between stock markets of major developed countries and Asian emerging markets

Wong

Penm

Terrell

et al. 2004

Journal of Applied Mathematics and Decision Sciences

Self Cite

View full text Add to dashboard Cite

show abstract

“…Investors could further enhance their investment by incorporating our results with the findings in other approaches, like technical analysis (Wong et al 2001(Wong et al , 2003. Another way to improve the decision making on stock markets is to include the fundamental analysis Wong 1991, Wong andChan 2004) or to incorporate the stochastic dominance approach Li 1999, and or a study on the economic situation or financial anomalies (Manzur, et al 1999, Wan and Wong 2001, and Fong et al 2004. One could also apply advanced time series analysis (Wong and Miller 1990, Tiku et al 2000and Wong and Bian 2004 or Bayesian estimation (Matsumura et al 1990 and to improve the estimation.…”

Section: Resultsmentioning

confidence: 99%

“…In addition, if two or more non-stationary time series share a common trend, then they are likely to be cointegrated. Literature with further in depth discussion on cointegration can be found in Dolado et al (1990), Perman (1991), Hamilton (1994), Manzur et al (1999) and .…”

Section: Methodsmentioning

confidence: 99%

Do Money and Interest Rates Matter for Stock Prices? An Econometric Study of Singapore and Usa

Wong

Khan²,

2006

Singapore Econ. Rev.

Self Cite

View full text Add to dashboard Cite

This paper examines the long-term as well as short-term equilibrium relationships between the major stock indices and selected macroeconomic variables (such as money supply and interest rate) of Singapore and the United States by employing the advanced time series analysis techniques that include cointegration, Johansen multivariate cointegrated system, fractional cointegration and Granger causality. The cointegration results based on data covering the period January 1982 to December 2002 suggest that Singapore's stock prices generally display a long-run equilibrium relationship with interest rate and money supply (M1) but a similar relationship does not hold for the United States. To capture the short-run dynamics of the relationship, we replicate the same experiments with different subsets of data representing shorter time periods. It is evident that stock markets in Singapore moved in tandem with interest rate and money supply before the Asian Crisis of 1997, but this pattern was not observed after the crisis. In the United States, stock prices were strongly cointegrated with macroeconomic variables before the 1987 equity crisis but the relationships gradually weakened and totally disappeared with the emergence of Asian Crisis that also indirectly affected the United States. The results of fractional cointegration and the Johansen multivariate system are consistent with the earlier cointegration results that both Singapore and US stock markets did possess equilibrium relationships with M1 and interest rate at the early days. However, the stability of the systems was disturbed by a series of well-known financial turbulence in the past two decades and eventually weakened for Singapore and completely disappeared for the US. This may imply that monetary authority may take action to respond to the asset price turbulence in order to maintain the stability of monetary economy and thus break the existing equilibrium between stock markets and macroeconomic variables like interest rate and M1. Another possible explanation is that the market became more efficient after 1997 Asian crisis. Finally, the results of Granger causality tests uncover some systematic causal relationships, implying that stock market performance might be a good gauge for Central Bank's monetary policy adjustment.

show abstract

“…To the majority of economists, national competitiveness requires little definition and has long been a relatively straightforward matter of the cost competitiveness of an economy internationally, as determined by exchange rates and relative unit labour and land costs (Fagerberg, 1996;Kravis and Lipsey, 1967;McGeehan, 1968;Reinert, 1995). Controversies about this narrow conception of national competitiveness are confined generally to issues like the appropriateness of absolute exchange rates versus purchasing power parity measures (Manzur, Wong and Chee, 1999), or which of several means to derive unit labour costs is best (Carlin, Glyn and van Reenen, 2001;Marsh and Tokarick, 1996;Yoshitomi, 1996). A sizeable body of management literature examining the effects of exchange rates and currency volatility on individual firm performance and strategic actions has developed around this narrow conception of national competitiveness (Clark, Kotabe and Rajaratnam, 1999;Lessard and Lighthouse, 1986;Lessard and Zaheer, 1996;Miller, 1998;Millar and Reuer, 1998).…”

Section: Conceptions Of National Competitivenessmentioning

confidence: 99%

National Competitiveness: A Question of Cost Conditions or Institutional Circumstances?

Thompson

2004

British J of Management

View full text Add to dashboard Cite

The issue of national competitiveness is a matter of considerable importance to both managers and public policy makers alike. Business scholars reflect this importance by their annual production of international indices of country competitiveness. Nevertheless, the notion of national competitiveness is controversial and has both (i) a narrow, concise conception that relates primarily to cost conditions as determined by exchange rates, and (ii) a broader, more nebulous conception that comprises the institutional and systemic circumstances of an economy, such as legal, governmental, public policy and other factors framing countries' wider business environments. In practical managerial terms, national competitiveness is a combination of both these narrow and broad conceptions. However, exactly how important cost conditions as opposed to institutional circumstances are to national competitiveness from a practical business perspective has never been investigated and is not known. This study uses qualitative and quantitative data gathered from senior firm executives in a specimen economy to find out. Hierarchical regression analyses suggest that institutional circumstances are significantly more important than cost conditions to the competitiveness of an economy from a practical managerial viewpoint.

show abstract

Measuring international competitiveness: experience from East Asia

Cited by 22 publications

References 24 publications

The relationship between stock markets of major developed countries and Asian emerging markets

The relationship between stock markets of major developed countries and Asian emerging markets

Do Money and Interest Rates Matter for Stock Prices? An Econometric Study of Singapore and Usa

National Competitiveness: A Question of Cost Conditions or Institutional Circumstances?

Contact Info

Product

Resources

About