Jen-Je Su

Crypto-currency bubbles: an application of the Phillips–Shi–Yu (2013) methodology on Mt. Gox bitcoin prices

The creation of bitcoin heralded the arrival of digital or crypto-currency and has been regarded as a phenomenon. Since its introduction, it has experienced a meteoric rise in price and rapid growth accompanied by huge volatility swings, and also attracted plenty of controversies which even involved law enforcement agencies. Hence, claims abound that bitcoin has been characterized by bubbles ready to burst any time (e.g. the recent collapse of bitcoin’s biggest exchange, Mt Gox). This has earned plenty of coverage in the media but surprisingly not in the academic literature. We therefore fill this knowledge gap. We conduct an econometric investigation of the existence of bubbles in the bitcoin market based on a recently developed technique that is robust in detecting bubbles – that of Phillips et al. (2013a). Over the period 2010–2014, we detected a number of short-lived bubbles; most importantly, we found three huge bubbles in the latter part of the period 2011–2013 lasting from 66 to 106 days, with the last and biggest one being the one that ‘broke the camel’s back’ – the demise of the Mt Gox exchange.

Long memory properties of real interest rates for 16 countries

This study examines the long-run dynamics of ex post and ex ante real interest rates for 16 countries. Three real interest rates – the realized (ex post) rate and two ex ante rates – are examined for each of the 16 countries. The magnitude of persistence is estimated using the ARFIMA model. The key empirical results suggest that for the majority of the 16 countries, the long-memory parameters of the three real rates lie between zero and one, and the parameters tend to be considerably smaller for the ex post real rate compared with both of the two ex ante rates.

Convergence clubs among 15 OECD countries

This study investigates the question of convergence among 15 OECD countries, where convergence is defined in several ways, for example as joint stationarity of differences of log per capita real output. No convergence is found for the entire set of OECD countries, so a clustering algorithm is used to identify sets of countries for which convergence occurs. The sensitivity of these ‘convergence clubs’ is investigated to the definition of convergence, the data used, and various details of the econometric procedure.

What determines stock liquidity in Australia

ABSTRACT Using an index of corporate governance quality (CGQ), we provide the first robust evidence of the determinants of stock liquidity in Australia. We assume that CGQ affects stock liquidity because effective governance decreases information asymmetries between insiders (e.g. managers) and outsiders (e.g. investors), as well as among outsiders, by improving information transparency of a firm. Consistent with agency theory, this study, using 435 large capitalization firms over the period from 2001 to 2008, finds a significant positive relationship between CGQ and stock liquidity, suggesting that better governed firms have a higher level of stock liquidity. These findings are robust to alternative proxies of CGQ, stock liquidity and endogeneity bias.

Investigating the Interaction Effect of Democracy and Economic Freedom on Corruption: A Cross-Country Quantile Regression Analysis

This paper explores the interaction effects of economic freedom and democracy in controlling corruption for 100 countries by using quantile regression technique. The main contribution is to explore the interaction effects throughout conditional distribution of corruption across nations. Our results reinforce some findings in the literature, but also provide new conclusions. The findings suggest a stronger and significant interaction effect in reducing corruption, especially in the most-corrupt countries. However, democratic and economic freedoms alone may not cure corruption effectively in the most-corrupt nations, a sound democratic reform can eliminate corruption substantially only after achieving a threshold level of economic freedom.

Does Political and Economic Freedom Matter for Inbound Tourism? A Cross-National Panel Data Estimation

The article examines the impact of political and economic freedom on inbound tourism for more than 110 countries during 1995–2012. Panel country fixed-effects techniques are utilized to examine the relationship after controlling for other factors that contribute to inbound tourism. The results show that civil liberties and economic freedom (among several other freedom measures) are positively and significantly associated with inbound tourism. Examination of the moderation effect reveals that civil liberties (economic freedom) tend to play a more influential role on inbound tourism when the level of economic freedom (civil liberties) is relatively low.

A note on spurious regressions between stationary series

This article examines if the convergent t-test suggested by Sun (2004) is able to solve spurious regressions with stationary series. In brief, we find that the convergent t-test does provide better control over size compared to the usual t-test and its Newey–West modification and, in most cases implementing a pre-whitening procedure size is further controlled.

On the size and power of testing for no autocorrelation under weak assumptions

Recently, Lobato (Journal of the American Statistical Association, 96, 1066–76, 2001) proposed a robust test of no autocorrelation on a time series when the series is possibly dependent. While the Lobato test is shown to be accurate in size, its power performance is unsatisfactory. This paper seeks to improve the power of the Lobato test without comprising its good size property. Based on the recent works of Jansson (2004) and Phillips et al. (2003), two classes of modified Lobato tests are suggested. It is found that the Lobato test and its Phillips–Sun–Jin modification exhibit very similar control over size while the Jansson modification tends to be more vulnerable to size distortion. It is also found that both modified tests dominate the Lobato test in terms of local asymptotic power and in terms of finite sample power and the Phillips–Sun–Jin modification seems to outperform the Jansson modification. Autocorrelations in monthly financial asset (stock/bond) returns are investigated.

On the power of the multivariate KPSS test of stationarity against fractionally integrated alternatives

It shown that the multivariate version of KPSS test of Nyblom and Harvey (Econometric Theory, 16, 176-199, 2000) is consistent for the null of I(0) against the I(d) alternative. Simulation evidence is given to show the gain in power that is obtained from the multivariate approach.

Examining the impact of microfinance on microenterprise performance (implications for women-owned microenterprises in Indonesia)

Purpose The purpose of this paper is to examine the impacts of microfinance on women-owned microenterprises’ (WMEs) performance in Indonesia. It especially observes how financial, human and social capital influences performance of enterprises. Design/methodology/approach Data were collected from a survey conducted in Surabaya, Indonesia’s second largest city, covering more than 100 WMEs. The ordered probit technique is applied to estimate the performance vis-a-vis financial, social and human capital relationships. Findings This study finds a negative relationship between performance and financial capital, and positive relationships between performance-human capital and performance-social capital. However, with respect to human capital, the level of education has a marginally significant relationship with performance. Practical implications Microcredit for the purposes of enhancing business performance might not necessarily be a good idea, if it is unable to generate higher returns. As a business develops, the volume of microcredit should be reduced, and replaced by owners’ own savings and retained profits. Regarding the non-financial factors, it might be useful for policy makers to contemplate providing incentives for spouse involvement in microenterprises run by women, and to consider them in designing credit policies. Group meetings activities should be extended to facilitate members to engage in business-related conversations and to develop social relationships. The ability of loan officers and group leaders to facilitate such conversations appears important. Originality/value To the best of the authors’ knowledge, this study provides the first in-depth understanding of the role of microfinance programmes in the case of performance of WMEs in Indonesia, one of the world’s most populous economies.