Kausik Chaudhuri

Random walk versus breaking trend in stock prices: Evidence from emerging markets

This paper investigates whether stock-price indexes of seventeen emerging markets can be characterized as random walk (unit root) or mean reversion processes. We implement a test that can account for structural breaks in the underlying series and is more powerful than standard tests. We find that for fourteen countries, stock prices exhibit structural breaks. Furthermore, for ten countries, the null hypothesis of a random walk can be rejected at the one or 5% significance level. Our results indicate that ignoring structural breaks that arise from the liberalization of emerging markets can lead to incorrect inference that these indices are characterized by random walks, and are consistent with the points made by Bekaert et al. [J. Int. Money Finan. 21 (2002) 295]. Our findings hold true regardless of whether stock indexes are denominated in US dollar terms, in local currencies terms, or in real terms. 2002 Elsevier Science B.V. All rights reserved.

Long-run equilibrium real exchange rates and oil prices

Abstract Using cointegration and causality tests, this paper demonstrates that the nonstationary behavior of US dollar real exchange rates, over the post-Bretton Woods era, is due to the nonstationary behavior of real oil prices.

Stock market and aggregate economic activity: evidence from Australia

Using the multivariate cointegration methodology, this article documents the evidence of long-run relationships between real stock price and measures of aggregate real activity including real GDP, real private consumption, real money and the real price of oil in the Australian market. Real stock return in Australia is related to temporary departures from the long-run relationship and to changes in real macroeconomic activity. The results also document that the information provided by the cointegration contain some additional information that is not already present in other sources of return variation such as term spread, future GDP growth or shocks to term spread. On the other hand, the influence of other markets, especially stock return variation in the US and New Zealand markets, significantly affects Australian stock return movements.

Mean reversion in stock prices: evidence from emerging markets

This paper investigates whether stock‐price indexes of emerging markets can be characterized as random walk (unit root) or mean reversion processes. We implement a panelbased test that exploits cross‐sectional information from seventeen emerging equity markets during the period January 1985 to April 2002. The gain in power allows us to reject the null hypothesis of random walk in favor of mean reversion at the 5 percent significance level. We find a positive speed of reversion with a half‐life of about 30 months. These results are similar to those documented for developed markets. Our findings provide an interesting comparison to existing studies on more matured markets and reduce the likelihood of earlier mean reversion findings as attributable to data mining.

Long-run prices of primary commodities and oil prices

Acutely volatile movements in primary commodity prices have drawn considerable interest from empirical researchers. Exports of these commodities account for the bulk of export earnings of developing countries. The traditional demand-based framework was unable to explain the marked deterioration in these prices during the 1980s. This paper tries to ascertain the role played by real oil prices in explaining the extremely volatile movements in real prices of primary commodities by taking into account oil price shocks over the period 1973–1996, using monthly data. Real primary commodity prices and real oil prices are cointegrated. Additionally, the error in the cointegrating relation stimulates real commodity price adjustment, not real oil price adjustment.

Cointegration, error correction and Granger causality: an application with Latin American stock markets

This paper offers an empirical investigation of the presence of a long run relationship in stock prices in six Latin Emerging Markets. We find evidence of a long run relationship among all of these countries in a bivariate framework. Results indicate the presence of bidirectional rather than unidirectional causality suggesting the absence of weak exogeneity among their stock prices.

Antenatal and maternal health care utilization: evidence from northeastern states of India

This article examines the role played by the various socio-economic and community level factors in determining the antenatal and maternal health care utilization pattern using the data from the National Family Health Survey carried out in India in 1998/99. Our analysis document that autonomy enjoyed by women and exposure to media has a significant impact on maternal heath care utilization even after controlling for other attributes, particularly their education and household economic status. Availability of a rural health facility in the village and other community level programme propagates the utilization of health care.

Gender Gap in Educational Attainment: Evidence from Rural India.

Using a probit and censored ordered probit model of school completion we identify some state‐specific factors influencing primary and middle school graduation probabilities of male and female children in two north‐Indian states: Uttar Pradesh and Bihar. We find that education of the parents, economic and social status of the household and the village‐level factors affect the graduation probabilities differently in Uttar Pradesh and Bihar. Both states exhibit a common feature: females are less likely to graduate primary school and middle school, compared with the boys. We decompose the gap between male and female graduation probabilities into coefficient and characteristic effects. In both the states, the education of the parents and development of village infrastructure seem to be the most important channel of narrowing the schooling gap.

Credit rationing in rural credit markets of India

This article analyses the prevalent situation of the formal Financial Institutions (FIs) in rural India using data from National Sample Survey 54th Round (January–June, 1998). We use sample selectivity model to examine the sanction of the loan by the FIs as a two-stage process. We model the choice of the households credit requirement using an unordered choice model, namely, a multinomial logit model. Our results reveal that the rural households are considerably credit constrained. The households who do not have an account in a FI have a lower chance of obtaining the loan and households who are credit constrained have relatively lower land holding and they do not possess livestock. Households who borrow for nonfarm purpose exhibit a lower chance of obtaining credit compared to those households who borrow for farm business. Village level infrastructure plays an important role in determining the credit rationing behaviour in rural India.

School Attainment, Completion, and Economic Development: A Cross-Country Analysis

The primary aim of this paper is to examine the relationship between school attainment, school completion, and economic development. In doing so it also examines the effect of other macroeconomic variables on school attainment and completion. Estimation is conducted using a panel dataset of 138 countries. Our results show that income levels, government expenditure on education, and political instability all have significant effects on school completion and attainment. In addition these variables have different effects on male and female schooling. Our results have important policy implications and in particular allow policymakers to identify different instruments to target the problem of non-completion of schooling.