Wing-Keung Wong

Topological Characteristics of the Hong Kong Stock Market: A Test-based P-threshold Approach to Understanding Network Complexity

In this paper, we analyze the relationship among stock networks by focusing on the statistically reliable connectivity between financial time series, which accurately reflects the underlying pure stock structure. To do so, we firstly filter out the effect of market index on the correlations between paired stocks, and then take a t-test based P-threshold approach to lessening the complexity of the stock network based on the P values. We demonstrate the superiority of its performance in understanding network complexity by examining the Hong Kong stock market. By comparing with other filtering methods, we find that the P-threshold approach extracts purely and significantly correlated stock pairs, which reflect the well-defined hierarchical structure of the market. In analyzing the dynamic stock networks with fixed-size moving windows, our results show that three global financial crises, covered by the long-range time series, can be distinguishingly indicated from the network topological and evolutionary perspectives. In addition, we find that the assortativity coefficient can manifest the financial crises and therefore can serve as a good indicator of the financial market development.

Repurchase intention of Korean beauty products among Taiwanese consumers

The purpose of this paper is to bridge the gap in the literature to examine key factors that influence Taiwanese consumers to repurchase Korean beauty products.,This study uses a quantitative approach to test the proposed hypotheses using structural equation modeling. Causal research design is used in this research to identify cause-and-effect relationship among the constructs. Primary data collection is used to gather data. This study provides the better understanding about key factors that influence Taiwanese consumers’ repurchase intention (RI) of Korean cosmetics products.,Results show that perceived price (PP) and country of origin (COO) significantly influence word-of-mouth (WOM). PP, COO and WOM significantly influence RI. WOM is the most influential variable toward RI, followed by COO and PP.,Very few studies have examined a general construct of RI related to beauty product. The findings of this study imply several practical directions for marketers of beauty product industries specifically for Taiwanese consumers. This study helps to know what factors become basic consideration for Taiwanese consumers in repurchasing Korean beauty products. Second, it underscores the role of WOM between the independent variables (PP and COO) and RI as the dependent variable.

A new test of multivariate nonlinear causality

The multivariate nonlinear Granger causality developed by Bai et al. (2010) (Mathematics and Computers in simulation. 2010; 81: 5-17) plays an important role in detecting the dynamic interrelationships between two groups of variables. Following the idea of Hiemstra-Jones (HJ) test proposed by Hiemstra and Jones (1994) (Journal of Finance. 1994; 49(5): 1639-1664), they attempt to establish a central limit theorem (CLT) of their test statistic by applying the asymptotical property of multivariate U-statistic. However, Bai et al. (2016) (2016; arXiv: 1701.03992) revisit the HJ test and find that the test statistic given by HJ is NOT a function of U-statistics which implies that the CLT neither proposed by Hiemstra and Jones (1994) nor the one extended by Bai et al. (2010) is valid for statistical inference. In this paper, we re-estimate the probabilities and reestablish the CLT of the new test statistic. Numerical simulation shows that our new estimates are consistent and our new test performs decent size and power.

Can a Disinflationary Policy Have a Differential Impact on Sectoral Output? A Look at Sacrifice Ratios in OECD and Non-OECD Countries

This article examines the sectoral impact of disinflationary monetary policy by calculating the sacrifice ratios for several Organisation for Economic Co-operation and Development (OECD) and non-OECD countries. Sacrifice ratios calculated through the episode method reveal that disinflationary monetary policy has a differential impact across three sectors in both OECD and non-OECD countries. Of the three sectors, the industry and service sectors show significant output loss due to a tight monetary policy in OECD and non-OECD countries. But the agricultural sector shows a differential impact of disinflation policy: It shows a negative sacrifice ratio in OECD countries indicating that output growth is insignificantly affected by a tight monetary policy while non-OECD countries yield positive sacrifice ratios, suggesting that the output loss is significant. Further, it is observed that sacrifice ratios calculated from aggregate data are different from ratios calculated from sectoral data. JEL Classification: E52, E58, C14, O50