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Studying EMH and Deflationary Pressures

* †,

‡ §

ag

, and Watson, Cameron Trivedi’s

bound

.

Japan’s market, which may mean no deflationary pressures for

China economy because Japan’s economy is still showing

*

†

‡

§

Studying EMH and Deflationary…

66

and still persists. This period is called “lost decades for Japan” (Clemens,

’

(M2 Money Supply; 10


67

y

2000 2003

’s

.

.


68

Gabrielsen, Marzo and Zagaglia (2011)’ survey, there are different ways

h

.

1

1


69

cr = β0 + β1l + β2il + β3v + β4mfi + β5yrtr + β6er

+β7m2+ β8crude + β9ur + β10br + β11jr + μ

,

ur = SPY index returns (the USA);

βo 11

short

1


70

crt = β0 + Σβ1ilt−1 + Σβ2iilt−1 + Σβ3ivt−1 + Σβ4imfit−1

+Σβ5iyrtrt−1 + Σβ6iert−1 + Σβ7im2t−1 + Σβ8icrudet−1

+Σβ9iurt−1 + Σβ10ibrt−1 + Σβ11ijrt−1 + μt

,

ECM = crt − (β0 + Σβ1ilt−1 + Σβ2iilt−1 + Σβ3ivt−1

+Σβ4imfit−1 + Σβ5iyrtrt−1 + Σβ6iert−1 + Σβ7im2t−1

+Σβ8icrudet−1 + Σβ9iurt−1 + Σβ10ibrt−1 + Σβ11ijrt−1 + μt)

Normality with Cameron, skewness and kurtosis with the Trivedi’s IM

1

p

short


71

month's

2016.

008


72

, 5 56.

: Making Sure “It” Dosen’t

Here.” The Federal Reserve Board, Speech before the National

.

Prices.” The American Economic Review, 94(2), 19 23.

, 383 403.

Cohen, R. B., Polk, C., &Vuolteenaho T. (2005). “Money Illusion in the

Stock Market: The Modigliani Cohn Hypothesis.” The Quarterly

668.

Clemens, M. (2016). “Deflation and Stock Prices.” Available on SSRN #

2843597.

25.

276.

Business, 38 105.


73

The

, 71 565.

, A. and Khan. N. U. (2017), “

– A case of Pakistan”, Journal

41

Israil, S. and Khan, N. U., (2016) “The Impact of Merger and

Acquisition on the Karachi Stock Exchange” Sarhad Jou

156

,

1 61.

, 18, 45 61.

Khan, N.U., Burton, B.M., Power, D.M. (2016) “The Share Price

Behaviours around Dividend Announcements in Pakistan” Afro

– 373

Khan, N. U., Khan, S., (2016) “Weak Form of Efficient Market

Hypothesis – Evidence from Pakistan” Business & Economic

18

82

49 58.

Актуальніпроблемиекономіки 430.

, 51

878.

case study of Côte d’Ivoire. In


74

, 25

383 417.

, 9 96.

, 40 245.

integration technique: application and interpretation”,

91

, 16 326.

, 33 30.

61.

, 35

1103.

(2001), “Inflation and stock returns”,

pp. 447 450.

, 5 250.

China Selected ARDL’s Short Run Error Correction Representation Model

. .

∆ 10 0.000

∆ 1 10 0.179


75

∆ 2 10 0.270

∆ 3 11 0.570

∆ 39914.36 0.828 307744 0.042

∆ 1 43524.2 0.729

∆v 0.0053469 0.986

∆

0.2067709 0.105

∆ 1 0.1190707 0.367

∆ 2 0.2879548 0.020

10 y ∆

3.391404 0.473 2.287205 0.567

∆ 1 0.6242191 0.897 3.747839 0.329

∆ 2 4.056638 0.431 1.463234 0.734

∆ 0.4691249 0.0870.1013105 0.313

∆ 1

∆ 2

∆

62.3071 0.257 35.37865 0.119

∆

12 0.580 13 0.183

72.45851 0.291 2.899717 0.734

ECM( 0.9065261 0.000 1.145138 0.000

0.56415597 0.81142442

0.38255429 0.751185

7.559619 5.5813306

11 0.473

151034.6 0.541

0.0139593 0.809

0.1700897 0.068

3.940714

0.104 2.612502 0.129

7.69859

0.380

US Return 1.841887 0.031 0.4299637 0.162

0.478762 0.593 0.2896431 0.328


76

0.5905927 0.245 0.1709199 0.202

ECM( 0.9065261 0.000 1.145138 0.000

2002 2008 2008 2016

on

2.063278 2.067099

0.9563 0.9963

0.1685 0.5039

0.7218 0.1036

y

Cameron & Trivedi’s IM Test (skewness) 0.5868 0.6068

Cameron & Trivedi’s IM Test (kurtosis) 0.1931 0.5575

Cameron & Trivedi’s IM Test (hetero) 0.4347 0.4520

0.0880 0.0056


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Studying EMH and Deflationary Pressures › jms › default_files › JMS › 12_4 ›...

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