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Investigating the Reciprocal Relationships Within Health Virtual Communities

  • Zhechao (Charles) Liu

    (University of Texas at San Antonio)

  • Nima Kordzadeh

    (University of Texas at San Antonio)

  • Yoris A. Au

    (University of Texas at San Antonio)

  • Jan G. Clark

    (University of Texas at San Antonio)

Registered author(s):

    This paper attempts to shed light on the puzzling finding that the results of applying the conventional or nonlinear unit root tests to the yen real exchange rates (RERs) in some recent studies appear to be rather sensitive to whether or not including the data of recent decade in the studies. It is found that this sensitivity of the test results may come from the failure to take into account the large rise and fall in the yen RERs. Using the newly developed unit root tests which account for the presence of multiple smooth temporary breaks in the RERs, the results clearly show that the yen RERs in the post-Bretton Woods period can be characterized as being linear or nonlinear stationary around infrequent smooth temporary mean changes, supporting the validity of PPP.

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    File URL: http://business.utsa.edu/wps/is/0007IS-673-2012.pdf
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    Paper provided by College of Business, University of Texas at San Antonio in its series Working Papers with number 0007.

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    Length: 11 pages
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    Handle: RePEc:tsa:wpaper:0007
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    1. Gennotte, Gerard & Leland, Hayne, 1990. "Market Liquidity, Hedging, and Crashes," American Economic Review, American Economic Association, vol. 80(5), pages 999-1021, December.
    2. Du, Xiaodong & Yu, Cindy L. & Hayes, Dermot J., 2011. "Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis," Energy Economics, Elsevier, vol. 33(3), pages 497-503, May.
    3. Giulio Cifarelli & Giovanna Paladino, 2008. "Oil price Dynamics and Speculation. A Multivariate Financial Approach," Working Papers - Economics wp2008_15.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
    4. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
    5. Dasgupta, Susmita & Laplante, Benoit & Mamingi, Nlandu, 1998. "Capital markets responses to environmental performance in developing countries," Policy Research Working Paper Series 1909, The World Bank.
    6. Stefan Reitz & Ulf Slopek, 2009. "Non-Linear Oil Price Dynamics: A Tale of Heterogeneous Speculators?," German Economic Review, Verein für Socialpolitik, vol. 10, pages 270-283, 08.
    7. Silvennoinen, Annastiina & Thorp, Susan, 2013. "Financialization, crisis and commodity correlation dynamics," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 42-65.
    8. Bessembinder, Hendrik & Seguin, Paul J., 1993. "Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(01), pages 21-39, March.
    9. Röthig, Andreas & Chiarella, Carl, 2006. "Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models," Darmstadt Discussion Papers in Economics 36774, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute of Economics (VWL).
    10. Ahmet Enis Kocagil, 1997. "Does futures speculation stabilize spot prices? Evidence from metals markets," Applied Financial Economics, Taylor & Francis Journals, vol. 7(1), pages 115-125.
    11. Weiner, Robert J., 2002. "Sheep in wolves' clothing? Speculators and price volatility in petroleum futures," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(2), pages 391-400.
    12. G. Geoffrey Booth & Ji-Chai Lin & Teppo Martikainen & Yiuman Tse, 2002. "Trading and Pricing in Upstairs and Downstairs Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1111-1135.
    13. Sentana, Enrique & Wadhwani, Sushil B, 1992. "Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data," Economic Journal, Royal Economic Society, vol. 102(411), pages 415-25, March.
    14. Kaufmann, Robert K. & Ullman, Ben, 2009. "Oil prices, speculation, and fundamentals: Interpreting causal relations among spot and futures prices," Energy Economics, Elsevier, vol. 31(4), pages 550-558, July.
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