Shigeyuki HAMORI

         Office

         Faculty of Economics, Kobe University,

         2-1, Rokkodai, Nada-Ku, Kobe, 657-8501, JAPAN

         Degree

         Ph.D. (Duke University, 1991)

         Current Position

         Professor, Faculty of Economics, Kobe University

         Research interest

         Empirical Finance, Applied Time Series Analysis

Duke University Kobe University

Books

• Tests of the Asset Pricing Model in a Monetary Economy: Some Evidence from USA and Japan, (University Microfilms International, 1991, Ph.D. dissertation)
• The Business Cycle in Post-War Japan: An Empirical Approach, with Shin-ichi Kitasaka (Nova Science Publishers Inc., New York, 1997)
• Hamori, S., (2003), An Empirical Investigation of Stock Markets: the CCF Approach, Kluwer Academic Publishers, Dordrecht.

• Bhar, R. and Hamori, S., (2004), Hidden Markov Models: Applications to Financial Economics, Kluwer Academic Publishers, Dordrecht.
• Bhar, R. and Hamori, S., (2005), Empirical Techniques in Finance, Springer, New York.
• Razafimahefa, I.F. and Hamori, S., (2007), International Competitiveness in Africa: Policy Implications in the Sub-Saharan Region, Springer, Berlin.
• Hamori, S. and Hamori, N., (2009), Introduction of the Euro and the Monetary Policy of the European Central Bank, World Scientific Pub. Co. Inc

 

　 　 　 　

Papers

1. "Information Costs, Learning Process and the Effectiveness of Monetary Policy," Scandinavian Journal of Economics, Vol.91, (1989) pp.535-546.
2. "Test of C-CAPM for Japan: 1980-1988," Economics Letters, Vol.38, (1992) pp.67-72.
3. "Small Sample Properties of Generalized Method of Moments Estimator with MA (1) Error," with Shin-ichi Kitasaka, Journal of the Japan Statistical Society, Vol.22, (1992) pp.161-172.
4. "On the Structural Stability of Preference Parameters Obtained from Japanese Financial Market Data," Economics Letters, Vol.40, (1992) pp.459-464.
5. "Test of the International Equity Integration of Japan," Economics Letters, Vol.42, (1993) pp.71-76.
6. "The Non-Expected Utility Model and Asset Prices: Some Evidence from Japan," Japanese Journal of Financial Economics, Vol.1, (1994) pp.89-99.
7. "On the Test of the Globalization of the Japanese Equity Market under the Kreps-Porteus Preference," Financial Engineering and the Japanese Market, Vol.2, (1995) pp.123-137.
8. "On the Time Variation of Risk Premium in the Japanese Stock Market," Current Politics and Economics of Japan, Vol.4, (1995) pp.129-138.
9. "On a Test for Structural Stability of Euler Conditions Parameters Estimated via the Generalized Method of Moments Estimator: Small Sample Properties," with Shin-ichi Kitasaka and Hisashi Tanizaki, Econometric Reviews, Vol.15, (1996) pp.97-114.
10. "Consumption Growth and the Intertemporal Elasticity of Substitution: Some Evidence from Income Quintile Groups in Japan," Applied Economics Letters, Vol.3, (1996) pp.529-532.
11. "A Simple Method to Test the Fisher Effect," Applied Economics Letters, Vol.4, (1997) pp.477-479.
12. "The Characteristics of the Business Cycles in Japan," with Shin-ichi Kitasaka, Applied Economics, Vol.29, (1997) pp.1105-1113 [lead article].
13. "Risk Premiums and Conditional Covariances in Tests of Asset Pricing Models: Some Evidence from Japan," Japan and the World Economy, Vol.9, (1997) pp.413-430.
14. "Testing for a Unit Root in the Presence of a Variance Shift," with Akira Tokihisa, Economics Letters, Vol.57, (1997) pp.245-253 [lead article].
15. "Money, Exchange Rates and International Business Cycles between Japan and the United States," Applied Economics Letters, Vol.5, (1998) pp. 31-35.
16. "A Numerical Analysis of the Monetary Aspects of the Japanese Economy: The Cash-in-Advance Approach," with Shin-ichi Kitasaka, Applied Financial Economics, Vol.8, (1998) pp. 51-59.

17. "Defying the Conventional Wisdom: US Consumers Are Found To Be More Risk Averse Than Those of Japan," Economic Modelling, Vol. 15, (1998) pp. 217-235.
18. "Stability of the Money Demand Function in Germany," with Naoko Hamori, Applied Economics Letters, Vol.6, (1999) pp. 329-332.
19. "Habit Formation and Durability in Consumption: Some Evidence from Income Quintile Groups in Japan," with Toshifumi Tokunaga, Applied Economics Letters, Vol. 6, (1999) pp. 397-402.
20. "Government Consumption and Fiscal Policy: Some Evidence from Japan," with Kazumi Asako, Applied Economics Letters, Vo.6, (1999) pp.551-555.
21. "Transmission Mechanism of Asset Prices in Japan," Current Politics and Economics of Asia, Vol.6, (1999) pp.185-194.
22. "The Transmission Mechanism of Business Cycles among Germany, Japan, the UK and the USA," Applied Economics, Vol. 32, (2000) pp. 405-410.
23. "An Empirical Analysis of Economic Fluctuations in Japan: 1885 - 1940," with Naoko Hamori, Japan and the World Economy, Vol. 12, (2000) pp. 11-19.
24. "Volatility of Real GDP: Some Evidence from the United States, the United Kingdom and Japan," Japan and the World Economy, Vol. 12, (2000) pp. 43-152.
25. "Seasonal Integration and Japanese Aggregate Data," with Akira Tokihisa, Applied Economics Letters, Vol. 7, (2000) pp. 591-594.
26. "International Transmission of Stock Prices among G7 Countries: LA-VAR Approach," with Yuriko Imamura, Applied Economics Letters, Vol. 7, (2000) pp. 613-618.
27. "A Theory of Quality Signaling in the Marriage Market,” with David A. Anderson, Japan and the World Economy, Vol. 12, (2000) pp. 229-242.
28. "Seasonal Cointegration and the Money Demand Function: Some Evidence from Japan," with Akira Tokihisa, Applied Economics Letters, Vol. 8 (2001) pp. 305-310.
29. "An Empirical Analysis on the Stability of Japan’s Aggregate Import Demand Function,” with Yoichi Matsubayashi, Japan and the World Economy, Vol. 13, (2001) pp. 135-144.
30. "An Empirical Analysis of the Efficiency of the Osaka Rice Market during Japan’s Tokugawa Era,” with Naoko Hamori and David A. Anderson, Journal of Futures Markets, Vol. 21, (2001) pp. 861-874.
31. "Seasonal Integration for Daily Data," with Akira Tokihisa, Econometric Reviews, Vol. 20, (2001) pp. 187-200.4
32. "Seasonality and Stock Returns: Some Evidence from Japan, “ Japan and the World Economy, Vol. 13 (2001) pp. 463-481.
33. "Seasonality and Purchasing Power Parity,” with Akira Tokihisa, Current Politics and Economics of Europe, Vol.4 (2002) pp.1-11.
34. "Real Wage Behavior in the United States, Britain, and Japan: An ARCH Approach," with David A. Anderson, European Economic and Political Issues, (2002), Vol. 4, pp. 13-24.
35. "Some International Evidence on the Seasonality of Stock Prices," with Akira Tokihisa, International Journal of Business and Economics, (2002), Vol. 1, pp. 79-86.
36. "Stock Returns and Real Activity: New Evidence from the United States and Japan," with David A. Anderson and Naoko Hamori, Quarterly Journal of Business and Economics, (2002), Vol. 41, pp. 95-114.
37. "Alternative Characterization of the Volatility in the Growth Rate of Real GDP," with Ramaprasad Bhar, Japan and the World Economy, (2003), Vol. 15, pp. 223-231.
38. "New Evidence of Linkages among G-7 Stock Markets," with Ramaprasad Bhar, Finance Letters, (2003), Vol. 1, pp. 35-40.
39. "Some International Evidence on the Stability of Import Demand Function," with Yoichi Matsubayashi, Applied Economics, (2003), Vol. 35, pp. 1497-1504.
40. "Trade and Growth Relationship: Some Evidence from Some Evidence from Comoros, Madagascar, Mauritius and Seychelles," with Ivohasina F. Razafimahefa, Asian and African Area Studies, (2003), Vol.3, pp. 174-185.
41. "Unit root and cointegration tests under heteroskedasticity," Far East Journal of Theoretical Statistics, with Akira Tokihisa, (2003), Vol. 11, pp. 113-131.
42. "Empirical Characteristics of the Permanent and Temporary Components of Stock Return: Analysis in a Markov Switching Heteroskedasticity Framework," with Ramaparsad Bhar, Economics Letters, (2004), Vol. 82, pp. 157-165.
43. "Information Flow between Price Change and Trading Volume in Gold Futures Contracts," with Ramaprasad Bhar, International Journal of Business and Economics, (2004), Vol. 3, pp. 45-56.
44. "The Link between Inflation and Inflation Uncertainty: Evidence from G7 Countries," with Ramaprasad Bhar, Empirical Economics, (2004), Vol. 29, pp. 825-853.
45. "Causality in Variance and the Type of Traders in Crude Oil Futures, " with Ramaprasad Bhar, Energy Economics, (2005), Vol. 27, pp. 527-539.
46. "Import Demand Function: Some Evidence from Madagascar and Mauritius," with Ivohasina F. Razafimahefa, Journal of African Economies, (2005), Vol.14, pp.411-434.
47. "A Coincident Financial Indicator for the Australian Stock Market," with Ramaprasad Bhar, Investment Management and Financial Innovations, (2005), No.3, pp.39-48.
48. "An Empirical Analysis of FDI Competitiveness in Sub-Saharan Africa and Developing Countries," with Ivohasina Razafimahefa, Economics Bulletin, (2005), Vol.6, pp.1-8.
49. "Business cycle Transmission between Japan and South Korea: Causality-in-Variance Approach," Empirical Economics Letters, (2005), Vol.4, pp.335-344 [lead article].
50. "On Least-Squares Bias in the AR(p) Model: Bias Correction Using the Bootstrap Method," with Hisashi Tanizaki and Yoichi Matsubayashi, Statistical Papers, (2006), Vol.47, pp.109-124.
51. "Empirical Investigation on the Relationship between Japanese and Arian Emerging Equity Markets," with Ramaprasad Bhar, Applied Financial Economics Letters, (2006) Vol.2, pp.77-86.
52. "Linkages among Agricultural Commodity Futures Prices: Some Further Evidence from Tokyo," with Ramaprasad Bhar, Applied Economics Letters, (2006), Vol.13, pp.535-539.
53. "Empirical Evidence on Commodity Futures Prices in the Tokyo Grain Market: the Component GARCH Approach," with Mitoshi Yamaguchi, Empirical Economics Letters, (2006), Vol.5, pp.66-75[lead article].
54. "Do international stock prices reflect international business cycles?" Progress in Economics Research, (2006), Vol.9, pp.1-10 [lead article]
55. Bhar, R. and Hamori, S. (2006) Component structure of agricultural commodity futures traded on the Tokyo Grain Exchange, Asia-Pacific Financial Markets, Vol.13, No.1, pp. 1-9 [lead article]
56. Bhar, R. and Hamori, S. (2007) Co-movement in the price of risk of aggregate equity markets, Economic Systems, Vol.31, No.3, pp.256-271.
57. Hamori, S. (2007) The information role of commodity prices in formulating monetary policy: some evidence from Japan, Economics Bulletin, Vol.5, No.13, pp.1-7.
58. Hamori, S. and Hamori, N. (2007) Sources of real and nominal exchange rate movements for the euro, Economics Bulletin, Vol.6, No.32, pp.1-10.

59. Hamori, S. (2007) International capital flows and the Frankel-Dooley-Mathieson puzzle, Economics Bulletin, Vol.15, No.19, pp.1-12.
60. Yao, W.-J., Hsieh, Y.-C., and Hamori, S. (2007) An empirical analysis about population, technological progress, and economic growth in Taiwan, Economics Bulletin, Vol.15, No.23, pp.1-13.
61. Bhar, R. and Hamori, S. (2007) Analysing yield spread and output dynamics in an endogenous Markov switching regression framework, Asia-Pacific Financial Markets, Vol.14, No.1/2, pp.141-156.
62. Bhar, R. and Hamori, S. (2008) Information content of commodity futures prices for monetary policy, Economic Modelling, Vol.25, No.2, pp.274-283.
63. Hamori S., (2008) Empirical analysis of the money demand function in Sub-Saharan Africa, Economics Bulletin, Vol.15, No.4, pp.1-15.
64. Bhar, R. and Hamori, S. (2008) A new approach to analysing comovement in European equity markets, Studies in Economics and Finance, Vol.25, No.1, pp.4-20.
65. Hamori, S. and Hamori, N. (2008) Demand for money in the euro area, Economic Systems, Vol.32, No.3, pp.274-284.
66. Hamori, S. (2008) Trade balances and the terms of trade in G-7 countries: panel cointegration approach, Applied Econometrics and International Development, Vol.8, No.2, pp. 13-22.
67. Chen, G, and Hamori, S., (2008) Do Chinese employers discriminate against females when hiring employees ?, Economics Bulletin, Vol.10, No.14, pp.1-17. 
68. Zhu, R., Chen, G., and Hamori, S., (2008) Estimation of the Marginal Abatement Cost of Carbon Dioxide with Environmental Accounting Data in Japan, Empirical Economics Letters, Vol.7, No.11 pp.1143-1148.

69. Tsuji, K. and Hamori, S. (2008) Some Evidence on the Import Demand Function for G-7 Countries, Empirical Economics Letters, Vol.7, No.12, pp.1221-1228.
70. Bhar, R. and Hamori, S. (2008) Measuring responses of output growth to changes in yield spread in a state switching framework, Journal of Economic and Social Measurement, Vol.33, No.4, pp.221-239.
71. Tanizaki, H. and Hamori, S. (2009) Volatility transmission between Japan, U.K. and U.S. in daily stock returns, Empirical Economics, Vol.36, No.1, pp.27-54.
72. Razafimahefa, I.F. and Hamori, S. (2009) Business cycle transmission between Madagascar, Seychelles, and their major economic partners, ICFAI Journal of Applied Economics, Vol.8, No.1, pp.7-19.
73. Hanabusa, K., Masuda, J., Hoshikawa, T. and Hamori, S., (2009) Price and Wage Setting in Japan: An Empirical Investigation, Economics Bulletin, Vol.29, No.1 pp.38-50.
74. Hamori. S. and Hamori, N., (2009) On the Sustainability of Budget Deficits in the Euro Area, Economics Bulletin, Vol.29, No.1, pp.56-66.
75. Inoue, T. and Hamori, S. (2009) An Empirical Analysis of the Money Demand Function in India, Economics Bulletin, Vol. 29, No.2, pp.1225-1246.
76. Hamori, S. and Tanizaki, H. (2009) Structural VAR approaches to the sources of exchange rate fluctuations in Sub-Saharan African countries, Economics of Developing Countries, pp.3-17, Edited by Calderia, T.N., NOVA Science Publishers Inc.
77. Hamori, S. (2009) Nominal and real exchange rate fluctuations of Yen-Dollar rates, Emerging Topics of Macroeconomics, pp. 13-27, edited by Bailly, R.O., NOVA Science Publishers, Inc,.
78. Hamori, S. and Hamori, N. (2009) International term structure of interest rates in the euro area, Applied Financial Economics Letters, Vol.16, No.11, pp.1113-1116.
79. Chen, G. and Hamori, S. (2009) An empirical analysis of Chinese rural labour migration using a multinominal logit model, Applied Econometrics and International Development, Vol.9, No.1, pp.177-186.
80. Matsubayashi, Y. and Hamori, S. (2009) Empirical analysis of import demand function in least developed countries, Economis Bulletin, Vol.29, No.2, 1460-1475.
81. Chen, G. and Hamori, S. (2009) Economic Returns to Schooling in Urban China: OLS and the Instrumental Variables Approach, China Economic Review, Vol.20, No.2, pp.143-152.
82. Chen, G. and Hamori, S. (2009) A solutin of the dilemma of migrant labor shortage and rural labor surplus in China, China and the World Economy, Vol.17, No.4, pp.53-71.
83. Kai, H. and Hamori, S. (2009) Globalization, financial depth, and inequality in Sub-Saharan Africa, Economics Bulletin, Vol. 29 No.3 pp. 2034-2046.
84. Hamori, S. and Matsubayashi, Y. (2009) Empirical analysis of export demand behavior of LDCs: Panel cointegration approach, Economics Bulletin, Vol. 29 No.3 pp. 1996-2005.

85. Hashiguchi, Y. and Hamori, S. (2009) Saving-investment relationship and capital mobility: Evidence from Chinese provincial data, 1980—2007, Economics Bulletin, Vol. 29 No.3 pp. 1986-1994.
86. Bhar, R. and Hamori, S., (2009) Growth Rate of Domestic Credit and Output: Evidence of the Asymmetric Relationship between Japan and the United States, International Journal of Applied Economics, Vol.6, No.1, pp.77-89.
87. Inoue, T. and Hamori, S., (2009) What Explains Real and Nominal Exchange Rate Fluctuations?: Evidence from SVAR Analysis for India, Economics Bulletin, Vol.29, No.4, pp.2797-2809.
88. Hamori, S. (2009) The sustainability of trade accounts of the G-7 countries, Applied Economics Letters, Vol.16, No.17, pp.1691-1694.
89. Kai, H. and Hamori, S., (2009) Microfinance and inequality, Research in Applied Economics, Vol.1, No.1, pp.1-12.
90. Hsieh, K., Hsieh, Y. and Hamori, S. (2010) The interdependence of Taiwanese and Japanese stock prices, Economics Bulletin, Vol.30, No.1, pp.879-892.
91. Nakajima, T. and Hamori, S., (2010) Change in consumer sensitivity to electricity prices in response to retail deregulation: A panel empirical analysis of the residential demand for electricity in the United States, Energy Policy, Vol.38, No.5, pp.23470-2476.
92. Kanao, K. and hamori, S., (2010) The size of underground market in Japan, Economics Bulletin, Vol.30, No.1, pp.903-912.
93. Chen, G. and Hamori, S. (2010) Bivariate probit analyses of differences between male and female formal employment in urban China, Journal of Asian Economics, Vol.21, No.5, pp.494-501.
94. Liu, Q. and Hamori, S., (2010) The efficiency of the Chinese stock market and the role of market liberalization, Economics Bulletin, Vol. 30 no.3 pp. 2524-2532.
95. Xu, H. and Hamori, S. (2010) Dynamic linkages of stock prices among G7 countries: effects of the American financial crisis, Economics Bulletin, Vol. 30 no.4 pp. 2656-2667.
96. Kawamoto, K. and Hamori, S. (2011) Market Efficiency among Futures with Different Maturities: Evidence from the Crude Oil Futures Market, Journal of Futures Markets, Vol.31, No.5, pp.487-501.
97. Zhang, Y., Song, J. and Hamori S., (2011) Impact of subsidy policies on diffusion of photovoltaic power generation, Energy Policy, Vol.39, No.4, pp.1958-1964.
98. Hamori, S. and Hamori, N., (2011) An Empirical Analysis of Real Exchange Rate Movements in the Euro, Applied Economics, Vol.43, No.10, pp.1187-1191.
99. Yin, F. and Hamori, S., (2011) Estimating the import demand function in the autoregressive distributed lag framework: The case of China, Economics Bulletin, Vol. 31 no.2 pp. 1576-1591
100. Dong, Y., Ishikawaa, M., Liub, X. and Hamori, S., (2011) The Determinants of Citizen Complaints on Environmental Pollution: An Empirical Study from China, Journal of Cleaner Production, vol.19, No.12, pp.1306-1314.
101. Yin, F. and Hamori, S. (2011) The Sustainability of Trade Balances in China, Economics Bulletin, vol. 31(3), pp. 2090-2097.
102. Inoue, T. and Hamori, S., (2011) Monetary Policy Framework in India: Past, Present and Future, pp. 131-142. ed. by R. Jha, Routledge Handbook of South Asian Economics, Routledge, London and New York.
103. Toyoshima, Y. and Hamori, S., (2011) Panel cointegration analysis of the Fisher effect: Evidence from the US, the UK, and Japan, Economics Bulletin, Vol.31(3), pp.2674-2682.
104. Inoue, T. and Hamori, S. (20011) An empirical analysis on the efficiency of the microfinance investment market, Economics Bulletin, Vol. 31 (3) pp. 2725-2735.
105. Tamakoshi, G. and Hamori, S., (2011) ''Transmission of stock prices amongst European countries before and during the Greek sovereign debt crisis'', Economics Bulletin, Vol. 31 No. 4 pp. 3339-3353
106. Hashiguchi, Y. and Hamori, S., (2012) The sustainability of trade balances in Sub-Saharan Africa: Panel cointegration tests with cross section dependence, Applied Economics Letters, vol.19, No.2, pp.161-165.
107. Inoue, T. and Hamori, S., (2012) How has financial deepening affected poverty reduction in India? Empirical analysis using state-level panel data, Applied Financial Economics, Vol.22, pp.395-408.
108. Miyazaki, T., Toyoshima, Y. and Hamori, S., (2012) ''Exploring the dynamic interdependence between gold and other financial markets'', Economics Bulletin, Vol. 32 No. 1 pp. 37-50.
109. Tamakoshi, G, Toyoshima, Y. and Hamori, S., (2012) ''A dynamic conditional correlation analysis of European stock markets from the perspective of the Greek sovereign debt crisis'', Economics Bulletin, Vol. 32 No. 1 pp. 437-448
110. Toyoshima, Y., Tamakoshi, G., and Hamori, S., (2012), Asymmetric Dynamics in Correlations of Treasury and Swap Markets: Evidence from the US Market, Journal of International Financial Markets, Institutions & Money, Vol.22, No.2, pp.381-94.
111. Toyoshima, Y. and Hamori, S., (2012) Volatility transmission of swap spreads among the United States, Japan, and the United Kingdom: a cross-correlation function approach, Applied Financial Economics, Vol.22, No.11, pp.849-862.
112. Toyosihma, Y. and Hamori, S., (2012) Panel cointegration analysis of co-movement between interest rate swap and treasury markets, Applied Economics Letters, Vol.19, No.15, pp.1483-1486.
113. Nakajima, T. and Hamori, S., (2012) Causality-in-Mean and Causality-in-Variance among Electricity Prices, Crude Oil Prices, and Yen-US Dollar Exchange Rates in Japan,
     Research in International Business and Finance, Vol. 26, No.4, pp. 371-386.
114. Tamakoshi, G. and Hamori, S., (2012) Informational roles of commodity prices for monetary policy: evidence from the Euro area, Economics Bulletin, AccessEcon, Vol. 32, No. 2, pp. 1282-1290.
115. Chen, G. and Hamori, S., (forthcoming) Formal and Informal Employment, and Income Differentials in Urban China, Journal of Interntional Development.
116. Hamori, S. and Hashiguchi, Y., (forthcoming) The effect of financial deepening on inequality: Some international evidence, Journal of Asian Economics.
117. Xu, H. and Hamori, S., (forthcoming) Dynamic linkages of stock prices between the BRICs and the United States: Effects of the 2008-09 financial crisis, Journal of Asian Economics.
118. Tamakoshi, G. and Hamori, S., (forthcoming) Volatility and mean spillovers between sovereign and banking sector CDS markets: a note on the European sovereign debt crisis , Applied Economics Letters.
     

Award

Murao Award for Young Researcher (February, 2002) "Econometric Analysis of Asset Prices"
Highest Quality Rating (February, 1999) by ANBAR Electronic Intelligence
Highest Quality Rating (November, 1998) by ANBAR Electronic Intelligence
Fulbright Fellow (1988)

 

Referee

Automatica, Economic Journal, Journal of International Money and Finance, Southern Economic Journal, Economic Modelling, Applied Economics, Applied Financial Economics, Journal of Macroeconomics, International Journal of Business and Economics, Bulletin of Economic Research, Japan and the World Economy, Japanese Economic Review, Journal of the Japanese and International Economies, Financial Engineering and the Japanese Markets, Asian Economic Review.