Econometric Modeling: International Financial Markets - Emerging Markets eJournal最新文献_第4页

Impact of Fundamental Factors on Stock Price: A Case of Nepalese Commercial Banks 基本面因素对股价的影响——以尼泊尔商业银行为例

Econometric Modeling: International Financial Markets - Emerging Markets eJournal Pub Date : 2017-09-27 DOI: 10.2139/ssrn.3044108

Prof. Dr. Radhe Shyam Pradhan, L. Paudel

{"title":"Impact of Fundamental Factors on Stock Price: A Case of Nepalese Commercial Banks","authors":"Prof. Dr. Radhe Shyam Pradhan, L. Paudel","doi":"10.2139/ssrn.3044108","DOIUrl":"https://doi.org/10.2139/ssrn.3044108","url":null,"abstract":"This study examines the impact of fundamental factors on stock price of Nepalese commercial banks. Return on assets, return on equity, net profit margin, earning per share and dividend per share are the independent variables. And market price per share and change in market price per share are the dependent variables. Data are collected from the Banking and Financial Statistics and Bank Supervision Report published by Nepal Rastra Bank and annual reports of the selected commercial banks. \u0000The study is based on 13 commercial banks of Nepal from 2007 to 2014, leading to a total of 104 observations. The regression models are estimated to test the significance and impact of fundamental factors in stock price of Nepalese commercial banks. The result shows that dividend per share (DPS), return on assets (ROA) and earning per share (EPS) are positively related to the stock price (market price per share and change in market price per share). This indicates that higher the DPS, ROA and EPS, higher would be the stock price. However, net profit margin is negatively related to stock price. The regression result shows that the beta coefficients for DPS and EPS are positively significant with market price per share at 5 percent level of significance.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"171 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115179053","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 8

Early Warning Systems with Real-Time Data 具有实时数据的预警系统

Econometric Modeling: International Financial Markets - Emerging Markets eJournal Pub Date : 2017-09-01 DOI: 10.2139/ssrn.3067757

Tjeerd M. Boonman, J. Jacobs, G. Kuper, Alberto Romero

引用次数: 0

The Lead-Lag Relationship between Volatility Index Futures and Spot in the Korean Stock Market 韩国股市波动率指数期货与现货的超前滞后关系

Econometric Modeling: International Financial Markets - Emerging Markets eJournal Pub Date : 2017-08-22 DOI: 10.16980/JITC.13.4.201708.139

Rongyuan Qin, Ji-hun Heo

{"title":"The Lead-Lag Relationship between Volatility Index Futures and Spot in the Korean Stock Market","authors":"Rongyuan Qin, Ji-hun Heo","doi":"10.16980/JITC.13.4.201708.139","DOIUrl":"https://doi.org/10.16980/JITC.13.4.201708.139","url":null,"abstract":"This empirical study examines the short-run lead-lag relationship between the VKOSPI index futures and its underlying spot index and KOSPI index using daily data from September 17, 2014 to May 2017. We used the unit root test, Johansen-Juselius cointegration test, Granger causality analysis, impulse response function analysis, and variance decomposition analysis to test the hypothesis that the futures market with no market frictions leads the spot market in this analysis. The results of these analyses using level variables show that there is a bi-directional lead-lag relationship between the VKOSPI futures and VKOSPI index, but in the analysis using first-difference variables, there is only a unidirectional lead-lag relationship form VKOSPI index to VKOSPI futures. This means that the VKOSPI spot market is more efficient than the futures market. Also, there are no lead-lag relationship from VKOSPI futures or VKOSPI index to KOSPI index. It is inconsistent with the main expected hypothesis in our study and the conclusions of previous studies which argue that the VIX futures lead the VIX index and S&P 500 index. This results are related to a lack of liquidity of VKOSPI futures contracts in the Korean derivatives market. Because generally, the Korean institutional investors prefer option trading, to hedge market risk rather than VKOSPI futures. Change in the price of the option will result in the change in the VKOSPI index and subsequently the mechanism that alters the VKOSPI futures or the KOSPI index.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128561073","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Loan-to-Value Policy: Evidence from Turkish Dual Banking System 贷款价值比政策:来自土耳其双重银行体系的证据

Econometric Modeling: International Financial Markets - Emerging Markets eJournal Pub Date : 2017-08-20 DOI: 10.2139/ssrn.3022886

Burak Pirgaip, Ali Hepşen

{"title":"Loan-to-Value Policy: Evidence from Turkish Dual Banking System","authors":"Burak Pirgaip, Ali Hepşen","doi":"10.2139/ssrn.3022886","DOIUrl":"https://doi.org/10.2139/ssrn.3022886","url":null,"abstract":"\u0000Purpose\u0000This paper aims to answer how effective the loan-to-value (LTV) regulation has been since 2011 for conventional and Islamic (participation) banks in Turkey in terms of curbing mortgage loan growth and delinquency[1].\u0000\u0000\u0000Design/methodology/approach\u0000The authors first use unit root tests and tests of difference in loan and property price data in pre-LTV and post-LTV period. Second, the authors follow Chow test and ordinary least squares regression analyses to test for a structural break when sensitivity of mortgage loan and delinquency growth changes to property price changes considered.\u0000\u0000\u0000Findings\u0000The authors find that two periods are statistically different, while the significance level is lower for Islamic banks. Moreover, loan growth has become less responsive to property price increases; delinquency sensitivity to property price changes has significantly increased in the post-LTV period for conventional banks, while this is not the case for Islamic (participation) banks.\u0000\u0000\u0000Originality/value\u0000This paper not only increases empirical evidence regarding the effectiveness of LTV ratio policy but also fills the gap in the literature by providing a comparison between conventional banks and Islamic (participation) banks.\u0000","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-08-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124727463","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 5

GARCH Model, Heavy Tails and the Chinese Stock Market Returns GARCH模型、重尾与中国股市收益

Econometric Modeling: International Financial Markets - Emerging Markets eJournal Pub Date : 2017-08-14 DOI: 10.2139/ssrn.3018940

Michael Day, Mark Diamond

引用次数: 0

Heavy-Tailed Distributions, GARCH Model and the Stock Market Returns in South Korea 重尾分布、GARCH模型与韩国股市收益

Econometric Modeling: International Financial Markets - Emerging Markets eJournal Pub Date : 2017-08-01 DOI: 10.2139/ssrn.3014472

Yoon Hong, Ji-chul Lee, Guoping Ding

引用次数: 1

Asymmetric and Symmetric Volatility Models for Exchange Rates in India – The Impact of the Net Purchase of US Dollars by the Central Bank and Net Inflows by Foreign Institutional Investors 印度汇率的非对称和对称波动模型——中央银行净买入美元和外国机构投资者净流入美元的影响

Econometric Modeling: International Financial Markets - Emerging Markets eJournal Pub Date : 2017-07-25 DOI: 10.2139/ssrn.2918848

Anand Shah, Anupam Bahri

{"title":"Asymmetric and Symmetric Volatility Models for Exchange Rates in India – The Impact of the Net Purchase of US Dollars by the Central Bank and Net Inflows by Foreign Institutional Investors","authors":"Anand Shah, Anupam Bahri","doi":"10.2139/ssrn.2918848","DOIUrl":"https://doi.org/10.2139/ssrn.2918848","url":null,"abstract":"In this study we model the monthly and the daily US, Euro Zone, UK and Australian exchange rates in India using the symmetric (sGARCH) and the asymmetric (GJR-GARCH and EGARCH) volatility models with the normal, the student t and the skewed student t error distributions. We also investigate the effect of the net US dollars (USD) purchase/ sale by the central bank, the net foreign institutional investor (FII) inflows and the one month forward spot differential on the monthly US exchange rate. Furthermore, we also test the presence of the calendar effect such as the monthly effect and the day-of-week effect on these exchange rates. We find that the models with the normal error distribution tend to fit the monthly log returns of the exchange rates better than those with the non-normal error distribution and the converse is true for the daily log returns. The calendar effects in the mean model are pronounced and Fridays on an average witness an appreciation of the Indian rupee against all the currencies we tested. Month of August has significant impact on the US exchange rate and June on the other three exchange rates. The leverage effect is not pronounced in all the exchange rates. The EGARCH models with the calendar effect dummies in the volatility model are not parsimonious. The net purchase/ sale of USD in a given month by the central bank and the one month forward spot differential do not have any significant impact on the monthly US exchange rate. But the net inflow of USD from foreign institutional investors leads to an appreciation of Indian rupee against USD. Thus the concern that capital inflows, especially the easily repatriable ones, could appreciate the Indian rupee seems to be correct but the net purchase/ sale of USD by the RBI does not seem to be abating the impact.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124715324","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

An Improvement on an Interest Rate Commission Agent Banking System Model (AIRCABS) 利率代理银行系统模型(AIRCABS)的改进

Econometric Modeling: International Financial Markets - Emerging Markets eJournal Pub Date : 2017-07-24 DOI: 10.2139/ssrn.3007592

Ameha Tefera Tessema, J. Kruger

引用次数: 0

Comparative Evaluation of Earnings Management and the Cost of Capital in Tehran Stock Exchange (Case Study: The Pharmaceutical Industry, Petrochemical and Cement) 德黑兰证券交易所盈余管理与资本成本的比较评价(以制药、石化和水泥行业为例)

Econometric Modeling: International Financial Markets - Emerging Markets eJournal Pub Date : 2017-07-18 DOI: 10.2139/ssrn.3004626

I. Noravesh, amin panahandeh

{"title":"Comparative Evaluation of Earnings Management and the Cost of Capital in Tehran Stock Exchange (Case Study: The Pharmaceutical Industry, Petrochemical and Cement)","authors":"I. Noravesh, amin panahandeh","doi":"10.2139/ssrn.3004626","DOIUrl":"https://doi.org/10.2139/ssrn.3004626","url":null,"abstract":"Nowadays, earnings management has become one of the most widely used and influential phenomena and issues in the financial accounting circles. Several scholars, extensive research and diversity in this regard and have achieved an important result. Considering the importance of taking into account discretionary accruals and earnings management, we actually try to have a stake in this section of the paper. The research to explain about earnings management and capital costs and the relationship of these two firms listed in the Tehran Stock Exchange (Case study: the pharmaceutical industry, petrochemical and cement). Specifically, we aim to identify the characteristics of firms that knowingly manipulated to act in profit, profit management. The sample included 95 companies listed on the Tehran Stock Exchange (Consisting of 46 companies in pharmaceuticals, petrochemicals and cement), for a period of 5 years from 1389 to 1393. The findings showed regardless of the selected sample of target industries and all companies (95 companies) and direct correlation between earnings management and capital cost there. On the other hand complementary studies showing significant difference was observed between different industries.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"114 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130376421","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

A Quantitative Risk Management Tool for the Equity Market in Philippines 菲律宾股票市场的定量风险管理工具

Econometric Modeling: International Financial Markets - Emerging Markets eJournal Pub Date : 2017-07-11 DOI: 10.2139/ssrn.3013838

R. Alba, Yi-Tai Chiu, Ruiyue Lin

引用次数: 0