Econometric Modeling: International Financial Markets - Emerging Markets eJournal最新文献

{"title":"Interest Rate Volatility and Sudden Stops: An Empirical Investigation","authors":"Ricardo Reyes-Heroles, Gabriel Tenorio","doi":"10.17016/IFDP.2017.1209","DOIUrl":"https://doi.org/10.17016/IFDP.2017.1209","url":null,"abstract":"Using a multi-country regime-switching vector autoregressive (VAR) model we document the existence of two regimes in the volatility of interest rates at which emerging economies borrow from international financial markets, and study the statistical relationship of such regimes with episodes of sudden stops. Periods of high volatility tend to be persistent and are associated with high interest rates, the occurrence of sudden stops in external financing, and large declines in economic activity. Most strikingly, we show that regime switches drive the countercyclicality of interest rates in emerging markets documented in previous literature (Neumeyer and Perri, 2005) and that high-volatility regimes forecast sudden stops 6 and 12 months ahead.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"85 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132403559","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}

{"title":"GARCH Models with the Heavy-Tailed Distributions and the Hong Kong Stock Market Returns","authors":"Zi‐Yi Guo","doi":"10.2139/ssrn.3013794","DOIUrl":"https://doi.org/10.2139/ssrn.3013794","url":null,"abstract":"As one of the world’s largest securities markets, the Hong Kong stock market plays a significant role in facilitating the development of Chinese economy. In this paper, we investigate a suite of widely-used models, the GARCH models in risk management of the Hong Kong stock market returns. To account for conditional volatilities, we consider a new type of fat-tailed distribution, the normal reciprocal inverse Gaussian distribution (NRIG), and compare its empirical performance with two other popular types of fat-tailed distribution, the Student’s t distribution and the normal inverse Gaussian distribution (NIG). We show that the NRIG distribution performs slightly better than the other two types of distribution. Also, our results indicate that it is important to introduce both GJR-terms and the NRIG distribution to improve the models’ performance. Our results illustrate that the asymmetric GARCH NRIG model has practical advantages in quantitative risk management, and serves as a very useful tool for industry participants.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125924692","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}

{"title":"Market Reactions to Dividends Announcements and Payouts. Empirical Evidence from the Warsaw Stock Exchange","authors":"Urszula Mrzygłód, S. Nowak","doi":"10.5709/CE.1897-9254.236","DOIUrl":"https://doi.org/10.5709/CE.1897-9254.236","url":null,"abstract":"The main goal of this paper is the empirical examination of the Polish stock market reactions to dividend announcements and dividend payouts made by the companies listed on the Warsaw Stock Exchange (WSE). The research sample comprises 56 companies (WIG index constituents) that announced dividend payments and completed the payout during 2013. In the analysis, event study methodology is employed including either calculating abnormal returns and cumulative abnormal returns around the event day or testing their statistical significance using parametric and nonparametric tests. The average cross-sectional abnormal return calculated for the entire sample is found to be significant on the dividend announcement day (t = 0, 0.86%) and on one day after (t = 1, 0.59%) at the 1% and 10% significance levels, respectively. The outcomes of the analysis conducted within the three distinguished subsamples are rather more diverse. In the subgroup of the first announced dividends (or dividends announced after a minimum one-year break), the significant average abnormal return is found on day t = 1 (0.90%, 5% significance level), whereas in the case of the dividend decreases subsample, the significant average abnormal returns (at the 10% significance level) occur on days t = −4 (-1.44%) and t = 2 (-1.15%). The average abnormal return calculated within the subsample of dividend increases turns out to be positive and significant on day t = 1 (1.03%, 10% significance level). The results obtained for the average cumulative abnormal returns corroborate the findings reached for the average cross-sectional abnormal returns in the case of the first dividend and dividend increase subsamples. However, the average cross-sectional abnormal returns calculated within the eleven-day-long event window around the dividend payment day turn out to be statistically insignificant. The obtained results provide evidence that the Polish stock market reaction to dividend announcements is positive and immediate. However, the market does not significantly react to dividend payouts, which may lead to the conclusion that the WSE directly incorporates news on dividends into stock prices. Moreover, the reaction of the market for dividend announcements is consistent with the sign of the dividend change: dividend-increase (-decrease) announcements are interpreted as a positive (negative) signal by the investors. Such results support both the informational content of the dividend hypothesis and the dividend signaling hypothesis. Considering that the observed abnormal market behavior disappears within two days at most after the announcement date, the results of the study can be useful for financial practitioners only with regard to short-term investment decisions.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129848449","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}

{"title":"Modelling Exchange Rate Variations and Global Shocks in Brazil","authors":"H. Ngalawa, K. Adebayo","doi":"10.18045/ZBEFRI.2017.1.73","DOIUrl":"https://doi.org/10.18045/ZBEFRI.2017.1.73","url":null,"abstract":"The purpose of this paper is to model variations of Brazil’s exchange rates and global shocks in order to establish if global oil prices and international interest rates (global shocks) have any impact on exchange rate variations in Brazil. After establishing the existence of ARCH effects and ensuring the stationarity of the data set, we estimate the symmetric GARCH (1,1) model along with two asymmetric EGARCH (1,1) and APARCH (1,1) models using the theoretical model of Kamal et al. (2012). The results show that the GARCH (1,1) model provides the best fit for Brazil’s exchange rate variations while the model selection chooses the Student’s t distribution as the preferable model of good fit compared to the alternatives. The study results show that Brazil’s exchange rates are significantly influenced by global shocks. Accordingly, we recommend that the Brazilian government should consider the impact of oil prices and global interest rates when formulating and implementing policies that impact on the exchange rate.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125111566","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}

{"title":"Evidence on the Optimal Capital Structure for Korea Composite Stock Price Index (KOSPI)-Listed Firms: Employing Inter- and Intra-Industry Analyses","authors":"Hanjoon Kim","doi":"10.16980/JITC.13.2.201704.173","DOIUrl":"https://doi.org/10.16980/JITC.13.2.201704.173","url":null,"abstract":"This study focuses on investigating the existence of optimal capital structure for firms listed in KOSPI stock market by employing inter- and intra-industry analyses. To date, very little attention seems to be paid to this subject in modern finance, considering that a firm’s value is increases as it approaches its optimal level of financial leverage. Moreover, it attempts to identify one of the most relevant theories which significantly accounts for the existence of a firm’s optimal capital structure. Relevant theory such as Myers’ pecking order was contemplated to postulate a corresponding hypothesis. Concerning the empirical methodologies to test for a hypothesized existence of an optimal capital structure, analysis of variance and analysis of covariance models were separately utilized in the context of parametric and nonparametric statistical approaches. Results suggested that an optimal level of capital structure for KOSPI-listed firms at the intra-industry level does not exist. However, differences in leverage were pronounced among 24 sample industries, which may suggest that optimal levels of capital structure appear to exist in the Korean capital market at the inter-industry level.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-04-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126377961","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}

{"title":"Return Predictability in Santiago Stock Exchange: An Empirical Analysis Using Portfolio Method","authors":"Carlos G. Elías, Rokas Kirlys, K. Topyan","doi":"10.2139/ssrn.2948795","DOIUrl":"https://doi.org/10.2139/ssrn.2948795","url":null,"abstract":"This paper provides a comprehensive analysis on stock return predictability in Santiago Stock Exchange from January 2007 to January 2016 by employing portfolio method. In the risk-related predictors, we found no statistically significant predictive power of beta, total volatility, and idiosyncratic volatility in all stock sets. In addition to market cap and short-term reversal, the two cheapness variables, book-to-market and cash-flow-to-price ratios showed consistent economically and statistically significant predictive powers in determining the stock returns in the Santiago Stock Exchange. We also found that regrouping the stocks as small and large, low and high book-to-market, beta, and momentum according to the median values adds insights to the analysis. Our results show that the set of large stocks in the exchange is the least predictable set of stocks, however, momentum is efficiently predicted their return. Momentum is significant only for the large stocks and low book-to-market stocks, and risk-related predictors are good for high beta stocks only.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"140 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-04-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133383049","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}

{"title":"Bank Performance in China: A Perspective from Bank Efficiency, Risk-taking and Market Competition","authors":"Jianchun Fang, Chi Keung Marco Lau, Zhou Lu, Y. Tan, Hua Zhang","doi":"10.2139/ssrn.2943362","DOIUrl":"https://doi.org/10.2139/ssrn.2943362","url":null,"abstract":"Abstract The current paper contributes to the empirical literature on bank profitability by testing the joint-impact of different types of risk, competition in different banking markets and different types of efficiency on bank profitability using a sample of Chinese commercial banks over the period 2003–2017. In particular, we fill in the gap of the empirical studies by examining the impact of efficiency on profitability when banks undertake different levels of risk-taking behaviour and face different degrees of competition. The results show that competition in the Chinese banking markets (deposit market, loan market and non-interest income market) is stronger over the period 2003–2005 and also 2014–2017. In addition, it is found that bank size, cost efficiency, profit efficiency and inflation are significantly related to bank profitability. Finally, we find that the positive impact of cost efficiency on profitability is stronger when banks undertake higher levels of risk and face more competition.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-03-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130552218","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}

{"title":"What Factors Drive Trading around the World?","authors":"Ying Wu","doi":"10.2139/ssrn.2926123","DOIUrl":"https://doi.org/10.2139/ssrn.2926123","url":null,"abstract":"This paper examines the implications of Lo and Wang’s (2000, 2006) mutual fund separation model in the cross-sectional behavior of global trading activity. It demonstrates that return-based factors work poorly around the world. On average across countries, market-wide turnover accounts for 37% of all systematic turnover components in individual stock trading, and two additional Fama and French (1993) factor turnovers increase the explanatory power by 23%. Similarly Lo and Wang’s (2000) turnovers account for on average only 64% of all systematic turnover components. Using this multifactor asset pricing-trading framework, a horse race is further performed to explore other factors in return which are important for explaining the common variation in turnover. All the return-based factors account for at most 67% of the common variation in trading, suggesting that stock pricing and trading volume may not be compatible around the world. In a cross-country analysis, the explanatory power of the return-based factor model varies substantially across countries and markets, with better performance for developed European markets and China. Surprisingly, in North America, Japan, and most emerging markets there are larger amounts of commonality in trading, usually higher than 47%, for reasons other than return motive.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129966489","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}

{"title":"Input Efficiency of Financial Services Sector: A Non-Parametric Analysis of Banking and Insurance Sectors of Pakistan","authors":"Syed Alamdar Ali Shah, O. Masood","doi":"10.13135/2421-2172/1975","DOIUrl":"https://doi.org/10.13135/2421-2172/1975","url":null,"abstract":"Purpose In an attempt to enrich the literature of the efficiency of financial services sector with holistic perspective, this study aims to empirically investigate the input efficiency of banking and insurance sectors with further probe into Islamic segments of these sectors in Pakistan. Design/methodology/approach This study measures the technical, allocative, cost, and scale efficiencies of banking and insurance firms in our sample using the non-parametric frontier method, data envelopment analysis (DEA). Findings The findings show that, on average, the allocative efficiency of the overall Islamic financial services sector has increased during the period of study and has also remained well above their conventional counterparts. The study also revealed that, insurance sector is more technically efficient than banking sector. Finally, the study also found that overall efficiency of financial sector can also be improved by exchanging experts between two sectors. Originality/value The results of this research study provide empirical findings as to how two segments of Financial Services Sectors had fared in the competitive environment from 2007 to 2015.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123230696","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}

{"title":"Dividend Yields and Stock Returns under a Tax-Free Environment","authors":"Kienpin Tee, Abiot Tessema","doi":"10.2139/ssrn.3046407","DOIUrl":"https://doi.org/10.2139/ssrn.3046407","url":null,"abstract":"This study examines the relationship between dividend yield and stock returns for firms in the United Arab Emirates, where there are no taxes on dividend incomes and capital gains. Following methods of Black and Scholes (1974) and Litzenberger and Ramaswamy (1979), we find that yield coefficients using monthly data are insignificant under both BS and LR models, and yield coefficients using weekly data are significant under LR model. The results suggest that some other non-tax factor drives the yield effect and that return variation associated with dividends is caused by the time series variation. Our results are robust after we exclude periods with dividend omission and control for Fama-French factors.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127674193","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}