Emerging Markets: Finance eJournal最新文献

{"title":"Shock and Spillover Effects of Global Commodity Markets on Some African Equity Markets","authors":"Ernest Owusu Boakye","doi":"10.2139/ssrn.3770342","DOIUrl":"https://doi.org/10.2139/ssrn.3770342","url":null,"abstract":"A decade after the 2008–2009 global recession, the world’s financial architecture has developed into an integrated network of financial and commodity markets, mainly due to cross-border investments and trade. In light of this, shock spillovers have also intensified as the interdependence between equity and commodity markets increased after the global financial crisis (GFC). This paper investigates the dynamic shock and spillover effects of international commodity markets on some African equity markets using VAR-GARCH and DCC-GARCH approaches. The first moment equation show no equity return predictability in the African equity markets, which support the main ideas of the efficient-market hypothesis (EMH). But the second moment equations reveal a statistically significant risk and shock spillovers from the international commodity markets on African equity markets as well as spillover effects from the global implied volatility indicators. In addition, we find a is strong indication that the risk effects are time-varying and that they become stronger when the market risks increase, particularly during and after the global financial crisis (GFC). Overall, the findings reveal that the intensive financialization of commodity markets has had a clear role in the spreading of commodity market risks to African equity markets.","PeriodicalId":153840,"journal":{"name":"Emerging Markets: Finance eJournal","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127072546","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":"Strategic Approach Towards Banking the Unbanked Persons in Sri Lanka","authors":"Nishadi Thennakoon","doi":"10.2139/ssrn.3770086","DOIUrl":"https://doi.org/10.2139/ssrn.3770086","url":null,"abstract":"Financial inclusion has drawn heightened attention from policy making authorities worldwide as a key feature of financial development. Financial inclusion is also considered an important policy tool that can help to achieve the Sustainable Development Goals. This should also be a vital element in formulating the policy architecture for the financial sector in Sri Lanka. Hence, identifying key attributes for a national framework for financial inclusion is of paramount importance. These elements should also be more attentive towards the resilience of the financial system. <br><br>Access to safe, convenient and affordable financial services by the poor and vulnerable groups is generally considered as financial inclusion. However, that definition as it is would not be compatible to the country specific circumstances of Sri Lanka. Inclusive finance enables fast-tracking growth, minimizing income disparities and reducing poverty. It also has the potential to promote economic stability which is an essential constituent of financial stability. In fact, financial stability and financial inclusion are mutually reinforcing objectives. <br><br>Mere expansion of financial institutions, however, does not always lead to financial system stability, as “too much finance” can lead to adverse effects, if it is driven by unregulated entities. When the financial sector of a country is under-developed, vulnerable segments of the population resort to informal sector institutions thereby aggravating the risks that threaten financial system stability. Hence, achieving the elusive balance between financial inclusion and financial sector stability becomes of paramount importance.<br><br>Financial inclusion needs to be addressed at several levels. These include financial literacy and awareness raising among the under-banked population about the well-regulated business models that cater to the sub-prime segment of the market. Expanding market penetration by including the population who have never transacted with insurers and the capital market would also be an effective approach. Reasons for voluntary financial exclusion such as lack of money, religious beliefs, distance to a financial entity and cost of financial services also need to be addressed in devising a national financial inclusion framework.","PeriodicalId":153840,"journal":{"name":"Emerging Markets: Finance eJournal","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125368834","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":"Leveraging on enterprises, Leverage Constraint and Macroeconomic Effects in China","authors":"Cheng Zhou","doi":"10.2139/ssrn.3763040","DOIUrl":"https://doi.org/10.2139/ssrn.3763040","url":null,"abstract":"The China’ economy has been structurally deleveraging recent years. By constructing a dynamic stochastic general equilibrium model with state-owned enterprises and private enterprises, this article explores the impacts of different types of firms deleveraging on China’s macroeconomic fluctuation and its welfare effects. We find that, compared with state-owned enterprises, the deleveraging (or leveraging) of the privates has a greater impacts on economic fluctuations. More importantly, if the private enterprises increase the leverage rate, it may aggravate macroeconomic volatility by the leverage effect and reduce the level of consumption risk sharing. We also find that the increasing of leverage by the privates may bring about much great degree of potential welfare improvement, which is mainly due to the elimination of fluctuations on both consumption and employment.","PeriodicalId":153840,"journal":{"name":"Emerging Markets: Finance eJournal","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129412488","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":"The Effects of US Macroeconomic Surprises on the Term Structure of Emerging-market Sovereign Credit Default Swaps","authors":"Chi Yin, J. Chiu, Y. Hsiao, 建文 湯, Wei‐Che Tsai","doi":"10.2139/ssrn.3759530","DOIUrl":"https://doi.org/10.2139/ssrn.3759530","url":null,"abstract":"Our primary aim in this study is to examine whether US macroeconomic surprises affect the slope of the term structure of national ‘sovereign credit default swap’ (SCDS) spreads in the emerging markets, with our empirical results revealing that positive (negative) US macroeconomic surprises are likely to reduce (increase) the term structure slope of SCDS spreads in the emerging countries. We find that a 1% increase in the slope value of SCDS term structures forecasts a reduction in annual GDP growth at an average rate of 0.0035%, with the slope values in the emerging markets being positively related to future market returns over one-, three- and six-month horizons. Following adjustment by the three global factors of Fama-French (1993), a monthly long-short rebalancing portfolio based upon SCDS slopes in the emerging markets is found to generate an average monthly return of 1.60%. Our results provide general support for the future informational role played by SCDS slopes for national economies within the emerging markets.","PeriodicalId":153840,"journal":{"name":"Emerging Markets: Finance eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130648917","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":"Determinants of Egyptian Bank's Profitability using Seemingly Unrelated Regression Model","authors":"E. Aziz, N. Alber","doi":"10.2139/ssrn.3759012","DOIUrl":"https://doi.org/10.2139/ssrn.3759012","url":null,"abstract":"Based on a group of variables and data collected during the period from the beginning of 2009 to the end of 2017, the paper analyzes the determinates of Egyptian bank’s profitability, using the Seemingly Unrelated Regression model (SUR). The dependent variables are return on assets and return on equity while the independent variables include earnings per share, net operating profit, bank size, loan size, bank deposits and bank age. The results indicate that the return on assets has been influenced, respectively, by bank size, loan size and net operating profit, but the return on equity has been affected respectively, by loan size and earnings per share.","PeriodicalId":153840,"journal":{"name":"Emerging Markets: Finance eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126997660","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":"Nonlinearity in the Cross-Section of Stock Returns: Evidence from China","authors":"Jianqiu Wang, Guoshi Tong, Ke Wu, Dongxu Chen","doi":"10.2139/ssrn.3757315","DOIUrl":"https://doi.org/10.2139/ssrn.3757315","url":null,"abstract":"We study which characteristics provide incremental predictive information for the cross-section of expected returns in the Chinese stock market. Our results provide empirical evidence for strong nonlinear relations between expected returns and selected characteristics, especially in the trading friction category. While a four-factor model of Liu, Stambaugh, and Yuan (2019) explains a majority of anomalous characteristics-sorted portfolio returns, we find significant alphas when exploring these characteristics jointly using flexible predictive functions. A long-short spread portfolio based on out-of-sample predicted returns by a nonlinear model delivers higher Sharpe ratio than that by a linear model. We document more supportive evidence for the nonlinear model after exploring potential interaction effects with firm size, earnings-to-price ratio, and turnover, state dependency of predictors, and various methods of predictive information aggregation, such as forecast combination, principle component regression, and partial least squares.","PeriodicalId":153840,"journal":{"name":"Emerging Markets: Finance eJournal","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133601685","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":"Decomposing the Asset Pricing Anomalies: Evidence from China","authors":"Bo Li, Zhenya Liu","doi":"10.2139/ssrn.3756732","DOIUrl":"https://doi.org/10.2139/ssrn.3756732","url":null,"abstract":"This paper introduces a functional principal component analysis (FPCA) to decompose China’s A-share portfolio returns on time-series and cross-section simultaneously. The results show that the first empirical functional principal component (EFPC) stands for the market factor and the others for an anomaly. The second and third ones reveal the cross-sectional linear and convex patterns, and the joint of them dominates the asset pricing anomalies. Furthermore, the EFPCs illustrate much more information than the portfolio-based approach, and we can use them to explain the debates about some anomalies.","PeriodicalId":153840,"journal":{"name":"Emerging Markets: Finance eJournal","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116781117","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":"International Equity and Debt Flows to Emerging Market Economies: Composition, Crises, and Controls","authors":"Chang Ma, S. Wei","doi":"10.2139/ssrn.3756652","DOIUrl":"https://doi.org/10.2139/ssrn.3756652","url":null,"abstract":"Standard models of capital flows to emerging market economies focus on debt flows and a pecuniary externality. However, by offering better risk sharing, international equity flows can render such externality unimportant, yet many economies fail to attract equity investment in a large quantity. We propose a theory of endogenous composition of capital flows that highlights two asymmetries. In our model, poor institutional quality leads to an inefficiently low share of equity financing as well as an inefficiently high volume of total inflows. Somewhat surprisingly, a social planner would often impose taxes on both equity and debt inflows. Our story differs in important ways from an alternative narrative focusing on collateral constraint.","PeriodicalId":153840,"journal":{"name":"Emerging Markets: Finance eJournal","volume":"158 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123262637","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":"Company-Specific Characteristics and Market-Driven Fixed Asset Revaluation in An Emerging Asian Economy","authors":"Md. Tahidur Rahman, S. Z. Hossain","doi":"10.24191/MAR.V19I3.1439","DOIUrl":"https://doi.org/10.24191/MAR.V19I3.1439","url":null,"abstract":"This study aims to explore the company-specific and market factors driving fixed asset revaluation (FAR) in an emerging economy. The study is based on the sample of 142 companies listed on the Dhaka Stock Exchange (DSE) – the main exchange of Bangladesh. The binary logistic regression model was the main instrument used to measure the significance level of variables and test the hypotheses. The study found that market conditions, profitability, nationality, debt-to-asset ratio, fixed assets intensity, and company size could influence FAR decisions significantly. However, company age and current ratio could influence FAR decisions insignificantly. Since there are suspicions about the creative practice of FAR, users need to be cautious when explaining and utilizing the information communicated via financial statements of companies that revalued their assets. Furthermore, regulators should strictly enforce the laws to avoid selective disclosures, and companies should fully disclose market-sensitive information so that corporate stakeholders promptly receive FAR-related disclosures. This paper could serve a large assortment of stakeholders interested in knowing the drivers behind and effects of FAR. Inclusion and the explanation of three new factors, corporate nationality, age, and market condition, could be an extension of the existing FAR literature.","PeriodicalId":153840,"journal":{"name":"Emerging Markets: Finance eJournal","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114812201","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":"Banking Sector Earnings Management Using Loan Loss Provisions in the Fintech Era","authors":"Peterson K. Ozili","doi":"10.2139/ssrn.3758468","DOIUrl":"https://doi.org/10.2139/ssrn.3758468","url":null,"abstract":"PurposeThis paper analyzes banking sector earnings management using loan loss provisions (LLPs) in the Fintech era.Design/methodology/approachRegression methodology was used to examine earnings management in the Fintech era.FindingsThe findings show evidence for bank income smoothing using LLPs. There is greater income smoothing in the second-wave Fintech era compared to the first-wave Fintech era, and the presence of strong institutions did not lower income smoothing in the second-wave era. Bank income smoothing is also greater in (1) Bank of International Settlement (BIS) and EU countries than in non-EU countries and G7 countries, (2) well-capitalized banking sectors and (3) during economic booms in the second-wave Fintech era.Practical implicationsThe competition for loans and deposits by banks and Fintech lenders in the second-wave Fintech era created additional incentives for banks to engage in income smoothing to report competitive and stable earnings.Originality/valueThe study uses a unique approach to detect country-level earnings management in the banking sector. Also, this study extends the bank earnings management literature by introducing the Fintech era as a determinant of the extent of bank earnings management.","PeriodicalId":153840,"journal":{"name":"Emerging Markets: Finance eJournal","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114775700","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}