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The International Journal of Banking and Finance最新文献

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MARKET RISK VaR HISTORICAL SIMULATION MODEL WITH AUTOCORRELATION EFFECT: A NOTE 具有自相关效应的市场风险VaR历史模拟模型:注
The International Journal of Banking and Finance Pub Date : 2009-08-20 DOI: 10.32890/IJBF2009.6.2.8395
Wantanee Surapaitoolkorn
{"title":"MARKET RISK VaR HISTORICAL SIMULATION MODEL WITH AUTOCORRELATION EFFECT: A NOTE","authors":"Wantanee Surapaitoolkorn","doi":"10.32890/IJBF2009.6.2.8395","DOIUrl":"https://doi.org/10.32890/IJBF2009.6.2.8395","url":null,"abstract":"The modern market risk model using Value at Risk (VaR) method in the banking area under the BASEL II Accord can take different forms of simulation. In this paper, historical simulation will be applied to the VaR model comparing the two different approaches of Geometric Brownian Motion (GBM) process and Bootstrapping methods. The analysis will use correlation plots and examine the effects of the autocorrelation function for stock returns.","PeriodicalId":170943,"journal":{"name":"The International Journal of Banking and Finance","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-08-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121327169","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: 2
Risk-adjusted returns of American depositary receipts on Chinese and Indian stocks 中国和印度股票的美国存托凭证风险调整收益
The International Journal of Banking and Finance Pub Date : 2009-08-20 DOI: 10.32890/IJBF2009.6.2.8390
Onur Arugaslan, Ajay Samant
{"title":"Risk-adjusted returns of American depositary receipts on Chinese and Indian stocks","authors":"Onur Arugaslan, Ajay Samant","doi":"10.32890/IJBF2009.6.2.8390","DOIUrl":"https://doi.org/10.32890/IJBF2009.6.2.8390","url":null,"abstract":"This study evaluates the risk-adjusted performance of American Depositary Receipts (ADRs) on shares of stock of Chinese and Indian fi rms.The first part of the study examines the nature of Chinese and Indian ADRs (based on depositary bank, sponsorship status, industry classification and listing).The second part of the study evaluates the performance of these ADRs using statistical measures grounded in modern portfolio theory. Returns are adjusted for the degree of total risk and systematic risk inherent in each ADR, and the securities are then ranked on the basis of risk-adjusted performance.Two relatively new evaluation metrics, the Modigliani and Sortino measures, are used. The objective of the study is to provide documentation to global investors who are contemplating participation in Chinese and Indian stock markets via depositary receipts.","PeriodicalId":170943,"journal":{"name":"The International Journal of Banking and Finance","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-08-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115302709","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
Monetary Integration in East Asia: Why Does it Take so Long? 东亚货币一体化:为什么需要这么长时间?
The International Journal of Banking and Finance Pub Date : 2009-08-20 DOI: 10.32890/IJBF2009.6.2.8389
M. Krawczyk
{"title":"Monetary Integration in East Asia: Why Does it Take so Long?","authors":"M. Krawczyk","doi":"10.32890/IJBF2009.6.2.8389","DOIUrl":"https://doi.org/10.32890/IJBF2009.6.2.8389","url":null,"abstract":"The launch of the economic and monetary union in Europe and the 1997 fi nancial crisis that underscored the disadvantages of currently employed exchange rate regimes raised questions about the feasibility of a similar monetary unifi cation project for East Asia. Being one of the most dynamically growing regions in the world, East Asia has the potential for a successful implementation of a monetary union. The paper examines why, despite substantial political emphasis being placed on the issue of monetary integration, the progress to date has been slower than could be expected. The major fi nding is that, although East Asia may actually benefi t from establishing its monetary union in the long run, a specifi c political culture that prevails in the region and misconceptions about the sequencing of the process prevent the East Asian monetary union from materialising. Possible short and mid-term policy solutions follow.","PeriodicalId":170943,"journal":{"name":"The International Journal of Banking and Finance","volume":"69 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-08-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127191385","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
Interest Rate and Foreign Exchange Risk Exposures of Australian Banks: A Note 澳大利亚银行的利率和外汇风险敞口:注
The International Journal of Banking and Finance Pub Date : 2009-08-20 DOI: 10.32890/IJBF2009.6.2.8393
Abul Shamsuddin
{"title":"Interest Rate and Foreign Exchange Risk Exposures of Australian Banks: A Note","authors":"Abul Shamsuddin","doi":"10.32890/IJBF2009.6.2.8393","DOIUrl":"https://doi.org/10.32890/IJBF2009.6.2.8393","url":null,"abstract":"The abolition of most government controls over the Australian fi nancial system in the 1980s, the advent of a fl exible exchange rate regime in 1983 and the globalisation of the fi nancial system in the 1990s have created new opportunities for Australian banks but exposed them to new sources of risk. This study estimates systematic risk exposure of publicly listed Australian banks with respect to market, interest rate and foreign exchange rate using a GARCH-inMean model. Not surprisingly, the results suggest that nearly all banks exhibit varying degrees of market risk exposure. However, stock returns of large banks are highly sensitive to interest rate changes, while most small banks are almost immune to both interest and exchange rate changes.","PeriodicalId":170943,"journal":{"name":"The International Journal of Banking and Finance","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-08-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126736899","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: 13
Usury (Riba) and the Place of Bank Interest in Islamic Banking and Finance 高利贷(Riba)和伊斯兰银行和金融中的银行利息
The International Journal of Banking and Finance Pub Date : 2009-03-17 DOI: 10.32890/IJBF2009.6.1.8379
M. Zaman
{"title":"Usury (Riba) and the Place of Bank Interest in Islamic Banking and Finance","authors":"M. Zaman","doi":"10.32890/IJBF2009.6.1.8379","DOIUrl":"https://doi.org/10.32890/IJBF2009.6.1.8379","url":null,"abstract":"This paper examines the concept of usury or Riba as was understood at the time of the Prophet of Islam and his contemporaries in Mecca and Medina, and what differing interpretations of the term developed in succeeding centuries in Muslim populated countries of the world. It gives a brief summary of the concept of usury in Judaism and Christianity and how this term is equivalent of Riba in Islam. It demonstrates that Riba and interest are not synonymous terms, and that what Islam forbids is usury and not interest. It asserts that, although some interests are usurious, the claim by the contemporary Islamic Banking and Financial institutions, IBFIs, that these institutions are “Islamic” because the term is not used in their transactions, is misleading at best. It ends with the proclamation that true IBFIs are not only feasible, but also are inevitable to serve the needs of the Muslims around the world.","PeriodicalId":170943,"journal":{"name":"The International Journal of Banking and Finance","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121612012","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: 9
East Asian Financial Contagion Under DCC-GARCH DCC-GARCH下的东亚金融传染
The International Journal of Banking and Finance Pub Date : 2009-03-17 DOI: 10.32890/IJBF2009.6.1.8380
J. Cho, A. Parhizgari
{"title":"East Asian Financial Contagion Under DCC-GARCH","authors":"J. Cho, A. Parhizgari","doi":"10.32890/IJBF2009.6.1.8380","DOIUrl":"https://doi.org/10.32890/IJBF2009.6.1.8380","url":null,"abstract":"We reconsider the definition and measurement of contagion by analyzing the 1997 East Asian financial crisis in the equity markets of eight countries using dynamic conditional correlation (DCC). Taking Thailand and Hong Kong as alternative sources of contagion, a total of fourteen source-target pairs is analyzed. We define contagion as the statistical break in the computed DCCs as measured by the shifts in their means and medians. In the DCC process, the parameters of each pair of source-target country contagion are allowed to vary and be dictated by the data. Contagion is tested using DCC means and medians difference tests. Our findings indicate the presence of contagion in the equity markets across all the fourteen pairs of source-target countries that are considered.","PeriodicalId":170943,"journal":{"name":"The International Journal of Banking and Finance","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133756539","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: 108
FINANCIAL LIBERALIZATION OR FINANCIAL DEVELOPMENT? TESTS USING DELPHI-BASED INDEX OFLIBERALIZATION 金融自由化还是金融发展?使用基于delphi的自由化指数进行测试
The International Journal of Banking and Finance Pub Date : 2009-03-17 DOI: 10.32890/IJBF2009.6.1.8384
N. Groenewold, Jiangang Peng, Guanzheng Li, Xiangmei Fan
{"title":"FINANCIAL LIBERALIZATION OR FINANCIAL DEVELOPMENT? TESTS USING DELPHI-BASED INDEX OFLIBERALIZATION","authors":"N. Groenewold, Jiangang Peng, Guanzheng Li, Xiangmei Fan","doi":"10.32890/IJBF2009.6.1.8384","DOIUrl":"https://doi.org/10.32890/IJBF2009.6.1.8384","url":null,"abstract":"Most empirical analysis of the finance-growth nexus has used measures of financial development such as the ratio of monetary or financial assets to GDP to measure financial development. We argue that from a policy perspective measures of financial liberalization or reform are of greater interest and, besides, are less likely to be beset by endogeneity problems which have dogged the \u0000empirical growth literature.We develop such a measure by combining the ‘Delphi’ method and principal components analysis to construct an index of financial liberalization for China. Much of China’s financial development has been policy-driven and we could expect to find a distinct difference, at least in timing, between measures of financial reform and financial development. We \u0000compare our financial liberalization index to a number of standard measures of financial development and find that there is pervasive evidence that financial liberalization Gr anger-causes financial development but not vice versa.","PeriodicalId":170943,"journal":{"name":"The International Journal of Banking and Finance","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129361636","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: 3
AN EMPIRICAL INVESTIGATION OF NEW BOND ISSUE YIELD SPREADS, DEFAULT RISK AND SPLIT RATINGS 新发行债券收益率息差、违约风险和分裂评级的实证研究
The International Journal of Banking and Finance Pub Date : 2009-03-17 DOI: 10.32890/IJBF2009.6.1.8386
Timothy S. Michael
{"title":"AN EMPIRICAL INVESTIGATION OF NEW BOND ISSUE YIELD SPREADS, DEFAULT RISK AND SPLIT RATINGS","authors":"Timothy S. Michael","doi":"10.32890/IJBF2009.6.1.8386","DOIUrl":"https://doi.org/10.32890/IJBF2009.6.1.8386","url":null,"abstract":"This paper attempts to explain the yield spreads charged to new corporate debt issues by comparing the initial yields of a set of 3,287 securities issued over eleven years in the US. We use the measure of constant maturity Treasury rates on the day of issue against the Moody’s Aaa Corporate Bond index for the week prior to the issue, and the yield on a daily index of long-term Treasury securities on the issue date. The influences of credit ratings and disagreement between rating agencies as reflected in split ratings and the interactions between these characteristics are measured. The contributions of sinking fund provisions, call or refunding status, overseas issue and contractual security arrangements are evaluated separately. The results support the view that the higher yields are observed when ratings of agencies differ and that factors associated with the issues also are significant drivers of the yield difference.","PeriodicalId":170943,"journal":{"name":"The International Journal of Banking and Finance","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132907351","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
Empirical Determinants of US Equity Flows to Developed Countries: Does Valuation Matter? 美国股票流向发达国家的实证决定因素:估值重要吗?
The International Journal of Banking and Finance Pub Date : 2009-03-17 DOI: 10.32890/IJBF2009.6.1.8382
Joseph J. French
{"title":"Empirical Determinants of US Equity Flows to Developed Countries: Does Valuation Matter?","authors":"Joseph J. French","doi":"10.32890/IJBF2009.6.1.8382","DOIUrl":"https://doi.org/10.32890/IJBF2009.6.1.8382","url":null,"abstract":"This paper explores a new panel data set on US gross cross-border equity flows to 20 industrialized nations combined with measures of market valuation for the period of 1977-2005. Empirical evidence of imperfect integration across world equity markets indicates that valuation matters. Consistent with relative value trading as a determinant of equity flow patterns, we find that quity flows decrease sharply with host-country market valuations. This paper also finds that equity flows increase sharply with US equity market valuations. The findings of this research suggest that American investors are informed about both domestic markets and foreign markets. Peripheral findings of this research confirm the findings of other researches, but this research is based on a longer sample period. Consistent with existing literature, there is a negative influence of interest rates spreads, and information asymmetries on cross-border trades in equities.","PeriodicalId":170943,"journal":{"name":"The International Journal of Banking and Finance","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123867284","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
INTERNATIONAL ASSET PRICING MODELS: THE CASE OF ASEAN STOCK MARKETS 国际资产定价模型:以东盟股票市场为例
The International Journal of Banking and Finance Pub Date : 2009-03-17 DOI: 10.32890/IJBF2009.6.1.8385
C. Hooy, K. Goh
{"title":"INTERNATIONAL ASSET PRICING MODELS: THE CASE OF ASEAN STOCK MARKETS","authors":"C. Hooy, K. Goh","doi":"10.32890/IJBF2009.6.1.8385","DOIUrl":"https://doi.org/10.32890/IJBF2009.6.1.8385","url":null,"abstract":"This paper is about the role of economic grouping as it affects international capital asset pricing models, ICAPM. The conventional ICAPM is extended to include the economic grouping, regional and world factors. Inclusion of the economic grouping factor increases the explanatory power of the asset pricing models. Data on ASEAN (Indonesia, Malaysia, Philippines, Singapore and Thailand) stock markets are used in tests of the proposed models. The economic grouping factor turned out to be most important while the regional factor is least important for asset pricing in these stock markets. While four of the markets have higher systematic risk exposure to the economic group, the Singapore market, the largest market, exhibits higher exposure to world risk. The segmentation of emerging markets offers a possible explanation for these results.","PeriodicalId":170943,"journal":{"name":"The International Journal of Banking and Finance","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128413480","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
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