Journal of Applied Finance & Banking最新文献

The Impact of China’s Capital Market Opening Up to the Domestic Stock Idiosyncratic Risk 中国资本市场开放对国内股票特质风险的影响

Journal of Applied Finance & Banking Pub Date : 2022-02-22 DOI: 10.47260/jafb/1225

Chenpeng Du

引用次数: 0

Semi-mandatory Dividend Policy and Investment Efficiency: Evidence from Listed Companies in China 半强制性股利政策与投资效率:来自中国上市公司的证据

Journal of Applied Finance & Banking Pub Date : 2022-02-03 DOI: 10.47260/jafb/1224

Bolin Liu

引用次数: 2

Trade Balance and Exchange Rate: The J-Curve 贸易平衡与汇率:j曲线

Journal of Applied Finance & Banking Pub Date : 2022-02-01 DOI: 10.47260/jafb/1223

Ioannis N. Kallianiotis

引用次数: 3

The Impact of Market Factors and News Sentiments on Silver Futures ETFs 市场因素和新闻情绪对白银期货etf的影响

Journal of Applied Finance & Banking Pub Date : 2022-01-31 DOI: 10.47260/jafb/1222

Yu-Min Lian, Jianlei Yang, Ko-Liang Kuo

引用次数: 0

Exploring the Determinants of Company’s Dividend Payout Policy in Vietnamese Stock Market 探讨越南股票市场公司股利支付政策的决定因素

Journal of Applied Finance & Banking Pub Date : 2022-01-31 DOI: 10.47260/jafb/1221

Cheng-Wen Lee, Hui-Hsin Hsu, San-Jung Peng, T. Nguyen

{"title":"Exploring the Determinants of Company’s Dividend Payout Policy in Vietnamese Stock Market","authors":"Cheng-Wen Lee, Hui-Hsin Hsu, San-Jung Peng, T. Nguyen","doi":"10.47260/jafb/1221","DOIUrl":"https://doi.org/10.47260/jafb/1221","url":null,"abstract":"Abstract\u0000Vietnamese stock market exists in one of the most dynamic emerging countries in East Asia. As expected, stock market has worked well to push up Vietnamese economy. Due to the information asymmetry, investors often rely on the dividend payment as an indicator to predict the company’s future prospects. Dividend payout policy is a significant concern of financial managers’ in shareholding firms and outside investors’ decision-making. The aim of dividend payout policy is to allocate retained earnings for reinvestment and dividends for shareholders. This research investigates the determinants of dividend payout policy in Ho Chi Minh Stock Exchange in Vietnam, an emerging stock market that was officially established in July, 2000. Additionally, this research evaluates whether the factors affect company’s dividend policy such as profitability, firm size, financial leverage and growth rate, etc. This research data is collected from enterprises listed on the Vietnam stock market in the period of 2014-2018 with 756 observations, and analyzed by Ordinary Least Square model and Fixed Effect model and Random Effect model. Based on the Hausman Specification Test result, Fixed Effect model is the most consistent model of examining the factors affecting the dividend payout policy.\u0000\u0000JEL Classification: C22, E27, G15.\u0000Keywords: Dividend payout policy, Vietnamese stock market, Ordinary least square, Fixed effect model.","PeriodicalId":275154,"journal":{"name":"Journal of Applied Finance & Banking","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125213290","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

Research on Influencing Factors of the Leverage Ratio of Non-financial Enterprises in the GBA 大湾区非金融企业杠杆率影响因素研究

Journal of Applied Finance & Banking Pub Date : 2022-01-30 DOI: 10.47260/jafb/1217

Shihong Zeng, Fan Li, Zhentang Zhong

{"title":"Research on Influencing Factors of the Leverage Ratio of Non-financial Enterprises in the GBA","authors":"Shihong Zeng, Fan Li, Zhentang Zhong","doi":"10.47260/jafb/1217","DOIUrl":"https://doi.org/10.47260/jafb/1217","url":null,"abstract":"Abstract\u0000\u0000This paper studies the factors influencing the leverage ratio of non-financial enterprises in the Guangdong, Hong Kong and Macao Greater Bay Area (GBA) from 2007 to 2017. On the whole, the leverage ratio of non-financial enterprises in the greater bay area is not high. From the perspective of ownership, state-owned enterprises have a higher leverage ratio than non-state-owned enterprises. The leverage ratio differs significantly across industries. From the regional perspective, before 2008, enterprises in Macao had the lowest leverage ratio, and those in Guangdong had the highest. In recent years, the corporate leverage ratio has tended to be similar among the enterprises in Guangdong, Hong Kong and Macao. Corporate profitability is the most important micro-level factor affecting the leverage ratio, and economic growth has the most significant direct impact on the leverage ratio of non-state-owned enterprises. In addition, the economic growth rate, the M2 growth rate and policy uncertainty have a clear indirect impact on the leverage ratio.\u0000\u0000JEL classification numbers: G11, G24, G34.\u0000Keywords: Guangdong-Hong Kong-Macao Greater Bay Area, Leverage ratio, Influencing factors, Two-way fixed effects.","PeriodicalId":275154,"journal":{"name":"Journal of Applied Finance & Banking","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133277932","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

ESG Challenges in the Construction of UK Balanced Portfolios for Private Investors: An Analysis of the Availability and Performance of ESG Funds Across Various Asset Classes 英国私人投资者平衡投资组合中的ESG挑战:不同资产类别ESG基金的可用性和绩效分析

Journal of Applied Finance & Banking Pub Date : 2022-01-28 DOI: 10.47260/jafb/1216

Jacob H Schmidt, C. McCann

{"title":"ESG Challenges in the Construction of UK Balanced Portfolios for Private Investors: \u0000An Analysis of the Availability and Performance of ESG Funds Across Various Asset Classes","authors":"Jacob H Schmidt, C. McCann","doi":"10.47260/jafb/1216","DOIUrl":"https://doi.org/10.47260/jafb/1216","url":null,"abstract":"Abstract\u0000\u0000Environmental, Social and Governance (ESG) and sustainability investing have become very popular with institutional, family office and more recently, retail investors. In the UK the range of ESG and sustainable funds for retail and high net worth (HNW) investors is still relatively small but growing fast. This paper studies both the supply side and risk-adjusted performance of ESG funds for UK retail investors. \u0000Based on secondary data from the Financial Express (FE) Analytics database the authors find that funds in the equity, bond and multi-asset sector are investable, from qualitative as well as quantitative perspectives, but property, alternative and other asset classes are still underdeveloped. Choosing ESG objectives has provided better risk-adjusted returns over the long-term for the retail investor, but with a tilt towards the quality growth factor as ESG favors these sectors over typical old economy value. These findings are robust with top quartile rankings and the consistently higher Sharpe ratios over a 3-year period for the equity sectors. Due to the scarcity of bond funds and other diversifiers, portfolio construction is constrained. The authors predict that over time, availability of ESG funds in alternative asset classes will grow in line with demand.\u0000\u0000JEL classification numbers: D61, G11, G14, G51, M14.\u0000Keywords: Sustainable, Investment, ESG, Asset Management, Wealth, UK, Retail.","PeriodicalId":275154,"journal":{"name":"Journal of Applied Finance & Banking","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-01-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125036524","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

“Beta” with “Size Premium” an Augmented Approach in the Frontier Equity Market: Evidence from Dhaka Stock Exchange “贝塔”与“规模溢价”的增强方法在前沿股票市场:来自达卡证券交易所的证据

Journal of Applied Finance & Banking Pub Date : 2022-01-25 DOI: 10.47260/jafb/1215

M. Khatun, K. M. Z. Islam

{"title":"“Beta” with “Size Premium” an Augmented Approach in the Frontier Equity Market: Evidence from Dhaka Stock Exchange","authors":"M. Khatun, K. M. Z. Islam","doi":"10.47260/jafb/1215","DOIUrl":"https://doi.org/10.47260/jafb/1215","url":null,"abstract":"Abstract\u0000\u0000Traditionally, firm size has adopted in numerous heuristic asset pricing models as a determining factor of expected stock returns. So far as like systematic risk “beta”, there is diminutive consensus over the magnitude and firmness of the “size” premium. Converging on the controversy this article attempts to examine the traditional Capital Asset Pricing Model (CAPM) and “size” augmented CAPM in the Dhaka Stock Exchange (DSE). The goal of this article is to examine the impact of an overall market factor and factor related to the firm size risk on expected stock returns at the portfolio level. Our sample encompasses non-financial stocks listed in DSE, with daily observations starting from January 2014 to December 2018. Depending on Market Capitalization and Book-to-Market Ratios we construct nine different portfolios, Ordinary Least Square (OLS) regression methodology is used to examine the models. Unlike common reckoning, we observe the strong existence of the “size” effect in frontier equity market DSE and has a tangible impact on explaining expected stock returns at the portfolio level. Additionally, the “size” augmented Capital Asset Pricing Model explains DSE better than the standard CAPM, may indeed be a good tool for a realistic assessment of the expected asset returns, and can improve the description of equilibrium in the Frontier equity market DSE. \u0000\u0000JEL classification numbers: E44, G11, G12.\u0000Keywords: Capital Asset Pricing Model (CAPM), Size Premium, Frontier Equity Market.","PeriodicalId":275154,"journal":{"name":"Journal of Applied Finance & Banking","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124323776","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

Nonlinear Short-Run Adjustments between REITs and Stock Markets in the USA and Australia 美国和澳大利亚房地产投资信托基金与股票市场的非线性短期调整

Journal of Applied Finance & Banking Pub Date : 2022-01-09 DOI: 10.47260/jafb/1213

Cheng-Wen Lee, Wei-Jui Chen

{"title":"Nonlinear Short-Run Adjustments between REITs and Stock Markets in the USA and Australia","authors":"Cheng-Wen Lee, Wei-Jui Chen","doi":"10.47260/jafb/1213","DOIUrl":"https://doi.org/10.47260/jafb/1213","url":null,"abstract":"Abstract\u0000\u0000This study examines whether nonlinear co-integration exists between real estate\u0000investment trusts (REITs) and corresponding stock markets in the United States and\u0000Australia. Moreover, we employ the smooth-transition, vector-error correction\u0000model (STVECM) including the generalized autoregressive conditional\u0000heteroskedasticity (GARCH) model to separately explore the adjustment\u0000efficiencies of the short-run REITs and corresponding stock returns in dynamics.\u0000The empirical results demonstrate that there is a nonlinear co-integration with\u0000structural breaks between the equity and mortgage REITs and stock markets in the\u0000US as well as between the REITs and stock markets in Australia. When large\u0000positive and negative deviations of STVECM exist, the speed of equilibrium\u0000adjustment of the S&P 500 index is greater than that of the Mortgage REITs index.\u0000Additionally, the higher the equilibrium adjustment of Australian/US REITs index,\u0000the greater the reversion of Australian/US REITs index. Meanwhile, this study is\u0000also interested in finding out whether the REIT indices in the US or Australia would\u0000serve as a leading indicator for price movements. The result findings may provide\u0000a good reference for the investors’ investment engaged in the areas of these two\u0000countries.\u0000\u0000JEL Classification: C22, D53, G14, L85.\u0000Keywords: REITs, STVECM, Nonlinear Granger causality, GARCH.","PeriodicalId":275154,"journal":{"name":"Journal of Applied Finance & Banking","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125774605","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

Applications of a “Carry-Over” Enhanced DSBM Intertemporal Technical Efficiency Model on the Taiwanese 5G Industry “结转”增强型DSBM跨期技术效率模型在台湾5G产业的应用

Journal of Applied Finance & Banking Pub Date : 2021-12-30 DOI: 10.47260/jafb/1212

Day-Yang Liu, Hui-Chien Fan, Joseph C. P. Shieh, Cheng‐Hsien Lin

{"title":"Applications of a “Carry-Over” Enhanced DSBM Intertemporal Technical Efficiency Model on the Taiwanese 5G Industry","authors":"Day-Yang Liu, Hui-Chien Fan, Joseph C. P. Shieh, Cheng‐Hsien Lin","doi":"10.47260/jafb/1212","DOIUrl":"https://doi.org/10.47260/jafb/1212","url":null,"abstract":"Abstract\u0000Taiwan has proven itself successful at both inventing the key technologies leading\u0000to the development of 5G (fifth generation wireless technology)-related industries\u0000and serving as an indispensable link in the burgeoning 5G-industrial global supply\u0000chain. This study analyzes the current state of Taiwan’s 5G industry via the\u0000utilization the purpose of this study is to the Dynamic Slacks-Based Measure\u0000(DSBM). To achieve this purpose, a dynamic-data production process model was\u0000developed to analyze the 5G industry’s overall relative efficiency. Results indicate\u0000that (1) key chip-producing companies typically experience increased efficiency\u0000following 5G R&D industry development investment, and that said companies’\u0000relative efficiency is, indeed, affected positively by R&D investment; and (2) key\u0000chip companies’ relative increases of efficiency were higher than those of brand\u0000terminal and downstream-industry-category companies, while companies with\u0000higher levels of R&D investment exhibited relatively higher and more significant\u0000levels of efficiency. Finally, it was discovered that the relative efficiency of\u0000Taiwan's 5G-related industries’ R&D investment was, indeed, statistically\u0000significant in terms of the Taiwanese government’s industrial policies regarding 5G\u0000R&D investment.\u0000Keywords: Dynamic Slacks-Based Measure (DSBM), 5G Industry, R&D Inputs.","PeriodicalId":275154,"journal":{"name":"Journal of Applied Finance & Banking","volume":"25 2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128302552","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