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Time‐Varying Investor Herding in Chinese Stock Markets 中国股市的时变投资者羊群效应
Wiley-Blackwell: International Review of Finance Pub Date : 2018-12-01 DOI: 10.1111/irfi.12158
Haiqi Li, Ying Liu, Sung Park
{"title":"Time‐Varying Investor Herding in Chinese Stock Markets","authors":"Haiqi Li, Ying Liu, Sung Park","doi":"10.1111/irfi.12158","DOIUrl":"https://doi.org/10.1111/irfi.12158","url":null,"abstract":"We develop several new time‐varying coefficient regression models to investigate herding behavior in Chinese stock markets. We find evidence that herding behavior occurs during turbulent periods rather than periods of relative tranquility, which does not appear when using a conventional fixed‐coefficient regression model. Moreover, the US return dispersion had a significant influence on Chinese stock markets before 2015 but not in 2015. Finally, the herding shows significant asymmetry.","PeriodicalId":326622,"journal":{"name":"Wiley-Blackwell: International Review of Finance","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128385788","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
Determinants of Interest Rates on Time Deposits and Savings Accounts: Macro Factors, Bank Risk, and Account Features 定期存款和储蓄存款利率的决定因素:宏观因素、银行风险和账户特征
Wiley-Blackwell: International Review of Finance Pub Date : 2018-06-01 DOI: 10.1111/irfi.12143
J. Bikker, D. Gerritsen
{"title":"Determinants of Interest Rates on Time Deposits and Savings Accounts: Macro Factors, Bank Risk, and Account Features","authors":"J. Bikker, D. Gerritsen","doi":"10.1111/irfi.12143","DOIUrl":"https://doi.org/10.1111/irfi.12143","url":null,"abstract":"Using a novel dataset from the Netherlands' banking sector, we examine how macroeconomic, bank†specific, and account†specific characteristics affect the interest rates of banking products. Our results show that interest rates have become more sensitive to bank risk since the onset of the global financial crisis. More generally, we show that time deposits reflect more closely the economic environment than bank interest rates on savings accounts do. Interest rates on deposit products vary not only across, but also within banks (i.e., across account of individual banks). We find that maturity†increasing conditions (i.e., withdrawal fees for savings accounts and product maturity for time deposits) positively influence a product's interest rate.","PeriodicalId":326622,"journal":{"name":"Wiley-Blackwell: International Review of Finance","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124000364","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: 22
Does the Fama and French Five‐Factor Model Work Well in Japan? 法玛和法国的五因素模型在日本适用吗?
Wiley-Blackwell: International Review of Finance Pub Date : 2018-03-01 DOI: 10.1111/irfi.12126
Keiichi Kubota, Hitoshi Takehara
{"title":"Does the Fama and French Five‐Factor Model Work Well in Japan?","authors":"Keiichi Kubota, Hitoshi Takehara","doi":"10.1111/irfi.12126","DOIUrl":"https://doi.org/10.1111/irfi.12126","url":null,"abstract":"In this study, we investigate whether the five-factor model by Fama and French (2015) explains well the pricing structure of stocks with long-run data for Japan. We conduct standard cross-section asset pricing tests and examine the additional explanatory power of the new Fama and French factors; robust-minus-weak profitability factor and conservative-minus-aggressive investment factor. We find that robust-minus-weak and the conservative-minus-aggressive factors are not statistically significant when we conduct generalized method of moments (GMM) tests with the Hansen–Jagannathan distance measure. Thus, we conclude that the original version of the Fama and French five-factor model is not the best benchmark pricing model for Japanese data during our sampling period from the year 1978 to the year 2014.","PeriodicalId":326622,"journal":{"name":"Wiley-Blackwell: International Review of Finance","volume":"170 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127580124","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: 97
Convertible Debt: Financing Decisions and Voluntary Conversion Under Ambiguity 可转换债务:歧义下的融资决策与自愿转换
Wiley-Blackwell: International Review of Finance Pub Date : 2015-12-01 DOI: 10.1111/irfi.12057
E. Agliardi, R. Agliardi, Willem Spanjers
{"title":"Convertible Debt: Financing Decisions and Voluntary Conversion Under Ambiguity","authors":"E. Agliardi, R. Agliardi, Willem Spanjers","doi":"10.1111/irfi.12057","DOIUrl":"https://doi.org/10.1111/irfi.12057","url":null,"abstract":"This paper integrates ambiguity into a contingent claim model for convertible debt. We study how convertible debt valuation is affected by the ambiguity biases of equity holders and debt holders and provide sensitivity analysis of the bond value to changes in attitude toward ambiguity, firm and bond parameters. Our results, which are summarized into five main predictions, are consistent with recent empirical evidence and offer a possible interpretation of some corporate finance puzzles.","PeriodicalId":326622,"journal":{"name":"Wiley-Blackwell: International Review of Finance","volume":"53 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128301605","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
The Effectiveness of Capital Regulation on Bank Behavior in China 资本监管对中国银行行为的影响
Wiley-Blackwell: International Review of Finance Pub Date : 2015-09-01 DOI: 10.1111/irfi.12045
Yishu Fu, Shih‐Cheng Lee, Lie Xu, R. Zurbruegg
{"title":"The Effectiveness of Capital Regulation on Bank Behavior in China","authors":"Yishu Fu, Shih‐Cheng Lee, Lie Xu, R. Zurbruegg","doi":"10.1111/irfi.12045","DOIUrl":"https://doi.org/10.1111/irfi.12045","url":null,"abstract":"This paper examines the impact that ownership and governance structures have on how Chinese banks react to regulatory pressure. We find that the current regulatory regime induces banks to increase their capital, but its effectiveness in doing so varies based on whether the bank is listed or not, and also who is the majority shareholder. We also find that the degree of central government ownership and the political ties the chief executive officer of the bank has play an important role in the risk-taking behavior of banks. Overall, our results have a number of policy implications supporting the need to further reduce state ownership of banks in China to mitigate the prevailing moral hazard and dual-agency problems that arise from the government being both the regulator and the majority shareholder.","PeriodicalId":326622,"journal":{"name":"Wiley-Blackwell: International Review of Finance","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127769570","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: 22
Long‐Run Effects of Minimum Trading Unit Reductions on Stock Prices 最小交易单位减少对股票价格的长期影响
Wiley-Blackwell: International Review of Finance Pub Date : 2014-03-01 DOI: 10.1111/irfi.12026
Naoto Isaka
{"title":"Long‐Run Effects of Minimum Trading Unit Reductions on Stock Prices","authors":"Naoto Isaka","doi":"10.1111/irfi.12026","DOIUrl":"https://doi.org/10.1111/irfi.12026","url":null,"abstract":"We examine empirically the long-run effects of reductions in minimum trading units (MTU) on stock prices in Japan from October 2001 to May 2008. When firms reduce their MTU, the number of individual shareholders tends to increase significantly for several years. We estimate buy-and-hold abnormal returns and find that positive stock returns are observed not only for the period between the announcement day and the actual date of MTU decreases, but also for a period of several years following MTU reductions. In addition, we measure stock price reactions to the release of public information before and after MTU reductions and find that stock prices react less to the release of positive information and more to the release of negative information after the MTU reductions. These findings, together with evidence of the change in the short and long positions of investors after the MTU reductions, indicate that individual investors face short-sales constraints.","PeriodicalId":326622,"journal":{"name":"Wiley-Blackwell: International Review of Finance","volume":"86 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117695421","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
Financial Liberalization and Banking Crises: A Cross-Country Analysis 金融自由化与银行危机:一个跨国分析
Wiley-Blackwell: International Review of Finance Pub Date : 2010-04-01 DOI: 10.1111/j.1468-2443.2010.01114.x
Apanard Penny Prabha, Wanvimol Sawangngoenyuang, C. Wihlborg
{"title":"Financial Liberalization and Banking Crises: A Cross-Country Analysis","authors":"Apanard Penny Prabha, Wanvimol Sawangngoenyuang, C. Wihlborg","doi":"10.1111/j.1468-2443.2010.01114.x","DOIUrl":"https://doi.org/10.1111/j.1468-2443.2010.01114.x","url":null,"abstract":"Several studies indicate that financial liberalization contributes to the likelihood of a financial crisis. We focus on banking crises and argue that they are most likely to occur after an intermediate degree of liberalization. Using a recently updated dataset for financial reforms in 48 countries between 1973 and 2005, we find an inverted U-shaped relationship between liberalization and the likelihood of crisis. We ask whether the relationship remains when institutional characteristics of countries and dynamic effects of liberalization are considered. The empirical results indicate that the relationship between liberalization and banking crises depends strongly on the strength of capital regulation and supervision. With very weak regulation and supervision, the probability of banking crises is increasing with liberalization but this relationship is reversed as regulation and supervision become stricter. The most important type of liberalization in relation to banking crises seems to be behavioral (a relaxation of interest and credit controls). A policy implication is that positive growth effects of liberalization can be achieved without increasing the risk of a banking crisis if appropriate institutions are developed.","PeriodicalId":326622,"journal":{"name":"Wiley-Blackwell: International Review of Finance","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126949624","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: 99
Competition and Market Structure of National Association of Securities Dealers Automated Quotations 全国证券交易商协会自动报价的竞争与市场结构
Wiley-Blackwell: International Review of Finance Pub Date : 2008-01-25 DOI: 10.1111/j.1468-2443.2007.00076.x
YoungSook Kim, Vikas Mehrotra
{"title":"Competition and Market Structure of National Association of Securities Dealers Automated Quotations","authors":"YoungSook Kim, Vikas Mehrotra","doi":"10.1111/j.1468-2443.2007.00076.x","DOIUrl":"https://doi.org/10.1111/j.1468-2443.2007.00076.x","url":null,"abstract":"In this paper, we study the relation among market structure, trading costs, and competition in National Association of Securities Dealers Automated Quotations (NASDAQ). In particular, we address the following questions: Do NASDAQ dealers exercise market power and extract economic rents in setting bid-ask spread? How persistent is the market power of dominant dealers? Our estimate of the rent is approximately ¢8.76, or 0.54% of stock price. The half-life of the persistence of this rent is approximately 20 months for the entire sample, while the half-life of younger stocks tend to be shorter than those of more mature stocks. Our result supports Schultz: NASDAQ dealers make markets only for stocks where they have competitive advantages in accessing order flow and in information. It might take a while before a market maker poses effective competition to existing dominant market makers. In the meantime, incumbent market makers are able to exercise market power and appear to earn abnormally large profits.","PeriodicalId":326622,"journal":{"name":"Wiley-Blackwell: International Review of Finance","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127118190","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
A Stochastic Measure of International Competitiveness 国际竞争力的随机度量
Wiley-Blackwell: International Review of Finance Pub Date : 2007-05-30 DOI: 10.1111/j.1468-2443.2009.01085.x
K. Clements, H. Izan, Yihui Lan
{"title":"A Stochastic Measure of International Competitiveness","authors":"K. Clements, H. Izan, Yihui Lan","doi":"10.1111/j.1468-2443.2009.01085.x","DOIUrl":"https://doi.org/10.1111/j.1468-2443.2009.01085.x","url":null,"abstract":"Government agencies produce indexes that purport to measure international competitiveness. The most common version is the real effective exchange rate, which is some form of weighted average of the real exchange rates of the country's trading partners. Such indexes convey a false sense of accuracy as they ignore the volatility among the component real exchange rates of the partners. As long as all real rates do not move in an equiproportionate fashion, in a fundamental sense real effective exchange rates are subject to estimation uncertainty. We demonstrate how this uncertainty can be measured and used to enhance current practice.","PeriodicalId":326622,"journal":{"name":"Wiley-Blackwell: International Review of Finance","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127418096","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: 4
The Scod Model: Analyzing Durations with a Semiparametric Copula Approach Scod模型:用半参数Copula方法分析工期
Wiley-Blackwell: International Review of Finance Pub Date : 2005-03-01 DOI: 10.1111/j.1468-2443.2006.00051.x
C. Savu, W. Ng
{"title":"The Scod Model: Analyzing Durations with a Semiparametric Copula Approach","authors":"C. Savu, W. Ng","doi":"10.1111/j.1468-2443.2006.00051.x","DOIUrl":"https://doi.org/10.1111/j.1468-2443.2006.00051.x","url":null,"abstract":"This paper applies a new methodology for modeling order durations of ultra-high-frequency data using copulas. While the class of common Autoregressive Conditional Duration models are characterized by strict parameterizations and high computational burden, the semiparametric copula approach proposed here offers more flexibility in modeling the dynamic duration process by separating the marginal distributions of waiting times from their temporal dependence structure. Comparing both frameworks as to their density forecast abilities, the Semiparametric Copula Duration model clearly shows a better performance.","PeriodicalId":326622,"journal":{"name":"Wiley-Blackwell: International Review of Finance","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124458613","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: 19
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