Asian Journal of Economics and Banking最新文献

{"title":"An analysis of dependency of stock markets after unlimited QE announcements during COVID-19 pandemic","authors":"Ornanong Puarattanaarunkorn, K. Autchariyapanitkul, Teera Kiatmanaroch","doi":"10.1108/ajeb-04-2023-0037","DOIUrl":"https://doi.org/10.1108/ajeb-04-2023-0037","url":null,"abstract":"PurposeUnlimited quantitative easing (QE) is one of the monetary policies used to stimulate the economy during the coronavirus disease 2019 (COVID-19) pandemic. This policy has affected the financial markets worldwide. This empirical research aims at studying the dependence among stock markets before and after unlimited QE announcements.Design/methodology/approachThe copula-based GARCH (1,1) and minimum spanning tree models are used in this study to analyze 14 series of stock market data, on 6 ASEAN and 8 other countries outside the region. The data are divided into two periods to compare the differences in dependence.FindingsThe findings show changes in dependence among the volatility of daily returns in 14 stock markets during each period. After the unlimited QE announcement, the upper tail dependence became more apparent, while the role of the lower tail dependence was reduced. The minimum spanning tree can show the close relationships between stock markets, indicating changes in the connection network after the announcement.Originality/valueThis study allows the dependency to be compared between stock market volatility before and after the announcement of unlimited QE during the COVID-19 pandemic. Moreover, the study fills the literature gap by combining the copula-based GARCH and the minimum spanning tree models to analyze and reveal the systemic network of the relationships.","PeriodicalId":34606,"journal":{"name":"Asian Journal of Economics and Banking","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44417936","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":"Global financial connectivity and ineffectiveness of sovereign debt: implications for business activities in South Asia","authors":"M. Mehar","doi":"10.1108/ajeb-03-2023-0015","DOIUrl":"https://doi.org/10.1108/ajeb-03-2023-0015","url":null,"abstract":"PurposeThe study examines the impacts of debt financing on infrastructure development, investment, creation of new business entities, subsidies to private sector and GDP growth.Design/methodology/approachThe methodology is based on five simultaneous equations which have been estimated through panel least square.FindingsThe most important conclusion of this study is the significant role of sovereign bonds in determination of subsidies to private sector. The role of domestic credit is important in South Asian context because of its significant role in creation of new businesses.Research limitations/implicationsThis study supports the enhancement in credit financing to private sector for creation of new business activities in the economy.Practical implicationsThe improvement in liquidity position by enhancing domestic credit facilities may ensure the sustainability and continuity of business activities. Such activities may improve GDP growth in future.Social implicationsThe most important aspect of the study is to identify the role of debt financing in subsidies and creation of new businesses which are important elements of social economics.Originality/valueUsually the impacts of sovereign bonds and external debts on infrastructure development and GDP growth are examined. But, to relate these debts to creation of business entities and subsidies is a new dimension.","PeriodicalId":34606,"journal":{"name":"Asian Journal of Economics and Banking","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42463783","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":"Gain-probability diagrams as an alternative to significance testing in economics and finance","authors":"D. Trafimow, Ziyuan Wang, Tingting Tong, Tonghui Wang","doi":"10.1108/ajeb-05-2023-0045","DOIUrl":"https://doi.org/10.1108/ajeb-05-2023-0045","url":null,"abstract":"PurposeThe purpose of this article is to show the gains that can be made if researchers were to use gain-probability (G-P) diagrams. Design/methodology/approachThe authors present relevant mathematical equations, invented examples and real data examples.FindingsG-P diagrams provide a more nuanced understanding of the data than typical summary statistics, effect sizes or significance tests.Practical implicationsGain-probability diagrams provided a much better basis for making decisions than typical summary statistics, effect sizes or significance tests.Originality/valueG-P diagrams provide a completely new way to traverse the distance from data to decision-making implications.","PeriodicalId":34606,"journal":{"name":"Asian Journal of Economics and Banking","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42026366","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":"A prelude to statistics arising from optimal transport theory","authors":"H. Nguyen","doi":"10.1108/ajeb-05-2023-0038","DOIUrl":"https://doi.org/10.1108/ajeb-05-2023-0038","url":null,"abstract":"PurposeThis paper aims to offer a tutorial/introduction to new statistics arising from the theory of optimal transport to empirical researchers in econometrics and machine learning.Design/methodology/approachPresenting in a tutorial/survey lecture style to help practitioners with the theoretical material.FindingsThe tutorial survey of some main statistical tools (arising from optimal transport theory) should help practitioners to understand the theoretical background in order to conduct empirical research meaningfully.Originality/valueThis study is an original presentation useful for new comers to the field.","PeriodicalId":34606,"journal":{"name":"Asian Journal of Economics and Banking","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46557777","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":"A partial solution for the replication crisis in economics","authors":"W. Briggs","doi":"10.1108/ajeb-03-2023-0027","DOIUrl":"https://doi.org/10.1108/ajeb-03-2023-0027","url":null,"abstract":"PurposeImportant research once thought unassailable has failed to replicate. Not just in economics, but in all science. The problem is therefore not in dispute nor are some of the causes, like low power, selective reporting, the file drawer effect, publicly unavailable data and so forth. Some partially worthy solutions have already been offered, like pre-registering hypotheses and data analysis plans.Design/methodology/approachThis is a review paper on the replication crisis, which is by now very well known.FindingsThis study offers another partial solution, which is to remind researchers that correlation does not logically imply causation. The effect of this reminder is to eschew “significance” testing, whether in frequentist or Bayesian form (like Bayes factors) and to report models in predictive form, so that anybody can check the veracity of any model. In effect, all papers could undergo replication testing.Originality/value The author argues that this, or any solution, will never eliminate all errors.","PeriodicalId":34606,"journal":{"name":"Asian Journal of Economics and Banking","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-06-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47469847","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":"Do board characteristics moderate capital adequacy regulation and bank risk-taking nexus in Sub-Saharan Africa?","authors":"Sampson Asiamah, Kingsely Opoku Appiah, Ebenezer Agyemang Badu","doi":"10.1108/ajeb-08-2022-0108","DOIUrl":"https://doi.org/10.1108/ajeb-08-2022-0108","url":null,"abstract":"PurposeThe purpose of this paper is to examine whether board characteristics moderate the relationship between capital adequacy regulation and bank risk-taking of universal banks in Sub-Saharan Africa (SSA).Design/methodology/approachThe paper uses 700 bank-year observations of universal banks in SSA between 2009 and 2019. The paper further uses the two-step generalized method of moments as the baseline estimator.FindingsThe paper finds that capital adequacy regulation is positively related to overall bank and liquidity risks. Nonetheless, capital adequacy regulation increases credit risk in the sampled banks. The paper further reports that board characteristics individually and significantly moderate the relationship between capital adequacy regulation and risk-taking.Practical implicationsThe findings have implications for regulators of universal banks that board characteristics matter for capital adequacy regulation to impact risk-taking behavior.Originality/valueThe paper extends the existing literature on the effect of board characteristics on the capital adequacy regulations and risk-taking behavior nexus of universal banks.","PeriodicalId":34606,"journal":{"name":"Asian Journal of Economics and Banking","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-06-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41639138","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":"High-frequency CSI300 futures trading volume predicting through the neural network","authors":"Xiaojie Xu, Yun Zhang","doi":"10.1108/ajeb-05-2022-0051","DOIUrl":"https://doi.org/10.1108/ajeb-05-2022-0051","url":null,"abstract":"PurposeFor policymakers and participants of financial markets, predictions of trading volumes of financial indices are important issues. This study aims to address such a prediction problem based on the CSI300 nearby futures by using high-frequency data recorded each minute from the launch date of the futures to roughly two years after constituent stocks of the futures all becoming shortable, a time period witnessing significantly increased trading activities.Design/methodology/approachIn order to answer questions as follows, this study adopts the neural network for modeling the irregular trading volume series of the CSI300 nearby futures: are the research able to utilize the lags of the trading volume series to make predictions; if this is the case, how far can the predictions go and how accurate can the predictions be; can this research use predictive information from trading volumes of the CSI300 spot and first distant futures for improving prediction accuracy and what is the corresponding magnitude; how sophisticated is the model; and how robust are its predictions?FindingsThe results of this study show that a simple neural network model could be constructed with 10 hidden neurons to robustly predict the trading volume of the CSI300 nearby futures using 1–20 min ahead trading volume data. The model leads to the root mean square error of about 955 contracts. Utilizing additional predictive information from trading volumes of the CSI300 spot and first distant futures could further benefit prediction accuracy and the magnitude of improvements is about 1–2%. This benefit is particularly significant when the trading volume of the CSI300 nearby futures is close to be zero. Another benefit, at the cost of the model becoming slightly more sophisticated with more hidden neurons, is that predictions could be generated through 1–30 min ahead trading volume data.Originality/valueThe results of this study could be used for multiple purposes, including designing financial index trading systems and platforms, monitoring systematic financial risks and building financial index price forecasting.","PeriodicalId":34606,"journal":{"name":"Asian Journal of Economics and Banking","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45514377","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":"Cash conversion cycle and financial performance: evidence from manufacturing firms of Bangladesh","authors":"Rejaul Karim, M. Mamun, Abu Kamruzzaman","doi":"10.1108/ajeb-03-2022-0033","DOIUrl":"https://doi.org/10.1108/ajeb-03-2022-0033","url":null,"abstract":"PurposeThe purpose of the present study is to determine how the cash conversion cycle (CCC) affects the financial performance of manufacturing companies in Bangladesh.Design/methodology/approachThe authors have collected data of 61 Dhaka Stock Exchange (DSE)-listed firms from the 10 distinct manufacturing industries of Bangladesh for 18 years, from 2003 to 2020. The data have been analyzed through the two-steps system generalized method of moment (GMM) regression model, using profitability indicators return on asset (ROA) and earnings per share (EPS) as dependent variables, while CCC has been used as the independent variable, whereas asset turnover (ATO) and financial leverage (LEV) were used as control variables to assess the relationship between the CCC and financial performance.FindingsThe findings indicated that CCC has a negative connection with profitability – ROA and EPS, with the connection between CCC and EPS being highly significant. This indicates that reducing the inventory conversion time, reducing the period of receivable collection and making payments to creditors with potential delays might help Bangladeshi manufacturing firms boost their profitability. In addition, the firm-specific characteristics, namely ATO and LEV significantly affect the firm's profitability.Research limitations/implicationsThe research was based only on secondary sources and information was scarce. This research was conducted to determine the impact of the CCC on the corporate profitability of the manufacturing sector solely. There might be many other working capital variables that are still unexplored through this study.Practical implicationsThe current study's findings are consistent with the traditional rule that minimizing the firm's days of the cash cycle may optimize financial performance. The results of this research have added to the existing body of knowledge on the topic of working capital management (WCM). Future research endeavors can be initiated for assessing the impact of the CCC on the firm's profitability in other industrial sectors or to identify other working capital variables that have much impact on corporate profitability.Originality/valueThis study is an original work of the researchers and adds value to the current literature in the domain of WCM and corporate profitability. The present study is the first one that covers firms in all the manufacturing industries in Bangladesh. The corporate managers, creditors, investors and other concerned stakeholders will be benefited from the findings of the present study.","PeriodicalId":34606,"journal":{"name":"Asian Journal of Economics and Banking","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-05-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43397170","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":"Impact of digital financial innovation on financial system development in Common Market for Eastern and Southern Africa (COMESA) countries","authors":"Charles O Manasseh, I. Nwakoby, O. Okanya, N. Nwonye, Onuselogu Odidi, Kesuh Jude Thaddeus, Kenechukwu K. Ede, Williams A. Nzidee","doi":"10.1108/ajeb-04-2022-0041","DOIUrl":"https://doi.org/10.1108/ajeb-04-2022-0041","url":null,"abstract":"PurposeThis paper aims to assess the impact of digital financial innovation on financial system development in Common Market for eastern and Southern Africa (COMESA). This paper evaluates the dynamic relationship between digital financial innovation measures and financial system development using time series data from COMESA countries for the period 1997–2019.Design/methodology/approachA dynamic autoregressive distributed lag model (ARDL) was adopted and the mean group (MG), pooled mean group (PMG) and dynamic fixed effect (DFE) of the model were estimated to evaluate the short- and long-run impact. In addition, the dynamic generalized method of moments (DGMM) was adopted for a robustness check. The Hausman test results show PMG to be the most consistent and efficient estimator, while the coefficient of lagged dependent variable of different GMM is less than the fixed effect coefficient, and, as such, suggests system GMM is the most suitable estimator. Data for the study were sourced from World Bank Development Indicator (WDI, 2020), World Governance Indicator (WGI, 2020) and World Bank Global Financial Development Database (GFD, 2020).FindingsThe result shows that digital financial innovation significantly impacts financial system development in the long run. As such, the evidence revealed that automated teller machines (ATMs), point of sale (POS), mobile payments (MP) and mobile banking are significant and contribute positively to financial system development in the long run, while mobile money (MM) and Internet banking (INB) are insignificant but exhibit positive and inverse relationship with financial development respectively. Further investigation revealed that institutional quality and a stable macroeconomic environment including their interactive term are significantly imperative in predicting financial system development in the COMESA region.Practical implicationsResearchers recommend a cohesive and conscious policy that would checkmate the divergence in the short run and suggest a common regional innovative financial strategy that could be pursued to incentivize technology transfer needed to promote financial system development in the long run. More so, plausible product and process innovations may be adapted to complement innovative institutions in the different components of the COMESA financial system.Social implicationsDigital financial innovation services if well managed increase the inherent benefits in financial system development.Originality/valueTo the best of the authors’ knowledge, this paper presents new background information on digital financial innovation that may stimulate the development of the financial system, particularly in the COMESA region. It also exposes the relevance of digital financial innovation, institutional quality and stable macroeconomic environment as well as their interactive effect on COMESA financial system development.","PeriodicalId":34606,"journal":{"name":"Asian Journal of Economics and Banking","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42506305","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":"Exchange rates, bond yields and the stock market: nonlinear evidence of Indonesia during the COVID-19 period","authors":"Billy Prananta, Constantinos Alexiou","doi":"10.1108/ajeb-12-2022-0157","DOIUrl":"https://doi.org/10.1108/ajeb-12-2022-0157","url":null,"abstract":"PurposeThe authors explore the relationship between the exchange rate, bond yield and the stock market as well as the effect of capital market dynamics on the exchange rate before and during the COVID-19 pandemic.Design/methodology/approachThe authors employ a non-linear autoregressive distributed lag (NARDL) methodology using daily data of the Indonesian economy over the period 2012–2021.FindingsWhilst, over the full sample period, the authors find no cointegration between the exchange rate, the 10-year bond yield and stock market, for the COVID-19 period, evidence of cointegration is present. Furthermore, the results suggest that asymmetric effects are evident both in the short as well as the long run.Originality/valueTo the best of the authors’ knowledge, this is the first time that the relationship between the exchange rate, bond yield and the stock market as well as the effect of capital market dynamics on the exchange rate before and during the COVID-19 pandemic has been explored in the case of the Indonesian economy.","PeriodicalId":34606,"journal":{"name":"Asian Journal of Economics and Banking","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-04-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48901041","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}