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Asian Academy of Management Journal of Accounting and Finance最新文献

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Does Bank Diversification Affect Funding Cost? Evidence from the US Banks 银行多元化是否影响融资成本？来自美国银行的证据
IF 0.9
Asian Academy of Management Journal of Accounting and Finance Pub Date : 2020-08-14 DOI: 10.21315/aamjaf2020.16.1.5
D. Tran
{"title":"Does Bank Diversification Affect Funding Cost? Evidence from the US Banks","authors":"D. Tran","doi":"10.21315/aamjaf2020.16.1.5","DOIUrl":"https://doi.org/10.21315/aamjaf2020.16.1.5","url":null,"abstract":"We investigate how diversification affects the U.S. bank holding companies’ funding cost. We document consistent evidence of a lower deposit rates for banks that engage more in non-traditional banking activities. The quantile regressions which dissect the behaviour of banks at the right tail of deposits costs distribution, point out the leveraged effect of diversification is more pronounced with lower-deposits costs banks. The study also suggests diversified banks enjoy lower funding cost during the crisis. Our study is of interest to regulators and policymakers.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2020-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48316402","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
Do Country Characteristics Affect the Complementary Level of Financial and Tax Aggressiveness? 国家特征是否影响财政和税收积极性的互补水平？
IF 0.9
Asian Academy of Management Journal of Accounting and Finance Pub Date : 2020-08-14 DOI: 10.21315/aamjaf2020.16.1.3
N. Rachmawati, S. Utama, Dwi Martani, R. Wardhani
{"title":"Do Country Characteristics Affect the Complementary Level of Financial and Tax Aggressiveness?","authors":"N. Rachmawati, S. Utama, Dwi Martani, R. Wardhani","doi":"10.21315/aamjaf2020.16.1.3","DOIUrl":"https://doi.org/10.21315/aamjaf2020.16.1.3","url":null,"abstract":"This study aims to examine whether two country characteristics—book-tax conformity and law enforcement—affect the complementary level of financial and tax aggressiveness. Previous studies have produced inconclusive results for the relationship between financial and tax aggressiveness. This study fills the gap by examining the country-level determinants of the complementary level of financial and tax aggressiveness. It also develops a new measure of the complementary level of financial and tax aggressiveness. Using a sample of firms from 15 countries in East Asia and Europe from 2014 to 2016, this study finds that firms from countries with higher book-tax conformity and stronger law enforcement tend to have a lower complementary level of financial and tax aggressiveness. In an additional test, this study shows that in countries with lower book-tax conformity, the effect of law enforcement on the complementary level of financial and tax aggressiveness is stronger than in countries with higher book-tax conformity. These results suggest that country characteristics influence managers’ decisions to either present financial statements and tax reporting aggressively at the same time or not.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2020-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44881032","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
Assessing Bank Stability in Malaysia in the Framework of Distance to Default 在违约距离框架下评估马来西亚银行稳定性
IF 0.9
Asian Academy of Management Journal of Accounting and Finance Pub Date : 2019-12-31 DOI: 10.21315/AAMJAF2019.15.2.1
A. Saha, N. Ahmad, H. E. Lim, Siew Goh Yeok
{"title":"Assessing Bank Stability in Malaysia in the Framework of Distance to Default","authors":"A. Saha, N. Ahmad, H. E. Lim, Siew Goh Yeok","doi":"10.21315/AAMJAF2019.15.2.1","DOIUrl":"https://doi.org/10.21315/AAMJAF2019.15.2.1","url":null,"abstract":"Post global financial crisis central banks worldwide have been crucially concerned about ensuring financial stability in any economy. Malaysia is not an exception where Bank Negara Malaysia has been playing a pivotal role in ensuring continuing safety and soundness of the financial system of the country. In the present paper, we assess the stability of domestic banks in the country using the Distance to Default (DTD). No such analytical study on Malaysian banking has so far been reported in the literature. Using the data of the financial performance of banks during the period 2001 to 2014, their stock price information on daily basis and the corresponding KLCI index, and the daily yield of Malaysian Government Securities, we compute and analyse the DTD of banks at the individual level and also assess the contribution of individual banks to systemic risk. We also assess the robustness of the framework by analysing the cases of two banks which were merged during the period 2001 to 2010. The findings of the study are expected generate extensive research interest in this arena and would also be beneficial to the investor population at large who would be keen in knowing the underpinning of the systemic stability in the country.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2019-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67727370","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
A Comparative Analysis of Fixed Income Unit Trust Funds versus Equity Unit Trust Funds in Malaysia 马来西亚固定收益单位信托基金与权益单位信托基金的比较分析
IF 0.9
Asian Academy of Management Journal of Accounting and Finance Pub Date : 2019-12-31 DOI: 10.21315/aamjaf2019.15.2.5
N. Abdullah, A. Shari
{"title":"A Comparative Analysis of Fixed Income Unit Trust Funds versus Equity Unit Trust Funds in Malaysia","authors":"N. Abdullah, A. Shari","doi":"10.21315/aamjaf2019.15.2.5","DOIUrl":"https://doi.org/10.21315/aamjaf2019.15.2.5","url":null,"abstract":"This study examines the relationship between fixed income unit trust funds and equity unit trust funds for the period of January 2006 to October 2012. The performance of both types of funds are then compared to the market benchmark to determine whether they outperformed the market benchmark. The performance comparisons are made over several categories of equity sample namely overall equity, growth equity and value equity. The Kuala Lumpur Composite Index (KLCI) is used as the market benchmark for equity funds and fixed income funds with additional market benchmark of Maybank 12-month fixed deposit. A total of 31 fixed income funds and 57 overall equity funds which are made up of 37 growth equity and 20 value equity are evaluated by using three performance measures namely Treynor index, Sharpe index and Jensen index. The results indicate that the mean returns of equity funds are higher than the fixed income funds and market benchmark of KLCI. Nevertheless, when equity funds are compared against fixed income funds using Wilcoxon Signed Rank Test, Sharpe and Treynor ratios produce significant results. This means that the performance of fixed income funds varies from the performance of equity funds. However the Jensen index produces insignificant result. When the sample categorised into different equity types of funds, the finding shows a conflicting result. The Sharpe and Jensen ratios indicate insignificant results for growth equity funds sample. This means that the performance of fixed income funds is not different from that of equity funds in comparison to Treynor that shows a significant result. As for the value equity, Sharpe, Treynor and Jensen produce results that are significant. This means that the performance of fixed income funds varies from that of equity funds.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2019-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43547178","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
Structural Change Analysis of Active Cryptocurrency Market 活跃加密货币市场的结构变化分析
IF 0.9
Asian Academy of Management Journal of Accounting and Finance Pub Date : 2019-09-24 DOI: 10.21315/aamjaf2022.18.2.4
C. Y. Tan, Y. Koh, Kok Haur Ng
{"title":"Structural Change Analysis of Active Cryptocurrency Market","authors":"C. Y. Tan, Y. Koh, Kok Haur Ng","doi":"10.21315/aamjaf2022.18.2.4","DOIUrl":"https://doi.org/10.21315/aamjaf2022.18.2.4","url":null,"abstract":"Motivated by the large frequent price fluctuation and excessive volatility observed in the cryptocurrency market, this study adopts Bai and Perron’s structural change model by incorporating the trading volume and autoregressive variables to examine the number and location of change points in daily closing price, return and volatility proxied by the squared return of Cryptocurrency Index, Cryptocurrency Index 30, and the top 10 cryptocurrencies ranked according to market capitalisation. Results show that the structural changes occur very frequently for the price series, followed by squared return and return series which were consistently observed between December 2017 to April 2018. In addition, the results also reveal that the two cryptocurrency indices may not be beneficial as an indicator to reflect the whole cryptocurrency market for the entire studied period as these two indices do not display consistent structural change in contrast to the top 10 cryptocurrencies that might have significant implications for modelling the cryptocurrency data.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2019-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47115190","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
The Fund Characteristics, Fees, and Expenses Structure Between Conventional and Islamic Mutual Fund 传统和伊斯兰共同基金的基金特点、费用和开支结构
IF 0.9
Asian Academy of Management Journal of Accounting and Finance Pub Date : 2019-08-31 DOI: 10.21315/aamjaf2019.15.1.7
S. Fikri, M. Yahya
{"title":"The Fund Characteristics, Fees, and Expenses Structure Between Conventional and\u0000 Islamic Mutual Fund","authors":"S. Fikri, M. Yahya","doi":"10.21315/aamjaf2019.15.1.7","DOIUrl":"https://doi.org/10.21315/aamjaf2019.15.1.7","url":null,"abstract":"","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2019-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47078788","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
Has Co-Movement Dynamics in Brazil, Russia, India, China and South Africa (BRICS) Markets Changed After Global Financial Crisis? New Evidence from Wavelet Analysis 全球金融危机后，巴西、俄罗斯、印度、中国和南非(金砖国家)市场的联动动力发生了变化吗?小波分析的新证据
IF 0.9
Asian Academy of Management Journal of Accounting and Finance Pub Date : 2019-08-31 DOI: 10.21315/aamjaf2019.15.1.1
M. Kannadhasan, Debojyoti Das
{"title":"Has Co-Movement Dynamics in Brazil, Russia, India, China and South Africa (BRICS)\u0000 Markets Changed After Global Financial Crisis? New Evidence from Wavelet\u0000 Analysis","authors":"M. Kannadhasan, Debojyoti Das","doi":"10.21315/aamjaf2019.15.1.1","DOIUrl":"https://doi.org/10.21315/aamjaf2019.15.1.1","url":null,"abstract":"We investigate the changes in the co-movement dynamics in the stock market returns of Brazil, Russia, India, China and South Africa (BRICS) with that of US during pre and post-global financial crisis (GFC). The stock returns of BRICS and the US markets over the period of 1999A±2016 are analysed using wavelet transformation, with equal time phase of eight years on both sides of GFC. We find the existence of co-movement at both high and low frequencies. In addition, the contagion effect is also noted around the GFC year 2008. Further we also report that despite the high correlation of BRICS portfolio, it facilitates asset diversification benefits in the medium run. Finally, there is significant changes in correlation dynamics for Russia and China during post-GFC period, whereas the multiple correlations dynamics amongst BRICS markets remain unchanged.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2019-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44259967","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
Higher Co-Moments and Downside Beta in Asset Pricing 资产定价的高共同时刻和下行贝塔系数
IF 0.9
Asian Academy of Management Journal of Accounting and Finance Pub Date : 2019-08-31 DOI: 10.21315/aamjaf2019.15.1.6
Imran Umer Chhapra, Muhammad Kashif
{"title":"Higher Co-Moments and Downside Beta in Asset Pricing","authors":"Imran Umer Chhapra, Muhammad Kashif","doi":"10.21315/aamjaf2019.15.1.6","DOIUrl":"https://doi.org/10.21315/aamjaf2019.15.1.6","url":null,"abstract":"The Capital Asset Pricing Model (CAPM) assumes a linear relationship between an assetA­s return and financial market. However, empirical invalidity of linearity of returns has given birth to other CAPM models. Therefore, this study aims to examine the implication of preference by a risk-averse investor for higher moments and downside risk as investors are assumed to be prudent, temperate and cautious and prefer firms with negative co-skewness, positive co-kurtosis, and downside risk as they yield higher risk premium. To empirically test these theoretical assumptions data of all 901 firms (listed and delisted) in Pakistan Stock Exchange (PSX) from 2000 to 2016 have been used. Decile portfolios are constructed for cross-sectional and time series analysis. Generalized Method of Moments (GMM) and Wald Test are applied to check the robustness of results. The results indicate that co-skewness, co-kurtosis and downside beta are important risk factors but only downside beta is genuinely priced over and above what co-variance risk can explain and CAPM does not significantly capture market risk premium indicating the existence of other risk measures in PSX. The findings can help investors in formulating investment strategies for constructing well-diversified and efficient portfolios and can enable firm managers to take appropriate capital budgeting decisions by appropriately costing equities.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2019-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48481994","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
Are there Psychological Barriers in Asian Stock Markets? 亚洲股市存在心理障碍吗?
IF 0.9
Asian Academy of Management Journal of Accounting and Finance Pub Date : 2019-08-31 DOI: 10.21315/aamjaf2019.15.1.4
Júlio Lobão, M. Couto
{"title":"Are there Psychological Barriers in Asian Stock Markets?","authors":"Júlio Lobão, M. Couto","doi":"10.21315/aamjaf2019.15.1.4","DOIUrl":"https://doi.org/10.21315/aamjaf2019.15.1.4","url":null,"abstract":"We examine six major Asian stock markets for indication of psychological barriers at round numbers. We test for uniformity in the trailing digits of the indices and use regression and generalized autoregressive conditional heteroskedasticity (GARCH) analysis to assess the differential impact of being above or below a possible barrier. The strongest indication of barriers was found in the markets of South Korea and Taiwan. There is mild evidence of barriers in Japan and Hong Kong and the stock markets of Singapore and China exhibit only weak signs of psychological barriers. These findings challenge the notion that Asian markets are efficient and support the claim that technical analysis strategies can be useful in some of these markets.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2019-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47022395","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
Threshold Effect of Financial Integration on Linkages Between Monetary Independence and Foreign Exchange Reserves 金融一体化对货币独立性与外汇储备关联性的门槛效应
IF 0.9
Asian Academy of Management Journal of Accounting and Finance Pub Date : 2019-08-31 DOI: 10.21315/aamjaf2019.15.1.3
C. Law, Chee-Lip Tee, Say Keat Ooi
{"title":"Threshold Effect of Financial Integration on Linkages Between Monetary Independence\u0000 and Foreign Exchange Reserves","authors":"C. Law, Chee-Lip Tee, Say Keat Ooi","doi":"10.21315/aamjaf2019.15.1.3","DOIUrl":"https://doi.org/10.21315/aamjaf2019.15.1.3","url":null,"abstract":"This paper investigates the relationship between monetary independence and its potential determinants A³ foreign exchange reserves, exchange rate stability, financial integration and inflation. This paper contributes to the literature by testing the threshold effect of the degree of financial integration on the relation between monetary independence and foreign exchange reserves. In particular, a linear model and a threshold model are compared using average cross-sectional data from 55 countries. The linear model shows that foreign exchange reserves increase monetary independence. Nonetheless, the threshold estimation indicates that foreign exchange reserves can maintain monetary independence when the degree of financial integration of a country is above a certain threshold value. Such a finding suggests that the relationship between monetary independence and foreign exchange reserves is subject to the degree of financial integration. Moreover, the evidence supports a weakening effect from financial integration to the phenomenon of A«fear of floatingA­.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2019-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43657825","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
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