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Low risk, high return: Improving option writing performance with put-call ratios in Taiwan
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2025-01-23 DOI: 10.1016/j.pacfin.2025.102687
Chien-Ling Lo , Wen-Rang Liu
{"title":"Low risk, high return: Improving option writing performance with put-call ratios in Taiwan","authors":"Chien-Ling Lo ,&nbsp;Wen-Rang Liu","doi":"10.1016/j.pacfin.2025.102687","DOIUrl":"10.1016/j.pacfin.2025.102687","url":null,"abstract":"<div><div>This study employs the put-call ratio (PCR) to enhance option writing performance. Unlike the conventional buy-write strategy, we fully invest in the market during high PCR periods and sell options to generate income only when the PCR is low, greatly reducing trade frequency. Utilizing index options in Taiwan, which stands out as one of the few global markets developing tradable products for covered call strategies, and where retail investors play a predominant role, our approach yields higher returns with lower risk compared to the market index and outperforms VIX-based conditional strategies. The findings remain robust across institutional investors' positions, various PCR definitions, and alternative writing strategies such as put-write, covered combo, or delta-hedged portfolios.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"90 ","pages":"Article 102687"},"PeriodicalIF":4.8,"publicationDate":"2025-01-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143151950","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Religion vs. ethics: Tail dependence between Sukuk, green bond, Islamic Fintech, and fourth industrial revolution assets
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2025-01-22 DOI: 10.1016/j.pacfin.2025.102683
Mustafa Raza Rabbani , M. Kabir Hassan , Syed Mabruk Billah , Muneer Shaik , Zairihan Abdul Halim
{"title":"Religion vs. ethics: Tail dependence between Sukuk, green bond, Islamic Fintech, and fourth industrial revolution assets","authors":"Mustafa Raza Rabbani ,&nbsp;M. Kabir Hassan ,&nbsp;Syed Mabruk Billah ,&nbsp;Muneer Shaik ,&nbsp;Zairihan Abdul Halim","doi":"10.1016/j.pacfin.2025.102683","DOIUrl":"10.1016/j.pacfin.2025.102683","url":null,"abstract":"<div><div>The study investigates the tail reliance of Sukuk, green bonds, and seven other conventional and Islamic Fintech assets (fourth industrial revolution assets) using the daily pricing data for various financial instruments from 20th December 2019 to 24th March 2024. Using the quantile-on-quantile method of Sim and Zhou (2015), to investigate the tail dependency among the returns of various markets and Sukuk (GB), and the quantile cross-spectral (coherency) model of Baruník and Kley (2019), to evaluate the dependence relationship between the returns of various markets and Sukuk. The study's findings indicate that the interdependence of Sukuk and green bonds with other Fourth Industrial Revolution assets act differently in bullish, bearish, and normal market circumstances and across short, medium, and long-term time horizons. The study is significant because it demonstrates the strong safe-haven qualities of green bonds (ethical) and Sukuk (religious). It contends that including green bonds in a portfolio will provide important diversification benefits, especially during uncertain times.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"90 ","pages":"Article 102683"},"PeriodicalIF":4.8,"publicationDate":"2025-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143151948","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
High-frequency liquidity in the Chinese stock market: Measurements, patterns, and determinants
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2025-01-22 DOI: 10.1016/j.pacfin.2025.102681
Chaoyi Zhao , Yufan Chen , Lintong Wu , Yuehao Dai , Ermo Chen , Lan Wu , Ruixun Zhang
{"title":"High-frequency liquidity in the Chinese stock market: Measurements, patterns, and determinants","authors":"Chaoyi Zhao ,&nbsp;Yufan Chen ,&nbsp;Lintong Wu ,&nbsp;Yuehao Dai ,&nbsp;Ermo Chen ,&nbsp;Lan Wu ,&nbsp;Ruixun Zhang","doi":"10.1016/j.pacfin.2025.102681","DOIUrl":"10.1016/j.pacfin.2025.102681","url":null,"abstract":"<div><div>We explore a broad range of high-frequency liquidity measures for the Chinese stock market, based on a comprehensive tick-level dataset for stocks on the Shenzhen Stock Exchange (SZSE) with approximately 46.64 billion events in 2019–2021. We integrate the raw event-level data into a granular and continuous limit order book for each stock for the three years. We summarize their liquidity levels and key distributional properties. Hypothesis tests show that order interarrival times follow Weibull—not exponential—distributions, implying that Poisson flow is not an appropriate model for order flow in the Chinese stock market. We analyze the intraday and cross-sectional patterns of liquidity, and find novel intraday periodicities in liquidity at whole-minute frequencies such as 1-minute, 5-minute, and 10-minute. Finally, we propose the <em>aggressive–passive imbalance</em> (API), analogous to the order flow imbalance of Cont, Kukanov, and Stoikov (2014), and develop an order-based model of the change in bid–ask spread that sheds light on the universal mechanism of spread formation with respect to order flows. To the best of our knowledge, this is by far the most comprehensive study of market liquidity for the Chinese stock market in the literature.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"90 ","pages":"Article 102681"},"PeriodicalIF":4.8,"publicationDate":"2025-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143151922","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Common institutional ownership and corporate trade credit
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2025-01-21 DOI: 10.1016/j.pacfin.2025.102684
Jie Wang , Liang Chen , Wanli Li
{"title":"Common institutional ownership and corporate trade credit","authors":"Jie Wang ,&nbsp;Liang Chen ,&nbsp;Wanli Li","doi":"10.1016/j.pacfin.2025.102684","DOIUrl":"10.1016/j.pacfin.2025.102684","url":null,"abstract":"<div><div>Using a dataset of Chinese listed firms from 2010 to 2022, this study demonstrates that common institutional ownership significantly facilitates the use of trade credit. The mechanism analysis reveals that common institutional ownership strengthens firms' market positions and mitigates information asymmetry. The effect is more pronounced in non-state-owned enterprises and in regions with lower levels of marketization. Additionally, corporate governance structures, such as the presence of a single controlling shareholder and CEO duality, significantly amplify the impact of common institutional ownership on trade credit. These findings contribute to the literature on trade credit determinants by shedding light on the broader implications of common institutional ownership for corporate stakeholders and governance dynamics.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"90 ","pages":"Article 102684"},"PeriodicalIF":4.8,"publicationDate":"2025-01-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143151921","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Competence and ambiguity aversion of heterogeneous investors
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2025-01-20 DOI: 10.1016/j.pacfin.2025.102678
Christine W. Lai , Donald Lien , Shih-Chuan Tsai
{"title":"Competence and ambiguity aversion of heterogeneous investors","authors":"Christine W. Lai ,&nbsp;Donald Lien ,&nbsp;Shih-Chuan Tsai","doi":"10.1016/j.pacfin.2025.102678","DOIUrl":"10.1016/j.pacfin.2025.102678","url":null,"abstract":"<div><div>A unique intraday dataset from Taiwan is employed to investigate the effects of ambiguity aversion on trading dynamics and portfolio choice considering different competencies across investors. We find investors reduce trading propensities when market-level uncertainty is high but the trading volume does not reduce to zero. Less-competent investors, more ambiguity averse to market uncertainty than to firm uncertainty, exhibit portfolio under-diversification. Domestic institutional investors are equally (less) ambiguity averse to high market (firm) uncertainty than foreign counterparts, showing the home bias. High dividend yields offer certification of a “floor” payoff and are preferred by retail investors.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"90 ","pages":"Article 102678"},"PeriodicalIF":4.8,"publicationDate":"2025-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143151947","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Do China's anti-corruption campaigns impact art prices? Evidence from Chinese art market
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2025-01-19 DOI: 10.1016/j.pacfin.2025.102680
Timothy Yang Bian, Yue Zhang, Nanxing Zhou
{"title":"Do China's anti-corruption campaigns impact art prices? Evidence from Chinese art market","authors":"Timothy Yang Bian,&nbsp;Yue Zhang,&nbsp;Nanxing Zhou","doi":"10.1016/j.pacfin.2025.102680","DOIUrl":"10.1016/j.pacfin.2025.102680","url":null,"abstract":"<div><div>China's recent anti-corruption campaign has raised concerns about its potential impact on the Chinese art market, given the widespread use of artworks as implicit bribes. Using a large auction dataset for traditional Chinese paintings, we examine whether anti-corruption measures have caused a decline in art prices. We use the number of high-ranking officials (vice-ministerial level or higher) under anti-corruption investigation as a proxy for the intensity of such measures. Our results show a statistically significant negative impact: for each additional downfall of a high-ranking official in a region, auction prices for Chinese paintings decrease by 5.5 %. The negative effect is more evident for paintings drawn by non-masters and those with lower prices.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"90 ","pages":"Article 102680"},"PeriodicalIF":4.8,"publicationDate":"2025-01-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143151919","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Common institutional ownership and the spillover effect of corporate innovation
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2025-01-18 DOI: 10.1016/j.pacfin.2025.102677
Xiao-Lin Li , Xiaolong Xia , Xinyu Ge , Deng-Kui Si
{"title":"Common institutional ownership and the spillover effect of corporate innovation","authors":"Xiao-Lin Li ,&nbsp;Xiaolong Xia ,&nbsp;Xinyu Ge ,&nbsp;Deng-Kui Si","doi":"10.1016/j.pacfin.2025.102677","DOIUrl":"10.1016/j.pacfin.2025.102677","url":null,"abstract":"<div><div>This paper examines the spillover effect of innovation among portfolio corporations within the common institutional ownership (CIO) network using annual data of Chinese listed corporations from 2010 to 2022. We find that a corporation's (focal corporation) innovation is positively affected by the innovation of other corporations (peer corporations), suggesting a significant corporate innovation spillover in the CIO network. Furthermore, the spillovers of governance experience and managerial compensation between focal and peer corporations are the two underlying economic mechanisms. We also find that the spillover of innovation within the CIO network is more pronounced when focal corporations have long-term common institutional investors or leading corporations have a high level of innovation. Our findings offer new insight into the relationship between CIO and corporate innovation and highlight the important role of CIO in promoting corporate governance and innovation.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"90 ","pages":"Article 102677"},"PeriodicalIF":4.8,"publicationDate":"2025-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143151917","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Stock market volatility spillovers from U.S. to China: The pivotal role of Hong Kong
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2025-01-17 DOI: 10.1016/j.pacfin.2025.102670
Yu-Lun Chen , J. Jimmy Yang , Yu-Ting Chang
{"title":"Stock market volatility spillovers from U.S. to China: The pivotal role of Hong Kong","authors":"Yu-Lun Chen ,&nbsp;J. Jimmy Yang ,&nbsp;Yu-Ting Chang","doi":"10.1016/j.pacfin.2025.102670","DOIUrl":"10.1016/j.pacfin.2025.102670","url":null,"abstract":"<div><div>This study investigates the dynamic volatility spillovers among the stock markets of China, Hong Kong, and the U.S., focusing on Hong Kong as the intermediary transmitter. We find that the U.S. emerges as the primary transmitter of returns and volatility, with Hong Kong being the major recipient. By decomposing the Hong Kong volatility into U.S. and non-U.S. related components, we confirm the intermediary role of Hong Kong in transmitting U.S. monetary policy shocks to China. In addition, our results reveal time-varying patterns and high sensitivity of these spillover transmissions to the U.S.-China trade war, COVID-19 pandemic, and financial crises. These findings highlight Hong Kong's critical role as a financial hub and provide key implications for policymakers aiming to enhance financial stability through cross-market regulations. Investors can also benefit from this knowledge when developing strategies to manage risks tied to global market uncertainties.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"90 ","pages":"Article 102670"},"PeriodicalIF":4.8,"publicationDate":"2025-01-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143151915","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The duration of Social Security Fund shareholding and investment efficiency
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2025-01-16 DOI: 10.1016/j.pacfin.2025.102675
Yuying Liu, Yue-Rong Li
{"title":"The duration of Social Security Fund shareholding and investment efficiency","authors":"Yuying Liu,&nbsp;Yue-Rong Li","doi":"10.1016/j.pacfin.2025.102675","DOIUrl":"10.1016/j.pacfin.2025.102675","url":null,"abstract":"<div><div>We investigate the impact of Social Security Fund shareholding duration on corporate investment efficiency in China from 2012 to 2022. The empirical results indicate that a longer duration of Social Security Fund shareholding has a significantly positive impact on corporate investment efficiency. The enhancements in investment efficiency exhibit regional heterogeneity. We also find that the stability and persistence of Social Security Fund shareholding contribute to these improvements. Mechanism analysis reveals that longer Social Security Fund shareholding duration improves investment efficiency through internal and external channels by reducing agency costs, mitigating managerial myopia, and enhancing corporate reputation. Our findings provide guidance for policy-makers, institutional investors, and companies in recognizing the role of the Social Security Fund and optimizing investment outcomes.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"90 ","pages":"Article 102675"},"PeriodicalIF":4.8,"publicationDate":"2025-01-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143151913","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Top executives' emotional stability and firm risk-taking: A machine learning-based study
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2025-01-16 DOI: 10.1016/j.pacfin.2025.102679
Jintong Guo, Rui Ding, Ziyi Zhang, Min Zhang
{"title":"Top executives' emotional stability and firm risk-taking: A machine learning-based study","authors":"Jintong Guo,&nbsp;Rui Ding,&nbsp;Ziyi Zhang,&nbsp;Min Zhang","doi":"10.1016/j.pacfin.2025.102679","DOIUrl":"10.1016/j.pacfin.2025.102679","url":null,"abstract":"<div><div>This study shows that executive personality traits play an important role in firm risk-taking. We introduce a novel videometric measure of executives' emotional stability using a video-based machine learning method. We validate this by providing evidence consistent with the neuroscience literature that older and male executives are more emotionally stable. We find that emotionally stable executives are more receptive to risk-taking. This effect is primarily driven by the emotional regulation towards negative moods. The positive relation between emotional stability and corporate risk-taking is prominent when executives face greater capital market pressure. Firms led by emotionally stable executives have fewer cash holdings, greater leverage, and higher investment expenditure. In addition, we find that executives' emotional stability increases firm financial performance. Overall, this study sheds light on executive personality antecedents of firm-level outcomes, and provides insights into measuring emotional stability in large-scale studies.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"90 ","pages":"Article 102679"},"PeriodicalIF":4.8,"publicationDate":"2025-01-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143340373","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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