Asia-Pacific Financial Markets最新文献

{"title":"Macroeconomic Response to BRICS Countries Stock Markets Using Panel VAR","authors":"Babita Panda,&nbsp;Ajaya Kumar Panda,&nbsp;Pradiptarathi Panda","doi":"10.1007/s10690-023-09399-7","DOIUrl":"10.1007/s10690-023-09399-7","url":null,"abstract":"<div><p>This study measures the relationships between macroeconomic variables and stock returns for BRICS countries. The study uses monthly data of select macroeconomic variables collected from February 1997 to December 2019. In addition to the traditional macroeconomic variables, the study used the new age macroeconomic variables like- economic policy uncertainty index, Crude oil volatility index, Global financial stress index, and SENTIX global index. Using Panel VAR and Granger causality, the study finds that market returns positively influence exchange rates. In contrast, the market tends to react negatively to changes in consumer price inflation and foreign portfolio investment. However, the equity market is susceptible to the economic growth (IIP) of BRICS economies. These macroeconomic indicators exhibit significant influence on the stock markets.\u0000</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2023-03-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41623450","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":"Market Efficiency of Commodity Derivatives with Reference to Nonagricultural Commodities","authors":"Hema Divya Kantamaneni,&nbsp;Vasudeva Reddy Asi","doi":"10.1007/s10690-023-09400-3","DOIUrl":"10.1007/s10690-023-09400-3","url":null,"abstract":"<div><p>The main objective of this paper is to study the market efficiency of nonagricultural commodities markets. Based on the review of literature, the present study tries to find out whether there is a cointegration, lead and lag relation in spot and futures market prices of identified non agricultural commodities traded in multi commodities exchange, using Stationary tests Cointegration and Regression Model which explains Casual relationship between Spot and Futures Markets. The study find that futures prices cause spot prices and vice versa and suggests that no profitable arbitrage exists and investor cannot book profit since new information already gets to be discounted by spot and futures prices simultaneously. The main contribution of the study is empirically identified and proves that there is a casual relationship between futures and spot which helps the investor to forecast the price with respect to Non Agricultural commodities.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2023-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45400298","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":"Media Coverage, Real Earnings Management, and Long-Run Market Performance: Evidence from Chinese IPOs","authors":"Danning Yu","doi":"10.1007/s10690-022-09396-2","DOIUrl":"10.1007/s10690-022-09396-2","url":null,"abstract":"<div><p>This study investigates how real earnings management (REM) in the initial public offering (IPO) year affects long-run post-IPO market performance. The empirical results show that the effect of REM on a firm’s stock returns varies with the forms of REM. Abnormal production costs are positively associated with long-run returns, whereas abnormal cuts in discretionary expenses are negatively associated with long-run returns. These results suggest that investors are not fully aware of the implications of REM and initially undervalue or overvalue the firm based on different REM activities. Further, this study examines the long-run role of the media in the capital market by examining the impact of media coverage on the consequences of IPO firms’ REM practices. The results indicate that the associations between REM and stock returns become weaker if the IPO firm is more visible through the media. Additional analyses show that retail investors are more likely to initially misprice REM activities and be influenced by media information. Compared with media coverage, audit quality or analyst following has a relatively less pronounced effect on the consequences of REM activities. These findings imply that media coverage appears to mitigate the influence of REM on stock returns, facilitating market efficiency after a firm’s IPO in the long run.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2023-01-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47870194","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":"The Stock Performance of Green Bond Issuers During COVID-19 Pandemic: The Case of China","authors":"Jiongye Jin,&nbsp;Jianing Zhang","doi":"10.1007/s10690-022-09386-4","DOIUrl":"10.1007/s10690-022-09386-4","url":null,"abstract":"<div><p>The green bond (GB) is a new financial product in the green finance field that has recently become a corporate social responsibility (CSR) tool for organizations. Previous studies show that high-CSR firms receive more trust from shareholders during a financial crisis. This paper aims to assess the stock performance of publicly listed Chinese companies that issued GBs during the COVID-19 pandemic. The bond sample covers 2016–2019 and consists of 67 listed issuers. The paper uses the event study method based on the market and Fama-French (1993) three-factor models. Our results show that GB issuers exhibited significantly positive cumulative abnormal stock returns on the official announcement dates of the COVID-19 outbreak. The positive cumulative abnormal returns are mainly driven by non-financial GB issuers rather than financial GB issuers. The results reflect the attitudes of investors toward GB-issuing companies primarily in the context of the crisis and contribute to the development of green finance policies.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2022-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48071472","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 Rate Risk Management using Currency Derivatives: The Case of Exposures to Japanese Yen","authors":"Sung C. Bae,&nbsp;Taek Ho Kwon","doi":"10.1007/s10690-022-09391-7","DOIUrl":"10.1007/s10690-022-09391-7","url":null,"abstract":"<div><p>This paper focuses on managing exchange rate risk associated with a secondary, non-USD exchange rate of Japanese yen (JPY). Employing Korean firm data, our preliminary analysis reveals that Korean firms are exposed differently to changes in the KRW/JPY rate than to changes in the KRW/USD rate. Our results show that firms exhibiting significant shifts in exposure from pre- to post-global financial crisis have distinctively different firm attributes including more currency derivatives use and lower firm values, compared to firms exhibiting little such shifts. A further analysis reveals that the lower values of high exposure firms are attributable mainly to the financial risk from foreign currency borrowing, but not to the operating risk resulting from exporting activities. Hence, the currency derivative use by Korean firms hardly helps them mitigate the value loss from heightened capital costs of foreign borrowing following the crisis.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2022-12-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41630063","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":"Inclusions and Exclusions of Stocks in Cross-Border Investments: The Case of Stock Connect","authors":"Kin Ming Wong,&nbsp;Kwok Ping Tsang","doi":"10.1007/s10690-022-09395-3","DOIUrl":"10.1007/s10690-022-09395-3","url":null,"abstract":"<div><p>How does the market react when more or fewer investors are allowed to trade certain stocks? Stock Connect, a cross-border investment channel between mainland China and Hong Kong, provides a natural testing ground. Investors are allowed to trade a list of qualified stocks from the stock market on the other side, and when a stock is removed from the list, investors can only sell but cannot buy that stock. We find that the inclusion of stocks is correlated with abnormal returns, implying downward-sloping demand curves for stocks. The effect weakens over time and disappears in about 40 trading days. There are no abnormal returns when stocks are removed from the list. On the other hand, when investors can only sell some stocks, they have a significantly higher propensity to sell. Their trading style becomes more contrarian for such stocks, and they tend to trade in small amounts. After 6 months, their investment behavior returns to that before the removal.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2022-11-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41971122","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":"Insurance Market and Economic Growth in an Information-Driven Economy: Evidence from a Panel of High- and Middle-Income Countries?","authors":"Rudra P. Pradhan,&nbsp;Sahar Bahmani,&nbsp;Rebecca Abraham,&nbsp;John H. Hall","doi":"10.1007/s10690-022-09390-8","DOIUrl":"10.1007/s10690-022-09390-8","url":null,"abstract":"<div><p>The main focus of this investigation is potential Granger causal relationships between the insurance market, Information and Communications Technology (ICT) infrastructure, and economic growth in a sample of high- and middle-income countries (H&amp;MICs) from 1980 to 2019. We deployed a panel vector autoregressive model, and found that in the long run, the insurance market and ICT infrastructure Granger-cause economic growth. In the short run, we found robust causal links, but they vary in nature. The findings suggest that H&amp;MICs should base ICT infrastructure planning on strategies that endorse economic growth and policies that may also promote insurance market development.</p><h3>Graphical Abstract</h3>\u0000 <div><figure><div><div><picture><img></picture></div></div></figure></div>\u0000 </div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2022-11-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44639212","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":"An ISM and MICMAC Approach for Modelling the Contributors of Multibagger Stocks","authors":"Ajay Chauhan,&nbsp;Swati Gupta,&nbsp;Sanjay Gupta","doi":"10.1007/s10690-022-09394-4","DOIUrl":"10.1007/s10690-022-09394-4","url":null,"abstract":"<div><p>The purpose of this study is to explore the factors affecting the selection of multibagger stocks in the securities market. Further, the study aims to develop a model using interpretive structural modeling (ISM). Thereafter, the driving and dependence power of factors was found using matriced impact croises multiplication appliquee a un classement (MICMAC). A group of financial analysts and academic experts having experience in dealing in the Indian securities market were consulted and interpretive structural modelling (ISM) is adopted to develop the contextual relationship among various factors for each dimension of multibagger stocks selection. Further, to identify the driving and the dependence power of factors, the results of the ISM are used as an input to MICMAC analysis. The results of the study indicate the large potential market (C11), visionary leader (C13), unique business model (C6), understanding of the sector (C1), and promoter and management capability (C2) are the dominant factors. MICMAC analysis indicates that driving, dependent and linkage factors are 4, 5, and 4 respectively. The factors obtained for ISM model development and MICMAC analysis are based on the experts’ opinions. As it is a subjective judgment, there are chances of biasness on basis of personal opinions. A questionnaire survey can be conducted to gather viewpoints on these factors from more financial experts and portfolio consultants. The study has been executed in discussion with financial analysts and academic experts having experience in dealing in the securities market. Hence, derived results have practical validity. The securities market is quite volatile in nature and the right choice of multibaggers may prove to be wealth creators for the general public. Investors may look for the derived factors for investing their savings into profitable channels by picking up those stocks which may prove to be multibaggers in near future. The development of a model for the identification of factors affecting the choice of multibaggers in the securities market is the original contribution of the authors.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2022-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45339266","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":"Volatility Spillover Between Chinese Stock Market and Selected Emerging Economies: A Dynamic Conditional Correlation and Portfolio Optimization Perspective","authors":"Miklesh Prasad Yadav,&nbsp;Sudhi Sharma,&nbsp;Indira Bhardwaj","doi":"10.1007/s10690-022-09381-9","DOIUrl":"10.1007/s10690-022-09381-9","url":null,"abstract":"<div><p>This paper examines the spillover effect from Chinese stock market to select emerging economies to check the diversification opportunities. The study analysed the data in three different periods including full period from January 3, 2000 to February 7, 2020; first sub period from January 3, 2000 to October 18, 2009 and second sub period from October 19 to February 7, 2020. We applied Granger Causality and Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroscedasticity (DCC-GARCH) to investigate the spillover between Chinese and emerging economies. Referring to the Granger causality, it reveals that there is bi-directional causality between China and Indonesia only in full period. Further, DCC-GARCH indicates that there is spillover effect from the Chinese market to the Indonesian stock market in full period of observations both in the short run and long run. There is no spillover effect from China to emerging economies in first and second sub periods. We recommend that portfolio managers investing in Chinese economy may explore emerging economies as possible destinations to diversify their risk.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2022-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43912048","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":"The Dynamic Volatility Connectedness of Major Environmental, Social, and Governance (ESG) Stock Indices: Evidence Based on DCC-GARCH Model","authors":"Muneer Shaik,&nbsp;Mohd Ziaur Rehman","doi":"10.1007/s10690-022-09393-5","DOIUrl":"10.1007/s10690-022-09393-5","url":null,"abstract":"<div><p>This study investigates the dynamic volatility connectivity of important environmental, social, and governance (ESG) stock indexes from May 2010 to March 2021. The empirical research is focused on five major S&amp;P ESG stock indexes from the US, Latin America, Europe, the Middle East and Africa, and Asia Pacific regions. The study reveals that ESG stock indexes in the Middle East Africa, and Latin America are net shock transmitters, whereas the United States and Asia Pacific are net volatility receivers. Furthermore, the study finds that bilateral intercorrelations are higher among US, Latin America, and Europe region group pairs and weaker in relation to Middle East Africa and Asia Pacific region group pairs, indicating the presence of contagion within developed and/or emerging regions, which has relevance for portfolio and risk management.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2022-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44879525","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}