Asia-Pacific Financial Markets最新文献

{"title":"Empirical Study of Portfolio Performance Using High-Frequency Data: A Liquidity Perspective","authors":"Xuzhu Zheng","doi":"10.1007/s10690-025-09553-3","DOIUrl":"10.1007/s10690-025-09553-3","url":null,"abstract":"<div><p>This paper provides empirical insight into the economic value of high-frequency (HF) data applied to portfolio construction from a liquidity perspective. By categorizing the Nikkei 225 components based on trading frequency, we form global minimum variance portfolios stratified by liquidity levels. The estimation of the HF-based covariance matrix utilizes refresh-time sampling for synchronization, the realized kernel estimator and the pre-averaging estimator to eliminate noise in densely sampled data, and the classical 5-minute realized covariance estimator for sparsely sampled data. The findings show that the classical estimator and pre-averaging estimator effectively yield lower portfolio volatility in short-term smoothing, with the realized covariance estimator marginally outperforming. Risk levels decline with decreasing trading frequency, while smoothing can improve portfolio performance comprehensively. Notably, HF-based portfolio overwhelmingly outperforms low-frequency (LF)-based portfolio in terms of risks, especially in volatile periods.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"33 4","pages":"1679 - 1712"},"PeriodicalIF":2.3,"publicationDate":"2025-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"149163110","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":"Economic Policy Uncertainty and Corporate Investment Behavior: Evidence from China","authors":"Wei He,&nbsp;NyoNyo Kyaw","doi":"10.1007/s10690-025-09550-6","DOIUrl":"10.1007/s10690-025-09550-6","url":null,"abstract":"<div><p>We investigate the effect of economic policy uncertainty on Chinese firms’ investment decisions using the economic policy uncertainty (EPU) index. Although the strength of the negative relationship between EPU and investment varies across industries, firm-level factors reveal that the negative impact is most pronounced for firms that are already underinvesting, those with low returns on invested capital, and those with limited internal financing. Additionally, Chinese firms experience a stronger adverse effect of EPU on investment following the Split Share Structure Reform. Overall, our results support the idea that uncertainty stemming from economic policy reduces corporate investment in China.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"33 4","pages":"1599 - 1622"},"PeriodicalIF":2.3,"publicationDate":"2025-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"149163108","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":"Application of the Malliavin-Mancino Method to an Empirical Study of the Term Structure of Spot and Forward Interest Rates in Seven European Markets","authors":"Nien-Lin Liu,&nbsp;Ryoichi Suzuki","doi":"10.1007/s10690-025-09546-2","DOIUrl":"10.1007/s10690-025-09546-2","url":null,"abstract":"<div><p>This paper investigates the dynamics of interest rate term structures in seven European markets (Austria, Belgium, Britain, France, Germany, Italy, and Spain) using daily zero-coupon bond data from 2017 to 2019. As a continuation of previous studies by Liu (<i>JSIAM Letters,</i> <i>2</i>, 57–60 2010), Liu and Mancino (<i>JSIAM Letters,</i> <i>4</i>, 17–20 2012), and Liu and Suzuki (2024), where the integrated volatility matrices are analyzed, in contrast to previous studies, we employ the Malliavin-Mancino method to analyze the dynamics of spot volatility matrices of both spot and forward rates. This method enables robust estimation in the presence of asynchronous observations and microstructure noise inherent in high-frequency data. Our empirical findings reveal three key insights into European interest rate markets. First, we show substantial differences in factor structures between spot and forward rates: while three factors explain <span>(80-95%)</span> of spot rate variability across all markets, forward rates exhibit significantly more complex dynamics requiring additional factors to achieve comparable explanatory power. Second, we find notable cross-country variations between British and continental European markets. British markets demonstrate the highest degree of factor concentration in spot rates (<span>(&gt;95%)</span> explained by the first factor), while continental European markets show more diverse factor structures, with the first factor typically explaining 80-90% of variability. Third, we identify significant time variation in factor importance, especially pronounced in forward rates, where the first factor’s explanatory power fluctuates between <span>(30-70%)</span>. These findings suggest that traditional three-factor models may be inadequate for forward rate modeling and highlight the importance of incorporating market-specific characteristics and time-varying dynamics in interest rate modeling frameworks.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"33 3","pages":"1419 - 1443"},"PeriodicalIF":2.3,"publicationDate":"2025-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148496615","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":"CEO Turnover and Post-Buyout Performance in Private Equity-Backed Companies: an Empirical Analysis in Japan","authors":"Yasutake Iioka,&nbsp;Yuji Yamada","doi":"10.1007/s10690-025-09549-z","DOIUrl":"10.1007/s10690-025-09549-z","url":null,"abstract":"<div><p>Many small and medium-sized enterprises (SMEs) face difficulties in securing successors, and privately held family firms often struggle to initiate CEO transitions internally. In such cases, external leadership is required to drive CEO turnover, addressing governance and operational challenges that hinder corporate growth. These challenges are particularly pronounced in private equity (PE) buyouts, where PE firms acquire significant ownership stakes in target companies and actively implement management restructuring and governance reforms to unlock corporate value. Building on this background, our study investigates the determinants of CEO turnover and post-buyout financial performance in PE-backed companies through empirical analysis in Japan. Specifically, we examine three key themes and test corresponding hypotheses: (1) the role of CEO turnover in enhancing management efficiency, (2) the relationship between deal attributes and CEO turnover, and (3) the impact of CEO turnover on financial performance. Using data from PE-backed and control companies spanning 2005 to 2018, our findings reveal that PE-backed companies with high agency costs are more likely to experience CEO turnover, and deal attributes significantly influence this likelihood. Furthermore, owner-operated family firms demonstrate improved management efficiency and profitability following CEO turnover.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"33 4","pages":"1559 - 1598"},"PeriodicalIF":2.3,"publicationDate":"2025-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10690-025-09549-z.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"149163025","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Time-Varying and Frequency-Specific Connectedness in E7 Markets Under Geopolitical Risk","authors":"Ahmad Al Izham Izadin,&nbsp;Ahmad Rizal Mazlan,&nbsp;Abdul Rahim Ridzuan","doi":"10.1007/s10690-025-09551-5","DOIUrl":"10.1007/s10690-025-09551-5","url":null,"abstract":"<div><p>This study explores the influence of geopolitical risk (GPR) on the interconnectedness of Emerging 7 (E7) stock markets (Brazil, China, India, Indonesia, Mexico, Russia, and Turkey) to uncover how GPR affects market dynamics over time and across various frequencies. Utilizing a combination of Time-Varying Parameter Vector Autoregressive (TVP-VAR) models and wavelet coherence analysis, this research examines GPR’s effect on both the Total Connectedness Index (TCI) and individual E7 markets from January 2005 to September 2024. The findings indicate that while Geopolitical Risk (GPR) does not fundamentally alter E7 market interconnectedness, it significantly amplifies short-term spillover effects during heightened tensions. Key transmitters like India and Brazil drive market dynamics, while Turkey acts as a net receiver. Wavelet coherence analysis reveals strong short-term coherence between GPR and E7 markets, especially for Russia, while longer frequencies show minimal impact, indicating resilience and potential for diversification in E7 markets. Practically, investors are encouraged to leverage the heightened interconnectedness during geopolitical events to capitalize on short-term market fluctuations while simultaneously building diversified, long-term investment portfolios in the E7 region. By strategically reallocating investments during periods of geopolitical risk, investors can optimize returns and mitigate risks, ensuring a balanced approach to both immediate opportunities and sustained growth. This research’s originality lies in its focus on the time-varying and frequency-specific impacts of geopolitical risk (GPR) on E7 market interconnectedness, an area limited in existing studies. Unlike prior research, which tends to emphasize immediate volatility or broad comparisons in developed markets, this study reveals how GPR influences E7 market dynamics over different time horizons.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"33 4","pages":"1623 - 1646"},"PeriodicalIF":2.3,"publicationDate":"2025-07-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"149163109","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 Dark Side of Insider Trading","authors":"Keming Li","doi":"10.1007/s10690-025-09547-1","DOIUrl":"10.1007/s10690-025-09547-1","url":null,"abstract":"<div><p>This paper provides empirical evidence that insider opportunistic trading increases the likelihood of forced chief executive officer (CEO) turnover, but not voluntary CEO turnover. To identify the causal effect, I study an exogenous shock— the enactment of SEC Rule 10b5-1—and find that the enactment reduces the likelihood of forced CEO turnover. To analyze the possible reason for the results, I document that opportunistic insider trading (especially insider sells) increases the likelihood of undertaking an acquisition and reduces announcement returns. Firms with aggressive insider trading also are more likely to become takeover targets. Together, the evidence suggests that the board fires CEOs to prevent the leakage of important information regarding corporate investments, such as acquisitions, and to avoid acquiring by other companies.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"33 4","pages":"1487 - 1526"},"PeriodicalIF":2.3,"publicationDate":"2025-07-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10690-025-09547-1.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"149163023","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Forward Start Volatility Swaps in Rough Volatility Models","authors":"Elisa Alòs,&nbsp;Frido Rolloos,&nbsp;Kenichiro Shiraya","doi":"10.1007/s10690-025-09545-3","DOIUrl":"10.1007/s10690-025-09545-3","url":null,"abstract":"<div><p>This paper shows the relationship between the forward start volatility swap price and the forward start zero vanna implied volatility of forward start options in rough volatility models. It is shown that in the short time-to-maturity limit the approximation error in the leading term of the correlated case with <span>(Hin (0,frac{1}{2}))</span> does not depend on the time to forward start date, but only on the difference between the maturity date and forward start date and on the Hurst parameter <i>H</i>.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"33 3","pages":"1389 - 1418"},"PeriodicalIF":2.3,"publicationDate":"2025-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10690-025-09545-3.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148496758","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Does U.S. Financial Instability Matter on Clean, Green, and Sustainable Investment Indices? Evidence from TVP-VAR and Wavelet Coherence Approaches","authors":"Hayet Soltani,&nbsp;Mouna Boujelbène Abbes","doi":"10.1007/s10690-025-09544-4","DOIUrl":"10.1007/s10690-025-09544-4","url":null,"abstract":"<div><p>This investigation explored the spillover effects between clean, green, and eco-friendly indices, while quantifying their correlation with financial stress across different time frequencies. For this purpose, we apply the Time-Varying Parameter Vector Autoregressive model alongside wavelet coherence technique for the timeframe spanning January 2017 to October 2024. We revealed a significant increase in the connectedness index between environmentally sustainable assets, particularly particularly during the coronavirus pandemic and the geopolitical tensions involving Russia and Ukraine, indicating evidence of a contagion effect. Notably, we noted that U.S. financial instability has a strong negative impact on environmentally sustainable assets over the medium to long term, especially in periods of bullish market trends. This suggests that environmentally sustainable assets cannot effectively hedge against systemic financial risk during periods of turbulence and euphoria. However, we demonstrate that the S&amp;P Green Bonds and S&amp;P Global Clean Energy indices can serve as hedging tools. Our empirical findings highlight crucial insights for policymakers seeking to foster the growth of environmentally friendly projects and for investors aiming to channel capital into green economic initiatives for the purposes of diversification and investment hedging.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"33 3","pages":"1367 - 1388"},"PeriodicalIF":2.3,"publicationDate":"2025-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148496732","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":"T + 0 Settlement: A Game Changer for the Indian Stock Market","authors":"Tejinder Singh,&nbsp;Shalini Aggarwal,&nbsp;Vikas Sharma","doi":"10.1007/s10690-025-09541-7","DOIUrl":"10.1007/s10690-025-09541-7","url":null,"abstract":"<div><p>The Indian equity market is growing rapidly, supported by a diverse investor base and strong growth. The study's objective is to analyse the impact of T + 0 settlement on the cumulative abnormal returns and cumulative average abnormal returns of included stocks. The present study will also study the impact of post-T + 0 settlements on trading volumes. Using event study methodology for 2,5,10, and 20-day event windows and Dynamic Forecasting Technique, the paper analysed 25 selected stocks and observed its potential in reshaping market efficiency and liquidity. The findings indicate the semi-strong form of market efficiency reveals a mixed response across different stocks, suggesting that the impact of T + 0 settlement is not uniform. Some companies, notably <b>Vedanta, Indian Hotels, Tata Communications, and Hindalco</b> experienced significant positive abnormal returns, indicating an immediate positive reception of the shortened settlement cycle. Vedanta, in particular, showed a consistently strong positive trend across all event windows, culminating in a substantial 36% abnormal return over 20 days. However, the companies like <b>Coforge, Birla Soft, and MRF</b> experienced significant negative abnormal returns, especially in the longer event windows. This outcome disparity suggests that the benefits of T + 0 settlement may be sector-specific or dependent on individual stock characteristics. Interestingly, while individual stocks showed significant movements, the cumulative average abnormal returns (CAAR) across all sample stocks were insignificant. While the T + 0 settlement had notable effects on certain stocks, its overall market impact remains subtle at this early stage. The volume analysis provides encouraging signs for the potential of T + 0 settlement. An average increase of 3% in trading volume across the participating stocks, even with the optional nature of the current implementation, suggests the willingness of market participants to receive this new settlement cycle positively. Dynamic forecasting technique also confirms the significant differences in the patterns of the above seven stock prices during the entire 41-day event window. Therefore, these contemporary results hold major inferences for the market regulator.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"33 3","pages":"1283 - 1319"},"PeriodicalIF":2.3,"publicationDate":"2025-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148496642","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":"Supply Chain Network Design Focused on Financial Measures and Performance Metrics: A Systematic Literature Review","authors":"Sina Abbasi,&nbsp;Çiğdem Sıcakyüz","doi":"10.1007/s10690-025-09533-7","DOIUrl":"10.1007/s10690-025-09533-7","url":null,"abstract":"<div><p>Through an extensive literature review, this study determines which metrics and measures are relevant for supply chain (SC) performance. We reviewed several universal papers published between 2012 and 2023. A selection of review papers was made according to the methods, contribution, and scope for measuring SC performance metrics and measures. By reviewing the literature, this survey prepares benchmarks and approaches for determining SC performance from a financial viewpoint. As core financial measures of SC performance, we investigation looked at inventory turnover ratios, logistics costs, and cash flows expressed as return on investment (ROI), return on equity (ROE), return on asset (ROA), profit margins, assets/liabilities, and working capital. Additionally, the study determined that key non-financial measures of SC performance are customer satisfaction, delivery performance, quality services, improved relationships, and competitive advantages. According to the study, the appropriate approaches for assessing SC performance are financial and non-financial measures. Using the same approach, measures, and metrics at all SC nodes is essential to determine SC performance appropriately. Moreover, research is needed to identify the benefits and issues preventing SC measurements and performance across different industries.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"33 2","pages":"505 - 535"},"PeriodicalIF":2.6,"publicationDate":"2025-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147682721","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}