Asia-Pacific Financial Markets最新文献_第4页

Price Gap Anomaly: Empirical Study of Opening Price Gaps and Price Disparities in Chinese Stock Indices 价格差距异常：中国股票指数开盘价差距和价格差异的实证研究

IF 2.6

Asia-Pacific Financial Markets Pub Date : 2024-05-17 DOI: 10.1007/s10690-024-09461-y

Yuancheng Si, Saralees Nadarajah

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引用次数: 0

Relation Between Digital Currencies and Other Financial Markets: A Non-Linear and Multivariate Analysis 数字货币与其他金融市场的关系：非线性和多元分析

IF 2.6

Asia-Pacific Financial Markets Pub Date : 2024-05-16 DOI: 10.1007/s10690-024-09466-7

Abhishek Sah, Biswajit Patra

引用次数: 0

Does Governance Quality Impact Stock Market Development? An Insight of BRICS Economies 治理质量影响股市发展吗？对金砖国家经济的洞察

IF 2.6

Asia-Pacific Financial Markets Pub Date : 2024-05-11 DOI: 10.1007/s10690-024-09462-x

Anam Khan, Renu Verma, Miklesh Prasad Yadav, Narain

{"title":"Does Governance Quality Impact Stock Market Development? An Insight of BRICS Economies","authors":"Anam Khan, Renu Verma, Miklesh Prasad Yadav,  Narain","doi":"10.1007/s10690-024-09462-x","DOIUrl":"10.1007/s10690-024-09462-x","url":null,"abstract":"<div><p>BRICS nations are playing a critical role in the global economic setting, but to maintain sustained economic growth they are required to make relentless efforts towards certain challenges. These challenges pertain to diverse governance areas including political, socio-economic, and legal conditions. This paper unfolds the impact of the level of governance quality indicators on stock market development for BRICS nations during the period from 2007 to 2021. Using panel data regression, our empirical findings confirm that governance indicators are critical for the development of the stock market. Our results show that governance indicators such as Government Effectiveness, Rule of Law, and Voice and Accountability are significant variables affecting the stock market development. We find that giving citizens more autonomy to participate in the formulation and execution of policies, improves the development of stock markets. Similarly, lesser political influence will also lead to better growth of the stock market. Additionally, the study evidence that a stronger legal environment in BRICS nations promotes lesser corrupt practices such as insider trading, but at the same time hinders the growth of the stock market. Policymakers in BRICS nations should follow a consistent policy to improve their governance indicators which are now becoming essential for stock market development.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"32 2","pages":"563 - 582"},"PeriodicalIF":2.6,"publicationDate":"2024-05-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140942502","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

Impact of Global and Domestic Factors on Indian Government Bond Yields 全球和国内因素对印度政府债券收益率的影响

IF 2.6

Asia-Pacific Financial Markets Pub Date : 2024-05-04 DOI: 10.1007/s10690-024-09459-6

Shivam Sehgal, Jaspal Singh

{"title":"Impact of Global and Domestic Factors on Indian Government Bond Yields","authors":"Shivam Sehgal, Jaspal Singh","doi":"10.1007/s10690-024-09459-6","DOIUrl":"10.1007/s10690-024-09459-6","url":null,"abstract":"<div><p>The article aims to empirically examine the determinants of the 10-, 7-, and 5-year Indian government bond yields over the study period of 1999–2021. For this purpose, three equations were modeled using various independent variables to account for relevant global and domestic drivers. The results were estimated using the ARDL model to identify the long and short-run determinants of the bond yields. The findings demonstrate differences between domestic and global factors' long- and short-term effects across various bond maturities. The long-run drivers of Indian government bond yields include short-term interest rates, economic policy uncertainty, foreign exchange reserves, GDP growth rate, VIX, and oil prices. However, in the short run, all the domestic and global variables affected the bond yields, including external debt, inflation, and general government debt, which did not impact the yields in the long run. These findings have substantial policy implications for the central bank and government in formulating appropriate monetary and fiscal policy mixes while considering global risk scenarios and also for the international and domestic investors for better portfolio allocation.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"32 2","pages":"465 - 488"},"PeriodicalIF":2.6,"publicationDate":"2024-05-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140926832","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

From Fields to Futures: Connectedness Among Edible Oil and Oilseeds- Where Soybean Leads, Others Follow 从田间到期货：食用油和油籽之间的联系--大豆领先，其他品种跟进

IF 2.6

Asia-Pacific Financial Markets Pub Date : 2024-05-02 DOI: 10.1007/s10690-024-09458-7

Nilotpal Sarma, Priyanshu Tiwari, Prabina Rajib

引用次数: 0

Co Movement of Stock Market of BRICS with G7 Stock Market 金砖五国股市与七国集团股市的共同走势

IF 2.6

Asia-Pacific Financial Markets Pub Date : 2024-04-24 DOI: 10.1007/s10690-024-09455-w

Sukhmani Kaur, Shalini Aggarwal, Vikas Arora

{"title":"Co Movement of Stock Market of BRICS with G7 Stock Market","authors":"Sukhmani Kaur, Shalini Aggarwal, Vikas Arora","doi":"10.1007/s10690-024-09455-w","DOIUrl":"10.1007/s10690-024-09455-w","url":null,"abstract":"<div><p>This document investigates the potential for international portfolio diversification between G7 stock markets and the BRICS counties, that is, Brazil, Russia, India, China, and South Africa. The authors propose a theoretical model that suggests risk-averse investors would seek diversification internationally. The study examines the long-term causality and short run causality between the stock market indices of G7 countries and the stock markets of each BRICS nation. Through unit root tests, the authors check the stationarity of the series. The study also employs the Johansen cointegration tests to examine the cointegration between the variables. Additionally, VECM is employed to assess the long-run causality and Wald test is used to understand short-run causality of the stock market indices. The results indicate a mixed response, revealing both short and long-run associations between the stock market indices of Brazil and Russia with the G7 stock market. The document provides valuable insights into the co-movement of G7 and BRICS stock markets, highlighting the potential for diversification benefits and identifying specific countries with stronger correlations. Policy-makers and capital market regulators can use the findings to develop robust policy frameworks and regulatory mechanisms to prevent potential stock market crashes and systemic failures.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"32 2","pages":"327 - 356"},"PeriodicalIF":2.6,"publicationDate":"2024-04-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140664329","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 Fuzzy Jump-Diffusion Option Pricing Model Based on the Merton Formula 基于默顿公式的模糊跳跃-扩散期权定价模型

IF 2.6

Asia-Pacific Financial Markets Pub Date : 2024-04-24 DOI: 10.1007/s10690-024-09456-9

Satrajit Mandal, Sujoy Bhattacharya

{"title":"A Fuzzy Jump-Diffusion Option Pricing Model Based on the Merton Formula","authors":"Satrajit Mandal, Sujoy Bhattacharya","doi":"10.1007/s10690-024-09456-9","DOIUrl":"10.1007/s10690-024-09456-9","url":null,"abstract":"<div><p>This paper proposes a fuzzy jump-diffusion (FJD) option pricing model based on Merton (J Financ Econ 3:125–144, 1976) normal jump-diffusion price dynamics. The logarithm of the stock price is assumed to be a Gaussian fuzzy number and the risk-free interest rate, diffusion, and jump parameters of the Merton model are assumed to be triangular fuzzy numbers to model the impreciseness which occurs due to the variation in financial markets. Using these assumptions, a fuzzy formula for the European call option price has been proposed. Given any value of the option price, its belief degree is obtained by using the bisection search algorithm. Our FJD model is an extension of Xu et al. (Insur Math Econ 44:337–344, 2009) fuzzy normal jump-diffusion model and has been tested on NIFTY 50 and Nikkei 225 indices options. The fuzzy call option prices are defuzzified and it has been found that our FJD model outperforms Wu et al. (Comput Oper Res 31:069–1081, 2004) fuzzy Black-Scholes model for in-the-money (ITM) and near-the-money (NTM) options as well as outperforms Xu et al. (Insur Math Econ 44:337– 344, 2009) model for both ITM and out-of-the-money (OTM) options.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"32 2","pages":"357 - 380"},"PeriodicalIF":2.6,"publicationDate":"2024-04-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140662816","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

Economic Policy Uncertainty and Volatility Spillovers Among International Stock Market Indices During the COVID-19 Outbreak COVID-19 爆发期间经济政策的不确定性与国际股市指数的波动溢出效应

IF 2.5

Asia-Pacific Financial Markets Pub Date : 2024-04-12 DOI: 10.1007/s10690-024-09452-z

Fei Su, Feifan Wang, Yahua Xu

{"title":"Economic Policy Uncertainty and Volatility Spillovers Among International Stock Market Indices During the COVID-19 Outbreak","authors":"Fei Su, Feifan Wang, Yahua Xu","doi":"10.1007/s10690-024-09452-z","DOIUrl":"10.1007/s10690-024-09452-z","url":null,"abstract":"<div><p>Using a sample of 16 international stock market indices spanning the period of January 2015 to June 2022, we examine how global equity markets interact with respect to volatility spillover, with a special focus on types of investment horizons, and how the connectedness structure evolves during the COVID-19 outbreak. Empirical results suggest that there is strong evidence of volatility spillovers among global stock markets, and the COVID-19 pandemic further strengthens such volatility spillovers. However, the structure of the frequency connectedness changes gradually when compared to the full sample period. We further investigate if economic policy uncertainty (EPU) affects volatility spillovers among global stock markets. The results suggest that EPU significantly affects the connectedness among global stock markets, particularly during the COVID-19 pandemic period. Overall, the findings suggest that volatility spillovers across international stock markets vary with time horizons and market conditions, which contributes to the academic literature on modelling global volatility spillovers. Practically, the findings of the study contribute to investors and policymakers in adjusting trading strategies and monitoring market risks.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"32 1","pages":"237 - 266"},"PeriodicalIF":2.5,"publicationDate":"2024-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10690-024-09452-z.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140574027","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}

引用次数: 0

ESG Disagreement and Stock Price Crash Risk: Evidence from China 环境、社会和治理分歧与股价暴跌风险：来自中国的证据

IF 2.5

Asia-Pacific Financial Markets Pub Date : 2024-03-30 DOI: 10.1007/s10690-024-09453-y

Minghua Dong, Miaomiao Li, Hongxia Wang, Yuanyuan Pang

引用次数: 0

External Governance Oversight and the IPO Process: Empirical Evidence from China 外部治理监督与 IPO 进程：来自中国的经验证据

IF 2.5

Asia-Pacific Financial Markets Pub Date : 2024-03-29 DOI: 10.1007/s10690-024-09451-0

Lewis Liu

{"title":"External Governance Oversight and the IPO Process: Empirical Evidence from China","authors":"Lewis Liu","doi":"10.1007/s10690-024-09451-0","DOIUrl":"10.1007/s10690-024-09451-0","url":null,"abstract":"<div><p>This study examines the effects of political affiliations as an external governance element on various aspects of the IPO procedure in China. Within China, the significance of political connections is widely recognized as a notable external governance factor capable of exerting influence over both the IPO process. Utilizing a distinctive dataset comprising IPO information from 1856 firms in China spanning the period between 2014 and 2021, the primary objective of this research is to demonstrate that companies with political affiliations have a higher probability of experiencing underpricing, coupled with an increased likelihood of attracting investments from retail investors. Furthermore, these firms tend to attract prestigious underwriters and more underwriter subscriptions, despite having to pay higher floating costs and underwriting fees. Lastly, the study demonstrates that political connections are especially beneficial for firms during market uncertainty, such as the recent pandemic. Political connections act as monitors, reducing information asymmetry and signaling positive aspects of the firms to investors. To strengthen the main conclusions, the study conducts various robustness tests, including PSM and subsample analysis. Overall, the research adds to the existing literature on the crucial role of political connections in promoting IPO practices and reducing information asymmetry through monitoring and support.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"32 1","pages":"205 - 235"},"PeriodicalIF":2.5,"publicationDate":"2024-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10690-024-09451-0.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140368570","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}

引用次数: 0