Asia-Pacific Financial Markets最新文献_第6页

Stock Returns, Crude Oil and Gold Prices in Turkey: Evidence from Rolling Window-Based Nonparametric Quantile Causality Test 土耳其的股票回报率、原油和黄金价格：基于滚动窗口的非参数量子因果检验的证据

IF 2.5

Asia-Pacific Financial Markets Pub Date : 2023-10-02 DOI: 10.1007/s10690-023-09430-x

Ugur Korkut Pata, Ojonugwa Usman, Godwin Olasehinde-Williams, Oktay Ozkan

{"title":"Stock Returns, Crude Oil and Gold Prices in Turkey: Evidence from Rolling Window-Based Nonparametric Quantile Causality Test","authors":"Ugur Korkut Pata, Ojonugwa Usman, Godwin Olasehinde-Williams, Oktay Ozkan","doi":"10.1007/s10690-023-09430-x","DOIUrl":"10.1007/s10690-023-09430-x","url":null,"abstract":"<div><p>This study explores the time-varying effects of crude oil prices (OP) and gold prices (GP) on the Turkish stock market using a weekly data series from November 26, 1989 to July 10, 2022. For this purpose, we develop a new hybrid technique, the rolling window-based nonparametric quantile causality test, which allows the investigation of time-varying causality at various quantiles. The results reveal that (i) under all market conditions, there is time-varying causality from crude OP and GP to Turkish stock market returns (SMR) and volatility. (ii) The causal effects of both crude OP and GP on stock market volatility are larger than their causal effects on SMR. (iii) The crude OP have a greater impact on SMR than the GP, while the GP has a greater impact on stock market volatility than the crude OP. (iv) Both crude OP and GP have the strongest (least) causal impact on SMR and volatility under normal (bullish) market conditions. (v) Crude OP and GP have a greater impact on stock market volatility than on stock returns under all market conditions. Overall, our results highlight that OP and GP have a strong impact on the Turkish stock market, and this impact varies by returns and volatility. Therefore, financial investors should consider the volatility of crude OP and GP in the Turkish stock market.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"31 3","pages":"779 - 797"},"PeriodicalIF":2.5,"publicationDate":"2023-10-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135833770","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

The sovereign Credit Default Swap Spreads and Chinese Sectors Stock Market: A Causality in Quantile and Dependence Analysis 主权信用违约掉期利差与中国股市：定量分析和依赖分析中的因果关系

IF 2.5

Asia-Pacific Financial Markets Pub Date : 2023-10-01 DOI: 10.1007/s10690-023-09433-8

Huthaifa Alqaralleh

引用次数: 0

The Asymmetric Effects of Exchange Rate Volatility on Pakistan–Japan Commodity Trade: Evidence from Non-linear ARDL Approach 汇率波动对巴基斯坦-日本商品贸易的不对称影响：非线性 ARDL 方法的证据

IF 2.5

Asia-Pacific Financial Markets Pub Date : 2023-09-27 DOI: 10.1007/s10690-023-09427-6

Javed Iqbal, Sitara Jabeen, Misbah Nosheen, Mark Wohar

{"title":"The Asymmetric Effects of Exchange Rate Volatility on Pakistan–Japan Commodity Trade: Evidence from Non-linear ARDL Approach","authors":"Javed Iqbal, Sitara Jabeen, Misbah Nosheen, Mark Wohar","doi":"10.1007/s10690-023-09427-6","DOIUrl":"10.1007/s10690-023-09427-6","url":null,"abstract":"<div><p>The current research delves into the implications of exchange rate fluctuations on commodity trade between Pakistan and Japan, utilizing the nonlinear autoregressive distributed lag method. While prior studies have predominantly utilized the symmetric cointegration approach, the current study posits that the limited assumption of symmetry between the exchange rate and the trade flows could have hindered the empirical findings. The research investigates both the symmetric and asymmetric effects of exchange rate fluctuations on 102 Pakistani industries that import from Japan and 62 industries that export to Japan at the industry level from 1980 to 2020. The outcomes indicate that in nearly half of the importing and exporting industries that engage in trade with Japan, there is evidence of a significant impact of asymmetric exchange rate fluctuations on trade flows in both the short and long term. The study suggests that policymakers should consider the industry-specific impact of exchange rate fluctuations on trade flows and implement targeted policies accordingly. Particularly, industries that benefit from currency depreciation should be encouraged through export incentives, while industries negatively affected by currency volatility should be provided with hedging mechanisms and other forms of support to mitigate their losses.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"31 3","pages":"657 - 732"},"PeriodicalIF":2.5,"publicationDate":"2023-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135537578","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

Do Carbon Performance and Disclosure Practices Effect Companies’ Financial Performance: A Non-Linear Perspective 碳绩效和信息披露实践是否影响公司的财务绩效？非线性视角

IF 2.5

Asia-Pacific Financial Markets Pub Date : 2023-09-26 DOI: 10.1007/s10690-023-09428-5

Suchismita Ghosh, Ritu Pareek, Tarak Nath Sahu

{"title":"Do Carbon Performance and Disclosure Practices Effect Companies’ Financial Performance: A Non-Linear Perspective","authors":"Suchismita Ghosh, Ritu Pareek, Tarak Nath Sahu","doi":"10.1007/s10690-023-09428-5","DOIUrl":"10.1007/s10690-023-09428-5","url":null,"abstract":"<div><p>To find out how carbon performance and disclosure practices affects corporate’s financial performance, this study investigates its non-linear influence on financial performance by considering non-financial 100 businesses that are listed on National Stock Exchange 200 Index in India for the consecutive 12 years, i.e., from 2010 to 2021. It employs two indicators of environmental-related information like carbon performance which is measured in terms of greenhouse gas reduction, and disclosure practices which is measured in terms of environmental disclosure score. It uses the dynamic panel data regression analysis technique to estimate the parameters. The empirical outcomes show an obvious non-linear impact of carbon performance on corporate financial performance, which is proxied by Tobin’s Q. This indicates that at the initial stage, carbon performance decreases financial performance, but later on, further increase in the carbon performance is found to improve corporates financial performance in the long duration. But, in case of disclosure practices it shows no effect on market-based economic performance, i.e., Tobin’s Q. Therefore, the study recommends the investors to be courageous and patience because carbon performance will decrease financial performance at the lower level, but can give benefits in the long run. This paper also suggests the regulators to incorporate environmental standards, and introduce severe forfeits for ecological wrongdoers with the aim of enhancing companies’ environmental disclosure activities. </p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"31 3","pages":"733 - 754"},"PeriodicalIF":2.5,"publicationDate":"2023-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134886465","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

Value Relevance of Comprehensive Income reported as per IFRS-converged Indian Accounting Standards 根据《国际财务报告准则》与《印度会计准则》的换算报告的综合收入的价值相关性

IF 2.5

Asia-Pacific Financial Markets Pub Date : 2023-09-15 DOI: 10.1007/s10690-023-09422-x

Sushma Vishnani, Nityanand Deva, Dheeraj Misra

引用次数: 0

Forecasting Trading-Session Return Volatility in Taiwan Futures Market: A Periodic Regime Switching with Jump Approach 台湾期货市场交易时段收益率波动预测：跳变方法的周期性制度转换

IF 2.5

Asia-Pacific Financial Markets Pub Date : 2023-09-08 DOI: 10.1007/s10690-023-09415-w

Yi-Hao Lai, Yi-Chiuan Wang, Yu-Ching Chang

引用次数: 0

The Effects of Overnight Events on Daytime Return: A Market Microstructure Analysis of Market Quality 隔夜事件对日间收益的影响——基于市场质量的市场微观结构分析

IF 2.5

Asia-Pacific Financial Markets Pub Date : 2023-09-07 DOI: 10.1007/s10690-023-09424-9

Sreekha Pullaykkodi, Rajesh H. Acharya

引用次数: 0

Nexus Between Indian Economic Growth and Remittance Inflows: A Non-linear ARDL Approach 印度经济增长与汇款流入之间的关系:一个非线性的ARDL方法

IF 2.5

Asia-Pacific Financial Markets Pub Date : 2023-09-06 DOI: 10.1007/s10690-023-09423-w

Muhammed Ashiq Villanthenkodath, Mohd Arshad Ansari

{"title":"Nexus Between Indian Economic Growth and Remittance Inflows: A Non-linear ARDL Approach","authors":"Muhammed Ashiq Villanthenkodath, Mohd Arshad Ansari","doi":"10.1007/s10690-023-09423-w","DOIUrl":"10.1007/s10690-023-09423-w","url":null,"abstract":"<div><p>This study examines the empirical link between remittance inflows and India's economic growth, particularly emphasizing the association's asymmetries as the prior studies were neglected. Therefore, it formulated a growth function that assesses the non-linear influence of the remittance inflows on economic growth by endogenizing the gross fixed capital formation, official exchange rate, and export growth. Relying on the annual time series data for India, the work uses the Non-Linear Auto-Regressive Distribution Lag (NARDL) model to expose the non-linear influence of the remittance inflows on economic growth by controlling the gross fixed capital formation, official exchange rate, and export growth for the period ranges from 1975 to 2021. The outcomes show the presence of the long-run relationship among the variables vector. Further, the results indicate an asymmetric impact of remittance inflows on economic growth both in the long run and short run. Moreover, the findings reveal a rise in the remittance inflows leads to an increase in economic growth, whereas a fall in the remittance inflows ends up in a reduction of economic growth. Additionally, the outcomes show a negative and significant impact of gross fixed capital formation and official exchange rate on economic growth in the long run. It also observed an insignificant negative influence of export growth on the specified growth model.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"31 3","pages":"473 - 495"},"PeriodicalIF":2.5,"publicationDate":"2023-09-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47103355","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

PDE-Based Bayesian Inference of CEV Dynamics for Credit Risk in Stock Prices 基于PDE的股票价格信用风险CEV动力学的贝叶斯推断

IF 2.5

Asia-Pacific Financial Markets Pub Date : 2023-08-25 DOI: 10.1007/s10690-023-09420-z

Kensuke Kato, Nobuhiro Nakamura

引用次数: 0

The Impact of Directional Global Economic Policy Uncertainty on Indian Stock Market Volatility: New Evidence 全球经济政策方向性不确定性对印度股市波动的影响:新证据

IF 2.5

Asia-Pacific Financial Markets Pub Date : 2023-08-25 DOI: 10.1007/s10690-023-09421-y

Aswini Kumar Mishra, Anand Theertha Nakhate, Yash Bagra, Abinash Singh, Bibhu Prasad Kar

{"title":"The Impact of Directional Global Economic Policy Uncertainty on Indian Stock Market Volatility: New Evidence","authors":"Aswini Kumar Mishra, Anand Theertha Nakhate, Yash Bagra, Abinash Singh, Bibhu Prasad Kar","doi":"10.1007/s10690-023-09421-y","DOIUrl":"10.1007/s10690-023-09421-y","url":null,"abstract":"<div><p>This paper examines the effect of economic policy uncertainty (EPU) on the Indian capital market using the generalized autoregressive conditional heteroscedastic mixed data sampling (GARCH-MIDAS) approach. This study also disintegrates the Global EPU (GEPU) on its components using identity functions such as up, down, and composite parts dependent on the adjustment in the heading of the EPU and GEPU and tests the linkages among these parameters and the Indian securities exchange instability. Our empirical study shows that GEPU positively and significantly impacts the Indian capital market's volatility. That indicates that the Indian capital exchange volatility will also be unstable when the global economic policy uncertainty is higher. Further, based on the dynamic directions of EPU and GEPU, our results show that, in diverse situations, directional GEPU may present differently in predicting the uncertainty in the Indian capital market. This is primarily so when EPU and GEPU climb in the same period when our approach can obtain more powerful prediction precision.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"31 3","pages":"423 - 452"},"PeriodicalIF":2.5,"publicationDate":"2023-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47928990","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