Asia-Pacific Financial Markets最新文献_第7页

Fund Characteristics, Managerial Skills and Performance Persistence: Evidence from India 基金特征、管理技能和业绩持续性：来自印度的证据

IF 2.5

Asia-Pacific Financial Markets Pub Date : 2023-07-30 DOI: 10.1007/s10690-023-09417-8

Sudipta Majumdar, Rohan Kumar Mishra, Abhijeet Chandra

{"title":"Fund Characteristics, Managerial Skills and Performance Persistence: Evidence from India","authors":"Sudipta Majumdar, Rohan Kumar Mishra, Abhijeet Chandra","doi":"10.1007/s10690-023-09417-8","DOIUrl":"10.1007/s10690-023-09417-8","url":null,"abstract":"<div><p>This study investigates the relationship of fund managers’ performance persistence with (a) personal characteristics of managers and (b) fund characteristics. The study uses a sample of fund managers from India to create a comprehensive dataset of manager returns from December 2006 to March 2022. Using the four factor performance model of Carhart (1997), we investigate the persistence in manager performance across (a) managerial characteristics and (b) fund characteristics based on one month holding period returns over previous 24-months estimation period. The study indicates considerable persistence among the top decile fund managers who are male, MBA-postgraduate, undergraduate with technical qualifications, and also from top institutions. It is also evident among managers who are old, and possess long experience. We also find evidence of persistence in the performance of managers from foreign funds, Indian funds, and also for the joint venture predominantly Indian funds. This study allows investors in mutual funds to make more informed decisions. It is also useful for recruiters and policymakers who are responsible for appointing mutual fund managers and making policy recommendations in light of continuing regulatory changes. This can be considered one of the earliest studies to analyse the relationship of fund managers performance persistence with (a) personal characteristics of managers and (b) fund characteristics from the perspective of an emerging Indian economy.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"31 2","pages":"335 - 354"},"PeriodicalIF":2.5,"publicationDate":"2023-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43348026","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

Performance Attributes of Environmental, Social, and Governance Exchange-Traded Funds 环境、社会和治理交易所交易基金的绩效属性

IF 2.5

Asia-Pacific Financial Markets Pub Date : 2023-07-22 DOI: 10.1007/s10690-023-09416-9

Hasan F. Baklaci, William I-Wei Cheng, Jianing Zhang

{"title":"Performance Attributes of Environmental, Social, and Governance Exchange-Traded Funds","authors":"Hasan F. Baklaci, William I-Wei Cheng, Jianing Zhang","doi":"10.1007/s10690-023-09416-9","DOIUrl":"10.1007/s10690-023-09416-9","url":null,"abstract":"<div><p>Recently, interest in socially responsible investing has grown, including new investment vehicles such as environmental, social, and governance exchange-traded funds (ESG ETFs). Despite their rising popularity, few studies have attempted to examine the performance characteristics of these stylized funds. This study aimed to fill this knowledge gap by elaborating on the performance attributes of ESG ETFs and examining fund managers’ security selection and market timing skills. Our results suggest that these funds generally underperform relative to conventional ETFs in many aspects. Additionally, the market timing skills of fund managers require improvement but are comparable to those of conventional ETFs. These results are robust to selecting the individual funds and alternative indices used in the sample. Furthermore, both the security selection and market timing skills of ESG ETF managers deteriorated significantly during the COVID-19 pandemic. Finally, the results indicate a slightly weaker cointegrated relationship between ESG ETFs and their benchmark indices when compared to conventional ETFs, suggesting that potential investors in ESG ETFs should carefully inspect the funds to make informed decisions.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"31 2","pages":"307 - 334"},"PeriodicalIF":2.5,"publicationDate":"2023-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47264764","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

Covid-19 Data Manipulation and Reaction of Stock Markets Covid-19数据操纵与股市反应

IF 2.5

Asia-Pacific Financial Markets Pub Date : 2023-06-30 DOI: 10.1007/s10690-023-09409-8

Monika Bolek, Cezary Bolek

引用次数: 0

Decomposing the Momentum in the Japanese Stock Market 分解日本股市的动量

IF 2.5

Asia-Pacific Financial Markets Pub Date : 2023-06-20 DOI: 10.1007/s10690-023-09413-y

Yasuhiro Iwanaga, Takehide Hirose, Tomohiro Yoshida

引用次数: 0

A CNN-LSTM Stock Prediction Model Based on Genetic Algorithm Optimization 基于遗传算法优化的CNN-LSTM股票预测模型

IF 2.5

Asia-Pacific Financial Markets Pub Date : 2023-06-17 DOI: 10.1007/s10690-023-09412-z

Heon Baek

{"title":"A CNN-LSTM Stock Prediction Model Based on Genetic Algorithm Optimization","authors":"Heon Baek","doi":"10.1007/s10690-023-09412-z","DOIUrl":"10.1007/s10690-023-09412-z","url":null,"abstract":"<div><p>Predicting the stock market remains a difficult field because of its inherent volatility. With the development of artificial intelligence, research using deep learning for stock price prediction is increasing, but the importance of applying a prediction system consisting of preparing verified data and selecting an optimal feature set is lacking. Accordingly, this study proposes a GA optimization-based deep learning technique (CNN-LSTM) that predicts the next day's closing price based on an artificial intelligence model to more accurately predict future stock values. In this study, CNN extracts features related to stock price prediction, and LSTM reflects the long-term history process of input time series data. Basic stock price data and technical indicator data for the last 20 days prepare a data set to predict the next day's closing price, and then a CNN-LSTM hybrid model is set. In order to apply the optimal parameters of this model, GA was used in combination. The Korea Stock Index (KOSPI) data was selected for model evaluation. Experimental results showed that GA-based CNN-LSTM has higher prediction accuracy than single CNN, LSTM models, and CNN-LSTM model. This study helps investors and policy makers who want to use stock price fluctuations as more accurate predictive data using deep learning models.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"31 2","pages":"205 - 220"},"PeriodicalIF":2.5,"publicationDate":"2023-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46877738","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

Exchange Rate and Stock Prices Volatility Connectedness and Spillover during Pandemic Induced-Crises: Evidence from BRICS Countries 大流行引发危机期间汇率和股价波动的连通性和溢出效应:来自金砖国家的证据

IF 2.5

Asia-Pacific Financial Markets Pub Date : 2023-06-01 DOI: 10.1007/s10690-023-09411-0

Muntazir Hussain, Usman Bashir, Ramiz Ur Rehman

{"title":"Exchange Rate and Stock Prices Volatility Connectedness and Spillover during Pandemic Induced-Crises: Evidence from BRICS Countries","authors":"Muntazir Hussain, Usman Bashir, Ramiz Ur Rehman","doi":"10.1007/s10690-023-09411-0","DOIUrl":"10.1007/s10690-023-09411-0","url":null,"abstract":"<div><p>This paper investigated exchange rate and stock price volatility connectedness and spillover in Brazil, Russia, India, China, and South Africa (BRICS) during pandemic-induced crises. We first extracted volatility using the Generalized Auto-Regressive Conditional Heteroskedasticity (GARCH) model. Then volatility connectedness and spillover were investigated by using (Diebold and Yilmaz, <i>International Journal of Forecasting, 28</i>(1), 57–66, 2012) method. We find that exchange rate volatility and stock return volatilities are connected during pandemic-induced crises. The study also finds volatilities spillover among countries in the sample. Russia has strong volatility connectedness with India in these financial markets. The direction of volatility spillover is from Russia to India. Similarly, Brazil has strong volatility connectedness with South Africa and the direction volatility spillover is from Brazil to South Africa. Finally, China has a weak volatility connection with the remaining BRICS countries. Thus, the volatility transfer in these financial markets and across BRICS countries has economic implications.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"31 1","pages":"183 - 203"},"PeriodicalIF":2.5,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47083988","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 Emerging Stock Market Volatility 经济政策不确定性与新兴股市波动

IF 2.5

Asia-Pacific Financial Markets Pub Date : 2023-05-24 DOI: 10.1007/s10690-023-09410-1

Maria Ghani, Usman Ghani

引用次数: 0

The Relationship Between Financial Knowledge, Investment Strategy and Satisfaction From Pension Schemes: Evidence From India 财务知识、投资策略与养老保险满意度的关系:来自印度的证据

IF 2.5

Asia-Pacific Financial Markets Pub Date : 2023-05-15 DOI: 10.1007/s10690-023-09408-9

Shallu Saini, Tejinder Sharma, Satyanarayana Parayitam

{"title":"The Relationship Between Financial Knowledge, Investment Strategy and Satisfaction From Pension Schemes: Evidence From India","authors":"Shallu Saini, Tejinder Sharma, Satyanarayana Parayitam","doi":"10.1007/s10690-023-09408-9","DOIUrl":"10.1007/s10690-023-09408-9","url":null,"abstract":"<div><p>This study aims to examine antecedents of the pension schemes in Indian context. The relationship between the factors underlying the perception of subscribers towards the pension plan: financial knowledge, investment strategy, and satisfaction of investors (employees) is examined. Further, the effect of financial security, future financial goals, risk appetite, and secured returns on the investment strategy and satisfaction are explored. After checking the measurement properties of the structured survey instrument using the structural equation modeling with Lisrel package, data collected from 480 employees working in various administrative units of a State in the northern part of India, were analyzed. The Hayes’s PROCESS was used in analyzing the moderated moderated-mediation complex model and the results reveal that (i) financial knowledge is positively related to (a) investment strategy, and (b) investor satisfaction. The investment strategy mediated the relationship between financial knowledge and employee satisfaction. Further, the results indicate that future financial goals (first moderator) and financial security (second moderator) moderated the relationship between financial knowledge and investor satisfaction mediated through investment strategy. The results also documented that risk appetite moderated the relationship between investment strategy and investor satisfaction; and secured returns moderated the relationship between financial knowledge and employee satisfaction. The novelty of this study stems from the three-way interaction between the financial knowledge, future financial goals, and financial security in influencing the financial strategy. The implications for research and practice are discussed.\u0000</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"31 1","pages":"101 - 135"},"PeriodicalIF":2.5,"publicationDate":"2023-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41742618","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

Does Market Performance (Tobin’s Q) Have A Negative Effect On Credit Ratings? Evidence From South Korea 市场表现（托宾Q）对信用评级有负面影响吗？来自韩国的证据

IF 2.5

Asia-Pacific Financial Markets Pub Date : 2023-05-10 DOI: 10.1007/s10690-023-09406-x

Hyoung-Joo Lim, Dafydd Mali

{"title":"Does Market Performance (Tobin’s Q) Have A Negative Effect On Credit Ratings? Evidence From South Korea","authors":"Hyoung-Joo Lim, Dafydd Mali","doi":"10.1007/s10690-023-09406-x","DOIUrl":"10.1007/s10690-023-09406-x","url":null,"abstract":"<div><p>Tobin’s Q is an established measure of firm performance, based on investor confidence. However, the association between Tobin’s Q and credit ratings is not well-established in the literature. Using a sample of Korean listed firms over the 2001–2016 sample period, Probit regression analysis shows that overall, Tobin’s Q is positively associated with credit ratings. However, for firms with a > 1 (1 <) Tobin’s Q ratio, a negative (positive) relationship exists. Moreover, in independent regressions, a threshold level if found where the effect of Tobin’s Q on credit ratings changes from being positive (0.2), to negative (0.3). To the best of our knowledge, we are the first to demonstrate that credit rating agencies are nuanced when making default risk assessments. Specifically, that in South Korea, a threshold level exists, at which increasing Tobin’s Q values reduce credit ratings. Empirical evidence of the different association between Tobin’s Q (market confidence) and credit ratings can extend the literature and offer insights to market participants. Furthermore, because Tobin’s Q is a commonly used proxy for financial performance in accounting lectures, the study has practical implications for academics in classrooms.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"31 1","pages":"53 - 80"},"PeriodicalIF":2.5,"publicationDate":"2023-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10690-023-09406-x.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44244451","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

Entropy Augmented Asset Pricing Model: Study on Indian Stock Market 熵增强资产定价模型——基于印度股市的研究

IF 2.5

Asia-Pacific Financial Markets Pub Date : 2023-05-09 DOI: 10.1007/s10690-023-09407-w

Harshit Mishra, Parama Barai

{"title":"Entropy Augmented Asset Pricing Model: Study on Indian Stock Market","authors":"Harshit Mishra, Parama Barai","doi":"10.1007/s10690-023-09407-w","DOIUrl":"10.1007/s10690-023-09407-w","url":null,"abstract":"<div><p>This study explores the effectiveness of entropy as a proxy of aggregate market risk, in explaining the cross-section of excess returns in asset pricing model, after controlling for established factors like market excess returns, size, book to market and momentum. The analysis considers Indian firms, given that Indian capital markets are characterized by relatively thin trading and higher volatility compared to developed markets. Entropy is estimated using Shannon Entropy. Factor mimicking portfolio is constructed based on Shannon Entropy, whose returns are used as additional risk factor in Fama–French–Carhart four factor asset pricing model. Gibbons Ross Shanken-F statistic and Adjusted R<sup>2</sup> are used to judge the efficacy of this factor in capital asset pricing model. All analysis is done using built in functions of python. Market beta, size and Book-to-Market are found to impact equity returns significantly. Entropy factor also impacts equity returns, but to a lesser extent. Explanatory power of asset pricing model is found to improve after inclusion of entropy factor, as indicated by GRS-F Statistic and Adjusted R<sup>2</sup>. Entropy augmented Capital Asset Pricing Models can be used by firms to decide hurdle rate for project evaluation and by asset managers for identifying over-valued/under-valued securities. This is the first study that investigates the role of entropy in explaining asset returns, in addition to other established priced factors. This study is limited to Shannon Entropy only. Other forms of entropy may improve results further, and should be explored in future research.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"31 1","pages":"81 - 99"},"PeriodicalIF":2.5,"publicationDate":"2023-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48526343","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