Asia-Pacific Financial Markets最新文献_第8页

Industry Competition, Market Shares, and the Long-Run Performance of SEO Firms 行业竞争、市场份额与SEO公司的长期绩效

IF 1.7

Asia-Pacific Financial Markets Pub Date : 2023-04-30 DOI: 10.1007/s10690-023-09402-1

Weiju Young, Junming Hsu, Peng-Yu Gao, Tzu-Ju Yang

引用次数: 0

A Dynamic Analysis of the Twin-Deficit Hypothesis: the Case of a Developing Country 双赤字假说的动态分析——以发展中国家为例

IF 2.5

Asia-Pacific Financial Markets Pub Date : 2023-04-29 DOI: 10.1007/s10690-023-09405-y

Ibrar Hussain, Umar Hayat, Md Shabbir Alam, Uzma Khan

{"title":"A Dynamic Analysis of the Twin-Deficit Hypothesis: the Case of a Developing Country","authors":"Ibrar Hussain, Umar Hayat, Md Shabbir Alam, Uzma Khan","doi":"10.1007/s10690-023-09405-y","DOIUrl":"10.1007/s10690-023-09405-y","url":null,"abstract":"<div><p>The main economic challenge is rising aggregate demand, which leaves the economy short on resources and leads to expanding fiscal and external account deficits. The current study uses autoregressive distributed lag (ARDL) model to evaluate the twin deficit hypothesis in the context of Pakistan in an effort to find an answer to this question. The study uses augmented ARDL, popularized by McNown et al. (Appl Econ 50:1509–1521, 2018) and Sam et al. (Econ Model 80:130–141, 2019), to address the degenerate problems that might arise while applying the ARDL approach. Two separate models were estimated, one with the current account balance as the dependent variable and the other with the balance of trade. In the long run, both models confirm the conventional interpretation of twin deficit hypothesis in Pakistan, with the causality running only from the fiscal deficit to the balance of trade. Other control variables in both models are crucial in understanding the current account balance and balance of trade. According to models, an increase in the exchange rate, as measured by the log of the nominal effective exchange rate, improves both current account and trade balance, verifying the elasticity approach in the long run. The openness of the economy is found to worsen current account balance, and the result is statistically significant. Contrarily, openness has been improved trade balance, but the result is statistically insignificant. To control a large and persistent external deficit, the government has to reduce its fiscal deficit, and such a strategy would be successful when monetary policy is accommodative.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"31 1","pages":"25 - 52"},"PeriodicalIF":2.5,"publicationDate":"2023-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47734105","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

Into the Unknown: Uncertainty, Foreboding and Financial Markets 未知：不确定性、预测和金融市场

IF 2.5

Asia-Pacific Financial Markets Pub Date : 2023-04-11 DOI: 10.1007/s10690-023-09404-z

Smita Roy Trivedi

{"title":"Into the Unknown: Uncertainty, Foreboding and Financial Markets","authors":"Smita Roy Trivedi","doi":"10.1007/s10690-023-09404-z","DOIUrl":"10.1007/s10690-023-09404-z","url":null,"abstract":"<div><p>While the link between financial market movement and economic policy uncertainty indices is well-established in literature, uncertainty in the form of ‘foreboding’ emanating from catastrophic events has not been explored in literature. This paper explores “foreboding”, which reflects uncertainty at its extreme, following the Covid-19 pandemic. Using Natural Language Processing on minute-by-minute news data, I construct two Foreboding Indices, representing ‘foreboding’ or ‘fearful apprehension’, for 28,622 Covid-related news for the period July 2020–August 2021. The impact of foreboding on financial market volatility is explored using a logistic regression model. Both the indices show a marked increase in June–July, 2020, in January 2021, April, 2021, and July–August, 2021 and have a positive impact on volatility for hourly S&P 500 Index. Understanding of foreboding sentiment is crucial for central banks looking to monitor financial market volatility. Appropriate signaling in accordance to sentiment can help central banks handle detrimental impacts of market volatility. Moreover, FI can be used for market practitioners to gauge the sentiment and take effective trading decisions.\u0000</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"31 1","pages":"1 - 23"},"PeriodicalIF":2.5,"publicationDate":"2023-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46291671","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

Multi-period Dynamic Bond Portfolio Optimization Utilizing a Stochastic Interest Rate Model 基于随机利率模型的多期动态债券投资组合优化

IF 1.7

Asia-Pacific Financial Markets Pub Date : 2023-03-23 DOI: 10.1007/s10690-023-09401-2

Yoshiyuki Shimai, Naoki Makimoto

{"title":"Multi-period Dynamic Bond Portfolio Optimization Utilizing a Stochastic Interest Rate Model","authors":"Yoshiyuki Shimai, Naoki Makimoto","doi":"10.1007/s10690-023-09401-2","DOIUrl":"10.1007/s10690-023-09401-2","url":null,"abstract":"<div><p>Regardless of the asset class, applying multi-period dynamic portfolio optimization to real investment activity is challenging due to theoretical and structural complexities. In terms of a bond portfolio based on a stochastic interest rate model, some literature exists that focuses on theoretical aspects of multi-period dynamic bond portfolio optimization, such as deriving analytical solutions for optimal portfolios, to be sure, but no empirical studies analyzed the actual bond market. Additionally, a methodology that considers realistic investment constraints has not been developed thus far. In this paper, we propose a new framework for multi-period dynamic bond portfolio optimization. As bond return can be approximated by a linear combination of factors that constitute a stochastic interest rate model, we apply linear rebalancing rules that consider transaction costs, in addition to self-financing and short sales constraints. Then, as an empirical analysis, we conduct an investment backtest by analyzing discount bonds estimated from Japanese interest-bearing government bonds. The results indicate that multi-period optimization represents a relatively high performance compared to single-period optimization. Further, the performance improves as the investment horizon and investment utilization period are extended up to a certain point.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"30 4","pages":"817 - 844"},"PeriodicalIF":1.7,"publicationDate":"2023-03-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42328472","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

How Serious is India’s Nonperforming Assets Crisis? A Structural Satellite Version of the Financial-Macroeconometric Model 印度不良资产危机有多严重?金融宏观计量经济模型的结构卫星版本

IF 1.7

Asia-Pacific Financial Markets Pub Date : 2023-03-20 DOI: 10.1007/s10690-023-09397-9

Nithin Mani, Alok Kumar Mishra, Jijin Pandikasala

引用次数: 0

Innovative Financial Instruments and Investors’ Interest in Indian Securities Markets 创新金融工具与投资者对印度证券市场的兴趣

IF 1.7

Asia-Pacific Financial Markets Pub Date : 2023-03-18 DOI: 10.1007/s10690-023-09403-0

Pradiptarathi Panda

引用次数: 0

Does G7 Engross the Shock of COVID 19: An Assessment with Market Volatility? G7是否克服了2019冠状病毒病的冲击：对市场波动性的评估？

IF 1.7

Asia-Pacific Financial Markets Pub Date : 2023-03-16 DOI: 10.1007/s10690-023-09398-8

Nupur Moni Das, Bhabani Sankar Rout, Yashmin Khatun

引用次数: 3

Macroeconomic Response to BRICS Countries Stock Markets Using Panel VAR 面板VAR对金砖国家股市的宏观经济响应

IF 1.7

Asia-Pacific Financial Markets Pub Date : 2023-03-09 DOI: 10.1007/s10690-023-09399-7

Babita Panda, Ajaya Kumar Panda, Pradiptarathi Panda

引用次数: 2

Market Efficiency of Commodity Derivatives with Reference to Nonagricultural Commodities 非农业商品衍生产品的市场效率

IF 1.7

Asia-Pacific Financial Markets Pub Date : 2023-03-07 DOI: 10.1007/s10690-023-09400-3

Hema Divya Kantamaneni, Vasudeva Reddy Asi

引用次数: 0

Media Coverage, Real Earnings Management, and Long-Run Market Performance: Evidence from Chinese IPOs 媒体报道、实际盈余管理和长期市场表现：来自中国IPO的证据

IF 1.7

Asia-Pacific Financial Markets Pub Date : 2023-01-14 DOI: 10.1007/s10690-022-09396-2

Danning Yu

{"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":"30 4","pages":"729 - 760"},"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}

引用次数: 1