Asia-Pacific Financial Markets最新文献_第9页

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

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