Pub Date : 2019-03-19DOI: 10.35609/afr.2019.4.1(4)
E. J. Arilyn, Beny Beny, Emir Kharismar
Objective - This research is conducted in order to determine what factors in corporate governance affect the financial performance of a firm. Methodology/Technique - Financial performance, as the dependent variable, is measured by Return on Asset (ROA), while the independent variables (corporate governance) are measured using Board Independence, Board Size, Dividend, Firm Size, and Financial Leverage. The sampling method used in this research is purposive sampling. The requirements for the sample of this research are the non – financial firms included in LQ-45 from 2012 to 2017 that publish annual reports that are available to the public. The research method used in this paper is a quantitative method. Panel data analysis technique and E-views tools were also used. Findings - The results indicate that firm size and percentage of board independence has no effect on financial performance, while board size, dividends, and financial leverage all effect financial performance. Novelty - The study adds to the literature of corporate government and firm performance in emerging countries. Type of Paper Empirical Keywords: Board Independence; Board Size; Dividends; Firm Size; Financial Leverage; Financial Performance. JEL Classification: M40, M48, M49. DOI: https://doi.org/10.35609/afr.2019.4.1(4)
{"title":"The Effect of Corporate Governance on Financial Performance in Non-Financial LQ-45 Firms Listed on the Indonesian Stock Exchange from 2012 to 2017","authors":"E. J. Arilyn, Beny Beny, Emir Kharismar","doi":"10.35609/afr.2019.4.1(4)","DOIUrl":"https://doi.org/10.35609/afr.2019.4.1(4)","url":null,"abstract":"Objective - This research is conducted in order to determine what factors in corporate governance affect the financial performance of a firm.\u0000\u0000Methodology/Technique - Financial performance, as the dependent variable, is measured by Return on Asset (ROA), while the independent variables (corporate governance) are measured using Board Independence, Board Size, Dividend, Firm Size, and Financial Leverage. The sampling method used in this research is purposive sampling. The requirements for the sample of this research are the non – financial firms included in LQ-45 from 2012 to 2017 that publish annual reports that are available to the public. The research method used in this paper is a quantitative method. Panel data analysis technique and E-views tools were also used.\u0000\u0000Findings - The results indicate that firm size and percentage of board independence has no effect on financial performance, while board size, dividends, and financial leverage all effect financial performance.\u0000\u0000Novelty - The study adds to the literature of corporate government and firm performance in emerging countries.\u0000\u0000Type of Paper Empirical\u0000\u0000Keywords: Board Independence; Board Size; Dividends; Firm Size; Financial Leverage; Financial Performance.\u0000\u0000JEL Classification: M40, M48, M49.\u0000\u0000DOI: https://doi.org/10.35609/afr.2019.4.1(4)","PeriodicalId":287077,"journal":{"name":"ERN: Asia & Pacific (Emerging Markets) (Topic)","volume":"127 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127019312","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}
This study examines time-series momentum in the Chinese commodity futures market. The findings show that a time-series momentum strategy performs best with a one-month look-back period and a one-month holding period. Furthermore, this strategy outperforms passive long and cross-sectional momentum strategies in the Chinese futures market based on Sharpe ratios, risk-adjusted excess returns, and cumulative returns. But highly volatile market characteristic with many speculative investors limits the period in which time-series momentum is maintained. Our findings suggest that the anomaly is observed in international asset markets, including Chinese commodity futures, and support the implication that speculators profit from time-series momentum strategy is the expense of hedgers.
{"title":"Time-Series Momentum in the Chinese Commodity Futures Market","authors":"Hoon Cho, H. Ham, Hyeongjun Kim, Doojin Ryu","doi":"10.2139/ssrn.3311479","DOIUrl":"https://doi.org/10.2139/ssrn.3311479","url":null,"abstract":"This study examines time-series momentum in the Chinese commodity futures market. The findings show that a time-series momentum strategy performs best with a one-month look-back period and a one-month holding period. Furthermore, this strategy outperforms passive long and cross-sectional momentum strategies in the Chinese futures market based on Sharpe ratios, risk-adjusted excess returns, and cumulative returns. But highly volatile market characteristic with many speculative investors limits the period in which time-series momentum is maintained. Our findings suggest that the anomaly is observed in international asset markets, including Chinese commodity futures, and support the implication that speculators profit from time-series momentum strategy is the expense of hedgers.","PeriodicalId":287077,"journal":{"name":"ERN: Asia & Pacific (Emerging Markets) (Topic)","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121235884","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}
Abstract Using DCC, ADCC and GO-GARCH models, this paper examines whether the Shanghai-Hong Kong Stock Connect program drives market comovement between Shanghai and Hong Kong. We distinguish financial liberalization induced market comovement from that induced by other factors through comparing time-varying market correlations of Shanghai-Hong Kong with those of Shenzhen-Hong Kong. The results of the three variants of multivariate GARCH models consistently show that, if we ignore the period of market crash, the market correlation between Shanghai and Hong Kong does not significantly increase after the launch of the program. Furthermore, inconsistent with theoretical prediction, we find that the correlation between Hong Kong and financially non-liberalized Shenzhen market increases much more than that between Hong Kong and financially liberalized Shanghai market in the market turbulence. The results implicate the Shanghai-Hong Kong Stock Connect program is not the main fundamental force that drives market comovement between Shanghai and Hong Kong in the short run. This finding is further supported by the results of optimal hedge ratios and downside risk measures, which hold important risk management implications for investors in these markets.
{"title":"Does Shanghai-Hong Kong Stock Connect Drive Market Comovement between Shanghai and Hong Kong: A New Evidence","authors":"R. Ma, Chengtao Deng, Huan Cai, Pengxiang Zhai","doi":"10.2139/ssrn.3251660","DOIUrl":"https://doi.org/10.2139/ssrn.3251660","url":null,"abstract":"Abstract Using DCC, ADCC and GO-GARCH models, this paper examines whether the Shanghai-Hong Kong Stock Connect program drives market comovement between Shanghai and Hong Kong. We distinguish financial liberalization induced market comovement from that induced by other factors through comparing time-varying market correlations of Shanghai-Hong Kong with those of Shenzhen-Hong Kong. The results of the three variants of multivariate GARCH models consistently show that, if we ignore the period of market crash, the market correlation between Shanghai and Hong Kong does not significantly increase after the launch of the program. Furthermore, inconsistent with theoretical prediction, we find that the correlation between Hong Kong and financially non-liberalized Shenzhen market increases much more than that between Hong Kong and financially liberalized Shanghai market in the market turbulence. The results implicate the Shanghai-Hong Kong Stock Connect program is not the main fundamental force that drives market comovement between Shanghai and Hong Kong in the short run. This finding is further supported by the results of optimal hedge ratios and downside risk measures, which hold important risk management implications for investors in these markets.","PeriodicalId":287077,"journal":{"name":"ERN: Asia & Pacific (Emerging Markets) (Topic)","volume":"49 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115056953","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}
Analysis of risk and return of individual stock is primary steps of every investor before making investment. The main purpose of individual investor is maximizing wealth in a low level of risk. But it is very difficult to find out such investment avenue from the pool of investment avenues. In Bombay stock exchanges there are more than 5500 companies listed and 30 companies are considered as blue chip companies. This paper studies about risk and return analysis of these blue chip companies. Here data were collected highly authenticated websites such as BSE official website and money control.com. In order to analyze the risk and return of individual stock some of the statistical tools were used like Standard deviation, Correlation and CAPM model. The main objective of this paper is to find out risk return parity in the individual companies which are considered in the calculation of SENSEX index.
{"title":"Risk and Return Analysis of Equity Shares with Special Reference to Companies (BSE) Stock Index","authors":"Abhinandan Kulal, Pai H. Karthik, Shruthi Nayak","doi":"10.2139/ssrn.3768471","DOIUrl":"https://doi.org/10.2139/ssrn.3768471","url":null,"abstract":"Analysis of risk and return of individual stock is primary steps of every investor before making investment. The main purpose of individual investor is maximizing wealth in a low level of risk. But it is very difficult to find out such investment avenue from the pool of investment avenues. In Bombay stock exchanges there are more than 5500 companies listed and 30 companies are considered as blue chip companies. This paper studies about risk and return analysis of these blue chip companies. Here data were collected highly authenticated websites such as BSE official website and money control.com. In order to analyze the risk and return of individual stock some of the statistical tools were used like Standard deviation, Correlation and CAPM model. The main objective of this paper is to find out risk return parity in the individual companies which are considered in the calculation of SENSEX index.","PeriodicalId":287077,"journal":{"name":"ERN: Asia & Pacific (Emerging Markets) (Topic)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132201549","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}
We investigate the evolution of dynamic interactions among five major financial assets in the Indian economy, which its recent demonetization policy tried to influence. Spillovers account for more than 25 percent of the forecast error variance in all the five markets. In terms of total spillovers, the banking and the real estate sectors matter the most for the Indian economy. Gold market is responsible for the highest net volatility spillovers to other markets. Spillovers show major trends and cycles in their time series plots. The US economy transmits shocks directly to the key sectors of the Indian economy and via the gold and the foreign exchange markets. The events such as the election of the National Democratic Alliance government in India and the Indian government’s demonetization exercise were contemporaneous to some of the major episodes of return and volatility spillovers in the analyzed assets. The increased regulatory risk for the Indian IT sector post India’s demonetization policy and President Trump’s election seems to have increased the importance of the IT sector for gold and banking sector volatility shock transmission.
{"title":"Return and Volatility Spillovers: An Evaluation of India's Demonetization Policy","authors":"Shubhasis Dey, A. Sampath","doi":"10.2139/ssrn.3076785","DOIUrl":"https://doi.org/10.2139/ssrn.3076785","url":null,"abstract":"We investigate the evolution of dynamic interactions among five major financial assets in the Indian economy, which its recent demonetization policy tried to influence. Spillovers account for more than 25 percent of the forecast error variance in all the five markets. In terms of total spillovers, the banking and the real estate sectors matter the most for the Indian economy. Gold market is responsible for the highest net volatility spillovers to other markets. Spillovers show major trends and cycles in their time series plots. The US economy transmits shocks directly to the key sectors of the Indian economy and via the gold and the foreign exchange markets. The events such as the election of the National Democratic Alliance government in India and the Indian government’s demonetization exercise were contemporaneous to some of the major episodes of return and volatility spillovers in the analyzed assets. The increased regulatory risk for the Indian IT sector post India’s demonetization policy and President Trump’s election seems to have increased the importance of the IT sector for gold and banking sector volatility shock transmission.","PeriodicalId":287077,"journal":{"name":"ERN: Asia & Pacific (Emerging Markets) (Topic)","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-11-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130611384","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}
In this study, we examine several aspects of the momentum strategies such as profitability, risk-based explanation, and decomposition of the momentum profits. For this purpose, we use weekly and monthly data of 581 firms listed at the Pakistan Stock Exchange (PSX) for the period 2004-2014. We found the presence of momentum profits over short- and long-horizons, while majority of the contrarian profits were observed only in the presence of penny stocks that have share prices of PKR 10 or less. As a robustness check, we computed returns through weighted relative strength scheme and average cumulative abnormal returns. Interestingly, both the methods have shown a similar pattern in returns. Further, to know which factor contributes more to momentum and contrarian profits, we used the model proposed by Lo and MacKinlay (1990). Our findings show that the overreaction effect is the largest contributing factor of contrarian profits in PSX, while cross-sectional risk is the second largest factor. Moreover, the lead-lag effect contributes positively to the contrarian profits. Similarly, the largest contributing factor for momentum profits is the underreaction effect whereas cross-sectional risk is the second largest factor that positively affects momentum profits. Unlike contrarian profits, lead-lag effect reduces the momentum profits in the PSX.
{"title":"Contrarian and Momentum Investment Strategies in Pakistan Stock Exchange","authors":"Jalal Shah, Attaullah Shah","doi":"10.2139/ssrn.3063904","DOIUrl":"https://doi.org/10.2139/ssrn.3063904","url":null,"abstract":"In this study, we examine several aspects of the momentum strategies such as profitability, risk-based explanation, and decomposition of the momentum profits. For this purpose, we use weekly and monthly data of 581 firms listed at the Pakistan Stock Exchange (PSX) for the period 2004-2014. We found the presence of momentum profits over short- and long-horizons, while majority of the contrarian profits were observed only in the presence of penny stocks that have share prices of PKR 10 or less. As a robustness check, we computed returns through weighted relative strength scheme and average cumulative abnormal returns. Interestingly, both the methods have shown a similar pattern in returns. Further, to know which factor contributes more to momentum and contrarian profits, we used the model proposed by Lo and MacKinlay (1990). Our findings show that the overreaction effect is the largest contributing factor of contrarian profits in PSX, while cross-sectional risk is the second largest factor. Moreover, the lead-lag effect contributes positively to the contrarian profits. Similarly, the largest contributing factor for momentum profits is the underreaction effect whereas cross-sectional risk is the second largest factor that positively affects momentum profits. Unlike contrarian profits, lead-lag effect reduces the momentum profits in the PSX.","PeriodicalId":287077,"journal":{"name":"ERN: Asia & Pacific (Emerging Markets) (Topic)","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130292227","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}
While the earnings recovery has yet to realize itself, equity markets in India have continued to move up. As indices have moved up while earnings have largely failed to keep pace, valuations, to the extent that one bases them on the current earnings power of the business, have increasingly extended themselves in the overvalued zone. At Multi-Act EquiGlobe and at Sapphire Capital, we are primarily focused on a small sub-set of businesses. Our target investment universe is comprised of high quality businesses that possess durable competitive advantages. In our efforts to effectively answer the question of top-down valuations, we built a bottom-up model of companies in our investment universe; the India Moats Index. Our analysis covers 65 unique companies over the last 12 years. We take a deep dive into the profitability of these businesses as a group, levels of leverage employed, business reinvestments and share buybacks, and business valuations. Our findings suggest that the high-quality business sub-set is overvalued as well. We find that the valuation dispersion within the high quality business space is continuing to be wide allowing us to selectively construct a superior portfolio as compared to the wider investment universe.
{"title":"India Equity Market Valuations: The Need to Exercise Prudence","authors":"Baijnath Ramraika, CFA, P. Trivedi","doi":"10.2139/ssrn.3061713","DOIUrl":"https://doi.org/10.2139/ssrn.3061713","url":null,"abstract":"While the earnings recovery has yet to realize itself, equity markets in India have continued to move up. As indices have moved up while earnings have largely failed to keep pace, valuations, to the extent that one bases them on the current earnings power of the business, have increasingly extended themselves in the overvalued zone. At Multi-Act EquiGlobe and at Sapphire Capital, we are primarily focused on a small sub-set of businesses. Our target investment universe is comprised of high quality businesses that possess durable competitive advantages. In our efforts to effectively answer the question of top-down valuations, we built a bottom-up model of companies in our investment universe; the India Moats Index. Our analysis covers 65 unique companies over the last 12 years. We take a deep dive into the profitability of these businesses as a group, levels of leverage employed, business reinvestments and share buybacks, and business valuations. Our findings suggest that the high-quality business sub-set is overvalued as well. We find that the valuation dispersion within the high quality business space is continuing to be wide allowing us to selectively construct a superior portfolio as compared to the wider investment universe.","PeriodicalId":287077,"journal":{"name":"ERN: Asia & Pacific (Emerging Markets) (Topic)","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127456995","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}
This study examines the market-timing performance of Chinese equity securities investment funds during the period from May 2003 to May 2014 using the parametric tests of Treynor–Mazuy and Henriksson–Merton as well as the Jiang non-parametric test. Based on the non-parametric approach, the study finds that only one fund among the sample of 419 funds possessed statistically significant market-timing skill, while 9% of the funds were statistically significant negative market timers. Most funds do not time the market. This conclusion is robust when controlling for publicly available information in evaluating ‘private’ timing ability. Consistent with studies of other markets such as the UK, a higher prevalence of successful market timers is found by the Treynor–Mazuy and Henriksson–Merton methods compared to the non-parametric procedure.
{"title":"The Market-Timing Ability of Chinese Equity Securities Investment Funds","authors":"Jun Gao, Niall O’Sullivan, Meadhbh Sherman","doi":"10.2139/ssrn.3054429","DOIUrl":"https://doi.org/10.2139/ssrn.3054429","url":null,"abstract":"This study examines the market-timing performance of Chinese equity securities investment funds during the period from May 2003 to May 2014 using the parametric tests of Treynor–Mazuy and Henriksson–Merton as well as the Jiang non-parametric test. Based on the non-parametric approach, the study finds that only one fund among the sample of 419 funds possessed statistically significant market-timing skill, while 9% of the funds were statistically significant negative market timers. Most funds do not time the market. This conclusion is robust when controlling for publicly available information in evaluating ‘private’ timing ability. Consistent with studies of other markets such as the UK, a higher prevalence of successful market timers is found by the Treynor–Mazuy and Henriksson–Merton methods compared to the non-parametric procedure.","PeriodicalId":287077,"journal":{"name":"ERN: Asia & Pacific (Emerging Markets) (Topic)","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128374829","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}
The concern regarding destabilizing ability of trading in futures markets in terms of increase in risk is still unresolved in developed and developing economies. This discussion also prevailed in Pakistan after the Global Financial Crisis (GFC). To investigates this concern with respect to Single Stock Futures (SSFs) and their impact on the underlying stocks, this study made use of data from 1999 to 2008. Speci cally, this study investigates the introduction of SSFs in relevance to their impact on the systematic and unsystematic risk of their counterparts. The statistical results of the study show that introduction of SSFs does not enhance the overall risk of the underlying stocks. Therefore, it can be concluded that SSFs cannot be blamed for any apparent volatility in the Pakistan Stock Exchange (PSX) at and before GFC. There could be some other reasons for change in risk level (accounting and macroeconomic fundamentals or industry speci fic etc.). The results of this study are in line with a category of earlier studies, which show that introduction of futures do not destabilize the underlying market. The study implies that flexible regulated futures markets can improve price discovery and liquidity of the market, while acting as an agent for hedgers.
{"title":"Single Stock Futures and Their Impact on Risk Characteristics of the Underlying Stocks: A Dynamic CAPM Approach","authors":"I. Malik, Attaullah Shah","doi":"10.2139/ssrn.3054618","DOIUrl":"https://doi.org/10.2139/ssrn.3054618","url":null,"abstract":"The concern regarding destabilizing ability of trading in futures markets in terms of increase in risk is still unresolved in developed and developing economies. This discussion also prevailed in Pakistan after the Global Financial Crisis (GFC). To investigates this concern with respect to Single Stock Futures (SSFs) and their impact on the underlying stocks, this study made use of data from 1999 to 2008. Speci cally, this study investigates the introduction of SSFs in relevance to their impact on the systematic and unsystematic risk of their counterparts. The statistical results of the study show that introduction of SSFs does not enhance the overall risk of the underlying stocks. Therefore, it can be concluded that SSFs cannot be blamed for any apparent volatility in the Pakistan Stock Exchange (PSX) at and before GFC. There could be some other reasons for change in risk level (accounting and macroeconomic fundamentals or industry speci fic etc.). The results of this study are in line with a category of earlier studies, which show that introduction of futures do not destabilize the underlying market. The study implies that flexible regulated futures markets can improve price discovery and liquidity of the market, while acting as an agent for hedgers.","PeriodicalId":287077,"journal":{"name":"ERN: Asia & Pacific (Emerging Markets) (Topic)","volume":"102 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133642713","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}
This paper employs quarterly data during 2008Q1 and 2016Q2 to examine the impacts of shocks to asset prices and real exchange rate on the current balance in Thailand. The structural VAR model is used. The results show that the shocks to real effective exchange rate and housing prices can better explain fluctuations in the current account.
{"title":"Asset Prices, Real Exchange Rate and Current Account Fluctuations: Some Structural VAR Evidence for Thailand","authors":"Komain Jiranyakul","doi":"10.2139/ssrn.2869592","DOIUrl":"https://doi.org/10.2139/ssrn.2869592","url":null,"abstract":"This paper employs quarterly data during 2008Q1 and 2016Q2 to examine the impacts of shocks to asset prices and real exchange rate on the current balance in Thailand. The structural VAR model is used. The results show that the shocks to real effective exchange rate and housing prices can better explain fluctuations in the current account.","PeriodicalId":287077,"journal":{"name":"ERN: Asia & Pacific (Emerging Markets) (Topic)","volume":"94 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-08-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133872915","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}
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