Pub Date : 2019-04-09DOI: 10.1177/0972652719831549
Harshita, Shveta Singh, Surendra S. Yadav
Covering 20 years (1995–2015), the article ascertains the presence of the month-of-the-year effect in the Indian stock market, for the raw returns series as well as after adjusting for non-linearities of the market. Whether the effect is the same for portfolios of different sizes and values is also ascertained. The threshold generalised autoregressive conditionally heteroskedastic (TGARCH) model is employed to address non-linearity. The results suggest the presence of higher returns in November/December at the index level. Further, only firms with a size smaller than the average exhibit seasonality in the form of the April/May and November/December effect. The value-sorted portfolios exhibit weaker evidence of the December effect. Tax-loss selling, window dressing and behavioural aspects seem to provide the explanation. JEL Classification: C58, G14
{"title":"Unique Calendar Effects in the Indian Stock Market: Evidence and Explanations","authors":"Harshita, Shveta Singh, Surendra S. Yadav","doi":"10.1177/0972652719831549","DOIUrl":"https://doi.org/10.1177/0972652719831549","url":null,"abstract":"Covering 20 years (1995–2015), the article ascertains the presence of the month-of-the-year effect in the Indian stock market, for the raw returns series as well as after adjusting for non-linearities of the market. Whether the effect is the same for portfolios of different sizes and values is also ascertained. The threshold generalised autoregressive conditionally heteroskedastic (TGARCH) model is employed to address non-linearity. The results suggest the presence of higher returns in November/December at the index level. Further, only firms with a size smaller than the average exhibit seasonality in the form of the April/May and November/December effect. The value-sorted portfolios exhibit weaker evidence of the December effect. Tax-loss selling, window dressing and behavioural aspects seem to provide the explanation. JEL Classification: C58, G14","PeriodicalId":44100,"journal":{"name":"Journal of Emerging Market Finance","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2019-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1177/0972652719831549","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44254848","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}
Pub Date : 2019-04-09DOI: 10.1177/0972652719831564
Dheeraj Misra, Sushma Vishnani, Ankit Mehrotra
This study aims at analysing the impact of co-skewness and co-kurtosis on the returns of the Indian stocks by incorporating co-skewness and co-kurtosis in the traditional capital asset pricing model (CAPM) of Sharpe, in a three-factor model of Fama and French and in a four-factor model of Carhart. The results of the study show that co-skewness and co-kurtosis have significant impact on the returns of the Indian stock. However, the impact of co-skewness is higher than co-kurtosis. JEL Classification: G11, G12
{"title":"Four-moment CAPM Model: Evidence from the Indian Stock Market","authors":"Dheeraj Misra, Sushma Vishnani, Ankit Mehrotra","doi":"10.1177/0972652719831564","DOIUrl":"https://doi.org/10.1177/0972652719831564","url":null,"abstract":"This study aims at analysing the impact of co-skewness and co-kurtosis on the returns of the Indian stocks by incorporating co-skewness and co-kurtosis in the traditional capital asset pricing model (CAPM) of Sharpe, in a three-factor model of Fama and French and in a four-factor model of Carhart. The results of the study show that co-skewness and co-kurtosis have significant impact on the returns of the Indian stock. However, the impact of co-skewness is higher than co-kurtosis. JEL Classification: G11, G12","PeriodicalId":44100,"journal":{"name":"Journal of Emerging Market Finance","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2019-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1177/0972652719831564","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47039413","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}
Pub Date : 2019-04-09DOI: 10.1177/0972652719831546
Samaresh Bardhan, Rajesh Sharma, Vivek Mukherjee
The article investigates role of bank-specific factors on non-performing assets (NPAs) in Indian banking system in a panel threshold framework (Hansen, 1999, Journal of Econometrics, 93(2), 345–368), using an unbalanced panel of 82 scheduled commercial banks over the period of 1995–1996 to 2010–2011. We consider capital to risk-weighted assets ratio (CRAR) and credit growth as alternative threshold variables (and regime dependent) along with relevant bank-specific variables treated as regime independent. Findings reveal that CRAR exerts negative and significant impact on NPAs once it reaches a critical threshold. Possible implication is that banks extend less risky loans in a high CRAR regime than in low CRAR regime that helps reduce NPAs. With credit growth as threshold as well as regime dependent, we observe statistically significant non-linear effect of credit growth on NPAs. Beyond threshold, credit growth exerts significant negative effect on NPAs that may imply that banks extend good quality loans. However, we cannot rule out the possibility of evidence of ‘ever-greening hypothesis’ of bad debts in Indian banking, that is, banks just roll over previous bad debts into fresh performing loans. JEL Classification: G21, G28, C13, C33
本文在面板阈值框架中调查了印度银行系统中银行特定因素对不良资产的作用（Hansen，1999，Journal of Econometrics，93（2），345-368），使用了1995-1996年至2010-2011年期间82家计划商业银行的不平衡面板。我们将资本与风险加权资产比率（CRAR）和信贷增长视为替代阈值变量（和制度相关），并将相关银行特定变量视为制度独立变量。研究结果表明，一旦达到临界阈值，CRAR就会对NPA产生负面和显著的影响。可能的含义是，银行在高CRAR制度下发放的贷款风险比低CRAR制度低，这有助于减少不良贷款。在以信贷增长为阈值和制度依赖的情况下，我们观察到信贷增长对NPA的非线性影响具有统计学意义。超过阈值，信贷增长对不良贷款产生了显著的负面影响，这可能意味着银行提供了高质量的贷款。然而，我们不能排除印度银行业存在坏账“不断绿化假说”的可能性，即银行只是将以前的坏账展期为新的表现良好的贷款。JEL分类：G21、G28、C13、C33
{"title":"Threshold Effect of Bank-specific Determinants of Non-performing Assets: An Application in Indian Banking","authors":"Samaresh Bardhan, Rajesh Sharma, Vivek Mukherjee","doi":"10.1177/0972652719831546","DOIUrl":"https://doi.org/10.1177/0972652719831546","url":null,"abstract":"The article investigates role of bank-specific factors on non-performing assets (NPAs) in Indian banking system in a panel threshold framework (Hansen, 1999, Journal of Econometrics, 93(2), 345–368), using an unbalanced panel of 82 scheduled commercial banks over the period of 1995–1996 to 2010–2011. We consider capital to risk-weighted assets ratio (CRAR) and credit growth as alternative threshold variables (and regime dependent) along with relevant bank-specific variables treated as regime independent. Findings reveal that CRAR exerts negative and significant impact on NPAs once it reaches a critical threshold. Possible implication is that banks extend less risky loans in a high CRAR regime than in low CRAR regime that helps reduce NPAs. With credit growth as threshold as well as regime dependent, we observe statistically significant non-linear effect of credit growth on NPAs. Beyond threshold, credit growth exerts significant negative effect on NPAs that may imply that banks extend good quality loans. However, we cannot rule out the possibility of evidence of ‘ever-greening hypothesis’ of bad debts in Indian banking, that is, banks just roll over previous bad debts into fresh performing loans. JEL Classification: G21, G28, C13, C33","PeriodicalId":44100,"journal":{"name":"Journal of Emerging Market Finance","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2019-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1177/0972652719831546","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47997755","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}
Pub Date : 2019-04-09DOI: 10.1177/0972652719831550
S. Narend, M. Thenmozhi
We examine the influence of country exchange traded funds (ETFs) on the country’s stock market indices, irrespective of their underlying benchmark. A pooled ordinary least square (OLS) analysis of a sample of 28 India ETFs listed in the US, UK, Canada, France, Japan, Israel and Singapore reveals that India ETFs have a significant impact on the country’s stock indices. We also document reverse causal dynamics between country ETFs and the country’s stock indices. The results are robust even after controlling for global effects, stock market volatility, foreign institutional investor (FII) flows, foreign exchange rate and asset size of India ETFs. The findings of the study have implications for global investors and policymakers in both emerging and developed markets. Policymakers would find it compelling to monitor country ETFs’ fund flows into the underlying country, as withdrawal of country ETFs could have a cascading effect on the economy. JEL Classification: G11, G15, G23
{"title":"Do Country ETFs Influence Foreign Stock Market Index? Evidence from India ETFs","authors":"S. Narend, M. Thenmozhi","doi":"10.1177/0972652719831550","DOIUrl":"https://doi.org/10.1177/0972652719831550","url":null,"abstract":"We examine the influence of country exchange traded funds (ETFs) on the country’s stock market indices, irrespective of their underlying benchmark. A pooled ordinary least square (OLS) analysis of a sample of 28 India ETFs listed in the US, UK, Canada, France, Japan, Israel and Singapore reveals that India ETFs have a significant impact on the country’s stock indices. We also document reverse causal dynamics between country ETFs and the country’s stock indices. The results are robust even after controlling for global effects, stock market volatility, foreign institutional investor (FII) flows, foreign exchange rate and asset size of India ETFs. The findings of the study have implications for global investors and policymakers in both emerging and developed markets. Policymakers would find it compelling to monitor country ETFs’ fund flows into the underlying country, as withdrawal of country ETFs could have a cascading effect on the economy. JEL Classification: G11, G15, G23","PeriodicalId":44100,"journal":{"name":"Journal of Emerging Market Finance","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2019-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1177/0972652719831550","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46747651","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}
Pub Date : 2019-03-28DOI: 10.1177/0972652719831543
Chung-Hua Shen, Chien-An Wang
This study investigates whether significant changes exist in providing loan losses and loan charge-offs during turnovers of chief executive officers (CEOs). Providing loan losses is referred to as a ‘big bath in earnings’, and providing loan charge-offs is referred to as a ‘big bath in asset quality’. We classify CEO turnovers into three types, namely, forced and voluntary CEO turnovers in privately owned banks (POB), turnovers in government-owned banks (GOB) and turnovers as outcomes of mergers and acquisitions (M&As). Using findings based on the data of Taiwanese commercial banks, we demonstrate that the forcibly appointed CEOs exhibit big baths in earnings and asset quality, whereas the voluntarily appointed CEOs exhibit a big bath in earnings but not in asset quality. Compared with the CEO turnover in a POB, the appointed CEO in a GOB shows no big bath in either earnings or asset quality. Moreover, turnovers resulting from M&As do not induce big baths. JEL Classification: C23, G21, G28, M41, M48
{"title":"Do New Brooms Sweep Clean? Evidence that New CEOs Take a ‘Big Bath’ in the Banking Industry","authors":"Chung-Hua Shen, Chien-An Wang","doi":"10.1177/0972652719831543","DOIUrl":"https://doi.org/10.1177/0972652719831543","url":null,"abstract":"This study investigates whether significant changes exist in providing loan losses and loan charge-offs during turnovers of chief executive officers (CEOs). Providing loan losses is referred to as a ‘big bath in earnings’, and providing loan charge-offs is referred to as a ‘big bath in asset quality’. We classify CEO turnovers into three types, namely, forced and voluntary CEO turnovers in privately owned banks (POB), turnovers in government-owned banks (GOB) and turnovers as outcomes of mergers and acquisitions (M&As). Using findings based on the data of Taiwanese commercial banks, we demonstrate that the forcibly appointed CEOs exhibit big baths in earnings and asset quality, whereas the voluntarily appointed CEOs exhibit a big bath in earnings but not in asset quality. Compared with the CEO turnover in a POB, the appointed CEO in a GOB shows no big bath in either earnings or asset quality. Moreover, turnovers resulting from M&As do not induce big baths. JEL Classification: C23, G21, G28, M41, M48","PeriodicalId":44100,"journal":{"name":"Journal of Emerging Market Finance","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2019-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1177/0972652719831543","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44348127","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}
Pub Date : 2019-03-28DOI: 10.1177/0972652719831536
Nebojsa Dimic, Vitaly Orlov, Janne Äijö
This article investigates the market timing ability of the bond–equity yield ratio (BEYR) from an international investor perspective. Consolidating data on emerging markets, we document no major international evidence that BEYR-based investing strategies, namely extreme values, thresholds and moving averages, provide higher risk-adjusted returns than benchmark buy-and-hold portfolios. However, we develop new augmented BEYR indicators by introducing the notion of US bonds as a safe investment relative to emerging market stocks and bonds. Dynamic strategies based on our augmented BEYR indicators produce significant gains in risk-adjusted returns compared with traditional BEYR and buy-and-hold benchmark strategies. JEL Classifications: G11, G12, G15
{"title":"Bond–Equity Yield Ratio Market Timing in Emerging Markets","authors":"Nebojsa Dimic, Vitaly Orlov, Janne Äijö","doi":"10.1177/0972652719831536","DOIUrl":"https://doi.org/10.1177/0972652719831536","url":null,"abstract":"This article investigates the market timing ability of the bond–equity yield ratio (BEYR) from an international investor perspective. Consolidating data on emerging markets, we document no major international evidence that BEYR-based investing strategies, namely extreme values, thresholds and moving averages, provide higher risk-adjusted returns than benchmark buy-and-hold portfolios. However, we develop new augmented BEYR indicators by introducing the notion of US bonds as a safe investment relative to emerging market stocks and bonds. Dynamic strategies based on our augmented BEYR indicators produce significant gains in risk-adjusted returns compared with traditional BEYR and buy-and-hold benchmark strategies. JEL Classifications: G11, G12, G15","PeriodicalId":44100,"journal":{"name":"Journal of Emerging Market Finance","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2019-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1177/0972652719831536","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49612001","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}
Pub Date : 2019-03-28DOI: 10.1177/0972652719831540
I. Q. Nesset, Ingrid Bøgeberg, Frode Kjærland, L. Molden
Political risk is expected to increase due to emerging markets’ increasing influence on the world economy. We identify legal, tension, conflict and policy as underlying dimensions through principal component analysis by using a disaggregated political risk index. Using a two-way error correction model, ethnic and religious tension is identified as a new and distinct dimension of political risk. Consequently, global investors are likely to benefit from understanding which dimension implies a reward. Investors in particular should direct their attention towards tension, which seems to command a risk premium regardless of both market and time. JEL Classification: C33, F30, F50, G15
{"title":"How Underlying Dimensions of Political Risk Affect Excess Return in Emerging and Developed Markets","authors":"I. Q. Nesset, Ingrid Bøgeberg, Frode Kjærland, L. Molden","doi":"10.1177/0972652719831540","DOIUrl":"https://doi.org/10.1177/0972652719831540","url":null,"abstract":"Political risk is expected to increase due to emerging markets’ increasing influence on the world economy. We identify legal, tension, conflict and policy as underlying dimensions through principal component analysis by using a disaggregated political risk index. Using a two-way error correction model, ethnic and religious tension is identified as a new and distinct dimension of political risk. Consequently, global investors are likely to benefit from understanding which dimension implies a reward. Investors in particular should direct their attention towards tension, which seems to command a risk premium regardless of both market and time. JEL Classification: C33, F30, F50, G15","PeriodicalId":44100,"journal":{"name":"Journal of Emerging Market Finance","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2019-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1177/0972652719831540","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46001554","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}
Pub Date : 2019-03-04DOI: 10.1177/0972652719831523
Mohsen Bahmani‐Oskooee, Sahar Bahmani, Ali M. Kutan, Dan Xi
Previous studies, that included the exchange rate in the demand for money function to account for currency substitution, assumed that exchange rate changes have symmetric effects on the demand for money in emerging countries. Since assuming symmetric effects implies using a linear model, they were not successful in finding significant link between the exchange rate movements and the demand for money. When we applied a nonlinear model to address the same issue, we found that in most emerging economies in our sample, exchange rate changes do have significant long-run effects on the demand for money and such effects are indeed asymmetric. JEL Classifications: E41, F31
{"title":"On the Asymmetric Effects of Exchange Rate Changes on the Demand for Money: Evidence from Emerging Economies","authors":"Mohsen Bahmani‐Oskooee, Sahar Bahmani, Ali M. Kutan, Dan Xi","doi":"10.1177/0972652719831523","DOIUrl":"https://doi.org/10.1177/0972652719831523","url":null,"abstract":"Previous studies, that included the exchange rate in the demand for money function to account for currency substitution, assumed that exchange rate changes have symmetric effects on the demand for money in emerging countries. Since assuming symmetric effects implies using a linear model, they were not successful in finding significant link between the exchange rate movements and the demand for money. When we applied a nonlinear model to address the same issue, we found that in most emerging economies in our sample, exchange rate changes do have significant long-run effects on the demand for money and such effects are indeed asymmetric. JEL Classifications: E41, F31","PeriodicalId":44100,"journal":{"name":"Journal of Emerging Market Finance","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2019-03-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1177/0972652719831523","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47650016","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}
Pub Date : 2018-11-08DOI: 10.1177/0972652718798191
Raymond K. Dziwornu, Kingsley K. Anagba, A. D. Aniapam
Mobile financial services (MFS) have emerged in recent years as an indispensable tool to promote financial inclusion in emerging economies like Ghana. This article investigated the factors affecting MFS use among 300 women entrepreneurs in the informal sector in Ghana, using multinomial logit model. Knowledge of MFS, trust of services provided, nearness to agents and privacy of information are more likely to drive MFS use. In addition to embarking on aggressive radio and television advertisement, service operators should deploy more agents and invest in reliable infrastructure to build users’ trust to increase MFS use. JEL Classification: D12, G20
{"title":"Emergence of Mobile Financial Services in Ghana: Concerns for Use among Informal Sector Women Entrepreneurs","authors":"Raymond K. Dziwornu, Kingsley K. Anagba, A. D. Aniapam","doi":"10.1177/0972652718798191","DOIUrl":"https://doi.org/10.1177/0972652718798191","url":null,"abstract":"Mobile financial services (MFS) have emerged in recent years as an indispensable tool to promote financial inclusion in emerging economies like Ghana. This article investigated the factors affecting MFS use among 300 women entrepreneurs in the informal sector in Ghana, using multinomial logit model. Knowledge of MFS, trust of services provided, nearness to agents and privacy of information are more likely to drive MFS use. In addition to embarking on aggressive radio and television advertisement, service operators should deploy more agents and invest in reliable infrastructure to build users’ trust to increase MFS use. JEL Classification: D12, G20","PeriodicalId":44100,"journal":{"name":"Journal of Emerging Market Finance","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2018-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1177/0972652718798191","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43072699","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}
Pub Date : 2018-11-08DOI: 10.1177/0972652718798215
Thai‐Ha Le, Donghyun Park, C. Tran, B. Tran-Nam
This study examines the extent to which the Hai Yang Shi You 981 (HD-981) event, the sudden deployment of a Chinese oil rig in disputed territorial waters near Paracel Islands in May 2014, affected the stock market performance of 20 sectors of the Vietnamese economy. The impact was measured in terms of stock returns, using daily data on stock market indices. The results strongly indicate that the HD-981 event significantly and negatively affected the overall performance of Vietnam’s stock markets. There is, however, considerable variation across sectors. While most sectors which are heavily dependent on the economy of China were adversely affected, the impact on some sectors was negligible. By conducting this study on Vietnam’s stock markets, we hope to generate implications and lessons for other emerging markets in the region. JEL Classification: G1, G14, C58
{"title":"The Impact of the Hai Yang Shi You 981 Event on Vietnam’s Stock Markets","authors":"Thai‐Ha Le, Donghyun Park, C. Tran, B. Tran-Nam","doi":"10.1177/0972652718798215","DOIUrl":"https://doi.org/10.1177/0972652718798215","url":null,"abstract":"This study examines the extent to which the Hai Yang Shi You 981 (HD-981) event, the sudden deployment of a Chinese oil rig in disputed territorial waters near Paracel Islands in May 2014, affected the stock market performance of 20 sectors of the Vietnamese economy. The impact was measured in terms of stock returns, using daily data on stock market indices. The results strongly indicate that the HD-981 event significantly and negatively affected the overall performance of Vietnam’s stock markets. There is, however, considerable variation across sectors. While most sectors which are heavily dependent on the economy of China were adversely affected, the impact on some sectors was negligible. By conducting this study on Vietnam’s stock markets, we hope to generate implications and lessons for other emerging markets in the region. JEL Classification: G1, G14, C58","PeriodicalId":44100,"journal":{"name":"Journal of Emerging Market Finance","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2018-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1177/0972652718798215","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43667953","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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