Pub Date : 2023-12-12DOI: 10.1142/s0219091523770015
Cheng-Few Lee
{"title":"Tribute to James R. Barth (1943–2023)","authors":"Cheng-Few Lee","doi":"10.1142/s0219091523770015","DOIUrl":"https://doi.org/10.1142/s0219091523770015","url":null,"abstract":"","PeriodicalId":45653,"journal":{"name":"Review of Pacific Basin Financial Markets and Policies","volume":"46 21","pages":""},"PeriodicalIF":0.9,"publicationDate":"2023-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139007034","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 : 2023-11-07DOI: 10.1142/s0219091523500285
Jack Clark Francis
A Central Bank Digital Currency (CBDC) is a country’s fiat currency that exists in a digital form. This digital currency becomes a liability on the balance sheet of a nation’s central bank when it ceases to be a liability on the balance sheet of one of the nation’s commercial banks and gets transferred to the central bank. Instead of printing paper money, the central bank can create CBDCs by opening electronic bank accounts at commercial banks that are backed by the full faith and credit of the nation’s central bank. The goal of a CBDC is to provide the nation’s government, businesses and consumers with a liquid and accessible currency that supplies privacy, transferability, convenience, and financial security. If CBDCs become highly popular, someday the world might operate with only one global CBDC.
{"title":"About Central Bank Digital Currencies (CBDCs)","authors":"Jack Clark Francis","doi":"10.1142/s0219091523500285","DOIUrl":"https://doi.org/10.1142/s0219091523500285","url":null,"abstract":"A Central Bank Digital Currency (CBDC) is a country’s fiat currency that exists in a digital form. This digital currency becomes a liability on the balance sheet of a nation’s central bank when it ceases to be a liability on the balance sheet of one of the nation’s commercial banks and gets transferred to the central bank. Instead of printing paper money, the central bank can create CBDCs by opening electronic bank accounts at commercial banks that are backed by the full faith and credit of the nation’s central bank. The goal of a CBDC is to provide the nation’s government, businesses and consumers with a liquid and accessible currency that supplies privacy, transferability, convenience, and financial security. If CBDCs become highly popular, someday the world might operate with only one global CBDC.","PeriodicalId":45653,"journal":{"name":"Review of Pacific Basin Financial Markets and Policies","volume":"20 2","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135431839","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 : 2023-11-07DOI: 10.1142/s0219091523500236
Naliniprava Tripathy, Pradiptarathi Panda
This study examines the nonlinear dependence and tail dependence of BRICS countries’ stock markets and the contagion effect among Brazil, Russia, India, China, and South Africa (BRICS) countries’ daily stock markets using the COPULA model from January 2000 to February 2019. The study employs the DCC-MGARCH model and Diebold and Yilmaz volatility spillover model to assess the interdependence dynamics across BRICS countries’ stock markets. The copula results suggest that the BRICS country’s stock markets are independent of each other. The conditional correlation between BRICS is negative and statistically significant, suggesting that the negative relationship among BRICS is an important signal for international investors to diversify among these countries and get the economic value of their investment. Further, Brazil, China, and South Africa are the net volatility transmitter, at the same time India and Russia are the net volatility receiver during the study period. The study proposes that policymaker of BRICS needs to interchange views and mutually map policies to appeal to global investment more.
{"title":"Analyzing Spillover effects among BRICS Stock Markets: Application of Copula and DCC- MGARCH model","authors":"Naliniprava Tripathy, Pradiptarathi Panda","doi":"10.1142/s0219091523500236","DOIUrl":"https://doi.org/10.1142/s0219091523500236","url":null,"abstract":"This study examines the nonlinear dependence and tail dependence of BRICS countries’ stock markets and the contagion effect among Brazil, Russia, India, China, and South Africa (BRICS) countries’ daily stock markets using the COPULA model from January 2000 to February 2019. The study employs the DCC-MGARCH model and Diebold and Yilmaz volatility spillover model to assess the interdependence dynamics across BRICS countries’ stock markets. The copula results suggest that the BRICS country’s stock markets are independent of each other. The conditional correlation between BRICS is negative and statistically significant, suggesting that the negative relationship among BRICS is an important signal for international investors to diversify among these countries and get the economic value of their investment. Further, Brazil, China, and South Africa are the net volatility transmitter, at the same time India and Russia are the net volatility receiver during the study period. The study proposes that policymaker of BRICS needs to interchange views and mutually map policies to appeal to global investment more.","PeriodicalId":45653,"journal":{"name":"Review of Pacific Basin Financial Markets and Policies","volume":"26 4","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135432007","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 : 2023-11-03DOI: 10.1142/s021909152350025x
Praveena Musunuru, Mohammad Shameem Jawed
This paper examines the relationship between ex-ante stock liquidity and abnormal returns during various phases of COVID-19 led market uncertainties in India. We find that the volume-based liquidity supports stock more significantly during the crisis than in periods of calm. However, contrary to existing empirical evidence, price-based liquidity penalizes stocks during a crisis. Moreover, during periods of calm and recovery, the inverse relationship of liquidity-abnormal return reverses. Further analysis shows that this change of price-based liquidity to abnormal return relationship is more prominent in firms with higher ex-ante liquidity. In contrast, highly illiquid firms appear immune.
{"title":"COVID-19, Stock Liquidity, and Abnormal Returns","authors":"Praveena Musunuru, Mohammad Shameem Jawed","doi":"10.1142/s021909152350025x","DOIUrl":"https://doi.org/10.1142/s021909152350025x","url":null,"abstract":"This paper examines the relationship between ex-ante stock liquidity and abnormal returns during various phases of COVID-19 led market uncertainties in India. We find that the volume-based liquidity supports stock more significantly during the crisis than in periods of calm. However, contrary to existing empirical evidence, price-based liquidity penalizes stocks during a crisis. Moreover, during periods of calm and recovery, the inverse relationship of liquidity-abnormal return reverses. Further analysis shows that this change of price-based liquidity to abnormal return relationship is more prominent in firms with higher ex-ante liquidity. In contrast, highly illiquid firms appear immune.","PeriodicalId":45653,"journal":{"name":"Review of Pacific Basin Financial Markets and Policies","volume":"180 s460","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135775581","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 : 2023-11-02DOI: 10.1142/s0219091523500248
Qiongqiong Zhang, Jianing Zhang
This paper examines a sample of 167 publicly listed enterprises covered by eight regional pilot emissions trading markets in China from 2013 to 2023. Our empirical findings indicate that the carbon price returns negatively affect the stock returns of enterprises covered by the regional markets, with the Shenzhen and Guangdong regions suffering a more pronounced effect. Furthermore, high-carbon-intensity enterprises are more susceptible to this negative impact than their low-carbon-intensity counterparts. The robustness of the negative relationship is evident even after the national emissions trading market opened on July 16, 2021. This study provides insightful guidance for policymakers to regulate emissions trading markets.
{"title":"Carbon Pricing and Stock Performance: Evidence from China's Emissions Trading Scheme Pilot Regions","authors":"Qiongqiong Zhang, Jianing Zhang","doi":"10.1142/s0219091523500248","DOIUrl":"https://doi.org/10.1142/s0219091523500248","url":null,"abstract":"This paper examines a sample of 167 publicly listed enterprises covered by eight regional pilot emissions trading markets in China from 2013 to 2023. Our empirical findings indicate that the carbon price returns negatively affect the stock returns of enterprises covered by the regional markets, with the Shenzhen and Guangdong regions suffering a more pronounced effect. Furthermore, high-carbon-intensity enterprises are more susceptible to this negative impact than their low-carbon-intensity counterparts. The robustness of the negative relationship is evident even after the national emissions trading market opened on July 16, 2021. This study provides insightful guidance for policymakers to regulate emissions trading markets.","PeriodicalId":45653,"journal":{"name":"Review of Pacific Basin Financial Markets and Policies","volume":"63 10","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135874449","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 : 2023-10-13DOI: 10.1142/s0219091523500297
Thomas C. Chiang
{"title":"Searching for assets to hedge against inflation in the U.S. market","authors":"Thomas C. Chiang","doi":"10.1142/s0219091523500297","DOIUrl":"https://doi.org/10.1142/s0219091523500297","url":null,"abstract":"","PeriodicalId":45653,"journal":{"name":"Review of Pacific Basin Financial Markets and Policies","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135918188","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 : 2023-10-04DOI: 10.1142/s0219091524500012
Yan Alice Xie, Dan Han, Howard Qi
Using the structural approach to derive tax-adjusted duration for defaultable bonds under stochastic interest rate process, we thoroughly investigate the effects of personal taxes, default risk, and their interaction on bond duration. The simulation results show that default risk reduces duration, while personal taxes increase duration. Premium amortization and discount accretion further enhance the positive impact of personal taxes on duration. The interactive effect of default risk and personal taxes on duration depends on which effect dominates. Also, the tax effect on duration changes with bond features, bond issuers’ debt policy, and interest rate level. Our empirical results validate the positive tax effect on duration by showing that duration of corporate bonds is significantly longer than that of municipal counterparts with the same credit rating, coupon rate, and maturity. Our study provides timely information on how to accurately measure interest rate risk under the current circumstance that interest rate is increasing substantially from the low level and personal taxes are expected to increase.
{"title":"The Effects of Personal Taxes and Default Risk on Bond Duration","authors":"Yan Alice Xie, Dan Han, Howard Qi","doi":"10.1142/s0219091524500012","DOIUrl":"https://doi.org/10.1142/s0219091524500012","url":null,"abstract":"Using the structural approach to derive tax-adjusted duration for defaultable bonds under stochastic interest rate process, we thoroughly investigate the effects of personal taxes, default risk, and their interaction on bond duration. The simulation results show that default risk reduces duration, while personal taxes increase duration. Premium amortization and discount accretion further enhance the positive impact of personal taxes on duration. The interactive effect of default risk and personal taxes on duration depends on which effect dominates. Also, the tax effect on duration changes with bond features, bond issuers’ debt policy, and interest rate level. Our empirical results validate the positive tax effect on duration by showing that duration of corporate bonds is significantly longer than that of municipal counterparts with the same credit rating, coupon rate, and maturity. Our study provides timely information on how to accurately measure interest rate risk under the current circumstance that interest rate is increasing substantially from the low level and personal taxes are expected to increase.","PeriodicalId":45653,"journal":{"name":"Review of Pacific Basin Financial Markets and Policies","volume":"163 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135547278","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 : 2023-09-29DOI: 10.1142/s0219091523500273
Prabhas Kumar Rath
{"title":"Pattern, Source, Destination of Volatilities in Financial Market and Policy Lessons","authors":"Prabhas Kumar Rath","doi":"10.1142/s0219091523500273","DOIUrl":"https://doi.org/10.1142/s0219091523500273","url":null,"abstract":"","PeriodicalId":45653,"journal":{"name":"Review of Pacific Basin Financial Markets and Policies","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135247634","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 : 2023-09-22DOI: 10.1142/s0219091523500261
Rasha Abdulkarim, Rajesh Mohnot, Abdulkarim Dahan
{"title":"Short- and Long-run Effects of Forex Volatility on International Trade - A Case of Middle Eastern Country","authors":"Rasha Abdulkarim, Rajesh Mohnot, Abdulkarim Dahan","doi":"10.1142/s0219091523500261","DOIUrl":"https://doi.org/10.1142/s0219091523500261","url":null,"abstract":"","PeriodicalId":45653,"journal":{"name":"Review of Pacific Basin Financial Markets and Policies","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136099238","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 : 2023-08-22DOI: 10.1142/s0219091524710012
Cheng-Few Lee, Alex YiHou Huang
Review of Pacific Basin Financial Markets and PoliciesOnline Ready No AccessRecap of the 31st Annual Conference on Pacific Basin Finance, Economics, Accounting, and ManagementCheng-Few Lee and Alex YiHou HuangCheng-Few LeeRutgers University, New Brunswick, NJ, USACorresponding author. and Alex YiHou HuangNational Yang Ming Chiao Tung University, R.O.C. Taiwanhttps://doi.org/10.1142/S0219091524710012Cited by:0 AboutSectionsPDF/EPUB ToolsAdd to favoritesDownload CitationsTrack CitationsRecommend to Library ShareShare onFacebookTwitterLinked InRedditEmail FiguresReferencesRelatedDetails Recommended Online Ready Metrics History Published: 22 August 2023 PDF download
第31届太平洋流域金融、经济、会计与管理学术年会纪要，李成- few Lee，黄一厚cheng - few leutgers University, New Brunswick, NJ，美国和黄奕厚国家杨明交通大学，中华民国台湾https://doi.org/10.1142/S0219091524710012Cited by:0 AboutSectionsPDF/EPUB ToolsAdd to favoritesDownload CitationsTrack citationsrecommended to Library ShareShare onFacebookTwitterLinked InRedditEmail FiguresReferencesRelatedDetails推荐在线Ready Metrics历史发布:2023年8月22日PDF下载
{"title":"Recap of the 31st Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management","authors":"Cheng-Few Lee, Alex YiHou Huang","doi":"10.1142/s0219091524710012","DOIUrl":"https://doi.org/10.1142/s0219091524710012","url":null,"abstract":"Review of Pacific Basin Financial Markets and PoliciesOnline Ready No AccessRecap of the 31st Annual Conference on Pacific Basin Finance, Economics, Accounting, and ManagementCheng-Few Lee and Alex YiHou HuangCheng-Few LeeRutgers University, New Brunswick, NJ, USACorresponding author. and Alex YiHou HuangNational Yang Ming Chiao Tung University, R.O.C. Taiwanhttps://doi.org/10.1142/S0219091524710012Cited by:0 AboutSectionsPDF/EPUB ToolsAdd to favoritesDownload CitationsTrack CitationsRecommend to Library ShareShare onFacebookTwitterLinked InRedditEmail FiguresReferencesRelatedDetails Recommended Online Ready Metrics History Published: 22 August 2023 PDF download","PeriodicalId":45653,"journal":{"name":"Review of Pacific Basin Financial Markets and Policies","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135620746","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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