Asia-Pacific Financial Markets最新文献

This study applied novel wavelet techniques to daily stock returns and COVID-19 case data from January 22, 2020, to March 31, 2022, for the five most COVID-affected countries (US, India, Brazil, France, and Turkey). We discovered that pandemic cases have a negative effect on stock returns across all nations. All countries except Turkey’s equity market returns and COVID-19 cases exhibit specific short-run and consistent long-run coherence. This study contributes to the existing literature about the financial implications of the pandemic. The current study empirically examine the positive/negative, long/short-run, and leading/lagging dependence of COVID-19 and financial equity markets of the top 5 COVID-19 affected countries. The current findings reveal particularized short-run and consistent long-run coherence among COVID-19 cases and equity market returns of all the sample countries except Turkey, and specified short-run and consistent long-run coherence of USA COVID-19 cases with Brazil, France, India, and Turkey stock markets returns, respectively. Furthermore, this study will augment the knowledge of the policy maker to ward off crises created by any future pandemic by their understanding of the stock market reaction to such unwarranted situations. This study will also guide the investment professional in making the right decision to mitigate risks arising from the pandemic.

This study examines the impact of subjective norm, attitude and perceived control behavior (financial literacy) on investors’ behavioral intention to invest in mutual funds based on the theory of planned behavior. We have applied Structural Equation Modelling - path analysis to examine the influence of financial literacy, subjective norms, and attitude on the behavioral investment intention of mutual fund investors. The study’s findings indicate that Investors’ choice to invest in a mutual fund is positively prejudiced by their subjective norms, attitude, and financial literacy. Subjective norms significantly influence investment decisions more than attitude and financial literacy. Age, gender, and level of education have no moderating effect on attitude, subjective norms, and financial literacy. The study is proved to be unique to the literature on behavioral finance. The study’s findings are eye-opening as the investment intentions in the mutual fund are influenced by subjective norms, indirectly signaling that investors lack awareness of mutual fund investment.

This paper analyzes the relationship between investors’ risk perception, heuristic biases (overconfidence, representativeness, availability bias, and anchoring bias), and the moderating role of sex and age. Since it is evident from the literature that investor risk perceptions affect investors rationally, the study explores the impact of risk perception on mental shortcuts or heuristic decision-making. The authors collected the data from 447 individual investors using a self-administered questionnaire to investigate the proposed phenomenon. After confirming the validity and reliability of the data obtained, we employed structural equation modeling to evaluate the relationship between risk perception and heuristic biases. We used process macro to scrutinize the moderating effect of sex and age in the mentioned constructs. The study demonstrates that risk perception affects three heuristic biases (i.e. anchoring, representativeness, and availability bias). Further, the outcome exhibits that the sex of a person moderates the relationship between risk perception and availability bias. The study could be helpful for individual investors, investment advisors, and policymakers. The investment advisor can gain insights into the different mental shortcuts their customers take to guide them appropriately. Governments and relevant policymakers can gain insights into the roadblocks to rational investment decisions to ensure the correct appraisal of the stock market. The present study fills the necessity to realize the effect of investors’ risk perception on decision-making heuristics and the moderating role of sex and age in the phenomenon.

The increased interconnection among financial markets and their susceptibility to economic and political fluctuations have spurred investors to seek out markets capable of offering hedging mechanisms for their diversified portfolios. This study aims to elucidate the intricate web of interdependence among various financial markets, namely oil Brent, global equity, green investment, Cryptocurrency, and Islamic markets, focusing on the analysis of tail dependence and lead-lag relationships within bullish and bearish contexts. Employing copula and wavelet techniques on data spanning from January 2014 to December 2022, the results indicate distinctive patterns of dependency and interaction among the examined financial markets. Notably, the observed dependency between specific markets does not extend uniformly across all markets, implying a bilateral influence that does not significantly impact the performance of unrelated markets. However, a noteworthy exception arises in the relationship between the Brent and crypto markets, where the influence may propagate to the green market during both bullish and bearish periods. Further analysis reveals that during bullish periods, the strongest dependence between Brent and green markets reaches 38%, contrasting with a 7% dependency during bearish periods. Additionally, a dependency of 25% is observed between global and green markets, consistent across both bullish and bearish conditions. Furthermore, the interaction between Brent and Crypto markets affects the green market by 5% during both bullish and bearish periods. These findings contribute to a deeper understanding of the dynamics within financial markets and offer valuable insights for investors seeking to manage risks and optimize their investment strategies.

The interactions among equity and commodity market prices and their volatility provide valuable information to market participants. This paper explores such dynamic interrelations in India, especially whether relationships have significantly changed with the onset of the COVID-19 pandemic and the Russia-Ukraine war of 2022. Based on a daily dataset from January 2017 to May 2022, VAR-MGARCH models and dynamic correlations are estimated with prices of gold, equity, and crude oil for spot and futures markets. Findings suggest that for gold, crude oil, and equity in spot and futures segments, there is evidence of significant persistence of volatility and spillover from past shocks. In general, volatility spillover is more pronounced in the spot than in the futures market. Evidence also indicates bi-directional spillovers between markets, but it is more prominent from the equity market to the crude oil and from crude oil to the gold market. However, the most notable finding of the study is that, like the period of the global financial crisis, the dynamic correlation between stock and crude oil markets has substantially increased during the COVID and war periods both in spot and futures markets. Also, during COVID, the property of gold acting as a hedge against stock has weakened.

Our study presents a method to dissect bond excess returns into components influenced by credit spreads and credit losses. Analyzing data spanning 48 years, we find that companies with higher accrual quality experience greater shocks from credit spreads and lesser shocks from credit losses. Conversely, firms with lower accrual quality face reduced credit spread shocks but heightened credit loss shocks. This indicates that high accrual quality firms benefit more from credit spread shocks, while those with lower accrual quality profit more from credit loss shocks. Notably, excluding credit spread shocks, future realized returns have a negative correlation with accrual quality. These accrual quality premiums are significant both statistically and economically, especially when credit spread shocks are not considered. Additionally, accrual quality has improved over the past 48 years due to enhanced accounting standards. Our findings reveal the importance of a reliable accrual quality metric and underscore the need to factor in credit spread shocks in asset pricing evaluations.

The present study aimed to investigate whether terrorism hampered foreign greenfield investment inflows in 14 MENA countries from 2011 to 2021. One-step system generalized method of moments, the instrumental variable of a two-stage least squares regression estimator, and instrumental variables of generalized method of moments were used in this study for more robustness. The findings showed a significant negative relationship existed between terrorism and foreign greenfield investment inflows. Meanwhile, a significant positive relationship exists between the interaction variable that captured the joint effect of terrorism and military expenditures on the foreign greenfield investment inflows. To increase the reliability of the results, the main model was extended with control variables; significant positive relationships between adjusted net national income per capita, the consumer price index, and the GDP growth rate and foreign greenfield investment inflows were identified. Meanwhile, significant negative relationships existed between military expenditure, trade openness, and foreign greenfield investment inflows. The findings showed that foreign investors were reluctant to invest in MENA countries affected by terrorism and reduced the amount of their investments. Furthermore, the results indicated that terrorism renders foreign investors attractive in host countries and negatively impacts foreign greenfield investment projects, trade openness, and military expenditure. To attract foreign investors, policymakers should focus on developing a stable macroeconomic environment and anti-terrorism measures to improve security, which will ensure sustainable economic growth.

Liquidity risk poses a distinctive and multifaceted challenge in the financial arena owing to its underlying multiple dimensions. The long-term 10-year bonds exhibit high trading activity, as evidenced by the trading frequency dimension, while the trading cost dimension and existing literature support the view that short-term bonds tend to be more liquid. In this study, the objective is to address this intricacy and explore the potential commonality across various liquidity dimensions. This is done by constructing an index of liquidity risk that stands independently from these dimensions. The liquidity risk index is formed by combining the major dimensions of liquidity: price impact, trading cost, and trading frequency, resulting in a single measure of liquidity risk. Using the first principal component extraction method, the illiquidity index is studied in a sample of six emerging Asian countries. The findings indicate that the principal component (PCA) index effectively measures aggregate liquidity risk. On the pricing dynamics, it is seen that that the PCA index is significantly affecting the yield spread of bonds with a maturity of 1-year and greater. For the 3-month and 6-month bonds, the illiquidity index fails to produce any significant impact. The study thus highlights that long and medium-term investors in bonds are more concerned with liquidity risk compared to short-term investors.

This study investigates the spillover effects between oil and stock prices from 2000 to 2022, utilizing the multivariate EGARCH model. The database includes three periods—the entire sample, the pre-pandemic era, and COVID-19. The analysis unveils insights into the dynamics of spillover effects. Findings reveal an asymmetry in spillover effects, with a prevailing negative impact trend from oil to stocks, notably affecting the Thai index negatively while positively impacting the Indonesian market. Considering the entire time frame, results address the dynamic spillover effects of oil on eight stock indices across 11 countries under analysis. Meanwhile, in the absence of a pandemic, there are only mutual relationships between oil and stock markets in five stock markets. During COVID-19, we witnessed an intensified spillover effect from oil prices to stocks, with only the Vietnamese stock market remaining unaffected. Notably, the overall spillover level peaked at 55% in 2018, decreasing to over 45% during the COVID-19 pandemic, indicating a close relationship between oil and stocks. Additional results confirm the stationarity of return data series and support the application of the multivariate EGARCH model, enhancing the study’s robustness and contributing to understanding the intricate dynamics of financial markets.