Asia-Pacific Financial Markets最新文献

We analyse the asymmetric impact of oil prices on the stock markets of the BRICS nations. Employing the Nonlinear Autoregressive Distributed Lag (NARDL) model, we examine the weekly data spanning from October 29, 2010, to May 28, 2021 for West Texas Intermediate (WTI) spot prices in USD per barrel, alongside stock price data from official stock market indices websites. The findings reveal a substantial long-run association of oil prices with stock markets of BRICS nations except South Africa with significant asymmetry observed in both short and long-term impacts. Specifically, fluctuations in oil prices exhibit divergent effects on stock markets within these nations necessitating nuanced policy responses. Investors and portfolio managers are encouraged to adopt nonlinear models for forecasting and portfolio management leveraging asymmetric effects for risk mitigation strategies. These suggestions underscore the importance of recognizing the nonlinear and asymmetric nature of oil price dynamics in shaping investment decisions and formulating effective policy measures to mitigate associated risks in BRICS stock markets.

This study analyzes the impact of the reset clause in convertible bonds on firms. Specifically, it investigates whether the reset feature helps alleviate capital constraints, whether this effect varies based on the controlling shareholders’ ownership stake, and how the reset feature influences the long-term performance of firms. The analysis is based on convertible bond issuances by firms listed on the Korean Stock Exchange and KOSDAQ between 2000 and 2020. The results are as follows. First, firms without the reset feature at the time of convertible bond issuance experience a higher level of capital constraint alleviation. Second, the effect of this capital constraint alleviation is not affected by the ownership stake of the controlling shareholders. Finally, the reset feature negatively impacts the long-term performance of firms. The study suggests that small and medium-sized enterprises with high growth potential might benefit from avoiding the use of the reset clause when issuing convertible bonds. This study contributes to the literature by offering the first robust empirical analysis of the reset clause, providing valuable insights into its impact and implications. These findings are expected to inform and enhance policy discussions surrounding the use of reset clauses in convertible bonds.

Green bonds are financial instruments that raise funds for financing green projects. They facilitate sustainable investing with the goal to mitigate environmental damage. The presents study understands the factors that impact the perception of retail investor towards investing in green bonds. Also, it studies: is there any significant relationship between perceptions of retail investors towards investment in GBs and sustainability?” Furthermore, we conducted a mediation analysis to assess the role of "perception towards green bond investment" in advancing sustainability objectives. Exploratory factor analysis has been used to understand the important factors. Also, the study uses the PLS-SEM for testing the path analysis while performing structural model testing. The results show that social factors are the most significant factors followed by personal factors. Environmental factors comes next with financial gains as the fourth important factor that impact the perception of green bond investors in India. Risk associated with investment is given the least priority. The study will helps the fund managers, brokers, companies and policymakers to understand the perceptions of retail investors towards GBs. It will provide insight to the policymakers to incorporate the policy changes regarding the issue of green bonds in the country.

As economies worldwide endeavour to achieve Sustainable Development Goals (SDG) by 2030, the urge to shift toward renewable energy and achieve energy usage effectiveness has grown more vital. This transition highlights the need to comprehend financial mechanisms and governance aspects that can foster the productivity of renewable energy sources. In this light, this study evaluates the dynamics between domestic bank credit and foreign direct investment inflows, effective governance, world uncertainty, and their aggregate influence on renewable energy productivity in developing Asia, providing a novel outlook on environment-friendly energy. In this context, we analyse the prospects of domestic bank credit and foreign direct investment inflows to serve reliable and affordable sustainable energy for all (i.e. SDG7). Additionally, we have incorporated labour force participation, capital formation, and non-renewable energy consumption as control variables, recognizing their role in renewable energy productivity function. We have employed two-steps dynamic Generalized Method of Moments (GMMs) and Panel-corrected Standard Errors (PCSEs) estimation techniques for the panel set of 23 developing Asian economies from 1996 to 2020. The findings discern domestic bank credit as a crucial promoter of renewable energy productivity, spotlighting the nuanced role of foreign direct investment inflows and the unfavourable impact of world uncertainty. Effective governance is asserted as a stimulus of renewable energy productivity, accentuating the indispensable need for consistent, clear, rigorous environmental policies. Furthermore, the analysis shows that the labour force, capital formation, and non-renewable energy enhance renewable energy productivity. This brief examination intensely analyses renewable energy, prioritising the importance of bolstering renewable energy productivity for attaining sustainable development goals and requiring policymakers in developing Asia to inquire further.

This study examines the viability of Bitcoin as legal tender with particular emphasis on the experience of El Salvador. In particular, we examine the challenges, benefits, and costs, of using Bitcoin as legal tender in a country. Our analysis underscores the significant costs of using Bitcoin to process routine transactions. These costs, both temporal and financial, form a considerable barrier to Bitcoin’s widespread adoption and use as legal tender. Given the uncertain impacts that the successful adoption of Bitcoin may cause, we suggest that there is little reason for policymakers to actively drive Bitcoin adoption.

This paper studies the hedging of derivatives whose pricing formulas are periodically recalibrated in the presence of model risk. We assume that the price and implied parameter processes are observed in the market but the true model of these processes is unknown. Given multiple candidates for the true model, we define a model set of candidates for the true model. We study the minimum hedging error and an optimal strategy under the worst situation and show the procedure for their calculation. Furthermore some numerical examples are provided to illustrate the impact of model risk on the optimal hedging.

The paper examines the extent of connectivity and shock transmission among twenty international public REITs using both static and dynamic econometric measures. The result shows that the dominant status of the United States REIT market as a primary source of shock to the international REIT market is in contest, mostly with the Belgian, Russian, and French REITs. Our results also indicate that Belgium, Germany, and France are the leading sources of shock in the European Union REIT market. Singapore dominates the ASEAN Economic Community REITs; the United States leads the North American Free Trade Agreement REITs while Russia and the United States compete as leaders in the Asia–Pacific Economic Cooperation REIT market. Results from the dynamic spillover demonstrate that return and the volatility spillover are vulnerable to key global news—positive or negative—with the COVID-19 pandemic having a substantial influence on international REITs than oil price shocks and geopolitical news. We further find out that altogether, the 20 international REITs are highly connected, and their level of linkages increases in periods of heightened global market uncertainties. However, the connectedness levels of the markets reduce among the economic blocs, suggesting that market integration, in the perspective of REITs, is not well-achieved under established economic groupings. We believe these findings are significant for the recalibration of the international REIT market as it resets itself from the uncertainties ushered in by the insurgency of the COVID-19 pandemic. The findings also have relevant implications for the investor community.

The results of the study indicate a positive correlation between the level of distraction of institutional investors and the expropriation behavior of major shareholders. Furthermore, when independent institutional investors with stronger monitoring motives become distracted, they significantly increase the incentive for major shareholders’ expropriation. Companies with stronger external monitoring exhibit a more pronounced effect of increased expropriation by major shareholders when institutional investors are distracted. Finally, the study finds that the internal capital market makes state-owned enterprises more susceptible to major shareholders’ expropriation when institutional investors are distracted compared to private enterprises. In summary, this paper broadens the research on the influence of the “tunneling” motivation of major shareholders, verifies the impact of institutional investors’ limited attention on the capital market, and explores the external governance role of institutional investors.

Research in corporate finance suffers from bounded rationality due to static modeling. Adopting factor analysis, an unsupervised machine learning approach, and balance sheet information (accounts) over time, we find underlying dynamic latent corporate finance decisions. Our study identifies three latent corporate finance decisions adopted by executives in Pakistan, (1) long-term capital investment, (2) short-term debt credit, and (3) financial flexibility. The order of the decisions and the empirical tests highlight agency problems rooted in familial ownership concentration. We find that long-term capital investment and short-term debt credit decisions significantly reduce the firms’ present and future performance. Conversely, managers do not embrace financial flexibility, despite its ability to improve performance. The study highlights a contradiction, firms bounded by ownership concentration prefer control over performance and do not make decisions to optimize and protect minority shareholders’ wealth, depicting a moral hazard problem.