Asia-Pacific Financial Markets最新文献

This paper examines the role of firm-level multinationality in equity portfolio diversification for Japanese firms from 1998 to 2015. We use a unique multinationality dataset for constituents of the Nikkei 225 based on two measures of sales and subsidiaries. We employ an extended version of the traditional Capital Asset Pricing Model (CAPM) to analyse the exposure of firm returns to various geographical regions. There is evidence that firms are not influenced by the geographic regions where they report operations. The results also indicate that there are benefits from investing in Japanese multinationals but these benefits do not increase with increasing multinationality. A new category of firms is identified that may be beneficial to investors—firms that are influenced by a geographical region where they do not report sales or subsidiaries. This finding has far reaching implications for portfolio management. Investors must do more than analyse the international location of firm operations. They must analyse the geographical influences on firm returns. Existing studies fail to distinguish between these two criteria, assuming them to be the same. We find evidence to the contrary.

This study explores the impact of policy uncertainty, geopolitical risk, and sustainable disclosure (ESG) on corporate performance for the period 2014–21 across 23 countries. Using the System GMM technique, it uncovers a negative link between policy uncertainty, geopolitical risk, and corporate performance. Sustainable disclosure mitigates the influence of economic uncertainty and geopolitical risk on firm performance. The results are robust across the various other econometric methods (i.e. fixed effect, random effect and feasible generalized least squares) and alternative proxy used for sustainability disclosure. These findings have implications for policymakers and managers, highlighting the importance of aligning policies with sustainable disclosure practices. This study contributes to the literature by examining these factors on a cross-country scale, potentially among the first of its kind.

This paper examines the impact of economic freedom on the financial fragility of 1,496 non-financial SMEs in Vietnam over the period 2012–2020. We also evaluate the effect of ownership structure on the relationship between economic freedom and financial fragility. Our findings provide evidence that an increase in the degree of aggregated economic freedom and its categories – rule of law, regulatory efficiency, and market openness – help firms reduce the level of financial fragility. However, an increased government size tends to worsen their financial risk. Regarding the impact of ownership, our results reveal that greater rule of law, regulatory efficiency, and market openness have a positive influence on foreign-owned firms, enabling them to maintain lower levels of financial fragility compared to non-foreign-owned firms. However, foreign-owned firms experience a higher level of financial fragility relative to domestically private-owned firms due to increased government size. Furthermore, our analysis indicates that there is no difference in the effect of economic freedom on financial fragility between state-owned and non-state-owned firms in Vietnam. This finding has implications for recognizing the importance of foreign ownership and economic freedom in emerging markets. It also encourages foreign shareholders to design appropriate policies to mitigate financial risk.

The present study aims to identify the non-linear relationship of bullish and bearish investor sentiment with conditional volatility. It is conducted in emerging equity markets of Brazil, India, Pakistan, Russia, Indonesia, South Africa, and China. The data regarding share prices, shares outstanding, and trading volume is collected from the representative indices for a period from 2001 to 2020. Investor Sentiment Index is constructed using Principal Component Analysis and decomposed into bullish and bearish investor sentiment. The GARCH model is applied to generate conditional volatility and the Non-linear Auto Regressive Moving Average model is applied to analyze the asymmetric relationship between conditional volatility and investor sentiment at the country level. The Panel GARCH model is applied to generate conditional volatility for panel data, and the Non-linear Dynamic Auto Regressive Moving Average model is applied to investigate the nonlinear relation of investor sentiment with volatility. Bullish and bearish investor sentiments show a significant effect in generating conditional volatility in the markets in both linear as well as nonlinear settings.

This study aims to investigate the oil price asymmetric effect on stock return of renewable energy companies. We apply panel Non-linear Autoregressive Distributed Lag to examine the effect of positive and negative changes in the oil price. The monthly data of all renewable energy companies listed in the National Stock Exchange of India are considered for the analysis. We find the oil price asymmetric effect only on stock returns of the standalone renewable products and services companies in the long run. This asymmetric effect is not found in the whole sample and other sub-groups of renewable energy companies. The findings would be useful to investors, portfolio managers, corporate managers and policymakers.

This study investigates how board and audit committee characteristics, alongside sustainable policies, influence corporate social responsibility (CSR) performance (Total ESG Score). We also evaluate their individual effects on environmental, social, and governance ratings. Our research focuses on non-financial firms in India’s Nifty 500 index. We employ panel data analysis, utilising information sourced from annual reports and Bloomberg. The research outcomes state that, CSR performance is positively impacted by board size as well as the implementation of social and environmental policies. Larger and more independent audit committees, on the contrary, appear to have a negative impact on CSR outcomes. Surprisingly, CSR success did not significantly correlate with either gender’s diversity or independence of the board.

This paper examines whether innovation ability improves corporate performance of financially distressed firms. I begin by providing direct evidence that innovative firms in financial distress have significantly better future operating performance. To identify the causal effect, I study an exogenous shock—State Street Bank and Trust Company v. Signature Financial Group, Inc.—and find that an increase in innovation ability causes an improvement in future performance of distressed firms. Financial markets tend to pay more attention to innovative distressed firms, but these firms do not earn abnormal equity returns than their counterparts. I document that average investors hold pessimistic perspectives on distressed firms with innovation ability. In contrast, institutional investors have contrarian beliefs on distressed firms with innovation ability and hold more shares in these firms.

This study assesses the effects of real exchange rate and remittance inflows on India's total service exports, comprising traditional and modern service exports, spanning the annual data from 1990 to 2020. The control variables for the service export function include developments in the banking sector and the stock market and net inflows of foreign direct investment. The ARDL model is the estimating technique of the present study. The real exchange rate has an adverse effect on total, traditional, and modern service exports, according to the long-run outcomes of the ARDL model. Remittance inflows are interestingly shown to support modern service exports while impeding total and traditional service exports. The growth of the banking sector is beneficial for traditional and total service exports, but it has a negative impact on modern service exports. All service exports are benefited by stock market development; however, net FDI inflows negatively impact all forms of service exports. Based on these results, the policymakers in India are advised to maximize the effective utilization of remittance inflows in traditional service exports. Additionally, proactive intervention by the central bank is recommended to mitigate the adverse effects of the real exchange rate on traditional and modern service exports. This study also provides valuable insights for the policymakers and practitioners seeking to enhance India's service export performance while navigating the complexities of real exchange rates, remittance inflows, and financial factors.

This paper examines the spillover of green bond with metal market and bullion market using the daily observation from 16/06/2014 to 25/02/2022. The S&P Green Bond (GBD) is used to measure the Green bond while Copper (CPR) and Aluminium (ALM) are used to represent the metal market; the bullion market is measured by Silver (SLV) and Gold (GLD). The result reveals that there is spillover from Green bond to Aluminium, Silver and Gold both in the short run and long while the spillover of Green bond with Copper is only spotted in long run. It furnishes diversification opportunities considering Green bond and Copper in short run due to its absence of spillover. This study offers an implication to various stakeholder of the metal and bullion market.

We employ the "Two Sessions," comprising the National People’s Congress and the Chinese People’s Political Consultative Conference, as a proxy for measuring policy uncertainty. In our analysis, we utilize a regression model, the three-path mediated effect framework, and the Campbell and Shiller decomposition method to delve into the influence of policy uncertainty on asset pricing within China’s financial market. Our findings reveal an increase in stock returns during the months leading up to the "Two Sessions," evident at both the market and firm levels. Notably, the extent to which stock returns respond to policy uncertainty is contingent on various firm-specific characteristics, including ownership structure, company size, and profitability. Furthermore, our investigation confirms that investor sentiment serves as a complete mediator in the relationship between policy uncertainty and its impact on asset prices. Additionally, we identify future cash flow as the primary conduit through which policy uncertainty directly exerts its influence on asset prices.