Asia-Pacific Financial Markets最新文献

This study investigates the impacts of industry competition and market share on the long-run performance of firms conducting seasoned equity offerings (SEOs). These two factors are related to the “market dominance” and “expense preference” hypotheses, which suggest that dominant (low-competitive and high-market-share) firms would perform well after SEOs if they can bring their market advantages into full play and poorly if managers intend to hold more funds to expend, respectively. The results show that dominant SEO firms tend to outperform their matching firms and challenging (high-competitive and low-market-share) firms, supporting the market dominance hypothesis. This finding implies that firms with advantages in the product market can increase their competence via SEOs due to their ample resources. We contribute to the literature by showing that business risk can affect the performance following financing activities, a result that can help long-run investors select more promising SEO stocks.

The main economic challenge is rising aggregate demand, which leaves the economy short on resources and leads to expanding fiscal and external account deficits. The current study uses autoregressive distributed lag (ARDL) model to evaluate the twin deficit hypothesis in the context of Pakistan in an effort to find an answer to this question. The study uses augmented ARDL, popularized by McNown et al. (Appl Econ 50:1509–1521, 2018) and Sam et al. (Econ Model 80:130–141, 2019), to address the degenerate problems that might arise while applying the ARDL approach. Two separate models were estimated, one with the current account balance as the dependent variable and the other with the balance of trade. In the long run, both models confirm the conventional interpretation of twin deficit hypothesis in Pakistan, with the causality running only from the fiscal deficit to the balance of trade. Other control variables in both models are crucial in understanding the current account balance and balance of trade. According to models, an increase in the exchange rate, as measured by the log of the nominal effective exchange rate, improves both current account and trade balance, verifying the elasticity approach in the long run. The openness of the economy is found to worsen current account balance, and the result is statistically significant. Contrarily, openness has been improved trade balance, but the result is statistically insignificant. To control a large and persistent external deficit, the government has to reduce its fiscal deficit, and such a strategy would be successful when monetary policy is accommodative.

While the link between financial market movement and economic policy uncertainty indices is well-established in literature, uncertainty in the form of ‘foreboding’ emanating from catastrophic events has not been explored in literature. This paper explores “foreboding”, which reflects uncertainty at its extreme, following the Covid-19 pandemic. Using Natural Language Processing on minute-by-minute news data, I construct two Foreboding Indices, representing ‘foreboding’ or ‘fearful apprehension’, for 28,622 Covid-related news for the period July 2020–August 2021. The impact of foreboding on financial market volatility is explored using a logistic regression model. Both the indices show a marked increase in June–July, 2020, in January 2021, April, 2021, and July–August, 2021 and have a positive impact on volatility for hourly S&P 500 Index. Understanding of foreboding sentiment is crucial for central banks looking to monitor financial market volatility. Appropriate signaling in accordance to sentiment can help central banks handle detrimental impacts of market volatility. Moreover, FI can be used for market practitioners to gauge the sentiment and take effective trading decisions.

Regardless of the asset class, applying multi-period dynamic portfolio optimization to real investment activity is challenging due to theoretical and structural complexities. In terms of a bond portfolio based on a stochastic interest rate model, some literature exists that focuses on theoretical aspects of multi-period dynamic bond portfolio optimization, such as deriving analytical solutions for optimal portfolios, to be sure, but no empirical studies analyzed the actual bond market. Additionally, a methodology that considers realistic investment constraints has not been developed thus far. In this paper, we propose a new framework for multi-period dynamic bond portfolio optimization. As bond return can be approximated by a linear combination of factors that constitute a stochastic interest rate model, we apply linear rebalancing rules that consider transaction costs, in addition to self-financing and short sales constraints. Then, as an empirical analysis, we conduct an investment backtest by analyzing discount bonds estimated from Japanese interest-bearing government bonds. The results indicate that multi-period optimization represents a relatively high performance compared to single-period optimization. Further, the performance improves as the investment horizon and investment utilization period are extended up to a certain point.

This paper develops a Structural Satellite version of the Financial-Macroeconometric Model of India (SSFMMI) to examine whether the surge in Nonperforming Assets (NPAs) in Indian Public Sector Banks (PSUs) post-2015 is due to macroeconomic shocks or better classification of loans and cleaning of bank balance sheets. Specifically, the paper analyses the impact of a rainfall shock, domestic food price shock, world oil price shock, fiscal shock, and monetary shock using counterfactual policy simulations and an out-of-sample forecasting framework to validate the impact of these macroeconomic shocks on NPA levels. The paper's outcomes suggest that the late surges in NPAs are not due to macroeconomic shocks and, therefore, that Indian banks are resilient to such shocks. However, the study reveals that the rise in domestic fuel prices and world food prices can cause a surge in NPAs levels.

Indian securities markets have undergone significant transformations in the recent past. The paper discusses and documents initiatives taken by the market regulator to expand and deepen the securities markets, including encouraging innovations in financial instruments, improving market efficiency by appropriate and timely regulatory interventions, expanding issuers’ base and investors’ participation for inclusive growth, ensuring regulatory compliance for fair play of market forces. The study helps investors, intermediaries, and regulators outside India to gain insights into recent developments and opportunities they offer to make the Indian securities market their preferred investment destination. The study concludes with the papers’ key findings on “Investor interest and innovative instruments” in the special issue.

The paper has emphasized on the downside potential of the stock market faced by G-7 countries in the times of COVID-19 relative to other economic crises. The results of VaR models, ES, and correlation suggests that most of the nations in G-7 group experienced highest risk during COVID-19 relative to other regimes and also increased inter-linkage of different markets within the group is visible during this period. The work can definitely be a reference to the investors for taking investment decisions as well as the governments and regulators for framing policies to keep the market stable by clinging to the policies of those markets which has managed to stay stable even at turbulent times. Moreover, the group as a whole can also rethink of policy measures together to beat the crisis.

This study measures the relationships between macroeconomic variables and stock returns for BRICS countries. The study uses monthly data of select macroeconomic variables collected from February 1997 to December 2019. In addition to the traditional macroeconomic variables, the study used the new age macroeconomic variables like- economic policy uncertainty index, Crude oil volatility index, Global financial stress index, and SENTIX global index. Using Panel VAR and Granger causality, the study finds that market returns positively influence exchange rates. In contrast, the market tends to react negatively to changes in consumer price inflation and foreign portfolio investment. However, the equity market is susceptible to the economic growth (IIP) of BRICS economies. These macroeconomic indicators exhibit significant influence on the stock markets.

The main objective of this paper is to study the market efficiency of nonagricultural commodities markets. Based on the review of literature, the present study tries to find out whether there is a cointegration, lead and lag relation in spot and futures market prices of identified non agricultural commodities traded in multi commodities exchange, using Stationary tests Cointegration and Regression Model which explains Casual relationship between Spot and Futures Markets. The study find that futures prices cause spot prices and vice versa and suggests that no profitable arbitrage exists and investor cannot book profit since new information already gets to be discounted by spot and futures prices simultaneously. The main contribution of the study is empirically identified and proves that there is a casual relationship between futures and spot which helps the investor to forecast the price with respect to Non Agricultural commodities.

This study investigates how real earnings management (REM) in the initial public offering (IPO) year affects long-run post-IPO market performance. The empirical results show that the effect of REM on a firm’s stock returns varies with the forms of REM. Abnormal production costs are positively associated with long-run returns, whereas abnormal cuts in discretionary expenses are negatively associated with long-run returns. These results suggest that investors are not fully aware of the implications of REM and initially undervalue or overvalue the firm based on different REM activities. Further, this study examines the long-run role of the media in the capital market by examining the impact of media coverage on the consequences of IPO firms’ REM practices. The results indicate that the associations between REM and stock returns become weaker if the IPO firm is more visible through the media. Additional analyses show that retail investors are more likely to initially misprice REM activities and be influenced by media information. Compared with media coverage, audit quality or analyst following has a relatively less pronounced effect on the consequences of REM activities. These findings imply that media coverage appears to mitigate the influence of REM on stock returns, facilitating market efficiency after a firm’s IPO in the long run.