Asian Economic and Financial Review

Asian Economic and Financial Review

Basic info

  • Publisher: Aess
  • Country of publisher: pakistan
  • Date added to EuroPub: 2017/May/11

Subject and more

  • LCC Subject Category: Finance and Financial Services, Economics
  • Publisher's keywords: Economic, Financial
  • Language of fulltext: english
  • Time from submission to publication: 8 weeks

Publication charges

  • Article Processing Charges (APCs): No
  • Submission charges: No
  • Waiver policy for charges? No

Open access & licensing

  • Type of License: CC BY
  • License terms
  • Open Access Statement: Yes
  • Year open access content began: 2011
  • Does the author retain unrestricted copyright? False
  • Does the author retain publishing rights? False

Best practice polices

  • Permanent article identifier: DOI
  • Content digitally archived in: LOCKSS, CLOCKSS
  • Deposit policy registered in: None

This journal has '574' articles

AN EMPIRICAL ANALYSIS OF EFFECT OF PUBLIC DEBT ON ECONOMIC GROWTH IN INDIA IN THE POST-REFORM ERA

AN EMPIRICAL ANALYSIS OF EFFECT OF PUBLIC DEBT ON ECONOMIC GROWTH IN INDIA IN THE POST-REFORM ERA

Authors: Asit Mohanty| Chair Professor, Centre of Excellence in Fiscal Policy and Taxation (CEFT), Xavier Institute of Management, Xavier University, Bhubanesw...
Year: 2016, Volume: 6, Number: 11
(38 downloads)
Abstract

The present paper examines the causal nexus between public debt and economic growth for 15 NSC states of India for the period 1991-2015 using Dumitrescu Hurlin causality test. The panel causality test identified the endogeneity issue as it revealed the bidirectional causality between these two variables. Further, we revisited the effect of public debt on economic growth for NSC states for the same period by incorporating other controlled variables in the model. Understanding the potential endogeneity issue, we employed FMOLS which solves the endogeneity as well as serial autocorrelation problem in the model. The results of the present study revealed that public debt, total revenue receipts and total credit have favorable effect on economic growth. As regards policy implications, the government should adopt proper tax reform strategies to minimize tax leakages. Further, it should implement effective credit and risk management practices to improve the asset quality. Lastly, suitable debt management strategy should be adopted to utilize debt in the most effective and proficient way to expand productivity capacity of the economy. This, in turn, will sustain high economic growth in India.

Keywords: Public debt, Economic growth, Indian States, Dumitrescu Hurlin causality, Endogeneity, FMOLS
A REGRESSION BASED APPROACH TO CAPTURING THE LEVEL DEPENDENCE IN THE VOLATILITY OF STOCK RETURNS

A REGRESSION BASED APPROACH TO CAPTURING THE LEVEL DEPENDENCE IN THE VOLATILITY OF STOCK RETURNS

Authors: Lakshmi Padmakumari*| Institute for Financial Management and Research, 24, Kothari Road, Nungambakkam, Chennai, India, S Maheswaran| Institute for Fin...
Year: 2016, Volume: 6, Number: 12
(34 downloads)
Abstract

In this paper, we propose an alternative approach to work with the new covariance estimator Cov Ratio based on daily high-low prices that we had put forth in an earlier study (Lakshmi and Maheswaran, 2016). Using the GARCH (1, 1) and IGARCH (1, 1) models, we empirically examine four major stock indices, namely: NIFTY, S&P500, DAX and FTSE100 for the sample period ranging from 1st January 1996 to 30th March 2015. We find that the estimator is upward biased for all the indices under study. Furthermore, we find that there are no residual ARCH effects in these models. In the earlier study, we had proved that random walk behavior cannot explain this overreaction in stock returns. Therefore, we had attributed this phenomenon to the level dependence in the volatility of stock returns. In this study, we find that it is the same Constant Elasticity of Variance (CEV) effect that comes into play here that makes the estimator upward biased as seen in the data.

Keywords: Conditional variance, Covariance estimation, Extreme value of asset prices, Least-Square regression, GARCH, Level dependence in volatility
ECONOMIC DEVELOPMENT, WOMEN EMPOWERMENT AND U SHAPED LABOUR FORCE FUNCTION : TIME SERIES EVIDENCE FOR BANGLADESH

ECONOMIC DEVELOPMENT, WOMEN EMPOWERMENT AND U SHAPED LABOUR FORCE FUNCTION : TIME SERIES EVIDENCE FOR BANGLADESH

Authors: Humaira Husain| Senior Lecturer Dept of Economics, North South University
Year: 2016, Volume: 6, Number: 12
(38 downloads)
Abstract

This paper supports the validity of nonlinear quadratic U shaped function between female labor force participation rate and Economic Growth for Bangladesh over the period 1991 -2012. The result is robust when growth of per capita energy consumption is considered as a proxy indicator of economic development. In Bangladesh the rising portion of U curve is explained by women?s active participation in manufacturing and service sector. Women are still economically active in the Agricultural sector of the economy. Added worker effect dominates discouraged worker effect. Women join the labor force regardless their marital status. Female labor force participation has positive impact on economic growth.

Keywords: Female labor force participation rate, Economic growth, Bangladesh
TECHNO-LOGY & HUMAN DEVELOPMENT

TECHNO-LOGY & HUMAN DEVELOPMENT

Authors: Seher Gülşah TOPUZ*| Research Assistant, Department of Economics, Faculty of Economics and Administrative Sciences, Eskisehir Osmangazi University, Tu...
Year: 2016, Volume: 6, Number: 12
(34 downloads)
Abstract

In this study, relationship between technology and development is examined comparatively under conceptual and econometric aspect. Data analyses and Vector Error Correction Model as the basis for the causality test is applied for 55 countries in a different development levels for the period 2000 to 2013. High technology export, ICT export, patent applications and individual internet usage is used as an indicator of the technology level in the analyses. It is concluded that there exists a considerable difference about the relationship between technology and development between developed and developing countries.

Keywords: Technology, Development, Knowledge, ICT, VECM, Patent
THE FELDSTEIN – HORIOKA PARADOX, A CASE STUDY OF TURKEY

THE FELDSTEIN – HORIOKA PARADOX, A CASE STUDY OF TURKEY

Authors: Seyi Saint Akadiri*| Eastern Mediterranean University, Itodo Idoko Ahmed| Department of Economics, Eastern Mediterranean University, Famagusta, Via Me...
Year: 2016, Volume: 6, Number: 12
(36 downloads)
Abstract

The Feldstein and Horioka (1980) is one of the globally reviewed issues in international finance and macroeconomics. The theory juxtapose relationships between saving rates and investment rates in a dynamic way, that capital mobility across nations, would act to match up incremental product of capital. It was argued that, savings (especially in unregulated international markets) would flow to countries that show a tendency of high investment opportunities. Thus, indigenous saving and investment rate would be uncorrelated. The main objective of this study is to evaluate saving - investment relationships in case of Turkey, using a Time Series (co-integration and Granger causality) analysis between the periods of 1960 ? 2014. From the findings, we discovered that a short and the long ? run relationship exist between the series, with a major structural break in 1993. The co-integration regression revealed presence of high capital mobility in Turkey. Thus, the Feldstein-Horioka paradox is a puzzle in Turkey.

Keywords: Saving rate, Investment rate, Capital mobility, Co-integration, Granger causality, International finance
NON-ENERGY IMPORT DEMAND FUNCTION IN TURKEY: NEW EVIDENCE

NON-ENERGY IMPORT DEMAND FUNCTION IN TURKEY: NEW EVIDENCE

Authors: Arzu Tay Bayramoglu*| Department of Economics, Bulent Ecevit University, Zonguldak, Turkey; Department of Economics and Finance, Lamar University, TX,...
Year: 2016, Volume: 6, Number: 12
(39 downloads)
Abstract

This study estimates the non-energy demand function of Turkey in the period of 2003:Q1-2015:Q3. We estimated a long run and a short run model of imports, based on the traditional import approach. Then we analyzed income and price elasticity of imports using cointegration methodology with multiple structural breaks of Maki (2012). The empirical results show that real non-energy imports cointegrate with real domestic income and relative price with significant structural breaks in 2006:Q1 and 2010:Q3. Contrary to theory, domestic income carries negative coefficient, which suggests that an increase in income will decrease the level of non-energy import in the case of Turkey. Also, cointegration results suggest that non-energy import is income and price elastic in the long-run; income elastic, but price inelastic in the short-run, and income and price elasticity of non-energy import demand in Turkey, are time-varying due to the structural breaks.

Keywords: Non-energy import demand, Price elasticity, Income elasticity, Cointegration, Structural break, Turkey
A MACRO STRESS TEST MODEL OF CREDIT RISK FOR THE TURKISH BANKING SECTOR

A MACRO STRESS TEST MODEL OF CREDIT RISK FOR THE TURKISH BANKING SECTOR

Authors: Çağatay Başarır| Bandırma Onyedi Eylül University Ö.S. Faculty Of Application Science, Balikesir, Turkey
Year: 2016, Volume: 6, Number: 12
(40 downloads)
Abstract

Banking sector occupy an important position in the financial system. Consequently, in order to maintain financial stability in a country, financial system and major banks of the sector have importance. At this point, financial stability of the banks and the sector may be discussed. Sensitivity of the sector against the shocks may be measured and evaluated properly. A stress test is a technique to measure the vulnerability of a bank or the aggregate banking sector against a set of hypothetic scenarios or events. This paper proposes a model to conduct macro stress test of credit risk for the banking sector based on scenario analysis. In this study firstly a macroeconomic credit risk model based on Wilson?s CreditPortfolioView for Turkish Banking Sector between the period 1999Q1-2012Q4 therefore 2013Q1-2014Q4 period is forecasted using historical simulation analysis. 3 historical scenarios are built for the macroeconomic credit risk model of banking sector. Then, responses of the sector?s default rates against the macro- shocks are detected. Responses of the default rates are compared with the historical date and financial soundness of the sector are analyzed.

Keywords: Banking sector, Financial stability, Credit risk, Stress tests, Default rates, Scenario analysis
DERIVATIVE USE OF TURKISH INVESTMENT FUNDS DURING THE 2008-09 FINANCIAL CRISIS

DERIVATIVE USE OF TURKISH INVESTMENT FUNDS DURING THE 2008-09 FINANCIAL CRISIS

Authors: Burak Pirgaip*| Assist. Prof., Department of Banking and Finance, Cankaya University, Aslıhan Taşdemir| Research Assist., Department of Business Admin...
Year: 2017, Volume: 7, Number: 1
(41 downloads)
Abstract

This paper centers on the question of how derivatives were utilized by investment fund managers in the course of 2008-09 global financial crisis. In this vein, we analyze investment funds defined as mutual funds and investment trusts, by comparing them in terms of derivative use under three fund categories. With respect to 193 investment funds, our first categorization is ?investment objectives? and our results show that the 43.40 % (22.12%) [51.85%] of the funds invested in only equity (bonds) [both equity and bonds] used derivatives. Secondly, in terms of their ?legal structures?, we find that 56.67% of the closed-ended and 27.61% of the open-ended funds used derivatives. In the final category, i.e. ?fund-type?, it is observed that 51.89% (8.03%) of the A-type (B-type) funds used derivatives. We proceed with logit analysis in order to identify the relation between of fund characteristics and derivative use. We find for each category that the likelihood of derivative use increased as the turnover of funds escalated. Furthermore, we make univariate analyses to compare distributional parameters between derivative users and non-users. In terms of ?investment objectives?, users having bond-dominated portfolios had higher standard deviation, idiosyncratic risk and skewness, while those of non-users had higher beta and timing beta. For the structural categorization, users significantly had higher standard deviation, idiosyncratic risk and skewness and yet non-users had a higher beta and timing beta. In case of ?fund type?, non-users had a higher beta yet a lower kurtosis. Lastly, we apply regression analyses to test relation between risk change and fund?s previous performance. The empirical results indicate that there was a negative relationship, which was weaker for derivative users.

Keywords: Derivatives, Mutual funds, Investment trusts, Financial crisis, Closed-ended funds, Open-ended funds
EXPLORE THE IMPACT OF THE TRADING VALUE , THE OIL PRICE AND QUANTITATIVE EASING POLICY ON THE TAIWAN AND KOREA STOCK MARKET RETURN WITH QUANTILE REGRESSION

EXPLORE THE IMPACT OF THE TRADING VALUE , THE OIL PRICE AND QUANTITATIVE EASING POLICY ON THE TAIWAN AND KOREA STOCK MARKET RETURN WITH QUANTILE REGRESSION

Authors: Tzu-Kuang Hsu| Department of International Business, Chung Hua University 707, Sec. 2, WuFu Rd., Hsinchu 300, Taiwan R.O.C., Chin-Chang Tsai*| Ph.D. P...
Year: 2017, Volume: 7, Number: 1
(36 downloads)
Abstract

This paper aims to apply the quantile regression analysis to explore the impacts of the stock market trading value, change in international oil prices, and the US implementation of Quantitative easing monetary policy on Taiwan?s and Korea?s stock index returns. This study is in accordance with the 2008 US implementation of quantitative policy to conduct research on 53-month data collected from April 2004 to February 2013 in order to explore the differences between before and after the US implementation of quantitative policy. The results find that under situations of high distribution of stock index returns, Taiwan?s and Korea?s stock markets reveal the same phenomenon of ?the stock price increases and the trading volume rises, the stock price declines and the trading volume descends?. Meanwhile, under situations of low distribution of stock index returns, the Korea?s increasing stock trading value will cause stock index returns to fall. Noteworthy, under situations of low distribution of stock index returns, oil price changes are found to have positive effects on Taiwan?s and Korea?s stock index returns. Finally, the US implementation of quantitative easing monetary policy is indicated to have non-significant influence on Taiwan?s and Korea?s stock index returns. Further investigating whether there are inconsistencies before and after the implementation of quantitative policy regarding the impacts between these two nations? stock trading values and oil price changes on stock index returns, the results show no differences.

Keywords: Quantile regression, Stock index return, Changes in international oil prices, Quantitative easing policy, Stock market, Manufacturing industry production index
MUSLIM WOMEN ENTREPRENEURS’ MOTIVATION IN SMES: A QUANTITATIVE STUDY IN ASIA PACIFIC COUNTRIES

MUSLIM WOMEN ENTREPRENEURS’ MOTIVATION IN SMES: A QUANTITATIVE STUDY IN ASIA PACIFIC COUNTRIES

Authors: Ilhaamie Abdul Ghani Azmi| Associate Professor Dr, Department of Syariah and Management, Academy of Islamic Studies, University of Malaya
Year: 2017, Volume: 7, Number: 1
(42 downloads)
Abstract

Women occupy nearly half of the working population. However, there are too many challenges for them to get engaged into a job as they have to sacrifice their time with their family. It is a norm and tradition for Asian Pacific countries that men is the head of the family and women have to be their subservient. Thus, being their own boss is an answer to time flexibility with their family. Consequently, their motivation in involving into a business is quite high. This study uses a quantitative approach in collecting research data whereby the survey data is analyzed descriptively using SPSS. Motivation of Muslim women entrepreneurs in Asian Pacific SMEs can be classified into personal, family, market, society and legal factors whereby personal motivation tops among the factors.

Keywords: Women, Muslim, Asia pacific, Motivation, Challenges, Entrepreneurship
THE EFFECTS OF INFLATION AND OPERATING CYCLE ON CASH HOLDINGS (LIQUIDITY) OF LISTED COMPANIES IN TEHRAN STOCK EXCHANGE

THE EFFECTS OF INFLATION AND OPERATING CYCLE ON CASH HOLDINGS (LIQUIDITY) OF LISTED COMPANIES IN TEHRAN STOCK EXCHANGE

Authors: Samaneh Fallah*| Department of Management & Accounting, Mobarakeh Branch, Islamic Azad University, Mobarakeh, Isfahan, Iran, Seyyed Abbas Hashemi| Ass...
Year: 2017, Volume: 7, Number: 1
(40 downloads)
Abstract

This study aims at testing the relationship between inflation and the cash holdings. Moreover, the existence and the direction of the relationship between operating cycle and cash holdings have also been examined.

Keywords: Cash holding, Inflation, Operating cycle, Nonlinear relationship, Multivariate regression, Tehran stock exchange
DYNAMICS OF THE RELATIONSHIP BETWEEN IMPLIED VOLATILITY INDICES AND STOCK PRICES INDICES: THE CASE OF EUROPEAN STOCK MARKETS

DYNAMICS OF THE RELATIONSHIP BETWEEN IMPLIED VOLATILITY INDICES AND STOCK PRICES INDICES: THE CASE OF EUROPEAN STOCK MARKETS

Authors: Rouetbi Emna*| Assistant professor, Institut supérieur de finance et fiscalité Sousse, Tunisia, Chaabani Myriam| PHD student, Institut des Hautes Etud...
Year: 2017, Volume: 7, Number: 1
(37 downloads)
Abstract

This paper examines the relationship between implied volatility indices and stock price indices in the case of five European market : Euro zone, France, Germany, Switzerland and the United Kingdom for the period from January 2010 to March 2015. To achieve that, two empirical models were estimated. Using GARCH modelling, our results show clearly that implied volatility indices contain relevant information concerning future stock market volatility, while this information is still insufficient in predicting the latter. A multiple linear regression procedure confirmed the existence of a strong negative and asymmetrical relationship between the implied volatility indices and stock market returns for three studied markets.

Keywords: Implied volatility indices, Stock market returns, Volatility asymmetry, Volatility feedback, European equity markets
VOLATILITY MODELLING AND PARAMETRIC VALUE-AT-RISK FORECAST ACCURACY: EVIDENCE FROM METAL PRODUCTS

VOLATILITY MODELLING AND PARAMETRIC VALUE-AT-RISK FORECAST ACCURACY: EVIDENCE FROM METAL PRODUCTS

Authors: Samir MABROUK| Faculty of Management and Economic Sciences of Sousse, Sousse University, Tunisia
Year: 2017, Volume: 7, Number: 1
(35 downloads)
Abstract

In this paper, we investigate the one-day-ahead VaR and ES accuracy of four metal daily return series including Aluminium, Copper, Nickel and Zinc. Since, all sample presents volatility clustering, volatility asymmetry, and volatility persistence, we have assessed five GARCH-type models including three fractionary integrated models assuming three alternative distributions (normal, Student-t and skewed Student-t distributions). Estimates results reveal the performance of AR (1) - FIAPARCH model under a skewed Student-t distribution. We have computed one-day ahead VaR and (ES) for both short and long trading positions. Backtesting results show very clearly that the skewed Student-t FIAPARCH model provides the best results for both short and long VaR estimations. These results present several potential implications for metal markets risk quantifications and hedging strategies.

Keywords: Long-range memory, Value at risk, Asymmetry, Fat tail, GARCH, Volatility forecast
THE POWER OF A LEADING INDICATOR’S FLUCTUATION TREND FOR FORECASTING TAIWAN'S REAL ESTATE BUSINESS CYCLE: AN APPLICATION OF A HIDDEN MARKOV MODEL

THE POWER OF A LEADING INDICATOR’S FLUCTUATION TREND FOR FORECASTING TAIWAN'S REAL ESTATE BUSINESS CYCLE: AN APPLICATION OF A HIDDEN MARKOV MODEL

Authors: Yun-Ling Wu| Lecturer, Department of Real Estate Management, National Pingtung University, Taiwan, Cheng-Huang Tung| Associate Professor, Department o...
Year: 2017, Volume: 7, Number: 1
(36 downloads)
Abstract

This paper employ the discrete hidden Markov model (HMM) in order to capture information about the Markov switching model?s inner states that is not directly observable, and to pre-detect the real estate business cycle?s volatility trend. The empirical results show that this HMM can capture the asymmetry in the duration of states. Compared with the real estate leading indicator announced by the Taiwan Real Estate Research Center, this HMM yields the same results in terms of forecasting the trends of cycle fluctuations. The explanatory power of the HMM in 4-steps out-of-sample forecasting is supported both conceptually and methodologically.

Keywords: Real estate cycle, Real estate cycle leading indicator, Asymmetry, Duration, Hidden Markov model, Taiwan real estate research center
NONLINEAR ANALYSIS OF ECONOMIC GROWTH, PUBLIC DEBT AND POLICY TOOLS

NONLINEAR ANALYSIS OF ECONOMIC GROWTH, PUBLIC DEBT AND POLICY TOOLS

Authors: Yifei Cai| Northeast Normal University (Changchun, China)
Year: 2017, Volume: 7, Number: 1
(39 downloads)
Abstract

This paper empirically analyzes the nonlinear relation between real GDP growth per capital and public debt by employing ADL test for threshold cointegration method. Empirical results show that there exists a threshold cointegration relationship between public debt and real GDP growth per capital. In case of the empirical results, cutting public debt could boost economic growth in the long-term. However, the short term variation of public debt makes little impact on real output per capital. Comparatively speaking, human capital and investment rate and trade openness make larger influence on real GDP growth per capital. From the perspective of economic policy, the government should take full advantage of the fiscal policy to cut public debt with the operation space of monetary policy being compressed.

Keywords: ADL test for threshold cointegration, Economic growth, Public debt, Fiscal policy, Monetary policy, Short-term adjustment

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