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

MARKET EFFICIENCY OF ASEAN STOCK MARKETS

MARKET EFFICIENCY OF ASEAN STOCK MARKETS

Authors: Muneer Shaik*| Research Scholar, Institute for Financial Management and Research, 25 , Kothari Road, Nungambakkam, Chennai, India, S. Maheswaran| Seni...
Year: 2017, Volume: 7, Number: 2
(93 downloads)
Abstract

In this paper, we examine the stock market efficiency of the members of the Association of South East Asian Nations (ASEAN). We use the conventional individual variance ratio tests like the Lo and MacKinlay (1988) test, Choi (1999) test, Wright (2000) test and Chen and Deo (2006)) test to check for the efficient market hypothesis in these markets. We also perform the spectral shape test of Durlauf (1991) and Average exponential test as in Andrews and Ploberger (1996) to check for the serial correlations in these stock indices. This study rejects the efficient market hypothesis for the stock markets of Indonesia, Malaysia, Philippines, Thailand and Vietnam. However, we find that the stock markets in Cambodia, Lao and Singapore are weak form efficient. This study is essential for the policy makers of ASEAN member nations who attempt to introduce new financial regulations to make their markets more attractive to the investors by making the stock markets efficient.

Keywords: Variance ratio tests, Random walk, Efficient market hypothesis, ASEAN, Spectral shape test, Average exponential test
MOMENTUM DECOMPOSITION: EVIDENCE FROM EMERGING MARKETS

MOMENTUM DECOMPOSITION: EVIDENCE FROM EMERGING MARKETS

Authors: Hongbo Guo*| School of Economics and Management, University of the Chinese Academy of Sciences, Beijing, China, Xianhua Wei| School of Economics and M...
Year: 2017, Volume: 7, Number: 2
(38 downloads)
Abstract

To explain the reason why momentum effect in emerging markets is much weaker than that in developed markets. We divide the traditional momentum returns into intra-style momentum and inter-style momentum effect on the basis of style investing. According to the result, intra-style momentum effect spreads widely in all of the twelve emerging markets, as the primary driving factor for the overall momentum effect. Besides, the inter-style momentum strategy has distinct property in all kinds of markets, leading to the poor performance of momentum strategy in some markets. It is also discovered in the cross-section regression that in emerging markets, the style-adjusted firm-specific return is in evidently positive correlation with the future stock return, but the relationship between the style return and future stock return is uncertain.

Keywords: Momentum effect, Style investing, Firm-specific momentum, Stock returns, Emerging market, Return decomposition
ARE TUNISIAN AND EGYPTIAN SHARE IPO MARKETS HOT OR COLD?

ARE TUNISIAN AND EGYPTIAN SHARE IPO MARKETS HOT OR COLD?

Authors: A. Kammoun Abdelmoula*| High Institute of Business Administration of Sfax (ISAAS), Sfax University, Tunisia., L. Hedhili Zaier| High Institute of Busi...
Year: 2017, Volume: 7, Number: 2
(40 downloads)
Abstract

This paper seeks to detect hot and cold IPO cycles in the Tunisian and Egyptian share market using a Markov regime switching model. Using a set of IPO activity measures (number of IPOs, level of underpricing, market conditions and duration), we established a model which estimates these activity measures in hot and cold periods respectively. We depicted the turning points for each activity measure. It is found that these markets are cold in the major period. As in regards to cycles, the segmentation method gives almost the same periods, except for the market condition measures (Trading volume for Tunisian stock market and Stock Market Returns (SMR) for Egyptian stock market) which give a different segmentation.

Keywords: Egyptian IPO market, Tunisian IPO market, Hot/cold periods, Markov regime switching model
FINANCE-GROWTH NEXUS IN BANGLADESH? AN EMPIRICAL ANALYSIS

FINANCE-GROWTH NEXUS IN BANGLADESH? AN EMPIRICAL ANALYSIS

Authors: Sakib Bin Amin| Assistant Professor, School of Business and Economics, North South University, Dhaka, Bangladesh, Ridwan Mosharraf Hossain*| BS Gradua...
Year: 2017, Volume: 7, Number: 2
(37 downloads)
Abstract

We examine the empirical relationship between financial and economic growth in Bangladesh over the period of 1985-2014. Augmented Dickey Fuller (ADF) test is performed for checking the stationarity properties and it is revealed that all the concerned variables are stationary. Johansen cointegration method indicates that long-run cointegrating relationship prevails in some of the concerned variables. Then applying the Granger causality test, we have revealed casual relationship between economic growth and few indicators of financial development. The weak financial structure composed of non performing banking sector, underdeveloped capital market, bond market and an insurance market could well be the reasons behind it. The findings of our paper recommend policymakers to further develop the financial structure of the country which would ensure future economic growth.

Keywords: Financial development, Economic growth, Cointegration approach, Granger causality, Augmented dickey fuller (ADF) Test, Bangladesh Financial Sector
GENDER DISPARITY IN FUNCTIONALITY AND CONSEQUENCE OF MICROFINANCE: DOES IT FUNCTION CURRENTLY?

GENDER DISPARITY IN FUNCTIONALITY AND CONSEQUENCE OF MICROFINANCE: DOES IT FUNCTION CURRENTLY?

Authors: Protap Kumar Ghosh*| Assistant professor, Business Administration Discipline, Khulna University, Khulna-9208, Bangladesh, Sutap Kumar Ghosh| Assistant...
Year: 2017, Volume: 7, Number: 2
(39 downloads)
Abstract

This study has been designed to represent gender disparity in different issues like adequacy of loan amount, rate of interest, formalities to take loan and consequence of microfinance in poverty alleviation. Both descriptive and inferential statistical tools have been used to test our research hypothesis. This study reveals that there is a significant perceptional difference between male and female respondents regarding adequacy of loan amount, rate of interest, formalities to take loan. Although female respondents have more positive attitude regarding adequacy of loan amount, rate of interest, formalities to take loan than that of men, they are less positive relating to poverty alleviation as a consequence of microfinance than that of male respondents. The findings of this study urge that if the macro-economic policymakers don?t upgrade existing development policies, the socio-economic barriers of the women keep them behind in accruing and using microfinance to reduce their poverty.

Keywords: Microcredit, Motivating factors, Poverty alleviation, Formalities, Funding adequacy, Gender disparity
EXPLORING THE RETURNS AND VOLATILITY SPILLOVER EFFECT IN TAIWAN AND JAPAN STOCK MARKETS

EXPLORING THE RETURNS AND VOLATILITY SPILLOVER EFFECT IN TAIWAN AND JAPAN STOCK MARKETS

Authors: Chi-Lu Peng| Department of Finance Management, Chung Hua University 707, Sec. 2, WuFu Rd., Hsinchu 300, Taiwan R.O.C., Chi-Fu Chung*| Ph.D. Program of...
Year: 2017, Volume: 7, Number: 2
(47 downloads)
Abstract

This study examined the returns on the Taiwan Capitalization Weighted Stock Index (TAIEX) and NIKKEI Stock Average Index (NIKKEI) and explored the volatility spillover effect between the Taiwanese and Japanese stock market. The results revealed cointegration between the two indices, suggesting a long-term, stable relationship between the two stock markets. An examination of inner-market effects showed that the returns on stock indices in both markets are greatly influenced by the returns of previous time periods. Additionally, a cross-market effect investigation showed that past returns on NIKKEI were found to affect the current returns on TAIEX significantly, while the past returns on TAIEX had no impact on the current returns on NIKKEI. A volatility analysis revealed the existence of an inner-market leverage effect, a negative cross-market volatility spillover effect, and a mutual price leading effect. According to the relative asymmetry analysis results, the two stock markets are more sensitive to falling than rising trends in the counterpart market. These results suggest that the two markets are more likely to crash due to a retreat in the counterpart market. The impact of previous volatility shocks on the current volatility of TAIEX and NIKKEI are 46.44 and 6.98 days, respectively.

Keywords: Bi-EGARCH, Co-integration test, Unit-root test, NIKKEI stock index, TAIEX stock index, Returns
SINGAPORE'S TEMASEK HOLDINGS’ CONTROL MECHANISMS AND THE PERFORMANCE OF THE FIRMS CONTROLLED BY TEMASEK

SINGAPORE'S TEMASEK HOLDINGS’ CONTROL MECHANISMS AND THE PERFORMANCE OF THE FIRMS CONTROLLED BY TEMASEK

Authors: Kerry Liu| Kerry Liu is an economist from a major international bank in Sydney, Australia
Year: 2017, Volume: 7, Number: 2
(45 downloads)
Abstract

This paper examines the control mechanisms of Singapore?s Temasek Holdings and the performance of the firms controlled by Temasek. The data were hand-collected from a wide range of data sources and the sample period consists of five years. Ordinary Least Squares regression analysis is applied with Huber-White standard errors. This study finds that Temasek Holdings adopts a series of control mechanism, and these mechanisms destroy valuation. This paper also finds that Temasek Holdings? listed block investments in non-Singapore regions have consistently underperformed those based in Singapore during 2004-08. This study is the first to provide detailed analysis on the control mechanisms employed by Temasek Holdings, and the effect of these mechanisms on performance.

Keywords: Sovereign wealth fund, Temasek holdings, Control mechanism, Singapore, Pyramiding structure, Block investments
GROWING THE GROWTH OF THE GHANAIAN ECONOMY: IS THE FUNCTION OF THE COUNTRY’S FINANCIAL DEVELOPMENT OF ANY SIGNIFICANCE?

GROWING THE GROWTH OF THE GHANAIAN ECONOMY: IS THE FUNCTION OF THE COUNTRY’S FINANCIAL DEVELOPMENT OF ANY SIGNIFICANCE?

Authors: Abdulkadir Abdulrashid Rafindadi*| Faculty of Management Sciences, Department of Accounting Usmanu Danfodiyo University, Sokoto, Nigeria, Almustapha A...
Year: 2017, Volume: 7, Number: 2
(37 downloads)
Abstract

This study investigates the relationship between economic growth and financial development in Ghana, the study incorporates the variables of government expenditure, population and trade openness among others. The time span of the study is from 1970 to 2012. To ensure robust results, the ARDL bounds testing approach to cointegration was applied in analyzing the dynamic relationship between the variables. The findings of the study in the long-run, established that, financial development has a strong positive impact to the Ghanaian GDP and contrary was found to be the case in the short-run. In addition to that, population was discovered to have a negative impact on the long-run growth of the country?s GDP. The aim of this study is to assess the directions of how to grow the growth of the Ghanaian economy. Surprisingly, the study discovered that despite the negative contributions of the huge government expenditure which defied the Keynesian hypothesis and the Wagner?s law of stimulating economic growth due largely to other exogenous factors not included in this study, yet, the study suggested the need for the Ghanaian policy makers to place all effort in eliminating all forms of financial repression. In addition to that, there is the need for the establishment of all measures that will help in attracting foreign direct investment in to the country. This can be achieved through sound political stability, provision of basic infrastructural facilities, better supervision and prudential regulations of the country?s financial system and the encouragement of entrepreneurial growth, innovation and creativities within the local economy. Finally corruption and embezzlement should as much as possible be tamed if realistic results of growing the growth of the Ghanaian economy is to be attained.

Keywords: Rafindadi, Economic growth, Ghanaian economy, Africa, Entrepreneurship, Ghana
MICROFINANCE AND WOMEN EMPOWERMENT IN MADINA IN ACCRA, GHANA

MICROFINANCE AND WOMEN EMPOWERMENT IN MADINA IN ACCRA, GHANA

Authors: Alex Addae-Korankye*| Central Business School, Central University, Accra, Ghana, Alex Abada| Central Business School, Central University, Accra, Ghana
Year: 2017, Volume: 7, Number: 3
(39 downloads)
Abstract

Among the main objectives of microfinance intervention is to help women entrepreneurs grow their businesses and hence enhance their socio-economic well-being. The study therefore was conducted to assess the effect of microfinance on socio-economic well-being of women (or women empowerment) in Madina in the Greater Accra region of Ghana. The study employed a survey design. By employing purposive, systematic and simple random sampling techniques, interviewer-administered questionnaire was used to collect data from 300 women micro-credit beneficiaries in the Madina in Accra,Ghana. SPSS was used to run regression to examine the correlation between microfinance and profit and hence economic well-being of the women entrepreneurs. It was found that microfinance indeed has a direct correlation with Profit and hence socio-economic well-being of women (women empowerment). Stated differently it was revealed that Microfinance has positively impacted on the women?s Profit, businesses and hence their socio-economic-wellbeing. However, there was a reasonable percentage of respondents who indicated that microfinance has rather made them worse off.

Keywords: Empowerment, Microfinance, Socio-economic well-being, Micro-credit, Women entrepreneurs, Microcredit beneficiaries
IMPACT OF SAFTA ON SOUTH ASIAN TRADE

IMPACT OF SAFTA ON SOUTH ASIAN TRADE

Authors: Ram K. Regmi| Statistical Officer, Ministry of Finance, Kathmandu, Nepal, Satis C. Devkota| Assistant Professor of Economics and Management, Universit...
Year: 2017, Volume: 7, Number: 3
(44 downloads)
Abstract

The formation of regional trading blocs has been a subject of many debates, particularly with respect to trade creation and trade diversion in static and dynamic senses. Our study discusses this issue by examining how South Asian Regional Free Trade Area (SAFTA) affects bilateral trade flows. Results show that formation of SAFTA has been associated with an increase in bilateral trade flows within its member countries as well as between member and non-member countries. These positive intra-bloc and extra-bloc effects imply that SAFTA could develop further into a trade creating regional bloc, thereby addressing the concerns of the skeptics that SAFTA will have substantial net trade diversion effects.

Keywords: Regional trading bloc, SAFTA, Trade creation, Trade diversion, Gravity model
USAGE OF DERIVATIVES IN EMERGING MARKETS: THE CASE OF BOSNIA AND HERZEGOVINA

USAGE OF DERIVATIVES IN EMERGING MARKETS: THE CASE OF BOSNIA AND HERZEGOVINA

Authors: Sanel Halilbegovic*| International Burch University Francuske Revolucije bb, 71000 Sarajevo, Bosnia, Anida Mekic| International Burch University Saraj...
Year: 2017, Volume: 7, Number: 3
(40 downloads)
Abstract

During the last decade, financial derivatives have gained increased attention; they were one of the leading causes of the latest financial crisis. Their primary purpose is to provide instruments for hedging risks linked with stock market movements. Most of the financial economists agree that derivatives markets if abused, may cause disturbances in the financial markets, while some claim that derivatives markets provide valuable instruments for hedging financial risks. When we consider the importance of derivative markets, our primary goal is to investigate the degree of development of derivatives market in B&H. When we?re talking about derivatives market in B&H, it does not exist as organized markets yet. As many derivatives are being offered to the firms, only within the banking sector, we concluded that the financial system in B&H is bank centered. It follows the Continental model in which banks are playing a leading role. The participation of banks in the case of B&H is over 80%. The financial derivate market is organized as over the counter market as it offers currency swaps and forwards, and interest rate forwards. It?s important to notice that almost all business operations are done in "euro." Because of the currency board regime, agency regulations on banks? net open position and a relatively small exposure to foreign currencies, except the euro, currency risk in B&H is small. However, risk management is important for every firm, so the primary focus of this paper will be how B&H nonfinancial companies manage the risks that they have regarding the use of financial derivatives.

Keywords: , Financial system, Risk management, Emerging markets, Volatility
DETERMINANT OF FDI: EVIDENCE FROM ORGANIZATION OF THE PETROLEUM EXPORTING COUNTRIES (OPEC)

DETERMINANT OF FDI: EVIDENCE FROM ORGANIZATION OF THE PETROLEUM EXPORTING COUNTRIES (OPEC)

Authors: Ali Fegheh Majidi*| University of Kurdistan, Assistant Proffesor and Ms in Economics, Sanandaj, Iran, Hojatollah Hashembeigi| University of Kurdistan,...
Year: 2017, Volume: 7, Number: 3
(38 downloads)
Abstract

The paper examined the determinants of foreign direct investment inflows in OPEC countries. This paper aims to find out the major determinants of foreign direct investment in the periods 1985 - 2014 using the Generalized Method of Moment (GMM) and panel data. The results show that GDP, exchange rate, imports, FDI in previous periods and gross fixed capital formation have had a positive and significant effect and government size has a negative and significant effect on FDI inflow in OPEC. Also, inflation and economic openness have no significant effect on FDI.

Keywords: FDI, OPEC, GMM, Investment, Economic openness
OVERRΕACTION ANALYSIS IN STATE-OWNED EQUITIES

OVERRΕACTION ANALYSIS IN STATE-OWNED EQUITIES

Authors: George Bakos| Department of Public Administration, Panteion University, Kalithea, Athens, Greece, George Petrakos*| Department of Public Administratio...
Year: 2017, Volume: 7, Number: 3
(43 downloads)
Abstract

This paper challenges the research hypothesis that psychological factors and market sentiment can influence and alter the trajectory of state-owned equities. For this purpose, an overreaction analysis was performed in a wide data spectrum consisting of daily returns of 184 state-owned enterprises operating in countries from three continents, over a ten year period divided in five biannual test periods. Portfolio separation and Cumulative Abnormal Returns generated no evidence towards the existence of overreaction phenomena across all test-periods. Average and Median Cumulative Abnormal Returns, tested with parametric and nonparametric statistical analysis, did not exhibit reversal patterns in the behavior of loser and winner portfolios, thus neutralizing the possibility of earlier overreaction in the state-owned stocks under study. The outcome concerning state-owned enterprises contrasts with the corresponding research hypothesis and outcomes in the literature regarding behavioral economics and overreaction effects in private enterprises.

Keywords: Behavioral economics, Overreaction, Stock return, Public sector, State-owned enterprises
PREDICTIVE ANALYTICS IN CAPITAL MARKETS

PREDICTIVE ANALYTICS IN CAPITAL MARKETS

Authors: Nitin Singh*| Chairperson – Business Analytics IIM Kashipur Advisor KPMG Lodha Excelus NM Joshi Marg Mumbai, India, Prakash Kumar Jha| Technical Centr...
Year: 2017, Volume: 7, Number: 3
(39 downloads)
Abstract

The paper is a practical application of the random walk model on stock price behaviour. The academic literature has moved beyond this random walk approach and the recent focus is now much more on how to improve the forecasts. Since the performance of the random walk model has been contextual, it is desirable that the model is tested in different contexts. Our model shows good results in the Indian context. This model is also useful for traders and investors looking to predict stock prices in the immediate future as the model accounts for changes in the immediate past.

Keywords: Capital markets, Predictive analytics, Random walk, Time series, Stochastic process, Smoothing effect
THE VOLATILITY STRUCTURE OF GLOBAL FINANCIAL MARKETS: A COMPARATIVE ANALYSIS

THE VOLATILITY STRUCTURE OF GLOBAL FINANCIAL MARKETS: A COMPARATIVE ANALYSIS

Authors: Lakshmi Viswanathan*| Institute for Financial Management and Research, Nungambakkam, Chennai, India, S.Maheswaran| Institute for Financial Management...
Year: 2017, Volume: 7, Number: 3
(38 downloads)
Abstract

The study is basically an extension of the k-day Vol ratio analysis on Nifty Index, proposed by Viswanathan and Maheswaran (2016). It examines the impact of the global financial crisis of 2008 on the structure of volatility of global indices (S&P500, FTSE100 and DAX). The global indices did not experience a significant change in volatility structure. On comparison, the behavior of volatility of NIFTY index subsequent to the financial crisis is found to be similar to that of global indices. The present study indicates that due to the crisis, NIFTY has joined the league of developed capital markets with respect to the structure of volatility.

Keywords: Volatility of volatility, Long memory, Financial crisis, Vol ratio, Global indices, Structure of volatility

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