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Prelims

Advances in Pacific Basin Business, Economics and Finance

ISBN: 978-1-78973-286-3, eISBN: 978-1-78973-285-6

ISSN: 2514-4650

Publication date: 21 August 2019

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(2019), "Prelims", Advances in Pacific Basin Business, Economics and Finance (Advances in Pacific Basin Business, Economics and Finance, Vol. 7), Emerald Publishing Limited, Leeds, pp. i-xv. https://doi.org/10.1108/S2514-465020190000007001

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Emerald Publishing Limited

Copyright © 2019 Emerald Publishing Limited

Half Title Page

ADVANCES IN PACIFIC BASIN BUSINESS, ECONOMICS AND FINANCE

Series Page

ADVANCES IN PACIFIC BASIN BUSINESS, ECONOMICS AND FINANCE

Series Editors: Cheng Few Lee and Min-Teh Yu

Title Page

ADVANCES IN PACIFIC BASIN BUSINESS, ECONOMICS AND FINANCE VOLUME 7

ADVANCES IN PACIFIC BASIN BUSINESS, ECONOMICS AND FINANCE

EDITED BY

CHENG-FEW LEE

Rutgers University, USA

MIN-TEH YU

Providence University, Taiwan

United Kingdom – North America – Japan – India – Malaysia – China

Copyright Page

Emerald Publishing Limited

Howard House, Wagon Lane, Bingley BD16 1WA, UK

First edition 2019

Copyright © 2019 Emerald Publishing Limited

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No part of this book may be reproduced, stored in a retrieval system, transmitted in any form or by any means electronic, mechanical, photocopying, recording or otherwise without either the prior written permission of the publisher or a licence permitting restricted copying issued in the UK by The Copyright Licensing Agency and in the USA by The Copyright Clearance Center. Any opinions expressed in the chapters are those of the authors. Whilst Emerald makes every effort to ensure the quality and accuracy of its content, Emerald makes no representation implied or otherwise, as to the chapters’ suitability and application and disclaims any warranties, express or implied, to their use.

British Library Cataloguing in Publication Data

A catalogue record for this book is available from the British Library

ISBN: 978-1-78973-286-3 (Print)

ISBN: 978-1-78973-285-6 (Online)

ISBN: 978-1-78973-287-0 (Epub)

ISSN: 2514-4650 (Series)

Editorial Board

  • Mike J. Alderson

    University of St. Louis, USA

  • James S. Ang

    Florida State University, USA

  • Hong-Yi Chen

    National Chengchi University, Taiwan

  • Ren-Raw Chen

    Fordham University, USA

  • Sheng-Syan Chen

    National Chengchi University, Taiwan

  • Anna Chernobai

    Syracuse University, USA

  • Thomas C. Chiang

    Drexel University, USA

  • Kenneth Clements

    University of Western Australia, Australia

  • Robert R. Grauer

    Simon Fraser University, Canada

  • Chuan-Yang Hwang

    Nanyang Technological University, Singapore

  • Der-An Hsu

    University of Wisconsin, USA

  • Cheng Hsiao

    University of Southern California, USA

  • Edward J. Kane

    Boston College, USA

  • Jevons C. Lee

    Tulane University, USA

  • Wayne Y. Lee

    University of Arkansas, USA

  • Scott C. Linn

    University of Oklahoma, USA

  • Yaw Mensah

    Rutgers University, USA

  • Thomas H. Noe

    University of Oxford, UK

  • Thomas Noland

    University of Houston, USA

  • Michael Pagano

    Villanova University, USA

  • Kwangwoo Park

    KAIST, Korea

  • Fotios Pasiouras

    University of Bath, UK

  • Andrew J. Senchak

    University of Texas, USA

  • K. C. John Wei

    Hong Kong Polytechnic University, Hong Kong

  • Chunchi Wu

    State University at Buffalo, USA

  • Tong Yu

    University of Cincinnati, USA

  • David A. Ziebart

    University of Kentucky, USA

List of Figures

Chapter 1
Fig. 1. Cat Bond Returns. 19
Fig. 2. Market Price of Catastrophic Risks. 20
Fig. 3. Cat Bond Spreads vs Corporate Bond Spreads. 22
Fig. 4. Sensitivity of the Habit Level. 23
Chapter 2
Fig. 1. The Binomial Process of Interest Rates 37
Fig. 2. Effect of Interest Rate Level Change on Tax Timing Option Value 50
Fig. 3. The Value of Timing Option Under Different Tax Scenarios 52
Fig. 4. Optimal Short-term Cutoff Level 56
Chapter 3
Fig. 1. Time Series Plots of Total Returns (RI = Prices + Dividends) for Various Markets. 70
Fig. 2. Time Series Plots of Excess Stock Returns for Various Markets. 70
Fig. 3. Time Series Plots of EPUs for Various Markets. 73
Chapter 4
Fig. 1. 25 Size-B/M Portfolio with Structural Break. 99
Fig. 2. 25 Size-Inv Portfolio with Structural Break.
Fig. 3. 25 Size-OP Portfolio with Structural Break.
Fig. 4. 32 Size-OP-Inv Portfolio with Structural Break.
Chapter 5
Fig. 1. Mongolian Bank CSR Disclosure and Performance from 2003 to 2012. 130
Fig. 2. Mongolian Bank Performance from 2009 to 2012. 130
Chapter 6
Fig. 1. Intraday Transactions for On-the-run Treasuries.
Fig. 2. Impulse Response Functions for New York, London, and Tokyo Markets. 185
Fig. 3. Impulse Response Functions for the Busiest Day in New York. 188
Fig. 4. Informed Volatility (Five-year On-the-run Treasury).
Chapter 9
Fig. 1. Dynamic responses to 1% TFP shock. 229

List of Tables

Chapter 1
Table 1. Correlations between January 01, 2002 and April 29, 2011. 3
Table 2. Calibration and Parameter Values. 14
Table 3. Descriptive Statistics. 15
Table 4. Cat Bond Spreads – Multiple Regressions. 16
Table 5. Cat Bond Spreads vs Corporate Bond Spreads – Multiple Regressions. 24
Chapter 2
Table 1. Treasury Bond Prices under Optimal Trading Strategy. 39
Table 2. Tax-timing Option Value of Treasury Bonds under Optimal Trading Strategy.
Table 3. Defaultable Bond Prices under Optimal Trading Strategy. 42
Table 4. Tax-timing Option Value of Defaultable Bonds under Optimal Trading Strategy.
Table 5. Effects of Transaction Costs on the Tax-timing Option Value of Par Bonds.
Table 6. Summary Statistics of One-month Treasury Bill Rates (%).
Table 7. Defaultable Bond Prices under Optimal Trading Strategy. 48
Table 8. Tax-timing Option Value of Defaultable Bonds under Optimal Trading Strategy.
Table 9. Tax-timing Option Value with Different Default Probabilities.
Table 10. Tax-timing Option Value with Different Recovery Rates.
Table 11. Tax-timing Option Value with Two Trading Intervals Per Year.
Table 12. Estimates of Default Probabilities When Tax-timing Options Are Ignored.
Table 13. Estimates of Implied Tax Rates When Tax-timing Options Are Ignored.
Chapter 3
Table 1. Summary Statistics of Monthly Stock Returns for Asian Markets. 69
Table 2. Correlation Matrix of EPUs for Various Markets. 71
Table 3. Estimates of Excess Stock Returns on Conditional Volatility, Downside Risk, and Dividend Yield. 74
Table 4. Estimates of Excess Stock Returns on Expected Volatility, Downside Risk, and Economic Policy Uncertainty. 76
Table 5. Estimates of Excess Stock Returns on Conditional Volatility, Downside Risk, and Japan ΔEPU in Asian Markets.
Table 6. Estimates of Excess Stock Returns on Conditional Volatility, Downside Risk, and the Europe ΔEPU in Asian Markets.
Table 7. Estimates of Excess Stock Returns on Conditional Volatility, Downside Risk, and the US ΔEPU in Asian Markets.
Table 8. Estimates of Excess Stock Returns on Conditional Volatility, Downside Risk, and Global ΔEPU in Asian Markets.
Table 9. Robustness Test of Excess Stock Returns on Conditional Volatility, Downside Risk, and Global Log-EPU in Asian Markets.
Chapter 4
Table 1. Breusch–Godfrey Test. 96
Table 2. 25 Size-B/M Portfolio. 97
Table 3. 25 Size-Inv Portfolio.
Table 4. 25 Size-OP Portfolio.
Table 5. 32 Size-OP-Inv Portfolio 22mm.
Chapter 5
Table 1. Domestic Market Shares of Main Mongolian Banks. 111
Table 2. Framework for Corporate Social Responsibility Disclosure. 118
Table 3. Sample Distribution and Data Availability. 125
Table 4. Definitions of Variables and Expected Signs of Coefficients in the Regressions. 127
Table 5. Corporate Social Responsibility Disclosure Index by Year. 129
Table 6. Descriptive Statistics for All Variables. 131
Table 7. Correlation Matrix Analysis. 132
Table 8. Tests for Differences in Mean and Median of CSR Categories between Large and Small-medium Banks. 135
Table 9. Tests for Differences in Mean and Median of CSR Indexes and Financial Performance Measurement between CEO Duality Banks and CEO Non-duality Banks.
Table 10. Test for Differences in Mean and Median of Financial Performance Measurements between Higher and Lower CSR Banks. 136
Table 11. Regression Analysis for CSRQD and CFP without Lagged Independent Variables. 137
Table 12. Regression Analysis for CSRRD and CFP without Lagged Independent Variables. 141
Table 13. Regression Analysis for CSRQD and CFP with Lagged Independent Variables. 144
Table 14. Regression Analysis for CSRRD and CFP with Lagged Independent Variables. 147
Chapter 6
Table 1. Summary Statistics. 169
Table 2. Summary Statistics for Intraday Trading Periods. 170
Table 3. Estimation of the Return-signed Volume VAR for On-the-run Issues.
Table 4. Estimation of the Volatility–volume VAR Model for On-the-run Issues.
Table 5. Estimation of the Return-signed Volume VAR for Off-the-run Issues.
Table 6. Estimation of the Volatility–volume VAR for Off-the-run Issues.
Table 7. WACD Estimation for Five-year Treasury Notes.
Table 8. Decomposition of Volatility into Informed and Uninformed Components. 189
Table 9. Price Contribution and Efficiency. 193
Table 10. Regression of Effective Spread on Informed Volatility and Volume. 195
Chapter 7
Table 1. NPA and Advances as Percent of GDP and as Percent of Total Advances. 206
Table 2. Macroeconomic Variables Relevant to all Three Groups of Banks. 207
Table 3. Descriptive Statistics. 208
Table 4. Results from POLS Model. 209
Chapter 8
Table 1. Selection of Sample of Delisting Subsidiaries. 216
Table 2. Descriptive Statistics. 217
Table 3. Results of Univariate Analysis 218
Table 4. Results of Logit Regression. 219
Table 5. Results of Logit Regression with Sales Growth Variable. 220
Table 6. Correlation Coefficients among Variables. 221
Chapter 9
Table 1. Parameter Values. 228
Chapter 10
Table 1. Definitions and Distribution of Fitch’s Bank Individual Ratings (FBRs). 238
Table 2. Distribution of Sample Banks by Country. 239
Table 3. Summary Statistics on Bank Leverage. 240
Table 4. Credit Rating Upgrades and Downgrades. 241
Table 5. Bank Leverage near Credit Rating Changes: Gradation among Rating (GAR) Tests. 244
Table 6. Bank Leverage near Credit Rating Changes: Credit Score Tests. 245
Table 7. Bank Leverage near Credit Rating Changes: Investment Grade vs Speculative Grade. 246
Table 8. Bank Leverage Levels following Credit Rating Changes. 247
Table 9. Robustness Tests: Based on Propensity Score Matching Procedure. 248
Chapter 11
Table 1. Macroeconomic Indicators. 263
Table 2. Worldwide Doing Business Indicators. 265
Table 3. Worldwide Governance Indicators. 266
Table 4. Total Loans, Provisions for Nonperforming Loans, and Nonperforming Loans. 269
Table 5. Commercial Loans, Consumer Loans, and Housing Loans. 271
Table 6. Net Income and Administrative Expenses. 273
Table 7. Standard Deviation of ROA and Logz.

List of Contributors

Peter Huaiyu Chen Youngstown State University, USA
Thomas C. Chiang Drexel University, USA
Stephan Dieckmann University of Pennsylvania, USA
Yoke-Kee Eng Universiti Tunku Abdul Rahman, Malaysia
Amy Yueh-Fang Ho National Chung Cheng University, Taiwan
Yu-Jen Hsiao Taipei Medical University, Taiwan
T. K. Jayaraman Universiti Tunku Abdul Rahman, Malaysia
Naoyuki Kaneda Gakushuin University, Japan
Chin-Yu Lee Universiti Tunku Abdul Rahman, Malaysia
Hsin-Yu Liang Feng Chia University, Taiwan
Yueh-Lung Lin University of Nottingham Ningbo, China
Hsuan-Yu Liu National Tsing Hua University, Taiwan
Sheen X. Liu Washington State University, USA
Kasing Man Western Illinois University, USA
Cheong-Fatt Ng Universiti Tunku Abdul Rahman, Malaysia
Lei Qin University of International Business and Economics, China
Alejandro Serrano Penn State University, Abington, USA
Tumenjargal Tumurbaatar Janchivlan Top Spring LLC, Mongolia
Cindy S. H. Wang National Tsing Hua University, Taiwan
Junbo Wang City University of Hong Kong, HKSAR
Chin-Yoong Wong Universiti Tunku Abdul Rahman, Malaysia
Chunchi Wu State University of New York at Buffalo, USA
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