Index
Advances in Pacific Basin Business, Economics and Finance
ISBN: 978-1-83867-364-2, eISBN: 978-1-83867-363-5
ISSN: 2514-4650
Publication date: 9 September 2020
This content is currently only available as a PDF
Citation
(2020), "Index", Lee, C.F. and Yu, M.-T. (Ed.) Advances in Pacific Basin Business, Economics and Finance (Advances in Pacific Basin Business, Economics and Finance, Vol. 8), Emerald Publishing Limited, Leeds, pp. 237-242. https://doi.org/10.1108/S2514-465020200000008012
Publisher
:Emerald Publishing Limited
Copyright © 2020 Emerald Publishing Limited
INDEX
Abnormal return
, 143
Accounting performance
, 123–124
Adjusted return (AR)
, 135
Artificial intelligence (AI) method
, 24–25
Artificial neural network (ANN) model
, 28–30
artificial intelligence (AI) method
, 24–25
in-sample performance
, 39–44
model specification
, 38
out-of-sample risk forecast
, 44–49
ASEAN Economic Community (AEC)
, 150–151
Asset pricing
, 67
Autoregressive conditional heteroscedastic (ARCH)
, 27–28
Autoregressive moving average, generalized autoregressive conditional heteroscedasticity (ARMA-GARCH) model
artificial neural network (ANN) model
, 25, 27–28, 46–49
in-sample performance
, 39
root-mean-squared-error (RMSE)
, 39
samples
, 32–33
The Basel Committee on Banking Supervision
, 2019, 26
Bid–ask spreads
, 3–4
Black box hypothesis
, 202
Black–Scholes option pricing formula
, 53
Bloomberg Barclays US Aggregate Bond Index
, 31
Body mass index (BMI)
, 182
Bond analysis
, 67
Bond momentum
, 71
excess returns
, 90–91
liquidity
, 66, 87–88
longer holding periods
, 76
rating
, 73–74
subperiods
, 84–86
Trading Reporting and Compliance Engine (TRACE)
, 75
Buy-and-hold returns (BHR)
, 134–135
Capital structure theories
pecking order theory (POT)
, 151–152
trade-off theory (TOT)
, 151
Cash holdings
, 104
Category-based thinking
, 3
China stock market and Accounting Research (CSMAR)
, 8, 11–12
Chinese economy
, 201
Christoffersen’s test
, 35
Closed-form option pricing formula
model setting
, 55–56
moment generating function
, 57–58
option pricing formula
, 56–60
Component-driven regime switching (CDRS) models
, 54–55, 61–62
Computable general equilibrium (CGE)
, 215
Constant Difference of Elasticities (CDE)
, 216
Constant elasticity of substitution (CES)
, 216
Controlling shareholders
corporate governance
, 107–109
firm attributes
, 105–107
market condition
, 107
Control system
, 202
Control variables
, 182, 183
Corporate bond market
asset pricing
, 67
bond analysis
, 67
bond momentum
, 71, 73–74
cross-sectional regression cests
, 94–95
different return horizons
, 72–75
empirical results
, 69–91
excess returns
, 90–91
factors loading
, 92–93
Fama-French five factors
, 89
Fixed Investment Securities Database (FISD)
, 67, 68
health maintenance organizations (HMOs)
, 68
The Lehman Brothers Fixed Income Database (LBFI)
, 67, 69
liquidity
, 83, 87–88
longer holding periods
, 76–81
momentum effects
, 72–75, 89–91
National Association of Insurance Commissioners Database (NAIC)
, 67, 69
risk-adjusted momentum returns
, 66
short-term momentum returns
, 66
statistics
, 70
subperiods
, 75–86
Trading Reporting and Compliance Engine (TRACE)
, 67–69, 75–83
Corporate governance
, 107–109
board seats
, 108
cash flow right
, 108
cooperative
, 109
family-controlled firms
, 109
professional managers
, 108–109
state-controlled firms
, 109
types
, 108–109
Correlation matrix
, 10
Cross-sectional regression cests
, 94–95
Cumulative abnormal returns
, 143
Cumulative average return (CAR)
, 135
Data snooping
, 44
Discrete stochastic autoregressive volatility (DSARV) models
, 54–55, 59–60
Dynamic panel data (DPD)
, 157–158
Economic globalization
, 205–206
Equal-weighted portfolios
adjusted return (AR)
, 135
book-to-market
, 138
cumulative average return (CAR)
, 135
distribution
, 135
holding-period returns
, 137–138
long-run stock returns
, 137–138, 139–141
Excess returns
, 90–91
Expected shortfall (ES)
, 26–27
Expected tail loss (ETL)
, 23–24
Fama-French factor model
, 6–7, 89, 143–147
Financial Services Authority (FSA)
, 102
Firm attributes
, 105–107
capital
, 105
credit rating
, 106–107
leverage
, 106
Firm characteristics/capital structure
, 150–151
data sample
, 154
descriptive statistics
, 156–157
dynamic model specification
, 154–155
empirical model
, 157–158
empirical results and discussion
, 158–159
expected impacts
, 153
hypotheses
, 152–153
nondebt tax shields
, 153
postestimation efficiency tests
, 155–156
profitability
, 152
size
, 152
tangibility
, 153
theories
, 151–152
variables
, 154
Fixed Investment Securities Database (FISD)
, 67–68
Force field hypothesis
, 203
Forecasting accuracy
, 33–34
Generalized method of moments (GMM)
, 150
Global Trade Analysis Project (GTAP)
, 217
Global village model
, 205
Governance variables
, 11–12
Health maintenance organizations (HMOs)
, 68
Holding-period returns (HPRs)
, 134
Human capital investment
, 177–178
Information components
, 11
Information efficiency
, 4
Information system
, 202
Initial Public Offering (IPO)
, 163–164
initial return
, 164
Malaysia
, 164
offer price
, 164
trading volume
, 164–165
Initial returns
, 164
descriptive statistics
, 170
D1IRi
, 168
D2PSi
, 168
D3PSi
, 168
hierarchical regression
, 172
regression
, 171
Investor opinion divergence
, 6–8
Japanese seasoned equity offerings
, 131–133
data and methodologies
, 133–135
equal-weighted portfolios
, 135–142
Fama-French three-factor
, 143–147
value-weighted portfolios
, 142–143
Kupiec’s test
, 35, 39–41
Large closed economy model
, 204
Leapfrogging strategy
, 229–231
The Lehman Brothers Fixed Income Database (LBFI)
, 67, 69
Levenberg–Marquardt backpropogation training function
, 38
Liquidity
, 83, 87–88
Logit models
, 119–121
Long-run performance
, 132
Malaysian IPO
, 164
Market
black box hypothesis
, 202
control system
, 202
exchange activity
, 202–203
force field hypothesis
, 203
information system
, 202
institution
, 202
place and integral sum
, 202–203
production coordinating mechanism
, 202
transactions
, 202–203
Market conditions, controlling shareholders
, 107
beta
, 107
share price
, 107
Market ownership
, 206
Market property right
, 203–204
closed economy
, 204
cost components
, 206–209
economic significance
, 210–211
execution and operation costs
, 207–209
extremely simple market transaction model
, 204
global village model
, 205
market establishment cost
, 207–209
monitoring cost
, 207–209
multicountry open economy model
, 205
two-country open economy model
, 205
Markov switching multifractal (MSM)
, 55, 59, 61
Markov switching stochastic volatility (MSSV) models
Black–Scholes option pricing formula
, 53
closed-form option pricing formula
, 55–60
component-driven regime switching (CDRS) models
, 54–55, 61–62
discrete stochastic autoregressive volatility (DSARV) models
, 54–55, 59–60
empirical example
, 60–62
generalized autoregressive conditional heteroscedasticity (GARCH) models
, 53
Markov switching multifractal (MSM)
, 55, 59, 61
mean-squared-error (MSE)
, 62
root-mean-squared-error (RMSE)
, 61–62
Mean Absolute Error
, 33
Mean-squared-error (MSE)
, 62
Microstructure theory
, 5
Momentum effects
, 72–75, 89–91
Monash-type investment function
, 216
Multicountry open economy model
, 205
Multivariate regressions
, 10–11
National Association of Insurance Commissioners Database (NAIC)
, 67, 69
Neural Network Toolbox of MathWorks
, 38
Nontariff trade barriers (NTBs)
, 215, 217
Opinion divergence
, 4–6
Option pricing formula
, 56–60
Ordinary least squares (OLS)
, 150, 182
Oversubscription ratio/trading volume
data and methodology
, 166–169
definition
, 164
descriptive statistics
, 169–170
initial return
, 169–170
Pacific-Basin Capital Market (PACAP)
, 134
Pecking order theory (POT)
, 151–152
Physical activities
Asian and Western societies
, 178
body mass index (BMI)
, 182
children and adolescents
, 178
control variables
, 182–183
data source
, 184
data statistics
, 187–189
dummy variables
, 186
frequency grid
, 189
gross domestic product (GDP)
, 181
gross national product (GNP)
, 181
instrumental variable (IV) approach
, 179
intensity of participation
, 185
Mincer’s earning function
, 182
ordinary least squares (OLS)
, 182
participation and intensity
, 179, 185, 190–192
persistent participation
, 185–187, 192–195
starting salary
, 190
variable and indicators
, 184–187
Pooling regressions
, 14
Production coordinating mechanism
, 202
Rate of return (ROR)
, 216
Return on assets (ROA)
, 103–104, 111
Return on equity (ROE)
, 103–104, 110
Risk-adjusted momentum returns
, 66
Robustness checks
, 15–17
Root-mean-squared-error (RMSE)
, 61
Seasoned equity offerings (SEOs)
, 132
abnormal return
, 135–137
distribution
, 135, 142
holding-period returns
, 135, 138
long-run stock returns
, 135, 139, 141
underperformance
, 133
Self-sufficiency
, 229–231
SEOs. See Seasoned equity offerings (SEOs)
Short-term momentum returns
, 66
Small closed economy model
, 204
Stock pledging
accounting performance
, 123–124
cash holdings
, 104
controlling shareholders
, 105–109
correlation matrix
, 118
data availability
, 102–103
determinants
, 114–119
financial performance
, 124–127
Financial Services Authority (FSA)
, 102
firm performances
, 123–127
logit models
, 119–121
methodology
, 111–114
return on assets (ROA)
, 103–104
return on equity (ROE)
, 103–104
sample selection
, 109–111
share financing
, 100
tobit models
, 122–123
working capital
, 104
Stock price movements
bear and bull markets
, 12–15
bid–ask spreads
, 3–4
China stock market and Accounting Research (CSMAR) database
, 8
correlation matrix
, 10
data
, 8
governance variables
, 11–12
information components
, 11
information efficiency
, 4
investor opinion divergence
, 3, 6–8
market environments
, 5
market microstructure theory
, 1
measuring
, 6
microstructure theory
, 5
multivariate regressions
, 10–11
opinion divergence
, 4–6
pooling regressions
, 14
proxies
, 9
robustness checks
, 15–17
statistics
, 9
traditional asset pricing theory
, 2
Stock return volatility
, 3–4
Subperiods
analysis
, 75–83
ratings
, 84–86
Taiwanese business enterprises
, 215–216
Taiwan Higher Education Dataset (THED)
, 178–179
Taiwan’s macro economy
, 219
Tobit models
, 122–123
Tokyo Stock Exchange (TSE)
, 132, 133
Trade diversion
, 215, 220
Trade-off theory (TOT)
, 151
Trade shocks
, 217–218
Trading Reporting and Compliance Engine (TRACE)
, 67–68, 69, 75–83, 95
Traditional asset pricing theory
, 2
Two-country open economy model
, 205
US–China trade war, spillover effect
closure
, 217
computable general equilibrium (CGE)
, 215
foreign direct investment (FDI)
, 215–216, 224–225
market share
, 226–228
nontariff trade barriers (NTBs)
, 215
policy implications
, 229–231
recursive dynamic framework
, 216–217
sectoral shifts
, 220–223
Taiwan’s macro economy
, 219
Taiwan total exports
, 221–222
Taiwan total imports
, 221, 223
trade shocks and empirical works
, 217–218
trade similarity index
, 226–228
US, Mexico, and Canada (USMCA) Trade Agreement
, 223–224
Value at risk (VaR)
artificial intelligence (AI) method
, 24–25
artificial neural network (ANN)
, 24–25
assessments
, 25–26
autoregressive moving average, generalized autoregressive conditional heteroscedasticity (ARMA-GARCH) model
, 24–25
backtesting
, 34–36
expected shortfall
, 26–27
expected tail loss (ETL)
, 23–24
forecasting accuracy
, 33–34
measurement approaches
, 27–28
model assessment
, 33–38
risk properties
, 25–26
Value-weighted portfolios
abnormal return (AR)
, 143
cumulative abnormal returns (CAR)
, 143
distribution
, 142–143
three-factor regressions
, 142–143, 145–146
and value weighted buy-and-hold
, 142–144
Variance infiation factor (VIF)
, 157
Violation ratio
, 35
- Prelims
- Divergent Opinion, Trading Information, and Stock Price Co-movements
- Assessing Asset Tail Risk with Artificial Intelligence: The Application of Artificial Neural Network
- Option Pricing with Markov Switching Stochastic Volatility Models
- Further Evidence of Momentum in Corporate Bond Returns
- The Causes and Consequences of Stock Pledging by Controlling Shareholders: The Case of Taiwan
- Japanese SEOs Before the Lost Decade: A Revisit of the Long-Run Stock Performance
- Firm Characteristics and Capital Structure: Evidence from ASEAN-4 Economies
- Impact of Oversubscription Ratio and Trading Volume on IPO First THREE-day Initial Return
- Does Participating in Physical Activities Raise Starting Salaries of Female College Graduates? Evidence from an Asian Society
- On Market Property Right, Its Cost Components and Economic Significance
- The Spillover Effect of the US–China Trade War on Taiwan's Economy
- Index