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Book part
Publication date: 27 November 2017

Hung-Chi Li, Syouching Lai, James A. Conover, Frederick Wu and Bin Li

Lai, Li, Conover, and Wu (2010) propose a four-factor financial distress model to explain stock returns in the U.S. and Japanese markets. We examine this model in the…

Abstract

Lai, Li, Conover, and Wu (2010) propose a four-factor financial distress model to explain stock returns in the U.S. and Japanese markets. We examine this model in the stock markets of Australia, and six Asian markets (Hong Kong, Indonesia, Korea, Malaysia, Singapore, and Thailand). We find broad empirical support for the four-factor financial distress risk asset-pricing model in those markets. The four-factor financial distress asset pricing model improves explanatory power beyond the Fama–French (1993) three-factor asset pricing model in six of the seven Asian-Pacific markets (12 of 14 portfolio groupings), while the Carhart (1997) momentum-based asset pricing model only improves explanatory power beyond the Fama–French model in three of the seven markets (4 of 14 portfolio groupings).

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Growing Presence of Real Options in Global Financial Markets
Type: Book
ISBN: 978-1-78714-838-3

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Article
Publication date: 2 August 2013

Chonghui Jiang, Yongkai Ma and Yunbi An

The main purpose of this paper is to investigate whether Chinese investors can benefit from international diversification and where these benefits are to be found.

Abstract

Purpose

The main purpose of this paper is to investigate whether Chinese investors can benefit from international diversification and where these benefits are to be found.

Design/methodology/approach

This paper applies an expanding optimization procedure, which is different from the econometric methods or Monte Carlo simulations adopted in many empirical investigations in the literature. The authors' analysis is based on various realized portfolios that are set up at different dates in the sample period.

Findings

Based on a stream of realized portfolios, the authors show that Chinese investors can gain substantially in terms of risk reduction as they venture into foreign markets, regardless of the region into which they choose to diversify and whether in‐sample or out‐of‐sample performance is evaluated. However, the optimal strategies under consideration cannot achieve higher out‐of‐sample expected returns and risk‐adjusted returns than does the domestic investment.

Originality/value

In contrast with those in the literature, the authors' analysis is based on the out‐of‐sample performance of a series of realized optimal portfolios. Their method can address time‐varying correlations that are ignored in most previous research. In addition, this method not only allows them to analyze sizes of diversification benefits but also enables them to examine the major characteristics of international portfolios to gauge the effectiveness of different diversification strategies.

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China Finance Review International, vol. 3 no. 3
Type: Research Article
ISSN: 2044-1398

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Article
Publication date: 7 August 2017

Nisha Mary Thomas, Smita Kashiramka and Surendra S. Yadav

The purpose of this paper is to investigate the long-run equilibrium relationship between developed, emerging and frontier markets of the Asia-Pacific region during…

Abstract

Purpose

The purpose of this paper is to investigate the long-run equilibrium relationship between developed, emerging and frontier markets of the Asia-Pacific region during January 2000 to June 2016.

Design/methodology/approach

Zivot and Andrews’ unit root test is used to examine the existence of unit root in index series in the presence of a structural break. Gregory and Hansen’s test of cointegration is employed to examine the stable long-run relationship between the indices under study.

Findings

The results suggest that the emerging markets of China and Thailand and the frontier markets of Sri Lanka and Pakistan are fairly segmented from most of the markets in the Asia-Pacific region. Hence, these markets provide good diversification opportunities to global investors. Bidirectional cointegration analysis indicates that emerging and frontier markets influence developed markets. Hence, it can be inferred that the de facto position that only bigger markets influence small markets no longer holds true in the current environment.

Practical implications

The findings of this study will provide valuable inputs to global investors for creating an optimal investment portfolio.

Originality/value

This study does a comprehensive examination of market integration in the Asia-Pacific region. It also contributes to the thin body of work done on frontier markets. Unlike past studies, this paper analyzes the bidirectional cointegration relationship to examine if the notion that only bigger markets influence smaller markets holds true or not. Finally, this study employs advanced techniques of unit root test and cointegration test that consider structural breaks in the models.

Details

Journal of Advances in Management Research, vol. 14 no. 3
Type: Research Article
ISSN: 0972-7981

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Book part
Publication date: 27 November 2017

Abstract

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Growing Presence of Real Options in Global Financial Markets
Type: Book
ISBN: 978-1-78714-838-3

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Article
Publication date: 1 March 2021

Md. Saifur Rahman and Shahari Farihana

This paper aims to examine whether the US influences the ASEAN + 3 financial market integration.

Abstract

Purpose

This paper aims to examine whether the US influences the ASEAN + 3 financial market integration.

Design/methodology/approach

A two-stage cointegration test is used in the estimation by using equity indices from selected member economies and the USA.

Findings

The finding of this study shows that the equity markets of ASEAN + 3 are integrated especially after the Asian crisis period reflecting the regional cooperation. There is a strong market nexus between ASEAN + 3 and the USA, but the ASEAN + 3 financial cooperation agreement does not depend on the US financial market.

Originality/value

The study offers invaluable policy implications for developing the nexus in the regional equity markets.

Details

Journal of Financial Economic Policy, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1757-6385

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Article
Publication date: 1 February 2013

George Milunovich and Stefan Trück

The purpose of this paper is to investigate contagion between real estate investment trusts (REITs) within and across three geographical regions: North America, Europe and…

Abstract

Purpose

The purpose of this paper is to investigate contagion between real estate investment trusts (REITs) within and across three geographical regions: North America, Europe and Asia‐Pacific. The paper also examines excess comovement between the considered national REIT markets on the one hand, and broad equity indices on the other. In particular, the authors are interested in contagion between the considered markets during the 2007‐2009 GFC period in comparison to the entire 2004‐2011 sample period.

Design/methodology/approach

Using an international factor pricing framework similar to Bekaert, Harvey and Ng, the paper defines contagion as excess comovement between two financial markets, after removing the effects of the underlying economic fundamentals, i.e. risk factors, and time‐changing volatility. Controlling for economic factors is important for distinguishing between pure contagion and information spillovers, which may transmit through existing economic channels. The authors then analyse excess correlations between the derived standardized residuals, for REITS and equity markets in order to investigate excess comovement between the indices during the whole sample and GFC period.

Findings

The paper finds no evidence of excess comovement between the considered REIT and equity indices during non‐crisis sample intervals. However, the paper finds contagion between several national REITs and regional or global equity markets during the GFC period. The paper reports statistically significant excess correlations between national REITs and regional and world real estate markets during the entire sample period, while there is only limited evidence to suggest that the correlation amongst REIT markets has increased during the GFC period. The paper concludes that a similar degree of dependence persisted among national REIT markets over the crisis and non‐crisis sample periods for most markets.

Originality/value

Despite the ongoing debate on contagion in financial markets, there is only a small body of literature investigating contagion specifically for property or real estate markets. This is even more surprising, since the GFC originated from a subprime mortgage crisis and was, therefore, heavily related to real estate. The paper extends the literature by testing for contagion between REITs considering eleven national markets across three geographical regions. In contrast, the existing literature is typically constrained to a significantly smaller number of markets. The paper also explicitly takes into account the impact of the recent GFC, and tests for contagion over this period.

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Journal of Property Investment & Finance, vol. 31 no. 1
Type: Research Article
ISSN: 1463-578X

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Article
Publication date: 18 August 2020

Darshana Darmalinggam and Maniam Kaliannan

The purpose of this study is to explore the internalized dimension of motivation under the Unified Model of Vegetarian Identity (UMVI) model, namely, personal and…

Abstract

Purpose

The purpose of this study is to explore the internalized dimension of motivation under the Unified Model of Vegetarian Identity (UMVI) model, namely, personal and prosocial motivators, for vegetarianism that spurs economic growth in the Malaysian vegetarian market potential.

Design/methodology/approach

Semi-structured online questionnaire was adopted as the primary methodology from which a total of 163 respondents were obtained.

Findings

Both, personal and prosocial motivators do positively relate to the economic growth of the Malaysian vegetarian market potential. However, prosocial motivators has a greater impact with a beta coefficient of 0.374 compared to 0.273 for personal motivators.

Research limitations/implications

Probable inaccurate representation of the entire vegetarian population in Malaysia. Time and resources available.

Practical implications

Practically, the Malaysian vegetarian society and Malaysian government bodies benefit from the study in ensuing promotion of environmental awareness in line with a vegetarian diet.

Originality/value

Lack of literature resources on vegetarianism in Malaysia led to the study contributing to an expansion of literature on the matter. This pioneer study benchmarks global literatures on motivators of vegetarianism and their impact on economy against the scarce literatures available in the Malaysian context. It contributes to the Malaysian economy and potential vegetarian restaurant start-ups wishing to enter the Malaysian vegetarian market. Theoretically, the theory of planned behaviour, utilitarian function and the UMVI were jointly utilised in explaining the motivators capturing Malaysian vegetarians' intention towards demand for vegetarian food.

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International Journal of Social Economics, vol. 47 no. 9
Type: Research Article
ISSN: 0306-8293

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Book part
Publication date: 21 July 2004

C. Janie Chang, Chin S. Ou and Anne Wu

To survive in the turbulent, global business environment, companies must apply strategies to increase their competitiveness. Expectancy theory indicates that salary…

Abstract

To survive in the turbulent, global business environment, companies must apply strategies to increase their competitiveness. Expectancy theory indicates that salary rewards can motivate employees to achieve company objectives (Vroom, 1964). First, we develop an analytical model to predict that companies using a high-reward strategy could outperform those using a low-reward strategy. Then, we obtain archival data from banking firms in Taiwan to test the proposed model empirically. We control the effects of operating scale (firm size) and assets utilization efficiency (assets utilization ratio). Empirical results show that salary levels and assets utilization efficiency significantly affect banks’ profitability.

Details

Advances in Management Accounting
Type: Book
ISBN: 978-0-76231-118-7

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Article
Publication date: 11 September 2017

Byung-In Park and Hokey Min

In times of increasing shipping risks and uncertainty, the purpose of this paper is to analyze fiercely competitive shipping markets in the Asia-Pacific region and help…

Abstract

Purpose

In times of increasing shipping risks and uncertainty, the purpose of this paper is to analyze fiercely competitive shipping markets in the Asia-Pacific region and help the carriers develop the optimal pricing schemes, shipping networks (e.g. routes and shipping frequency), and future investment plans.

Design/methodology/approach

This paper develops viable maritime logistics strategies based on the non-cooperative game theory which determines the optimal vessel size/type, shipping route, and shipping frequency, while taking into account multiple cost components and unpredictable shipping market dynamics.

Findings

This study revealed that the container carrier’s optimal shipping strategy was insensitive to changes in freight rates, fuel prices, and loading/unloading fees at the destination ports. However, it tends to be more sensitive to an increase in the shipping volume than the aforementioned parameters. In other words, aggressive pricing schemes and drastic cost-cutting measures alone cannot enhance carrier competitiveness in today’s shipping markets characterized by overcapacity and weak demand.

Originality/value

This paper is one of a few attempts to identify a host of factors influencing the container carrier’s competitiveness using the game theory and develop an optimal shipping strategy in the presence of conflicting interests of multiple stakeholders (e.g. carriers, shippers, and port authorities). To validate the rigor and usefulness of the proposed game-theoretic model, the authors also experiment it with an actual case study of container carriers serving the Northeast Asian shipping market.

Details

Asia Pacific Journal of Marketing and Logistics, vol. 29 no. 4
Type: Research Article
ISSN: 1355-5855

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Article
Publication date: 3 July 2009

Arun Kumar Misra and Jitendra Mahakud

Financial sector reform measures, which were initiated in 1991, have provided some degree of maturity and integration of different segments of India's financial markets

Abstract

Purpose

Financial sector reform measures, which were initiated in 1991, have provided some degree of maturity and integration of different segments of India's financial markets. The purpose of this paper is to articulate the impact of financial sector reform measures on integration of various segments of financial markets in India.

Design/methodology/approach

The paper surveys various methodologies for measurement of financial integration and uses the recently developed technique of co‐integration in a VAR framework to assess the extent of integration of various segments of India's financial markets.

Findings

The paper concludes that the financial market integration is inconclusive in India. Only a few segments of money market, Gilt market and foreign exchange market are integrated. Interest rate parity does not hold in India's case, which indicates poor evidence in support of international integration of domestic financial markets. Similarly, the analysis of the relationship between domestic saving and domestic investment does not support international integration. The study of co‐integration of Nasdaq and Bombay sensitive index (BSE), also revealed absence of international integration.

Research limitations/implications

Owing to non‐availability of time series data, the paper could not consider the mutual fund market, pension market and various derivatives markets in the overall process of assessment of financial integration. However, the impact on the findings is minimal, as these markets are not so far developed in India.

Practical implications

The findings have significant practical implications particularly in the formulation of policies on management and interventions in the money market, foreign exchange and equity markets and in the overall formulation of monetary policy for the economy.

Originality/value

This paper presents a quite comprehensive research study on financial integration in India and is original, particularly in the area of application of the co‐integration technique for assessment of financial integration.

Details

International Journal of Emerging Markets, vol. 4 no. 3
Type: Research Article
ISSN: 1746-8809

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