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1 – 10 of over 1000Hung-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 stock markets…
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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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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Haobo Zou, Mansoora Ahmed, Quratulain Tariq and Komal Akram Khan
The real estate markets may be significantly influenced by the uncertainty in global economic policy. This paper aims to evaluate the time-varying connectedness between global…
Abstract
Purpose
The real estate markets may be significantly influenced by the uncertainty in global economic policy. This paper aims to evaluate the time-varying connectedness between global economic policy uncertainty and regional real estate markets to understand how regional real estate markets and uncertainty in global economic policy are related throughout time.
Design/methodology/approach
The current study includes the monthly data from April 2007 to August 2022 of major regions (i.e. Asia Pacific, Europe, Africa, North America and Latin America). Moreover, the authors use the time-varying parameter vector auto-regression (TVP-VAR) approach for the analysis.
Findings
The finding revealed a significant level of connectedness among global economic policy uncertainty and selected regional real estate markets. The result highlights more than 80% connectivity between the two variables, which makes the current study valuable. Furthermore, results determine Africa and North America are the shock transmitters; thus, they are considered safe-haven for investors to invest in these markets.
Originality/value
The main novelty is that this research highlights the time-varying connectedness between global economic policy uncertainty and five regional real estate markets (Africa, Asian Pacific, Europe, Latin America and North America) using TVP-VAR. Furthermore, the authors used the standard and poor daily real estate investment trust (REIT) indices for the selected REIT markets. Finally, this research suggests practical implications for real estate investors, property developers, stakeholders, policymakers and managers to revise their current policies to maintain the real estate market stability during economic and political uncertainty or in other uncertain situations.
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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 January 2000…
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.
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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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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.
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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 prosocial…
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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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 rewards can…
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.
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…
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.
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