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1 – 10 of over 2000This study aims to observe the extent of asset diversification benefits in the Association of Southeast Asian Nations (ASEAN)-5 market by examining the effect of financial…
Abstract
Purpose
This study aims to observe the extent of asset diversification benefits in the Association of Southeast Asian Nations (ASEAN)-5 market by examining the effect of financial integration (FI) and financial development (FD) on domestic stock–bond co-movements, SBcorr.
Design/methodology/approach
The dynamic conditional correlation - multivariate generalized autoregressive conditional heteroskedasticity (DCC-MGARCH) technique is adopted to construct FI and stock−bond co-movement variables. Then, the study uses static panel data analysis to examine the effect of FI on stock−bond co-movements.
Findings
FI does not provide asset diversification benefits due to high country risks in ASEAN-5. However, when FI is moderated by FD, FI × FD, the study shows that FI × FD provides higher asset diversification benefits in ASEAN-5.
Originality/value
This study shows the importance of incorporating the level of FD when assessing the effect of FI on stock–bond co-movements in ASEAN-5. In the presence of FI, a well-diversified investor should always consider the state of FD, which will show a better representation of asset diversification strategy in the emerging markets. Additionally, policymakers of ASEAN-5 countries should prioritise enhancing their financial system to attract more investment into the countries.
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Wajid Shakeel Ahmed, Muhammad Shoaib Khan, Muhammad Jibran Sheikh and Inzamam Khan
This particular study examined the government bond price variations in order to determine the presence of excess volatility both at country and panel group level of BRICS…
Abstract
Purpose
This particular study examined the government bond price variations in order to determine the presence of excess volatility both at country and panel group level of BRICS countries context.
Design/methodology/approach
The study applied the autoregressive GARCH panel model approach proposed by Fakhry and Richter (2015) to evaluate the presence of excess volatility and then examined the diversification benefits. Further, the use of discrete wavelet transformation (DWT) has added the advantage to observe volatility across bonds along with potential diversification benefits by retaining information from the time and frequency domain perspective for both the maturities.
Findings
The main finding indicates that the excess volatility is present in BRICS countries at individual level i.e. in the case of Russia, India and China. However, the 10-year bond showing a less volatility compared to 5-year bond with the possibility of reaping out the benefits of diversification with international portfolio of sovereign bonds.
Practical implications
The main implication of the research is related to the non-perseverance of EMH as far sovereign bonds of BRICS countries are concerned as the results indicate presence of excess volatility in the 5-year and 10-year bond markets. However, the implicit behavior of 5-year bond could benefit the active fund managers and investors by taking an advantage of a reducing systemic risk through short-medium term investments.
Originality/value
This study contributes not only to the existing studies of similar nature by examining the excess volatility in bond markets but also taking account of co-moment of distinct maturities to confirm possible international diversification benefits for BRICS countries context.
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Vaseem Akram and Rohan Mukherjee
The main purpose of this paper is to examine the convergence hypothesis of House Price Index (HPI) in the case of 18 major Indian cities for the period 2014–2019.
Abstract
Purpose
The main purpose of this paper is to examine the convergence hypothesis of House Price Index (HPI) in the case of 18 major Indian cities for the period 2014–2019.
Design/methodology/approach
To attain the authors main goal, this study applies a clustering algorithm advanced by Phillips and Sul. This test creates a club of convergence based on the growth of the cities in terms of HPI.
Findings
The study findings show the existence of two convergence clubs and one non-convergent group. Club 1 includes the cities with high HPI growth, whereas club 2 comprises of cities with least HPI growth. Cities belonging to the non-convergent group are neither converging nor diverging.
Practical implications
This study findings will benefit home buyers, sellers, investors, regulators and policymakers interested in the dynamic interlinkages of house price (HP) among Indian cities.
Originality/value
The majority of the studies are conducted in the case of China at the province or city levels. Furthermore, in the case of India, none of the studies has investigated the HP club convergence across Indian cities. Therefore, the present study fills this research gap by examining the HP club convergence across Indian cities.
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Faheem Akhtar, Qianwen Wang and Baofeng Huo
This study examines the effect of relational investments (e.g. supplier involvement and commitment, customer involvement and commitment) on supply chain quality integration (e.g…
Abstract
Purpose
This study examines the effect of relational investments (e.g. supplier involvement and commitment, customer involvement and commitment) on supply chain quality integration (e.g. supplier and customer quality integration), which leads to financial performance. Moreover, the authors explore the moderating effects of legal bonds on the relationship between relational investments and supply chain quality integration.
Design/methodology/approach
A survey study of manufacturing firms is presented to illustrate the conceptual model. The authors use the data from 213 manufacturing firms to test the hypotheses by structural equation modeling.
Findings
The results show that supplier and customer quality integration are positively related to financial performance. Supplier involvement and commitment are positively related to supplier quality integration. Customer involvement is positively related to customer quality integration, but customer commitment is not significantly related to customer quality integration. Additionally, on the supplier side, legal bonds negatively moderate the relationship between supplier involvement and supplier quality integration but positively moderate the relationship between supplier commitment and supplier quality integration. On the customer side, legal bonds do not moderate the relationship between customer involvement and customer quality integration, but negatively moderate the relationship between customer commitment and customer quality integration.
Originality/value
This study provides novel insights into supply chain quality management from relational perspectives, as well as the contingent role of legal bonds between them.
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Nhung Thi Nguyen, An Tuan Nguyen and Dinh Trung Nguyen
This paper aims to examine the effects of investor sentiment on the development of the real estate corporate bond market in Vietnam.
Abstract
Purpose
This paper aims to examine the effects of investor sentiment on the development of the real estate corporate bond market in Vietnam.
Design/methodology/approach
The research uses an autoregressive distributed lag (ARDL) model with quarterly data. Additionally, the study employs Google Trends search data (GVSI) related to topics such as “Real Estate” and “Corporate Bond” to construct a sentiment index.
Findings
The empirical outcomes reveal that real estate market sentiment improves the growth of the real estate corporate bond market, while stock market sentiment reduces it. Also, there is evidence of a long-run negative effect of corporate bond market sentiment on the total value of real estate bond issuance. Further empirical research evidences the short-term effect of sentiment and economic factors on corporate bond development in the real estate industry.
Research limitations/implications
Due to difficulties in collecting data, this paper has the limited sample of 54 valid quarterly observations. Moreover, the sentiment index based on Google search volume data only reflects the interest level of investors, not their attitudes.
Practical implications
These results yield important implications for policymakers in respect of strengthening the corporate bond market platform and maintaining stability in macroeconomic and monetary policies in order to promote efficient and sustainable market development.
Social implications
The study offers some suggestions for regulators and governments to improve the real estate corporate bond market.
Originality/value
This is the first quantitative study to examine the effect of sentiment factors on real estate corporate bond development in Vietnam.
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Charles Ogechukwu Ugbam, Chi Aloysius Ngong, Ishaku Prince Abner and Godwin Imo Ibe
This study examines the nexus of bond market development and economic growth from 2015 to 2022.
Abstract
Purpose
This study examines the nexus of bond market development and economic growth from 2015 to 2022.
Design/methodology/approach
The system-generalized method of moments (GMM) is employed on economic growth, government market capitalization, corporate market capitalization, bond yield, interest rate spread, trade openness and investment level.
Findings
The findings show that the government bond market, corporate bond capitalization and bond yield positively impact the gross domestic product (GDP). The results equally reveal a causal link between the corporate bond market, bond yield and GDP.
Research limitations/implications
Governments should emphasize creating, developing and sustaining bond markets in the economies of developing countries to boost economic activity by promoting structural transformation. Policymakers should improve the implementation of existing rules and regulations while complementing them with new ones since well-developed bond markets provide alternative sources of financing that make economies financially resilient. Policymakers should encourage the issuance of corporate bonds to enhance the efficiency of the capital markets and mobilize funds for economic growth stimulation. Governments and corporations should diversify their sources of funding into the bond markets since the bond yields are favorable to economic growth.
Originality/value
Earlier studies presented arguable results on the bond market development and economic growth nexus. Several findings indicate a positive link; others give a negative link between bond market development and economic growth. Some show causal directions, while other reveal none. The contradictory results motivate research. This research results contribute to the literature in that the government bond market, corporate bond capitalization and bond yield positively impact the GDP of developing nations.
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Mohit Kumar and P. Krishna Prasanna
To investigate the role of domestic and foreign economic policy uncertainty (EPU) in driving the corporate bond yields in emerging markets.
Abstract
Purpose
To investigate the role of domestic and foreign economic policy uncertainty (EPU) in driving the corporate bond yields in emerging markets.
Design/methodology/approach
The study utilizes monthly data from January 2008 to June 2023 from the selected emerging economies. The data analysis is conducted using univariate, bivariate and multivariate statistical techniques. The study includes bond market liquidity and global volatility (VIX) as control variables.
Findings
Domestic EPU has a significant role in driving corporate bond yields in these markets. The study finds weak evidence to support the role of the USA EPU in influencing corporate bond yields in emerging economies. Domestic EPU holds more weight and influence than the EPU originating from the United States of America.
Research limitations/implications
The findings provide useful insights to policymakers about the potential impact of policy uncertainty on corporate bond yields and enable them to make informed decisions regarding economic policies that maintains financial stability. Understanding the relationship between EPU and corporate bond yields enables investors to optimize their investment decisions in emerging market economies, opens the scope for further research on the interaction between EPU and volatility and other attributes of fixed income markets.
Originality/value
Focuses specifically on the emerging market economies in Asia, providing an in-depth analysis of the dynamics and challenges faced by these countries, Explores the influence of both domestic and the USA EPU on corporate bond yields in emerging markets, offering valuable insights into the transmission channels and impact of EPU from various sources.
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Billy Prananta and Constantinos Alexiou
The authors explore the relationship between the exchange rate, bond yield and the stock market as well as the effect of capital market dynamics on the exchange rate before and…
Abstract
Purpose
The authors explore the relationship between the exchange rate, bond yield and the stock market as well as the effect of capital market dynamics on the exchange rate before and during the COVID-19 pandemic.
Design/methodology/approach
The authors employ a non-linear autoregressive distributed lag (NARDL) methodology using daily data of the Indonesian economy over the period 2012–2021.
Findings
Whilst, over the full sample period, the authors find no cointegration between the exchange rate, the 10-year bond yield and stock market, for the COVID-19 period, evidence of cointegration is present. Furthermore, the results suggest that asymmetric effects are evident both in the short as well as the long run.
Originality/value
To the best of the authors’ knowledge, this is the first time that the relationship between the exchange rate, bond yield and the stock market as well as the effect of capital market dynamics on the exchange rate before and during the COVID-19 pandemic has been explored in the case of the Indonesian economy.
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Robert Owusu Boakye, Lord Mensah, Sanghoon Kang and Kofi Osei
The study measures the total systemic risks and connectedness across commodities, stocks, exchange rates and bond markets in Africa during the Covid-19 pandemic.
Abstract
Purpose
The study measures the total systemic risks and connectedness across commodities, stocks, exchange rates and bond markets in Africa during the Covid-19 pandemic.
Design/methodology/approach
The study uses the Diebold-Yilmaz spillover and connectedness measures in a generalized VAR framework. The author calculates the net transmitters or receivers of shocks between two assets and visualizes their strength using a network analysis tool.
Findings
The study found low systemic risks across all assets and countries. However, we found higher systemic risks in the forex market than in the stock and bond markets, and in South Africa than in other countries. The dynamic analysis found time-varying connectedness return shocks, which increased during the peak periods of the first and second waves of the pandemic. We found both gold and oil as net receivers of shocks. Overall, over half of all assets were net receivers, and others were net transmitters of return shocks. The network connectedness plot shows high net pairwise connectedness from Morocco to South Africa stock market.
Practical implications
The study has implications for policymakers to develop the capacities of local investors and markets to limit portfolio outflows during a crisis.
Originality/value
Previous studies have analyzed spillovers across asset classes in a single country or a single asset across countries. This paper contributes to the literature on network connectedness across assets and countries.
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