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The purpose of this paper is to propose a new method for estimating continuous‐time stochastic volatility (SV) models for the S&P 500 stock index process using intraday high‐frequency observations of both the S&P 500 index and the Chicago Board Options Exchange (CBOE) implied (or expected) volatility index (VIX).

A primary purpose of the paper is to provide a framework for using intraday high‐frequency data of both the indices' estimates, in particular, for improving the estimation accuracy of the leverage parameter, that is, the correlation between the two Brownian motions driving the diffusive components of the price process and its spot variance process, respectively.

Finite sample simulation results show that the proposed estimator delivers more accurate estimates of the leverage parameter than do existing methods.

The focus of the paper is on the Heston and non‐Heston leverage parameters.

Finite sample simulation results show that the proposed estimator delivers more accurate estimates of the leverage parameter than do existing methods.

The research findings are important for the analysis of ultra high‐frequency financial data.

The paper provides a framework for using intraday high‐frequency data of both indices' estimates, in particular, for improving the estimation accuracy of the leverage parameter, that is, the correlation between the two Brownian motions driving the diffusive components of the price process and its spot variance process, respectively.

The paper attempts to empirically examine the difference in the foreign direct investment (FDI) – private investment relationship between developed and developing countries over the period 2000–2013.

The paper uses the two-step GMM Arellano-Bond estimators (both system and difference) for a group of 25 developed countries and a group of 72 developing ones. Then, the PMG estimator is employed to check the robustness of estimates.

First, there is a clear difference in the FDI – private investment relationship between developed countries and developing ones. Second, governance environment, economic growth and trade openness stimulate private investment. Third, the effect of tax revenue on private investment in developed countries is completely opposite to that in developing ones.

The paper is the first to provide empirical evidence to confirm the dependence of FDI – private investment relationship on governance environment. In fact, contrary to the view (arguments) in Morrissey and Udomkerdmongkol (2012), the paper indicates that FDI crowds out private investment in developed countries (good governance environment), but crowds in developing countries (poor governance environment).

This study aims to evaluate the impact of listed Portuguese companies' specific determinants on adjustment of actual debt towards target debt ratio. The specific determinants on adjustment of actual debt towards target debt ratio that we consider are: asset tangibility, size, profitability and market to book ratio.

Dynamic panel estimators are used to determine adjustment of the actual level of debt towards optimal level of debt, revealing the level of transaction costs borne by companies. OLS regressions are also used, in order to estimate the impacts of companies' specific determinants on debt adjustment.

The results suggest that transaction costs are relevant in listed Portuguese companies' access to debt. Tangibility of assets and size are determinants that contribute for a greater adjustment of debt towards optimal level. The results also suggest that the capital structure decisions of listed Portuguese companies can be explained in the light of trade‐off and pecking order theories, and not according to what is forecast by market timing theory.

Through this study, the level of adjustment of actual debt towards target debt ratio in the context of companies belonging to under‐developed capital markets are determined, in the particular case of this study, belonging to the Portuguese capital market. Furthermore, from target debt ratio depending on companies' specific determinants, the explanatory power of trade‐off, pecking order and market timing theories are investigated. The results contribute for a deeper understanding about companies' capital structure decisions.

This study aims to find whether the Indian private corporate sector follow stable cash dividend policies, whether dividends smoothen earnings, estimate the implicit target dividend ratio, and examine the determinants along with speed of adjustment of dividends towards a long run target ratio.

The study uses the instrumental variable (IV) approach for dynamic panel data for 1971‐2010 periods controlling for economic reforms. The GMM‐in‐levels model, GMM‐in‐first‐differences and GMM‐in‐systems are alternatively estimated to include other lag structures.

In the post‐reform period lower dividends are consistent with rapid growth in the economic environment and the tendency to smoothen dividends has considerably decreased over time. The estimated model suggests dividends substitute for less opportunity for internal growth and increased general likening to relatively retain their earnings and finance their growth, unlike the past.

Limitation to capture substitution, ownership and self selection effects stems up from data as the Annual Studies RBI does not include such variables, does not capture qualitative data and disallows identification of the firm.

The paper documents long run trends and inter‐temporal dividend patterns controlling economic reforms for a relatively larger number of public limited firms nearing four decades for an emerging economy.

This is a first attempt to take a holistic view of dividend using rich set of unexplored dynamic panel data on Indian firms controlling for reforms using contemporary econometric models and analyzes issues relating determinants, smoothening and stability of the corporate dividend structure.

This study aims to investigate the effects of corporate board and audit committee characteristics and ownership structures on market-based financial performance of listed firms in Thailand.

It applies system GMM (generalized method of moments) as the baseline estimator approach, and ordinary least squares and fixed effects for robustness checks on a sample of 452 firms listed on the Thai Stock Exchange for the period 2000-2016.

Relying mainly on the system GMM estimator, the empirical results indicate some emerging trends in the Thai economy. Contrary to expectations for an emerging market and prior research findings, ownership structures, particularly ownership concentration and family ownership, appear to have no significant influence on market-based firm performance, while managerial ownership exerts a positive effect on performance. Moreover, as expected, board structure variables such as board independence; size; meeting and dual role; and audit committee meeting show significant explanatory power on market-based firm performance in Thai firms.

These findings are important for policymakers in constructing an appropriate set of governance mechanisms in an emerging market context, and for corporate entities and investors in shaping their understanding of corporate governance in the Thai institutional context.

Unlike previous literature on the Thai market, this study is the first to use the more advanced econometric method known as system GMM estimator for addressing causality/endogeneity issues in governance–performance relationships. The findings indicate new trends in the explanatory power of ownership structure variables on market-based firm performance in Thai-listed firms.

The purpose of this research is to expand on the available literature that suggests a positive effect of R&D activities and dividend payments on firms' value by considering three additional aspects that differ from previous research.

The analysis of the valuation model is performed in a panel dataset of UK firms from 1994 to 2005 (8,559 observations). The methodology consists in applying General Method of Moments (GMM) to control for endogeneity, firm‐specific effects and time effects.

The findings indicate that the use of GMM in the valuation model is adequate, given the statistical properties of the data. R&D stock is shown to be positively associated with corporate value, but its impact is lower than for R&D expenditure. Both special dividends and ordinary dividends are found to be positively associated with corporate value, supporting the signalling hypothesis which presupposes that managers might use dividends as a signal about companies' future profitability.

This paper contributes to the empirical literature of corporate finance, not only with respect to the effect of special dividends and R&D stock on corporate value, as opposed to R&D expenditure and ordinary dividends (as in previous studies for the UK), but also in confirming that, after endogeneity has been controlled, there is a significant and positive effect of these variables but with a different impact.

This paper aims to examine the relationship between knowledge-economy and economic growth in 16 Asia-Pacific (AP) countries during the period 2011–2018. The study also aims to investigate a diversity of knowledge-economy pillars, including tertiary education, domestic innovation, foreign innovation, economic incentives and institutional regime and information and communications technologies (ICTs) and their relation to economic growth.

The study applies a comparative empirical analysis using pooled ordinary least squares (OLS), one-step difference generalised methods of moments (GMM) and bias-corrected least-squares dummy variables (LSDVc) estimators to test this relationship.

Pooled OLS estimators deemed suboptimal to the panel data under study, while GMM results reveal a significant relationship between tertiary education, domestic and foreign innovation, government expenditure and investments with economic growth. Of these results, domestic innovation, investments and government consumption are positively correlated with economic growth, whereas tertiary education and foreign innovation show a negative relation. Meanwhile, institutions and ICT have insignificant relationships with economic growth. LSDVc results coincide with GMM results with respect to tertiary education, whereas institutions is the only additional significant and negatively correlated variable with economic growth.

The main limitation of this research lies in the unavailability of proxy data for knowledge economy pillars in monetary terms, and hence, the paper relies on indices.

The novelty of the study lies in its aim to investigate economic growth in the AP region that is enhanced by domestic innovation, foreign innovation or both – an area which is empirically understudied in the knowledge-economy context. Further, the paper’s novelty lies in its application of a comparative empirical analysis between the most popular dynamic panel estimators – dynamic GMM and bias-corrected LSDVc for AP countries.

The study aims to use individuals using the internet and fixed broadband subscriptions as a proxy for digitalization to empirically assess the effects of Foreign Direct Investment (FDI), digitalization and their interaction on income inequality in developed and developing countries from 2002 to 2019.

The paper used the system general method of moments estimators for 30 developed and 35 developing countries.

FDI increases income inequality in developed countries but decreases it in developing countries, digitalization reduces income inequality in both groups and interaction term narrows income inequality in developed countries but widens it in developing countries.

The paper is the first to introduce digitalization into the FDI – income inequality relationship. Furthermore, it provides empirical evidence to show the difference in the role of digitalization in this relationship between developed and developing countries.

The main purpose of this research is to examine the impact of institutional quality and sectoral employment on environmental degradation in developing countries. This paper also re-examined the validity of the Environmental Kuznets Curve (EKC) hypothesis and estimated the long run impact of explanatory variables on CO₂ emissions.

In this paper, the balanced panel data for the period 2002–2016 was used based on data availability and applied two-step SYS-GMM estimators.

The results showed that institutional quality such as government effectiveness (GE) and the rule of law (RL) reduce CO₂ emissions and promote environmental quality in developing countries. Interestingly, the authors found new evidence that employment in agriculture and industry has a positive impact on pollution, while employment in the service sector was negatively associated with CO₂ emissions, and the validity of the EKC hypothesis was confirmed. In addition, the research suggests that strong institutional frameworks and their effective implementation are the most important panacea and should be treated as a top priority to counteract environmental degradation and achieve the UN Sustainable Development Goals.

This is the first study to examine the short run and long run effects of institutional quality and sectoral employment on environmental degradation using the balanced panel data for a large sample of developing countries. This paper also used a special technique of Driscoll and Kraay standard error approach to confirm the robustness results and showed the different roles of sectoral employment on environmental quality.

The purpose of this paper is to evaluate the determinants of bank performance in China. In particular, the paper examines the effects of stock market volatility, competition and ownership on bank performance in China.

The sample comprises a total of 11 banks (four state‐owned and seven joint‐stock commercial banks) listed in the Chinese Stock Exchanges. The period under consideration extends from 2003‐2009. The generalized methods of moments (GMM) difference and system estimators are applied.

Empirical results show that high level of stock market volatility can translate into higher return on equity (ROE) and excess return on equity (EROE). Rather than leading to improved profitability, the labour productivity has a negative impact on economic value added (EVA). Ownership does not have any effect on the profitability of Chinese banking industry. The bank profitability in terms of ROE and EROE is lower in the banking industry with higher competition. When using the GMM with ROE‐COC and ROE, the paper finds that high taxation has a negative impact on both state‐owned and joint‐stock banks, while the capital level is negatively related to joint‐stock commercial banks. With regards to the other two performance indicators (EVA and NIM), the result suggests that higher cost efficiency and labour productivity improve the performance of both state‐owned and joint‐stock commercial banks. Large volume of non‐traditional activity is the explanation of poor performance of state‐owned commercial banks, while higher credit risk, lower taxation and the mature banking industry are helpful in improving the performance of joint‐stock commercial banks.

Further research should examine other methods (e.g. the Rosse‐Panzar H statistic) to calculate the bank competition in China, and other determinants of bank performance in Asian countries and compare them with these results.

The current study has relevant policy implications. First, in order to increase the profit earned from the traditional loan‐deposit services, the Chinese banks should make loans to the high risk projects or companies, and control the expenses including both the operating and personnel expenses. Furthermore, the government and bank regulatory authority should make policy such as inject capital to SOCBs and write‐off NPLs for them to reduce the degree of competition in order to make banks have better performance.

Particular emphasis is given on the investigation into the effects of stock market volatility, competition and ownership on bank performance in China while controlling for the most comprehensive bank‐specific, industry specific and macroeconomic variables.