Search results

The purpose of this study is to unfold the existing information channel in the higher moments of currency futures for different time horizons.

The authors use a quasi-Bayesian local likelihood approach within a time-varying parameter vector autoregression (TVP-VAR) framework and a dynamic connectedness measure to study the volatility, skewness and kurtosis of most traded currency futures.

The authors’ results suggest a time-varying presence of dynamic connectedness within higher moments of currency futures. Most spillovers pertain to shorter time horizons. The authors find that in net terms, CHF, EUR and JPY are the most important contributors to the system, while the authors emphasize that the role of being a transmitter or a receiver varies for pairwise interactions and time windows.

To the best of the authors’ knowledge, this is the first study that looks upon the connectivity vis-á-vis uncertainty, asymmetry and fat tails in currency futures within a dynamic Bayesian paradigm. The authors extend the current literature by proposing new insights into asset distributions.

This is a special issue of Chinese Management Studies and this study aims to engage with debates on innovation in China and to provide new insights for innovation research in the context of China, seeking to develop a greater understanding of the concept of “innovation with Chinese characteristics”.

This study reviews the Chinese innovation management literature in general and the selected papers in this special issue in particular and proposes two new directions for future research.

The nine papers that constitute this special issue present research on important aspects of innovation in China, ranging from the effectiveness of government subsidisation for innovation, the impact of fiscal decentralisation on innovation, the role of management behaviour in promoting (or discouraging) innovation and the effects of differing business models on innovation. These papers shed valuable new light on the theory and practice of innovation in China. The papers are discussed in the context of four primary arguments about innovation management in China identified from the broader literature in the field. These relate to the pattern of China’s innovation performance over time, the reasons for its effectiveness, the role of alliances and influences of indigenous factors. It is also shown that management of the internationalisation of innovation and of efficient internal innovation are two important directions for future research on Chinese innovation in an era of de-globalisation.

The studies presented here provide valuable contributions to theory building in innovation research, as well as some important ideas for directions of future research on innovation in China in the new era of de-globalisation.

This paper examines whether technological changes that promote communications between investors and managers help bridge the gap in the cost of equity capital among firms in different regions.

We use the online interaction platforms of listed firms in China and utilize brokerage presence (BP) to capture the geographic distribution of financial factors. We explore whether online interactions would reduce the cost of equity to a greater extent for firms located in low brokerage presence regions (hereafter “low-BP firms”) than those in high brokerage presence regions (hereafter “high-BP firms”).

We find low-BP firms benefit more from an improved information environment created by online interactions. We also find that posts about low-BP firms are more value-relevant and useful in processing corporate disclosures. Further, a higher number of interactions significantly enhances more informational efficiency for low-BP firms, and the effect of reducing the gap in financing costs is more pronounced when corporate information is complex.

We conclude that online interactions alleviate geography-induced information frictions and create a relatively level playing field for firms located in all regions.

This study examines the connection between investor sentiment and corporate innovation in the United States, considering the magnitude of corporate information asymmetry, the implied cost of capital and the financial constraints.

The authors employ a two-step GMM framework to examine the hypotheses of this study by utilizing annual data from 2001 to 2021 for US corporations.

The empirical evidence demonstrates a significant impact of investor sentiment on corporate innovation for firms with a lower information asymmetry and implied cost of capital than those with a higher information asymmetry and cost of capital. Although the financial constraint channel remained positive, it had little impact on the innovations of US corporations. Overall, the study's results show that companies make more valuable and high-quality patents when investors are optimistic.

This research has policy implications for all managers, investors, analysts and state officers, particularly in the USA and other developed countries. Managers and investors of all types should predict the role of corporate innovation in increasing shareholder wealth.

To the authors' knowledge, this is the first study to examine the relationship between investor sentiment and corporate innovation in the United States, considering the extent of corporate information asymmetry, the implied cost of capital and the financial limitations. The study's empirical findings uniquely contribute to the existing literature on corporate innovation and investor sentiment in the current context.

The authors investigate the effects of Chinese acquirer’s chief executive officer (CEO) risk preference on mergers and acquisitions (M&A) payment method and the moderating roles played by acquirer’s ownership, industry relatedness and whether the M&A is cross-border.

Using 4,624 worldwide M&A deals conducted by Chinese firms from 2009 to 2021, the authors conduct multiple linear regression and ordered probit regression. And comprehensive indexes constructed based on the observed features of acquirer’s CEOs are used to be the proxy for CEO risk preference.

The results show that the higher-level Chinese acquirer’s CEO risk preference is overall positively associated with using more stock in payment. Moreover, the above relationship is strengthened if the ownership of the acquirer is state-owned.

The authors highlight the importance of the non-economic factors and demonstrate a relationship between the Chinese acquirer’s CEO risk preference and the M&A payment method, providing support for and enriching the upper echelons theory (UET). Moreover, the unique risk priorities of Chinese acquirers’ CEOs are revealed.

It has been argued in the literature that structural changes in the financial markets, such as integration, have the potential to cause herding behavior or correlated behavioral patterns in traders. The purpose of this study is to investigate whether there is any financial herding behavior in the Latin American Integrated Market (MILA), a transnational stock market composed of Chile, Peru, Colombia and Mexico stock exchanges and whether there is any ARCH or GARCH effect in the herding behavior models.

This study uses the modified return dispersion approach on daily index return data. The sample period is from January 03, 2002 to May 07, 2019. The data are obtained from the MILA database. To count time-varying volatilities in herding models, the authors run ARCH family regression with GARCH (1,1) settings. Hwang and Salmon (2004) model is used as a robustness test.

The authors found strong herding behavior under the general market conditions and moderate and partial herding behavior under some specified markets circumstances, such as bull and bear markets and high-low volatility states. Moreover, the pre-MILA period exhibits more herding behavior than the post-MILA period. The empirical results show that most of the ARCH and GARCH effects are statistically significant, implying that the past information of stock returns and market volatility significantly affect the volatility of following periods, which can also explain the formation of herding tendency among investors. Finally, the results of the robustness tests (Hwang and Salmon, 2004) confirm herding in all periods, except full sample period for Mexico and post-MILA period for Mexico and Colombia.

This study investigates the herding behavior in the MILA market in terms of market return, volatility and timing. A limitation of the paper is that the authors have not included other factors on the formation of herding behavior, such as macroeconomic factors, effects of regional or international markets and policy influences. The authors will explore the issue in the extension of the paper.

As MILA is the first virtual integration of stock exchanges without merging, the study provides useful findings and draws good inferences of herding behavior in the MILA market in terms of market return, volatility and timing which are useful for academics, investors and policymakers in their investment and decision makings.

The paper provides useful findings and draws good inferences of herding behavior in the MILA market in terms of market return, volatility and timing which are not only useful in practical implications, but also in social implications.

This study contributes to the herding literature by examining four different hypotheses in respect of the unique case of transnational stock exchange without fusions or corporate mergers, where each market maintains its independence and regulatory autonomy. The authors also contribute to the literature by including both ARCH and GARCH effects in the herding behavioral models along the Hwang and Salmon (2004) approach.

We present an approach for pricing American put options with a regime-switching volatility. Our method reveals that the option price can be expressed as the sum of two components: the price of a European put option and the premium associated with the early exercise privilege. Our analysis demonstrates that, under these conditions, the perpetual put option consistently commands a higher price during periods of high volatility compared to those of low volatility. Moreover, we establish that the optimal exercise boundary is lower in high-volatility regimes than in low-volatility regimes. Additionally, we develop an analytical framework to describe American puts with an Erlang-distributed random-time horizon, which allows us to propose a numerical technique for approximating the value of American puts with finite expiry. We also show that a combined approach involving randomization and Richardson extrapolation can be a robust numerical algorithm for estimating American put prices with finite expiry.

This paper assesses the co-movement between Pax gold and six fiat currencies. It also investigates the optimal time-varying hedge ratios in order to examine the properties of Pax gold as a diversifier and hedge asset.

This paper examines the volatility spillover between Pax gold and fiat currencies using the framework of wavelet analysis, BEKK-GARCH models and Range DCC-GARCH. Moreover, this paper proposes to use the covariance and variance structure obtained from the new range DCC-GARCH framework to estimate the time-varying optimal hedge ratios, the optimal weighs and the hedging effectiveness.

Wavelet coherence method reveals that, at low frequency, large zone of co-movements appears for the pairs Pax gold/EUR, Pax gold/JPY and Pax gold/RUB. Further, the BEKK results show unidirectional (bidirectional) transmission effects between Pax gold and EUR, GBP, JPY and CNY (INR, RUB) fiat currencies. Moreover, the Range DCC results show that the Pax gold and the fiat currency returns are weakly correlated with low coefficients close to zero. Thus, Pax gold seems to serve as a safe haven asset against the systematic risk of fiat currency markets. In addition, the results of optimal weights show that rational investor should invest more in Pax gold and less in fiat currencies. Concerning the hedge ratios results, the findings reveal that the INR (JPY) fiat currency appears to be the most expensive (cheapest) hedge for the Pax-gold market. However, the JPY’s fiat currency appears to be the cheapest one. As for hedging effectiveness results, the authors found that hedging strategies including fiat currencies–Pax gold pairs are most likely to sharply decrease the portfolio’s risk.

A comprehensive understanding of the relationship between Pax Gold and fiat currencies is crucial for refining portfolio strategies involving cryptocurrencies. This research underscores the significance of grasping volatility transmissions between these currencies, providing valuable insights to guide investors in their decision-making processes. Moreover, it encourages further exploration into the interdependencies of digital currencies. Additionally, this study sheds light on effective contagion risk management, particularly during crises such as Covid-19 and the Russia–Ukraine conflict. It underscores the role of Pax Gold as a safe-haven asset and offers practical guidance for adjusting portfolios across various economic conditions. Ultimately, this research advances our comprehension of Pax Gold’s risk-return profile, positioning it as a potential hedge during periods of uncertainty, thereby contributing to the evolving literature on cryptocurrencies.

This study’s primary value lies in its pioneering empirical examination of the time-varying correlations and scale dependence between Pax Gold and fiat currencies. It goes beyond by determining optimal time-varying hedge ratios through the innovative Range-DCC-GARCH model, originally introduced by Molnár (2016) and distinguished by its incorporation of both low and high prices. Significantly, this analysis unfolds within the unique context of the Covid-19 pandemic and the Russian–Ukrainian conflict, marking a novel contribution to the field.

Considering the role of analysts in disseminating information, the paper explains the idiosyncratic volatility puzzle of China's stock market. As the largest developing country, China's research can provide meaningful reference for the research of financial markets in other new countries.

From the perspective of behavior, establishing a direct link between individual investor attention and stock price overvaluation.

The authors find that there is a significant idiosyncratic volatility puzzle in China's stock market. Due to the role of mispricing, individual investor attention significantly enhances the idiosyncratic volatility effect, that is, as individual investor attention increases, the greater the idiosyncratic volatility, the lower the expected return. Attention can explain the idiosyncratic volatility puzzle in China's stock market. In addition, due to the role of information production and dissemination, securities analysts can reduce the degree of market information asymmetry and enhance the transparency of market information.

China is the second largest economy in the world, and few scholars analyze it from the perspective of investors' attention. The authors believe this paper has the potential in contributing to the academia.

This paper aims to explore factors influencing apartment price volatility in the two biggest cities in Vietnam, Hanoi and Ho Chi Minh City.

The study uses the supply and demand approach and provides a literature review of previous studies to develop four main hypotheses using four determinants of apartment price volatility in Vietnam: gross domestic product (GDP), inflation rate, lending interest rate and construction cost. Subsequently, the Vector Error Correction Model (VECM) is used to analyze a monthly data sample of 117.

The research highlights the important role of construction costs in apartment price volatility in the two largest cities. Moreover, there are significant differences in how all four determinants affect apartment price volatility in the two cities. In addition, there is a long-run relationship between the determinants and apartment price volatility in both Hanoi and Ho Chi Minh City.

Limitations related to data transparency of the real estate industry in Vietnam lead to three main limitations of this paper, including: this paper only collects a sample of 117 valid monthly observations; apartment price volatility is calculated by changes in the apartment price index instead of apartment price standard deviation; and this paper is limited by only four determinants, those being GDP, inflation rate, lending interest rate and construction cost.

The study provides evidence of differences in how the above determinants affect apartment price volatility in Hanoi and Ho Chi Minh City, which helps investors and policymakers to make informed decisions relating to the real estate market in the two biggest cities in Vietnam.

This paper makes several recommendations to policymakers and investors in Vietnam to ensure a stable real estate market, contributing to the stability of the national economy.

This paper provides a new approach using VECM to analyze both long-run and short-run relationships between macroeconomic and sectoral independent variables and apartment price volatility in the two biggest cities in Vietnam.