Search results

1 – 10 of over 1000
Article
Publication date: 4 May 2020

Rahul Roy and Santhakumar Shijin

The purpose of the study is to examine the dynamics in the troika of asset pricing, volatility, and the business cycle in the US and Japan.

Abstract

Purpose

The purpose of the study is to examine the dynamics in the troika of asset pricing, volatility, and the business cycle in the US and Japan.

Design/methodology/approach

The study uses a six-factor asset pricing model to derive the realized volatility measure for the GARCH-type models.

Findings

The comprehensive empirical investigation led to the following conclusion. First, the results infer that the market portfolio and human capital are the primary discounting factors in asset return predictability during various phases of the subprime crisis phenomenon for the US and Japan. Second, the empirical estimates neither show any significant impact of past conditional volatility on the current conditional volatility nor any significant effect of subprime crisis episodes on the current conditional volatility in the US and Japan. Third, there is no asymmetric volatility effect during the subprime crisis phenomenon in the US and Japan except the asymmetric volatility effect during the post-subprime crisis period in the US and full period in Japan. Fourth, the volatility persistence is relatively higher during the subprime crisis period in the US, whereas during the subprime crisis transition period in Japan than the rest of the phases of the subprime crisis phenomenon.

Originality/value

The study argues that the empirical investigations that employed the autoregressive method to derive the realized volatility measure for the parameter estimation of GARCH-type models may result in incurring spurious estimates. Further, the empirical results of the study show that using the six-factor asset pricing model in an intertemporal framework to derive the realized volatility measure yields better estimation results while estimating the parameters of GARCH-type models.

Details

Journal of Economic Studies, vol. 48 no. 1
Type: Research Article
ISSN: 0144-3585

Keywords

Article
Publication date: 7 September 2015

Bruce Jianhe Liu, Yubin Wang, Jingjing Wang, Xin Wu and Shu Zhang

The purpose of this paper is to examine whether China is still a passive price taker from the US soybean futures, or instead domestic futures market has developed certain…

Abstract

Purpose

The purpose of this paper is to examine whether China is still a passive price taker from the US soybean futures, or instead domestic futures market has developed certain degrees of pricing power through time. The finding helps to identify the importance of China soybean futures in the perspective of portfolio selection for international futures traders. If China soybean futures market is no longer a price taker after the subprime crisis, traders need to include it as a separate category in their portfolio.

Design/methodology/approach

This paper uses exponential generalized autoregressive conditional heteroskedasticity-generalized error distribution (EGARCH-GED) and generalized autoregressive conditional heteroskedasticity-generalized error distribution (GARCH-GED) models to test spillover effects between Dalian Commodity Exchange (DCE) and Chicago Board of Trade (CBOT) soybean futures. The authors divide daily samples into three subperiods based on the subprime crisis. Three research questions – whether China is still the price taker, the importance of Chinese soybean futures in international futures portfolio selection, and the influences of subprime crisis on soybean futures volatility relationship – are examined by comparing estimation results through time and different contracts.

Findings

The spillover effect from CBOT soybean futures to DCE No. 1 soybean futures becomes weaker through time. China is no longer a soybean futures price taker after the subprime crisis. The authors also find the shocks of bearish news on DCE soybeans are greater than those of bullish news. Potential volatility of DCE in long positions is bigger than that in short positions.

Practical implications

China is the largest soybean importer. DCE is a very important futures market for non-genetically modified soybeans. It is necessary for both international and domestic futures traders to understand the changes in international soybean futures price relationship and take corresponding strategies. It is also important for market to realize that DCE soybean futures are to a less degree price taker after the subprime crisis.

Originality/value

The paper applies EGARCH-GED and GARCH-GED models to identify changes in spillover effects before, during, and after the subprime crisis. Different from other studies, this paper finds after the subprime crisis, China is no longer the soybean futures price taker. This paper also compares the spillover effects of non-genetically modified soybean futures (No. 1 soybean futures) with genetically modified soybean futures (No. 2 soybean futures).

Details

China Agricultural Economic Review, vol. 7 no. 3
Type: Research Article
ISSN: 1756-137X

Keywords

Article
Publication date: 8 November 2011

Bakri Abdul Karim, Mohamad Jais and Samsul Ariffin Abdul Karim

The purpose of this paper is to examine the effects of the current global crisis on the integration and co‐movements of selected stock index futures markets.

1861

Abstract

Purpose

The purpose of this paper is to examine the effects of the current global crisis on the integration and co‐movements of selected stock index futures markets.

Design/methodology/approach

Time series techniques of cointegration and weekly data covering the period from January 2001 to December 2009 were used in this study. The period of analysis was divided into two periods, namely the pre‐crisis period (January 2001‐July 2007) and during crisis period (August 2007‐December 2009).

Findings

No evidence was found of cointegration among the stock index futures markets in both periods. Accordingly, the 2007 subprime crisis does not seem to affect the long‐run co‐movements among the stock index futures markets.

Practical implications

The stock index futures markets provide opportunity for the potential benefits from international portfolio diversification and hedging strategies even after the subprime crisis. The stock index futures significantly extended the variety of investment and risk management strategies available to investors.

Originality/value

Examining the effects of the US subprime crisis on the stock index futures markets integration, to the best of the authors' knowledge, goes clearly beyond the existing literature on the subject matter.

Book part
Publication date: 8 March 2011

Yushi Yoshida

We investigate whether or not the effects of the subprime financial crisis on 12 Asian economies are similar to those of the Asian financial crisis by examining volatility…

Abstract

We investigate whether or not the effects of the subprime financial crisis on 12 Asian economies are similar to those of the Asian financial crisis by examining volatility spillovers and time-varying correlation between the US and Asian stock markets. After pretesting volatility causality and constancy of correlation, we estimate an appropriate smooth-transition correlation VAR-GARCH model for each Asian stock market. First, the empirical evidence indicates stark differences in stock market linkages between the two crises. The volatility causality comes from the crises-originating country. Volatility in Asian stock markets Granger-caused volatility in the US market during the Asian crisis, whereas volatility in the US stock market Granger-caused volatility in Asian stock markets during the subprime crisis. Second, decreased correlations during the period of financial turmoil were observed, especially during the Asian financial crisis. Third, the estimated points of transition in the correlation are indicative of market participants’ awareness of the ensuing stock market crashes in July 1997 and in September 2008.

Details

The Evolving Role of Asia in Global Finance
Type: Book
ISBN: 978-0-85724-745-2

Keywords

Article
Publication date: 15 August 2016

Sampath Kehelwalatenna

This paper aims to examine empirically the behaviour of the impact of intellectual capital (IC) on firm performance during financial crises, having observed that there was…

1153

Abstract

Purpose

This paper aims to examine empirically the behaviour of the impact of intellectual capital (IC) on firm performance during financial crises, having observed that there was no prior research carried out to examine whether the theoretically expected sustainable firm performance created by IC holds during a financially unstable situation in the economy.

Design/methodology/approach

The Pulic’s value-added intellectual coefficient method is used to measure IC. Firm performance is measured through productivity, profitability and revenue growth. Structural stability tests and dynamic regression models for panel data are used for the data of 191 banking firms listed on the New York Stock Exchange during 2000-2011.

Findings

The paper reveals, contrary to theoretical expectations, that the impact of IC on firm performance is inconsistent during financial crises. This behaviour emerges mainly because of the incapability of human capital, the main component of IC, to create value for the sample firms during financial crises.

Research limitations/implications

The findings of the study are confined to financial crises that existed in the US economy during the period 2000-2011. The findings provide evidence that heterogeneity in the resource base of a firm plays a very minor role in the value creation process during turbulent economic situations. The findings also question the practicality of investing in intangible assets, including IC, during periods of financial crises.

Originality/value

This paper could be the first attempt to evident empirically that the heterogeneity in the resource base of the firm has a very minor role to play in the value creation process when instability exists in the macroeconomic environment.

Details

Measuring Business Excellence, vol. 20 no. 3
Type: Research Article
ISSN: 1368-3047

Keywords

Article
Publication date: 6 November 2018

Chu-Sheng Tai

The purpose of this paper is to provide empirical evidence on how 1999–2001 dot-com crisis and 2007–2009 subprime crisis affect the gains from international…

Abstract

Purpose

The purpose of this paper is to provide empirical evidence on how 1999–2001 dot-com crisis and 2007–2009 subprime crisis affect the gains from international diversification from the perspective of US investors.

Design/methodology/approach

A conditional international CAPM with asymmetric multivariate GARCH-M specification is used to estimate international diversification gains.

Findings

The authors find that over the entire sample period, the average gains from international diversification is statistically significant and about 1.253 percent per year. During the subprime crisis period, the average gains decreases to about 0.567 percent per year, but it increases to 2.829 percent per year during the dot-com crisis.

Research limitations/implications

These research findings although confirm the conjectures that international financial turmoil tends to increase the co-movements among global financial markets, are in contrast to the conjectures that international diversification does not work during the financial crisis as evidence from the dot-com crisis. Therefore, future research on international diversification should not just focus on the correlation among international financial markets and should adopt a fully parameterized asset pricing model to study this research topic.

Practical implications

Given the empirical results found in this paper that international diversification gains may be decreasing or increasing during the financial crisis, as long as investors are not able to predict international financial crises, it is the average gains from international diversification over the longer periods that should encourage investors to diversify, regardless of potentially lower benefits over the shorter periods of time.

Originality/value

The major value of this paper is that although the increase in the conditional correlation during the financial turmoil is consistent with previous studies, the empirical results clearly show that the impact of a financial crisis on the gains from international diversification cannot be solely determined by the correlation between domestic and world stock market returns since the gains also depend on the unsystematic risk from the domestic stock market. Consequently, it is premature for previous studies to conclude that the gain from international diversification is diminishing due to an increasing correlation among international stock markets during the financial crisis.

Details

Managerial Finance, vol. 44 no. 12
Type: Research Article
ISSN: 0307-4358

Keywords

Article
Publication date: 7 October 2021

Maria Elisabete Neves, Mário Abreu Pinto, Carla Manuela de Assunção Fernandes and Elisabete Fátima Simões Vieira

This study aims to analyze the returns obtained from companies with strong growth potential (growth stocks) and the returns from companies with quite low stock prices, but…

Abstract

Purpose

This study aims to analyze the returns obtained from companies with strong growth potential (growth stocks) and the returns from companies with quite low stock prices, but with high value (value stocks).

Design/methodology/approach

The sample comprises monthly data, from January 2002 to December 2016, from seven countries, Germany, France, Switzerland, the UK, Portugal, the USA and Japan. The authors have used linear regression models for three different periods, the pre-crisis, subprime crisis and post-crisis period.

Findings

The results point out that the performance of value and growth stocks differs from different periods surrounding the global financial crisis. In fact, for six countries, value stocks outperformed growth stocks in the period that precedes the subprime crisis and during the crisis, this tendency remained only for France, Portugal and Japan. This trend changed in the period following the crisis. The results also show that investor sentiment has a robust significance in value and growth stock returns, mostly in the period before the crisis, highlighting that the investor sentiment is more significant in the moments that the value stocks outperformed.

Originality/value

As far as the authors know, this is the first work that, taking into account the future research lines of Capaul et al. (1993), investigates whether the results obtained by those authors remain current, meeting the authors’ challenge and covering the gap of recent studies on the performance of value and growth stocks. Besides, the authors have introduced a new country, heavily punished by both the global financial crisis and the sovereign debt crisis to understand whether there are significant differences in investment styles and whether this is related to the different economies. Also, in this context, the authors were pioneers in adding investor sentiment as an exogenous variable in the influence of stock returns.

Details

International Journal of Accounting & Information Management, vol. 29 no. 5
Type: Research Article
ISSN: 1834-7649

Keywords

Article
Publication date: 14 April 2014

Elisabeth Paulet, Miia Parnaudeau and Tamym Abdessemed

This paper aims to explore how banks have modified their behaviours since the subprime crisis and their influence on credit access for SMEs.

1851

Abstract

Purpose

This paper aims to explore how banks have modified their behaviours since the subprime crisis and their influence on credit access for SMEs.

Design/methodology/approach

This paper aims to explore how banks have modified their behaviours since the subprime crisis and their influence on credit access for SMEs.

Findings

We provide evidence that strategic orientations adopted by banks (both fragile and robust) are quite voluntary and not simply the result of following regulations. Unfortunately, these orientations have hampered SMEs' access to credit.

Practical implications

The core result of the paper is to emphasize that banking behaviours have considerably changed just after the subprime crisis and that SMEs have to deal with this new reality. These findings could be of interest for regulators and banking authorities to control liquidity constraints and guarantee both the stability of the global banking system and sustainable economic growth.

Originality/value

Using an original data reduction method and balance sheet analysis, this paper found evidence of key changes in banking behaviours during the subprime crisis.

Details

Journal of Business Strategy, vol. 35 no. 2
Type: Research Article
ISSN: 0275-6668

Keywords

Book part
Publication date: 1 July 2015

Marcel Aloy and Gilles Dufrénot

This chapter proposes a comparative analysis of the monetary policies undertaken by the Federal Reserve Board and the European Central Bank after the 2008 subprime crisis

Abstract

This chapter proposes a comparative analysis of the monetary policies undertaken by the Federal Reserve Board and the European Central Bank after the 2008 subprime crisis. We point out the twin nature of the financial crises in Europe in comparison with the US crises: in addition to the role of bank funding, the euro area countries have also experienced a structural problem of balance of payment disequilibria. This explains why in the early stages of the subprime crisis, the Fed has succeeded in tackling the illiquidity problems facing the banking sector, while the ECB did not. The Fed could then focus on tackling the recession in the real sector by adopting quantitative easing policies to exert downward pressure on the long-term interest-rate. In the euro area quantitative easing policies came later, in 2013. Even the forward guidance policies have been different between the two central banks. Unlike the ECB, the Fed has gone through diverse forward guidance policies: qualitative, calendar-based, and state-contingent. The chapter proposes a new survey of the monetary policies after the subprime crisis by comparing two strategies in different contexts: the United States and the euro area.

Details

Monetary Policy in the Context of the Financial Crisis: New Challenges and Lessons
Type: Book
ISBN: 978-1-78441-779-6

Keywords

Article
Publication date: 23 November 2010

Karmila Hanim Kamil, Marliana Abdullah, Shahida Shahimi and Abdul Ghafar Ismail

The purpose of this paper is to provide an insight of Islamic securitization based on sukuk structures.

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Abstract

Purpose

The purpose of this paper is to provide an insight of Islamic securitization based on sukuk structures.

Design/methodology/approach

Descriptive, analytical, and comparative analyses are used to discuss the risk‐sharing behaviour in Islamic securitization through different structures of mudharabah and musharakah sukuk derived from asset securitization.

Findings

The paper reveals that although sukuk are structured in a similar way to conventional asset‐backed securities, they can have significantly different underlying structures, provisions and shariah‐compliant. In particular, it prohibits the receipt and payment of interest and stipulates that income must be derived from an underlying real business risk rather than as a guaranteed return from interest. With regards to sukuk securitization, an asset is one of the vital elements that should exist as an evidence to support the process and make it permissible in Islam. In terms of Islamic securitization mechanism, it can be divided into two principles, namely, debt based and partnership. This paper further emphasizes that sukuk structures based on partnership principle is regarded as risk sharing rather than risk shifting, where it works by combining risk‐exposures in such a way that they offset one another to some degree. Accordingly, overall risk will be less than total risks on individual basis.

Practical implications

This paper has important implication for the understanding of risk management practices particularly in structuring sukuk. Banks as originators and special purpose vehicles (SPV) as issuers, might consider more sukuk on partnership principles since it directed towards risk‐sharing concept that could lead to increase mobilization of savings and investment. As for the investors or sukuk holders, the partnership principle could generate the wealth creation, which to be shared between both investors (fund providers) and issuers (fund users), while both bear the risks involved and the resulting loss.

Originality/value

The paper will fill the gap in the existing literature of Islamic finance by showing that Islamic securitization via sukuk is a viable source of funds that could help stabilize the securities market, and as solution to the current subprime mortgages financial crisis.

Details

International Journal of Islamic and Middle Eastern Finance and Management, vol. 3 no. 4
Type: Research Article
ISSN: 1753-8394

Keywords

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