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Asia-Pacific Financial Markets

1997 - 2020

Current editor(s): Jiro Akahori

Japanese Association of Financial Economics and Engineering
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2020, volume 27, issue 2

Stock Performance Evaluation Incorporating High Moments and Disaster Risk: Evidence from Japan pp. 155-174 Downloads
Jiro Hodoshima, Tetsuya Misawa and Yoshio Miyahara
Economics Performance Under Endogenous Knowledge Spillovers pp. 175-192 Downloads
Mohamad Alghamdi
Inner Rate of Risk Aversion (IRRA) and Its Applications to Investment Selection pp. 193-212 Downloads
Yoshio Miyahara
The High-Volume Return Premium: Does it Really Exist in the Chinese Stock Market? pp. 213-230 Downloads
Xingjian Zheng and Dehua Shen
Health Care Investment: The Case of Multiple Sources of Risk pp. 231-255 Downloads
Octave Jokung and Sovan Mitra
Does a Unique Solution Exist for a Nonlinear Rational Expectation Equation with Zero Lower Bound? pp. 257-289 Downloads
Takashi Tamura
Does Marginal VaR Lead to Improved Performance of Managed Portfolios: A Study of S&P BSE 100 and S&P BSE 200 pp. 291-323 Downloads
Shrey Jain and Siddhartha P. Chakrabarty

2020, volume 27, issue 1

Market Closures and Cross-sectional Stock Returns pp. 1-33 Downloads
Kotaro Miwa
Commodity Spot and Futures Prices Under Supply, Demand, and Financial Trading: Single Input–Output Model pp. 35-59 Downloads
Katsushi Nakajima
The Profitability in the FTSE 100 Index: A New Markov Chain Approach pp. 61-81 Downloads
Flavio Ivo Riedlinger and João Nicolau
Hedging Derivatives on Two Assets with Model Risk pp. 83-95 Downloads
Koichi Matsumoto and Keita Shimizu
Investor Sentiment and the Return Rate of P2P Lending Platform pp. 97-113 Downloads
Wei Zhang, Yingxiu Zhao, Pengfei Wang and Dehua Shen
Capturing the Order Imbalance with Hidden Markov Model: A Case of SET50 and KOSPI50 pp. 115-144 Downloads
Polin Wu and Wasin Siwasarit
Market Efficiency, Liquidity, and Multifractality of Bitcoin: A Dynamic Study pp. 145-154 Downloads
Tetsuya Takaishi and Takanori Adachi

2019, volume 26, issue 4

Modeling Trading Behavior in the Japanese Stock Market During QE Tapering and Post-QE Exit pp. 409-427 Downloads
Wee Yeap Lau and Tien-Ming Yip
Financial Markets Development and Financing Choice of Firms: New Evidence from Asia pp. 429-451 Downloads
Inder Sekhar Yadav, Debasis Pahi and Rajesh Gangakhedkar
Multifactor Portfolio Construction by Factor Risk Parity Strategies: An Empirical Comparison of Global Stock Markets pp. 453-477 Downloads
Hidehiko Shimizu and Takayuki Shiohama
Stylized Facts of the Indian Stock Market pp. 479-493 Downloads
Rituparna Sen and Manavathi Subramaniam
Incorporating Realized Quarticity into a Realized Stochastic Volatility Model pp. 495-528 Downloads
Didit Budi Nugroho and Takayuki Morimoto
Analysis of Price Differences Between A and H Shares pp. 529-552 Downloads
Y. Bai, W. M. Tang and K. F. C. Yiu
A Numerical Scheme for Expectations with First Hitting Time to Smooth Boundary pp. 553-565 Downloads
Yuji Hishida, Yuta Ishigaki and Toshiki Okumura

2019, volume 26, issue 3

Earnings Management, Capital Management and Signalling Behaviour of Indian Banks pp. 285-295 Downloads
Sushma Vishnani, Sonu Agarwal, Ritika Agarwalla and Saumya Gupta
Term Structure Models During the Global Financial Crisis: A Parsimonious Text Mining Approach pp. 297-337 Downloads
Kiyohiko G. Nishimura, Seisho Sato and Akihiko Takahashi
Asset Pricing Test Using Alternative Sets of Portfolios: Evidence from India pp. 339-354 Downloads
Sudipta Das
Hyperbolic Symmetrization of Heston Type Diffusion pp. 355-364 Downloads
Yuuki Ida and Tsuyoshi Kinoshita
On Discrete Probability Approximations for Transaction Cost Problems pp. 365-389 Downloads
Nabeel Butt
Asymptotic Expansion as Prior Knowledge in Deep Learning Method for High dimensional BSDEs pp. 391-408 Downloads
Masaaki Fujii, Akihiko Takahashi and Masayuki Takahashi

2019, volume 26, issue 2

Testing the Predictive Ability of Corridor Implied Volatility Under GARCH Models pp. 129-168 Downloads
Shan Lu
An Analytic Market Condition for Mutual Fund Separation: Demand for the Non-Sharpe Ratio Maximizing Portfolio pp. 169-185 Downloads
Toru Igarashi
Market Conditions and Calendar Anomalies in Japanese Stock Returns pp. 187-209 Downloads
Mostafa Saidur Rahim Khan and Naheed Rabbani
Cross Hedging Using Prediction Error Weather Derivatives for Loss of Solar Output Prediction Errors in Electricity Market pp. 211-227 Downloads
Takuji Matsumoto and Yuji Yamada
Large Shareholding and Firm Value in the Alternative Investment Market (AIM) pp. 229-252 Downloads
Mona Mortazian, Seyedeh Asieh H. Tabaghdehi and Bryan Mase
Demystifying Yield Spread on Corporate Bonds Trades in India pp. 253-284 Downloads
Kedar nath Mukherjee

2019, volume 26, issue 1

Stock Futures of a Flawed Market Index pp. 1-21 Downloads
Kotaro Miwa
Re-examination of Fama–French Models in the Korean Stock Market pp. 23-45 Downloads
Serge Rugwiro and SungSup Brian Choi
Asset Prices and Changes in Risk within a Bivariate Model pp. 47-60 Downloads
Octave Jokung and Sovan Mitra
Firm Value and the Impact of Operational Management pp. 61-85 Downloads
Sovan Mitra and Andreas Karathanasopoulos
Spatial-Temporal Modelling of Temperature for Pricing Temperature Index Insurance pp. 87-106 Downloads
Che Mohd Imran Che Taib and Mukminah Darus
In search of robust methods for multi-currency portfolio construction by value at risk pp. 107-126 Downloads
Mei-Ling Tang and Trung K. Do
Correction to: Some Further Results on the Tempered Multistable Approach pp. 127-127 Downloads
Olivier Courtois

2018, volume 25, issue 4

The Effects of Firm-Level Investability Sizes on Foreign Ownership in Indonesian Public Firms pp. 267-284 Downloads
Dezie L. Warganegara
The Dynamic and Dependence of Takaful and Conventional Stock Return Behaviours: Evidence from the Insurance Industry in Saudi Arabia pp. 285-323 Downloads
Noureddine Benlagha and Wael Hemrit
A New Measure of Control-Cash Flow Deviation: Cases in Taiwan pp. 325-340 Downloads
Pei-Gi Shu, Sue-Jane Chiang and Man-Yin Chen
Applying Time Series Decomposition to Construct Index-Tracking Portfolio pp. 341-352 Downloads
Jun Nakayama and Daisuke Yokouchi

2018, volume 25, issue 3

Information-Based Model with Noisy Anticipation and Its Application in Finance pp. 159-177 Downloads
Kirati Thoednithi
Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment: Empirical Study in the Japanese Stock Market pp. 179-220 Downloads
Taiga Saito, Takanori Adachi, Teruo Nakatsuma, Akihiko Takahashi, Hiroshi Tsuda and Naoyuki Yoshino
Industry Concentration, Firm Efficiency and Average Stock Returns: Evidence from Australia pp. 221-247 Downloads
Thu A. T. Pham
An Empirical Comparison of Asset-Pricing Models in the Shanghai A-Share Exchange Market pp. 249-265 Downloads
Doha Belimam, Yong Tan and Ghizlane Lakhnati

2018, volume 25, issue 2

Success Factors of Financial Derivatives Markets in Asia pp. 71-86 Downloads
Trin Sittisawad and Pariyada Sukcharoensin
Some Further Results on the Tempered Multistable Approach pp. 87-109 Downloads
Olivier Courtois
Information Uncertainty and Momentum Phenomenon Amidst Market Swings: Evidence From the Chinese Class A Share Market pp. 111-136 Downloads
Yuan Wu and Taufiq Choudhry
Dynamic Causality Between Stock Return and Exchange Rate: Is Stock-Oriented Hypothesis More Relevant in Malaysia? pp. 137-157 Downloads
Wee Yeap Lau and You-How Go

2018, volume 25, issue 1

Model Predictive Control for Optimal Pairs Trading Portfolio with Gross Exposure and Transaction Cost Constraints pp. 1-21 Downloads
Yuji Yamada and James A. Primbs
China, Japan and the US Stock Markets and the Global Financial Crisis pp. 23-45 Downloads
Yan Zhang
On the Effect of Bank of Japan’s Outright Purchase on the JGB Yield Curve pp. 47-70 Downloads
Masafumi Nakano, Akihiko Takahashi, Soichiro Takahashi and Takami Tokioka
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