Asia-Pacific Financial Markets

1997 - 2018

Current editor(s): Jiro Akahori

From:
Springer
Japanese Association of Financial Economics and Engineering
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Volume 25, issue 3, 2018

Information-Based Model with Noisy Anticipation and Its Application in Finance pp. 159-177

Kirati Thoednithi

Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment: Empirical Study in the Japanese Stock Market pp. 179-220

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

Thu A. T. Pham

An Empirical Comparison of Asset-Pricing Models in the Shanghai A-Share Exchange Market pp. 249-265

Doha Belimam, Yong Tan and Ghizlane Lakhnati

Volume 25, issue 2, 2018

Success Factors of Financial Derivatives Markets in Asia pp. 71-86

Trin Sittisawad and Pariyada Sukcharoensin

Some Further Results on the Tempered Multistable Approach pp. 87-109

Olivier Courtois

Information Uncertainty and Momentum Phenomenon Amidst Market Swings: Evidence From the Chinese Class A Share Market pp. 111-136

Yuan Wu and Taufiq Choudhry

Dynamic Causality Between Stock Return and Exchange Rate: Is Stock-Oriented Hypothesis More Relevant in Malaysia? pp. 137-157

Wee-Yeap Lau and You-How Go

Volume 25, issue 1, 2018

Model Predictive Control for Optimal Pairs Trading Portfolio with Gross Exposure and Transaction Cost Constraints pp. 1-21

Yuji Yamada and James A. Primbs

China, Japan and the US Stock Markets and the Global Financial Crisis pp. 23-45

Yan Zhang

On the Effect of Bank of Japan’s Outright Purchase on the JGB Yield Curve pp. 47-70

Masafumi Nakano, Akihiko Takahashi, Soichiro Takahashi and Takami Tokioka

Volume 24, issue 4, 2017

Internal Market Efficiency, Market Co-movement, and Cross-Market Efficiency: The Case of Hong Kong and Shanghai Stock Markets pp. 253-267

Ebenezer Asem, Vishaal Baulkaran, Rossitsa Yalamova and Xiaofei Zhang

Assessing Corporate Vulnerabilities in Indonesia: A Bottom-Up Default Analysis pp. 269-289

Ken Miyajima, Jorge A. Chan-Lau, Weimin Miao and Jongsoon Shin

Pricing Perpetual Put Options by the Black–Scholes Equation with a Nonlinear Volatility Function pp. 291-308

Maria do Rosário Grossinho, Yaser Kord Faghan and Daniel Ševčovič

Do Domestic Institutional Trades Exacerbate Information Asymmetry? Evidence from the Korean Stock Market pp. 309-322

Chune Young Chung, Yunjae Lee and Doojin Ryu

Volume 24, issue 3, 2017

Forecasting Financial Market Volatility Using a Dynamic Topic Model pp. 149-167

Takayuki Morimoto and Yoshinori Kawasaki

Merton Model and Capital Measurement in Commercial Banks: A Case Study of Selected Emerging Countries in Southeast Asia pp. 169-191

Mohammadreza Janvisloo Alizadeh and Reza Sherafatian-Jahromi

Analysis of Dynamic Correlation of Japanese Stock Returns with Network Clustering pp. 193-220

Takashi Isogai

Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps pp. 221-252

Hiroaki Hata and Jun Sekine

Volume 24, issue 2, 2017

Weather Effects on Stock Returns and Volatility in South Asian Markets pp. 75-107

Muhammad Fayyaz Sheikh, Syed Zulfiqar Ali Shah and Shahid Mahmood

An Algorithmic Approach to Optimal Asset Liquidation Problems pp. 109-129

Juri Hinz and Jeremy Yee

VIX Forecast Under Different Volatility Specifications pp. 131-148

Ying Wang and Hoi Ying Wong

Volume 24, issue 1, 2017

Optimal Hedging of Basket Barrier Options with Additive Models and Its Application to Equity Value Separation Problem pp. 1-18

Yuji Yamada

Pricing CIR Yield Options by Conditional Moment Matching pp. 19-38

Adrian Prayoga and Nicolas Privault

Effects of Jumps and Small Noise in High-Frequency Financial Econometrics pp. 39-73

Naoto Kunitomo and Daisuke Kurisu

Volume 23, issue 4, 2016

Speculative Futures Trading under Mean Reversion pp. 281-304

Tim Leung, Jiao Li, Xin Li and Zheng Wang

On the Price of Risk Under a Regime Switching CGMY Process pp. 305-335

Pious Asiimwe, Charles Wilson Mahera and Olivier Menoukeu-Pamen

An Asymptotic Expansion for Forward–Backward SDEs: A Malliavin Calculus Approach pp. 337-373

Akihiko Takahashi and Toshihiro Yamada

Volume 23, issue 3, 2016

Measuring Credit Risk of Individual Corporate Bonds in US Energy Sector pp. 229-262

Takeaki Kariya, Yoko Tanokura, Hideyuki Takada and Yoshiro Yamamura

Central Bank Intervention in USD/INR Market: Estimating Its Reaction Function and Impact on Volatility pp. 263-279

Smita Roy Trivedi and P. G. Apte

Volume 23, issue 2, 2016

Expectations Hypothesis and Term Structure of Interest Rates: An Evidence from Emerging Market pp. 137-152

Hassan Shareef and Santhakumar Shijin

Analysis of the Nonlinear Option Pricing Model Under Variable Transaction Costs pp. 153-174

Daniel Ševčovič and Magdaléna Žitňanská

Bond Market Development, Economic Growth and Other Macroeconomic Determinants: Panel VAR Evidence pp. 175-201

Rudra P. Pradhan, Mak Arvin, Sara E. Bennett, Mahendhiran Nair and John H. Hall

The Effects of Analysts’ Herding on Traders: Evidence from the Taiwan Stock Market pp. 203-227

Po-Jung Chen

Volume 23, issue 1, 2016

Commodity Spread Option with Cointegration pp. 1-44

Katsushi Nakajima and Kazuhiko Ohashi

Explaining Size Effect for Indian Stock Market pp. 45-68

Asheesh Pandey and Sanjay Sehgal

The End of the Month Option and Other Embedded Options in Futures Contracts pp. 69-83

Kristoffer Lindensjö

Pricing Foreign Exchange Options Under Intervention by Absorption Modeling pp. 85-106

Taiga Saito

The Asymmetric Momentum Effect in the Chinese Class A Share Market Amid Market Swings pp. 107-136

Yuan Wu

Volume 22, issue 4, 2015

Real Estate Pricing Models: Theory, Evidence, and Implementation pp. 369-396

Hiroshi Ishijima and Akira Maeda

Credit Risk Analysis on Euro Government Bonds-Term Structures of Default Probabilities pp. 397-427

Takeaki Kariya, Yoshiro Yamamura, Yoko Tanokura and Zhu Wang

Change Point Analysis of Exchange Rates Using Bootstrapping Methods: An Application to the Indonesian Rupiah 2000–2008 pp. 429-444

Amirullah Hardi, Ken-ichi Kawai, Sangyeol Lee and Koichi Maekawa

Volume 22, issue 3, 2015

An FBSDE Approach to American Option Pricing with an Interacting Particle Method pp. 239-260

Masaaki Fujii, Seisho Sato and Akihiko Takahashi

An Empirical Study of Liquidity and Return Autocorrelations in the Chinese Stock Market pp. 261-282

Chen Yang

Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method pp. 283-304

Masaaki Fujii and Akihiko Takahashi

Credit Derivative Evaluation and CVA Under the Benchmark Approach pp. 305-331

Jan Baldeaux and Eckhard Platen

The SIML Estimation of Integrated Covariance and Hedging Coefficient Under Round-off Errors, Micro-market Price Adjustments and Random Sampling pp. 333-368

Naoto Kunitomo, Hiroumi Misaki and Seisho Sato

Volume 22, issue 2, 2015

Analytical Solutions for Expected Loss and Standard Deviation of Loss with an Additional Loan pp. 113-132

Satoshi Yamashita and Toshinao Yoshiba

Asset Pricing Using Trading Volumes in a Hidden Regime-Switching Environment pp. 133-149

Robert Elliott and Tak Kuen Siu

Understanding Delta-Hedged Option Returns in Stochastic Volatility Environments pp. 151-184

Hiroshi Sasaki

An Approximation Scheme for Diffusion Processes Based on an Antisymmetric Calculus over Wiener Space pp. 185-207

Kazuhiro Yoshikawa

Dynamic Investment Strategy with Factor Models Under Regime Switches pp. 209-237

Takahiro Komatsu and Naoki Makimoto