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Asia-Pacific Financial Markets

1997 - 2021

Current editor(s): Jiro Akahori

Japanese Association of Financial Economics and Engineering
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Volume 28, issue 1, 2021

Forwarding Letter for Capital Markets Conference Special Issue pp. 1-2 Downloads
Pradiptarathi Panda
Financial Astrology and Behavioral Bias: Evidence from India pp. 3-17 Downloads
Ashish Mahendra, Shiba Prasad Mohanty and S. Sudalaimuthu
Comparative Study of Momentum and Contrarian Behavior of Different Investors: Evidence from the Indian Market pp. 19-53 Downloads
Bhaskar Chhimwal and Varadraj Bapat
Beta-Anomaly: Evidence from the Indian Equity Market pp. 55-78 Downloads
Asgar Ali and K. N. Badhani
Risk-adjusted Returns from Statistical Arbitrage Opportunities in Indian Stock Futures Market pp. 79-99 Downloads
Geetu Aggarwal and Navdeep Aggarwal
Size Effect in Indian Equity Market: Myth or Reality? pp. 101-119 Downloads
Vibhuti Vasishth, Sanjay Sehgal and Gagan Sharma
Predicting Wheat Futures Prices in India pp. 121-140 Downloads
Raushan Kumar
Does The Association Between Abnormal Trading Volumes And Historical Prices Explain Disposition Effect? pp. 141-151 Downloads
Sravani Bharandev and Sapar Narayan Rao

Volume 27, issue 4, 2020

Speed of Price Adjustment in Indian Stock Market: A Paradox pp. 453-476 Downloads
Parthajit Kayal and Sayanti Mondal
Structural Pricing of CoCos and Deposit Insurance with Regime Switching and Jumps pp. 477-520 Downloads
Olivier Courtois and Xiaoshan Su
Do Fund Investors Consider Asset Returns? Substitute Relation Among Investment Funds in Korea pp. 521-536 Downloads
Young-Min Kim
Dynamic Linkages and Economic Role of Leading Cryptocurrencies in an Emerging Market pp. 537-585 Downloads
Maurice Omane-Adjepong and Imhotep Paul Alagidede
Determinants of Capital Structure: Insights from Japanese Private Firms pp. 587-603 Downloads
Naheed Rabbani
Market Adaptability and Evolving Predictability of Stock Returns: An Evidence from India pp. 605-619 Downloads
Biswabhusan Bhuyan, Subhamitra Patra and Ranjan Kumar Bhuian
A Text Mining Model to Evaluate Firms’ ESG Activities: An Application for Japanese Firms pp. 621-632 Downloads
Takuya Kiriu and Masatoshi Nozaki

Volume 27, issue 3, 2020

Direct Estimation of Lead–Lag Relationships Using Multinomial Dynamic Time Warping pp. 325-342 Downloads
Katsuya Ito and Ryuta Sakemoto
The Impact of Institutional Shareholdings on Price Limits pp. 343-361 Downloads
Manhwa Wu, Paoyu Huang and Yensen Ni
Volatility and Specific Risk Toward Family’s Performance in an Emerging Country pp. 363-386 Downloads
Kien S. Nguyen
Volatility Flocking by Cucker–Smale Mechanism in Financial Markets pp. 387-414 Downloads
Hyeong-Ohk Bae, Seung-Yeal Ha, Yongsik Kim, Hyuncheul Lim and Jane Yoo
US Economic Policy Uncertainty and GCC Stock Market pp. 415-425 Downloads
Abdullah Alqahtani and Miguel Martinez
Trend of Commodity Prices and Exchange Rate in Australian Economy: Time Varying Parameter Model Approach pp. 427-437 Downloads
Debasish Roy and Ramaprasad Bhar
Market Participation Willingness and Investor’s Herding Behavior: Evidence from an Emerging Market pp. 439-452 Downloads
Xiong Xiong, Chen Wang and Dehua Shen

Volume 27, issue 2, 2020

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

Volume 27, issue 1, 2020

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

Volume 26, issue 4, 2019

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

Volume 26, issue 3, 2019

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

Volume 26, issue 2, 2019

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

Volume 26, issue 1, 2019

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
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