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Asia-Pacific Financial Markets

1997 - 2018

Current editor(s): Jiro Akahori

Japanese Association of Financial Economics and Engineering
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Volume 25, issue 2, 2018

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

Volume 25, issue 1, 2018

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

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 Downloads
Ebenezer Asem, Vishaal Baulkaran, Rossitsa Yalamova and Xiaofei Zhang
Assessing Corporate Vulnerabilities in Indonesia: A Bottom-Up Default Analysis pp. 269-289 Downloads
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 Downloads
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 Downloads
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 Downloads
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 Downloads
Mohammadreza Janvisloo Alizadeh and Reza Sherafatian-Jahromi
Analysis of Dynamic Correlation of Japanese Stock Returns with Network Clustering pp. 193-220 Downloads
Takashi Isogai
Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps pp. 221-252 Downloads
Hiroaki Hata and Jun Sekine

Volume 24, issue 2, 2017

Weather Effects on Stock Returns and Volatility in South Asian Markets pp. 75-107 Downloads
Muhammad Fayyaz Sheikh, Syed Zulfiqar Ali Shah and Shahid Mahmood
An Algorithmic Approach to Optimal Asset Liquidation Problems pp. 109-129 Downloads
Juri Hinz and Jeremy Yee
VIX Forecast Under Different Volatility Specifications pp. 131-148 Downloads
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 Downloads
Yuji Yamada
Pricing CIR Yield Options by Conditional Moment Matching pp. 19-38 Downloads
Adrian Prayoga and Nicolas Privault
Effects of Jumps and Small Noise in High-Frequency Financial Econometrics pp. 39-73 Downloads
Naoto Kunitomo and Daisuke Kurisu

Volume 23, issue 4, 2016

Speculative Futures Trading under Mean Reversion pp. 281-304 Downloads
Tim Leung, Jiao Li, Xin Li and Zheng Wang
On the Price of Risk Under a Regime Switching CGMY Process pp. 305-335 Downloads
Pious Asiimwe, Charles Wilson Mahera and Olivier Menoukeu-Pamen
An Asymptotic Expansion for Forward–Backward SDEs: A Malliavin Calculus Approach pp. 337-373 Downloads
Akihiko Takahashi and Toshihiro Yamada

Volume 23, issue 3, 2016

Measuring Credit Risk of Individual Corporate Bonds in US Energy Sector pp. 229-262 Downloads
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 Downloads
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 Downloads
Hassan Shareef and Santhakumar Shijin
Analysis of the Nonlinear Option Pricing Model Under Variable Transaction Costs pp. 153-174 Downloads
Daniel Ševčovič and Magdaléna Žitňanská
Bond Market Development, Economic Growth and Other Macroeconomic Determinants: Panel VAR Evidence pp. 175-201 Downloads
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 Downloads
Po-Jung Chen

Volume 23, issue 1, 2016

Commodity Spread Option with Cointegration pp. 1-44 Downloads
Katsushi Nakajima and Kazuhiko Ohashi
Explaining Size Effect for Indian Stock Market pp. 45-68 Downloads
Asheesh Pandey and Sanjay Sehgal
The End of the Month Option and Other Embedded Options in Futures Contracts pp. 69-83 Downloads
Kristoffer Lindensjö
Pricing Foreign Exchange Options Under Intervention by Absorption Modeling pp. 85-106 Downloads
Taiga Saito
The Asymmetric Momentum Effect in the Chinese Class A Share Market Amid Market Swings pp. 107-136 Downloads
Yuan Wu

Volume 22, issue 4, 2015

Real Estate Pricing Models: Theory, Evidence, and Implementation pp. 369-396 Downloads
Hiroshi Ishijima and Akira Maeda
Credit Risk Analysis on Euro Government Bonds-Term Structures of Default Probabilities pp. 397-427 Downloads
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 Downloads
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 Downloads
Masaaki Fujii, Seisho Sato and Akihiko Takahashi
An Empirical Study of Liquidity and Return Autocorrelations in the Chinese Stock Market pp. 261-282 Downloads
Chen Yang
Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method pp. 283-304 Downloads
Masaaki Fujii and Akihiko Takahashi
Credit Derivative Evaluation and CVA Under the Benchmark Approach pp. 305-331 Downloads
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 Downloads
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 Downloads
Satoshi Yamashita and Toshinao Yoshiba
Asset Pricing Using Trading Volumes in a Hidden Regime-Switching Environment pp. 133-149 Downloads
Robert Elliott and Tak Kuen Siu
Understanding Delta-Hedged Option Returns in Stochastic Volatility Environments pp. 151-184 Downloads
Hiroshi Sasaki
An Approximation Scheme for Diffusion Processes Based on an Antisymmetric Calculus over Wiener Space pp. 185-207 Downloads
Kazuhiro Yoshikawa
Dynamic Investment Strategy with Factor Models Under Regime Switches pp. 209-237 Downloads
Takahiro Komatsu and Naoki Makimoto

Volume 21, issue 4, 2014

Randomised Mixture Models for Pricing Kernels pp. 281-315 Downloads
Andrea Macrina and Priyanka Parbhoo
Optimal Asset-Liability Management for an Insurer Under Markov Regime Switching Jump-Diffusion Market pp. 317-330 Downloads
Jun Yu
The Influence of Japan’s Unsecured Overnight Call Rate on Bull and Bear Markets and Market Turns pp. 331-349 Downloads
Mai Shibata
Asymptotic Expansion Formula of Option Price Under Multifactor Heston Model pp. 351-396 Downloads
Kazuki Nagashima, Tsz-Kin Chung and Keiichi Tanaka

Volume 21, issue 3, 2014

Optimal Portfolio Selection Based on Expected Shortfall Under Generalized Hyperbolic Distribution pp. 193-236 Downloads
Budhi Surya and Ryan Kurniawan
A Continuous-Time Optimal Insurance Design with Costly Monitoring pp. 237-261 Downloads
Hisashi Nakamura and Koichiro Takaoka
Large Deviations for the Extended Heston Model: The Large-Time Case pp. 263-280 Downloads
Antoine Jacquier and Aleksandar Mijatović

Volume 21, issue 2, 2014

A Discrete-Time Clark-Ocone Formula for Poisson Functionals pp. 97-120 Downloads
Takafumi Amaba
Evidence on Hedging Effectiveness in Indian Derivatives Market pp. 121-131 Downloads
Barik Kumar and M. Supriya
Portfolio Selection and Optimization with Higher Moments: Evidence from the Indian Stock Market pp. 133-149 Downloads
K. Saranya and P. Prasanna
A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information pp. 151-174 Downloads
Takashi Kato, Jun Sekine and Hiromitsu Yamamoto
Intangible Asset Valuation Model Using Panel Data pp. 175-191 Downloads
Tomohiro Yamaguchi

Volume 21, issue 1, 2014

Application of Homotopy Analysis Method to Option Pricing Under Lévy Processes pp. 1-14 Downloads
Takayuki Sakuma and Yuji Yamada
Asset Pricing and Share Reforms: An Anatomy of China’s Investable Stocks pp. 15-34 Downloads
Xiao-Ming Li
Expected Log-Utility Maximization Under Incomplete Information and with Cox-Process Observations pp. 35-66 Downloads
Kazufumi Fujimoto, Hideo Nagai and Wolfgang Runggaldier
Foreign Ownership and Firm Value: Evidence from Australian Firms pp. 67-96 Downloads
Anil Mishra
Page updated 2018-07-18