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Asia-Pacific Financial Markets

1997 - 2022

Current editor(s): Jiro Akahori

Japanese Association of Financial Economics and Engineering
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Volume 29, issue 2, 2022

Information Quality and the Expected Rate of Return: A Structural Equation Modelling Approach pp. 139-170 Downloads
Max Schreder and Pawel Bilinski
Comparing Dynamic and Static Performance Indexes in the Stock Market: Evidence From Japan pp. 171-193 Downloads
Jiro Hodoshima and Toshiyuki Yamawake
Liquidity and Volatility of Stocks Moved from the Main Market to the Alternative Investment Market (AIM) pp. 195-220 Downloads
Mona Mortazian
Corporate Social Responsibility: Is Too Much Bad?—Evidence from India pp. 221-252 Downloads
Ved Dilip Beloskar and S. V. D. Nageswara Rao
Optimal Pair–Trade Execution with Generalized Cross–Impact pp. 253-289 Downloads
Masamitsu Ohnishi and Makoto Shimoshimizu
Shareholder Disputes and Commonality in Liquidity: Evidence from the Equity Markets in China pp. 291-325 Downloads
Mu-Shun Wang
Examining the Performance of Islamic and Conventional Stock Indices: A Comparative Analysis pp. 327-355 Downloads
Mehmet Asutay, Yumeng Wang and Alija Avdukic
Both Sensitive Value Measure and its Applications pp. 357-379 Downloads
Yoshio Miyahara

Volume 29, issue 1, 2022

Green and Sustainable Finance in the Asia-Pacific Markets: An Introduction to the Special Issue pp. 1-3 Downloads
Toan Luu Duc Huynh, Thomas Walther and Sebastian Utz
Values-Based and Global Systemically Important Banks: Their Stability and the Impact of Regulatory Changes After the Financial Crisis on it pp. 5-32 Downloads
Theresa Schäfer and Sebastian Utz
Foreign Direct Investments, Renewable Electricity Output, and Ecological Footprints: Do Financial Globalization Facilitate Renewable Energy Transition and Environmental Welfare in Bangladesh? pp. 33-78 Downloads
Muntasir Murshed, Mohamed Elheddad, Rizwan Ahmed, Mohga Bassim and Ei Thuzar Than
Energy Consumption and Bitcoin Market pp. 79-93 Downloads
Anh Ngoc Quang Huynh, Duy Duong, Tobias Burggraf, Hien Thi Thu Luong and Nam Huu Bui
Correction to: Energy Consumption and Bitcoin Market pp. 95-95 Downloads
Anh Ngoc Quang Huynh, Duy Duong, Tobias Burggraf, Hien Thi Thu Luong and Nam Huu Bui
Does ESG Certification Improve Price Efficiency in the Chinese Stock Market? pp. 97-122 Downloads
Chunying Wu, Xiong Xiong and Ya Gao
Investor Attention and the Carbon Emission Markets in China: A Nonparametric Wavelet-Based Causality Test pp. 123-137 Downloads
Yongjie Zhang, Yue Li and Dehua Shen

Volume 28, issue 4, 2021

Is Being “Robust” Beneficial? A Perspective from the Indian Market pp. 469-497 Downloads
Mohammed Bilal Girach, Shashank Oberoi and Siddhartha P. Chakrabarty
Frontier Markets, Liberalization and Informational Efficiency: Evidence from Vietnam pp. 499-526 Downloads
Cesario Mateus and Bao Trung Hoang
The Relationship Between China’s Real Estate Market and Industrial Metals Futures Market: Evidence from Non-price Measures of the Real Estate Market pp. 527-561 Downloads
Xiangyu Chen and Jittima Tongurai
Bankruptcy risk dependence structure using the INAR model comprising macroeconomic indicators applied to stress tests pp. 563-585 Downloads
Teruo Kemmotsu
Applying Technical Trading Rules to Beat Long-Term Investing: Evidence from Asian Markets pp. 587-611 Downloads
Thomas S. Coe and Kittipong Laosethakul
Network Interdependence and Optimization of Bank Portfolios from Developed and Emerging Asia Pacific Countries pp. 613-647 Downloads
Jose Arreola Hernandez, Sang Hoon Kang, Ron P. McIver and Seong-Min Yoon
Financial Network Connectedness and Systemic Risk During the COVID-19 Pandemic pp. 649-665 Downloads
Mike K. P. So, Lupe S. H. Chan and Amanda M. Y. Chu
Stocks Recommendation from Large Datasets Using Important Company and Economic Indicators pp. 667-689 Downloads
Kartikay Gupta and Niladri Chatterjee

Volume 28, issue 3, 2021

Structural Changes in the Duration of Bull Markets and Business Cycle Dynamics pp. 333-352 Downloads
João Cruz, João Nicolau and Paulo Rodrigues
Index Future Trading and Spot Market Volatility in Frontier Markets: Evidence from Ho Chi Minh Stock Exchange pp. 353-366 Downloads
Loc Dong Truong, Anh Thi Kim Nguyen and Dut Van Vo
Evaluating Financial System Stability Using Heatmap from Aggregate Financial Stability Index with Change Point Analysis Approach pp. 367-396 Downloads
Apriliani Gustiana and Nasrudin
Stock Crashes and Jumps Reactions to Information Demand and Supply: An Intraday Analysis pp. 397-427 Downloads
Gang Chu, Xiao Li, Dehua Shen and Yongjie Zhang
Directional Spillover Effects Between BRICS Stock Markets and Economic Policy Uncertainty pp. 429-448 Downloads
Ngo Thai Hung
The Short-Selling Hypothesis of Weekend Effect and T + 1 Trading Mechanism pp. 449-467 Downloads
Xiao Li and Bin Liu

Volume 28, issue 2, 2021

On Hoover’s Scale-Free Forecast Accuracy Metric MAD/MEAN pp. 153-168 Downloads
Louie Ren and Peter Ren
Risk-Sensitive Asset Management with Lognormal Interest Rates pp. 169-206 Downloads
Hiroaki Hata
Managerial Ability and External Financing pp. 207-241 Downloads
Min-Rui Choo, Chih-Wei Wang, Chi Yin and Jie-Lun Li
Impact of Market Expectations on the U.S. Interest Rate Lift-Off in ASEAN-5 Financial System pp. 243-271 Downloads
Teik-Khim Ooi and Wee Yeap Lau
Imposing Regularity Conditions to Measure Banks’ Productivity Changes in Taiwan Using a Stochastic Approach pp. 273-303 Downloads
Tai-Hsin Huang, Yi-Huang Chiu and Chih-Ying Mao
Stay-at-Home Stocks Versus Go-Outside Stocks: The Impacts of COVID-19 on the Chinese Stock Market pp. 305-318 Downloads
Dehua Shen and Wei Zhang
Political Stability and the Effectiveness of Currency Based Macro Prudential Measures pp. 319-332 Downloads
Smita Roy Trivedi

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 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
Page updated 2022-07-01