Asia-Pacific Financial Markets

1997 - 2021

Current editor(s): Jiro Akahori

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Springer
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

Pradiptarathi Panda

Financial Astrology and Behavioral Bias: Evidence from India pp. 3-17

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

Bhaskar Chhimwal and Varadraj Bapat

Beta-Anomaly: Evidence from the Indian Equity Market pp. 55-78

Asgar Ali and K. N. Badhani

Risk-adjusted Returns from Statistical Arbitrage Opportunities in Indian Stock Futures Market pp. 79-99

Geetu Aggarwal and Navdeep Aggarwal

Size Effect in Indian Equity Market: Myth or Reality? pp. 101-119

Vibhuti Vasishth, Sanjay Sehgal and Gagan Sharma

Predicting Wheat Futures Prices in India pp. 121-140

Raushan Kumar

Does The Association Between Abnormal Trading Volumes And Historical Prices Explain Disposition Effect? pp. 141-151

Sravani Bharandev and Sapar Narayan Rao

Volume 27, issue 4, 2020

Speed of Price Adjustment in Indian Stock Market: A Paradox pp. 453-476

Parthajit Kayal and Sayanti Mondal

Structural Pricing of CoCos and Deposit Insurance with Regime Switching and Jumps pp. 477-520

Olivier Courtois and Xiaoshan Su

Do Fund Investors Consider Asset Returns? Substitute Relation Among Investment Funds in Korea pp. 521-536

Young-Min Kim

Dynamic Linkages and Economic Role of Leading Cryptocurrencies in an Emerging Market pp. 537-585

Maurice Omane-Adjepong and Imhotep Paul Alagidede

Determinants of Capital Structure: Insights from Japanese Private Firms pp. 587-603

Naheed Rabbani

Market Adaptability and Evolving Predictability of Stock Returns: An Evidence from India pp. 605-619

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

Takuya Kiriu and Masatoshi Nozaki

Volume 27, issue 3, 2020

Direct Estimation of Lead–Lag Relationships Using Multinomial Dynamic Time Warping pp. 325-342

Katsuya Ito and Ryuta Sakemoto

The Impact of Institutional Shareholdings on Price Limits pp. 343-361

Manhwa Wu, Paoyu Huang and Yensen Ni

Volatility and Specific Risk Toward Family’s Performance in an Emerging Country pp. 363-386

Kien S. Nguyen

Volatility Flocking by Cucker–Smale Mechanism in Financial Markets pp. 387-414

Hyeong-Ohk Bae, Seung-Yeal Ha, Yongsik Kim, Hyuncheul Lim and Jane Yoo

US Economic Policy Uncertainty and GCC Stock Market pp. 415-425

Abdullah Alqahtani and Miguel Martinez

Trend of Commodity Prices and Exchange Rate in Australian Economy: Time Varying Parameter Model Approach pp. 427-437

Debasish Roy and Ramaprasad Bhar

Market Participation Willingness and Investor’s Herding Behavior: Evidence from an Emerging Market pp. 439-452

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

Jiro Hodoshima, Tetsuya Misawa and Yoshio Miyahara

Economics Performance Under Endogenous Knowledge Spillovers pp. 175-192

Mohamad Alghamdi

Inner Rate of Risk Aversion (IRRA) and Its Applications to Investment Selection pp. 193-212

Yoshio Miyahara

The High-Volume Return Premium: Does it Really Exist in the Chinese Stock Market? pp. 213-230

Xingjian Zheng and Dehua Shen

Health Care Investment: The Case of Multiple Sources of Risk pp. 231-255

Octave Jokung and Sovan Mitra

Does a Unique Solution Exist for a Nonlinear Rational Expectation Equation with Zero Lower Bound? pp. 257-289

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

Shrey Jain and Siddhartha P. Chakrabarty

Volume 27, issue 1, 2020

Market Closures and Cross-sectional Stock Returns pp. 1-33

Kotaro Miwa

Commodity Spot and Futures Prices Under Supply, Demand, and Financial Trading: Single Input–Output Model pp. 35-59

Katsushi Nakajima

The Profitability in the FTSE 100 Index: A New Markov Chain Approach pp. 61-81

Flavio Ivo Riedlinger and João Nicolau

Hedging Derivatives on Two Assets with Model Risk pp. 83-95

Koichi Matsumoto and Keita Shimizu

Investor Sentiment and the Return Rate of P2P Lending Platform pp. 97-113

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

Polin Wu and Wasin Siwasarit

Market Efficiency, Liquidity, and Multifractality of Bitcoin: A Dynamic Study pp. 145-154

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

Wee Yeap Lau and Tien-Ming Yip

Financial Markets Development and Financing Choice of Firms: New Evidence from Asia pp. 429-451

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

Hidehiko Shimizu and Takayuki Shiohama

Stylized Facts of the Indian Stock Market pp. 479-493

Rituparna Sen and Manavathi Subramaniam

Incorporating Realized Quarticity into a Realized Stochastic Volatility Model pp. 495-528

Didit Budi Nugroho and Takayuki Morimoto

Analysis of Price Differences Between A and H Shares pp. 529-552

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

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

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

Kiyohiko G. Nishimura, Seisho Sato and Akihiko Takahashi

Asset Pricing Test Using Alternative Sets of Portfolios: Evidence from India pp. 339-354

Sudipta Das

Hyperbolic Symmetrization of Heston Type Diffusion pp. 355-364

Yuuki Ida and Tsuyoshi Kinoshita

On Discrete Probability Approximations for Transaction Cost Problems pp. 365-389

Nabeel Butt

Asymptotic Expansion as Prior Knowledge in Deep Learning Method for High dimensional BSDEs pp. 391-408

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

Shan Lu

An Analytic Market Condition for Mutual Fund Separation: Demand for the Non-Sharpe Ratio Maximizing Portfolio pp. 169-185

Toru Igarashi

Market Conditions and Calendar Anomalies in Japanese Stock Returns pp. 187-209

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

Takuji Matsumoto and Yuji Yamada

Large Shareholding and Firm Value in the Alternative Investment Market (AIM) pp. 229-252

Mona Mortazian, Seyedeh Asieh H. Tabaghdehi and Bryan Mase

Demystifying Yield Spread on Corporate Bonds Trades in India pp. 253-284

Kedar nath Mukherjee

Volume 26, issue 1, 2019

Stock Futures of a Flawed Market Index pp. 1-21

Kotaro Miwa

Re-examination of Fama–French Models in the Korean Stock Market pp. 23-45

Serge Rugwiro and SungSup Brian Choi

Asset Prices and Changes in Risk within a Bivariate Model pp. 47-60

Octave Jokung and Sovan Mitra

Firm Value and the Impact of Operational Management pp. 61-85

Sovan Mitra and Andreas Karathanasopoulos

Spatial-Temporal Modelling of Temperature for Pricing Temperature Index Insurance pp. 87-106

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

Mei-Ling Tang and Trung K. Do

Correction to: Some Further Results on the Tempered Multistable Approach pp. 127-127

Olivier Courtois