Asia-Pacific Financial Markets

1997 - 2025

Current editor(s): Jiro Akahori

From:
Springer
Japanese Association of Financial Economics and Engineering
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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 Do

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

Olivier Courtois

Volume 25, issue 4, 2018

The Effects of Firm-Level Investability Sizes on Foreign Ownership in Indonesian Public Firms pp. 267-284

Dezie L. Warganegara

The Dynamic and Dependence of Takaful and Conventional Stock Return Behaviours: Evidence from the Insurance Industry in Saudi Arabia pp. 285-323

Noureddine Benlagha and Wael Hemrit

A New Measure of Control-Cash Flow Deviation: Cases in Taiwan pp. 325-340

Pei-Gi Shu, Sue-Jane Chiang and Man-Yin Chen

Applying Time Series Decomposition to Construct Index-Tracking Portfolio pp. 341-352

Jun Nakayama and Daisuke Yokouchi

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 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