• Management & Information Systems Review
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• v.32 no.4
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• pp.189-207
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• 2013

Using high-frequency data for 2 years, this study investigates intraday lead-lag relationship between stock index and stock index futures markets in Korea and China. We found that there are some differences in price discovery and volatility transmission between Korea and China after the stock index futures markets was introduced. Following Stoll-Whaley(1990) and Chan(1992), the multiple regression is estimated to examine the lead-lag patterns between the two markets by Newey-West's(1987) heteroskedasticity and autocorrelation consistent covariance matrix(HAC matrix). Empirical results of KOSPI 200 shows that the futures market leads the cash market and weak evidence that the cash market leads the futures market. New market information disseminates in the futures market before the stock market with index arbitrageurs then stepping in quickly to bring the cost-of-carry relation back into alignment. The regression tests for the conditional volatility which is estimated using EGARCH model do not show that there is a clear pattern of the futures market leading the stock market in terms of the volatility even though controlling nonsynchronous trading effects. This implies that information in price innovations that originate in the futures market is transmitted to the volatility of the cash market. Empirical results of CSI 300 shows that the cash market is found to play a more dominant role in the price discovery process after the Chinese index started a sharp decline immediately after the stock index futures were introduced. The new stock index futures markets does not function well in its price discovery performance at its infancy stage, apparently due to high barriers to entry into this emerging futures markets. Based on EGAECH model, the results uncover strong bi-directional dependence in the intraday volatility of both markets.

• ETRI Journal
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• v.34 no.4
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• pp.602-612
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• 2012

It is becoming increasingly difficult to identify promising technologies due to the influx of new technologies and the high level of complexity involved in many of these technologies. Identifying promising information and communications technology (ICT)-based converging technologies holds the key to finding new sources of economic growth and forward momentum. The goal of this study is to identify cutting-edge ICT-based converging technologies by examining the latest trends in the US patent market. Analyzing the US patent market, the most competitive of such markets in the world, can yield certain clues about which of the ICT-based converging technologies may be the next revolutionary technologies. For a classification of these technologies, this study follows the International Patent Classification system. As for ICT, there are 58 related fields at the subclass level and 831 fields at the main-group level. For emerging and converging technologies, there are 75 at the main-group level. From these technologies, a final selection for cutting-edge ICT-based converging technologies is made using a composite index reflecting the converging coefficient, emerging coefficient, and technology impact index.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.7
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• pp.15-25
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• 2020

This empirical research aims to identify the relationship between fiscal and financial macroeconomic fundamentals and the volatility of government bonds' borrowing cost in an emerging country - Vietnam. The study covers the period from July 2006 to December 2019 and it is based on a sample of 1-year, 3-year, and 5-year government bonds, which represent short-term, medium-term and long-term sovereign bonds in Vietnam, respectively. The Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) model and its derivatives such as EGARCH and TGARCH are applied on monthly dataset to examine and suggest a significant effect of fiscal and financial determinants of bond yield volatility. The findings of this study indicate that the variation of Vietnam government bond yields is in compliance with the theories of term structure of interest rate. The results also show that a proportion of the variation in the yields on Vietnam government bonds is attributed to the interest rate itself in the previous period, base rate, foreign interest rate, return of the stock market, fiscal deficit, public debt, and current account balance. Our results could be helpful in the macroeconomic policy formulation for policy-makers and in the investment practice for investors regarding the prediction of bond yield volatility.

• Journal of Distribution Science
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• v.18 no.7
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• pp.37-48
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• 2020

Purpose: There has been an increasing focus on consumer ethics by researchers and practitioners alike with the former seeking to examine the general discrepancy between ethical attitude, intention and actual behaviour by proposing behavioural measures to understand ethical consumption. Research into the effects of generational cohorts and gender, two fundamental demographic factors that shape the consumer habituated repertoire, on consumer ethics has reported mixed findings. The present study investigates if there are differences in ethical consumer behavior by generational cohorts and by gender in the context of an emerging market - Vietnam. Research design, data and methodology: Data was collected using a quantitative survey (a link to the questionnaire was posted on relevant social media platforms). A total of 539 usable responses was used for ANOVAs and independent t-tests to test the hypotheses. Results: a) There are significant differences in terms of ethical consumer behavior between Gen Z and Gens Y/X, but no difference between Gen X and Gen Y; b) There is no gender difference in ethically minded consumer behavior. Conclusion: For consumer ethics, generational effects may be moderated by macroeconomic conditions, while gender alone as a biological variable may not be a reliable predictor.

• Asian Journal of Business Environment
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• v.6 no.4
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• pp.19-26
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• 2016

Purpose - The purpose of this paper is to elicit antecedents that influence the buying of counterfeit products in Raipur, an emerging capital city. Research Design, Data, and Methodology - 203 responses to the questionnaire were collected to come out with the results of the study. From the exploratory study, 20 variables were identified to have an influence on the buying of counterfeit products. Factor analysis was applied on the data collected and these items were grouped into four factors. Result - The findings suggest that safety implications have a significant impact on the buying of counterfeits in an emerging city - Raipur, India. Further studies that are specific to geographical locations could be carried out to validate the findings of this paper as the tastes and preferences of each of the markets are unique. Conclusions - For manufacturers, marketers and law enforcers it might be of great interest to learn that safety concerns are uppermost on the minds of people who deliberately or inadvertently consume counterfeits. If it can be conveyed effectively that consumption of counterfeits can cause more harm than increase in perceived value, it can be checked to a good extent.

• Journal of Distribution Science
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• v.11 no.7
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• pp.47-56
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• 2013

Purpose - In the academic literature, the researches on a comparative study on purchase behaviors of the consumers from emerging and mature markets remain limited. Therefore, this empirical study is attempted to examine the effects of country of origin (COO), brand image and corporate image on the purchase behavior of Chinese consumers (as from emerging market) and Korean consumers (as from mature market). Research Design, data, methodology - In total, 615 valid questionnaires were collected from the main cities of China and Korea respectively, and a multiple group analysis was conducted to test the hypotheses with SPSS 16.0 and AMOS18.0. Results - Chinese consumers are not influenced by country-of-origin effect, whereas Korean consumers are sensitive to it. Both Chinese and Korean consumers are sensitive to brand image, whereas corporate image does appear to influence Chinese consumers but not Korean consumers. The effects of country-of-origin are not more influential in less developed market (China) than more developed market (Korea). Conclusions - According to the results of this empirical study, the country-of-origin effect does impact Korean consumers but not Chinese consumers' purchase behavior. Therefore, multinational companies are relatively free to make the decision, if Chinese consumers are the marketing targets, when choosing manufacturing sites.

• Journal of the Korea Convergence Society
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• v.6 no.2
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• pp.31-36
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• 2015

This paper was studied in export policy Revitalization of SMEs mainly in various countries of Indochina, especially in Laos, which is emerging as a new market after China. Laos is a socialist country, but in 2014, led by the current active open-door policy, education, social, cultural and people-to-people exchanges are going briskly, light industry and the expansion of social infrastructure such as laying the foundation for economic development. This paper presents a plan to dominate the emerging frontier markets are public enterprises and government agencies that do not respond quickly. Already pioneered by building a network in local development staff for this purpose, such as volunteers, missionaries, professors and configure the network of exploitation and human development personnel look for Revitalization of SMEs in urban and regional growth.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.11
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• pp.1-10
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• 2021

This paper compares the performance of Fama-French three-factor and five-factor models using a dataset of 20 Pakistani commercial banks for the period 2011 to 2020. We focus on an emerging economy as the findings from earlier studies on developed countries cannot be generalized in emerging markets. For empirical analysis, twelve portfolios were developed based on size, market capitalization, investment strategy, and growth. Subsequently, we constructed five Fama-French factors namely, R_M, SMB, HML, RMW, and CMA. The OLS regression technique with robust standard errors was applied to compare the predictive power of both the Fama-French models. Further, we also compared the mean-variance efficiency of the Fama-French models through the GRS test. Our empirical analysis provides three unique and interesting findings. First, both asset pricing models have similar predictive power to explain the expected portfolio returns in most cases. Second, our results from the GRS test suggest that there is no noticeable difference in the mean-variance efficiency of one asset pricing model over the other. Third, we find that all factors of both Fama-French models are statistically significant and are important for explaining the volatility of expected commercial bank returns in the context of Pakistan.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.5
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• pp.543-549
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• 2021

The stock market plays a crucial role in the growth of industry and trade, which eventually affects the economy. This paper studies the determinants of stock market development in Jordan using yearly time-series data (1978-2019). The autoregressive distributed lag approach is applied to examine co-integration, while the vector error correction model is employed to estimate (long-run and short-run) causal relationships. The results show that macroeconomic determinants such as gross domestic product, gross domestic savings, investment rate, credit to the private sector, broadest money supply, stock market liquidity, and inflation rate are important determinants of stock market development. These findings provide vital implications for policymakers in developed and emerging stock markets. First, economic development plays an imperative role in stock market development. Second, developing the banking sector is mandatory because it can significantly promote stock market development. Third, domestic investment is a significant determinant of stock market development, especially in emerging countries. However, it is vital to launch policies that lead to encourage investment and promote stock market development, and this could be done through (1) encouraging competition, (2) improving the institutional framework, and (3) removing trade blocks by establishing a mutual connection between foreign private investment entities and government authorities.

• Journal of Distribution Science
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• v.20 no.12
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• pp.81-87
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• 2022

Purpose: This study aims to explore the relationship between stock liquidity and skewness risk-tail risk (stock price crash risk) in an emerging market, in which problems on liquidity are more severe than in developed markets. Research design, data, and methodology: Based on the Thai market stock exchange over the period of 2000 to 2019, our sample include 13,462 firm-period observations. We employ a panel regression models regarding to five liquidity measures. These five liquidity measures cover three dimensions of liquidity namely the volume-based, price-based, and transaction cost-based measures for the liquidity-tail risk relationship. Results: We find a positively significant relationship between stock liquidity and tail risk in all cases. The finding here shows that the higher the stock liquidity, the larger the tail risk is. Conclusion: As the prior studies show inconclusive effect of stock liquidity on stock price crash risk, we demonstrate that mixed results found in prior studies are probably driven from the type of liquidity measure. The stock liquidity-tail risk association is present in the Stock Exchange of Thailand. The results remain the same regardless of the definition of tail risk and liquidity factors. An endogeneity issue is addressed by employing the two-stage least squares regression.