• 아태비즈니스연구
• /
• 제13권3호
• /
• pp.183-208
• /
• 2022

Purpose - The main purpose of this study is to widely investigate the impact of recent pandemic crises on the synchronization of the world capital markets through 25 stock indices from major developed countries. Design/methodology/approach - This study collects 25 stock indices from major developed countries and the time period is between January 5, 2001 and February 24, 2022. The data sets used in the study include finance.yahoo.com and Investing.com.. The Granger causality analysis, unit-root test, VAR analysis, and forecasting error variance decomposition were hired in order to analyze the data. Findings - First, there are significant inter-relations among 25 countries around recent major pandemic crises(such as SARS, A(H1N1), MERS, and COVID19), which is consistent result with previous literature. Second, COVID19 shows much stronger impact on the world-wide synchronization than other pandemics. Third, the return volatility of each stock market varies, unit root tests show that daily stock index data are unstable while daily stock index returns are stable, and VAR(Vector Auto Regression) analyses presents significant inter-relations among 25 capital markets. Fourth, from the impulse response function analyses, we find that each market affects the other markets for short term periods, about 2~4 days, and no long term effect was not found. Fifth, Granger causality tests show one-side or two-sides synchronization between capital markets and we estimate, through forecasting error variance decomposition method, that the explanatory portions of each capital market on other markets vary from 10 to 80%. Research implications or Originality - The above results all together show that pandemic crises have strong effects on the synchronization of world capital markets and imply that these synchronizations should be carefully considered both in the investment decisions by individual investors and in the financial and economic policies by governments.

• Journal of the Korean Data Analysis Society
• /
• 제20권6호
• /
• pp.2771-2779
• /
• 2018

The recent financial crises cause the co-movement and transmit the risk across different markets and assets. It is well known that market fear affects the quality of credit in the financial markets. In this context, this study examines the co-movement between the volatility index (VIX) of the Chicago Board Options Exchange (CBOE), or VIX, and six emerging countries' credit default swaps (CDSs), by implementing wavelet coherence. Our research aims at revealing whether the VIX can be used to hedge against the bubble behavior of the CDS market in different investment holding periods (short-run, medium-run, and long-run), as well as whether either market can be used to manage and hedge overall market downside risks. The wavelet coherence results show a high degree of co-movement between the VIX and CDS during the 2007-2009 global financial crisis, across the 16-64 weeks' frequency band. In addition, we observe that the positive correlation between the VIX and the CDS markets, implying that the market turmoil intensifies the co-movement between the VIX and CDS markets.

• The Journal of Asian Finance, Economics and Business
• /
• 제8권4호
• /
• pp.591-599
• /
• 2021

The increased risk in financial firms, due to Global Financial Crises and high international trade activities, has encouraged banks to use derivatives for both managing their financial risk and earning non-operating income simultaneously. The present study brings new evidence in the existing literature by determining the drivers behind financial derivative usage in Pakistani banks for 2011 till 2016. Moreover, the paper examines how risk plays a moderating role in determining the relationship between derivative usage and bank value. While assessing the determinants, a two-stage test has conducted, first, the logit regression was used to test the drivers behind the derivative usage in banks. Second, Tobit regression was run to analyze the factors leading to determine the extent of derivative usage. The findings demonstrate that Pakistani banks are using derivatives for both risk management and speculative motive as they are customers and users of derivatives at the same time. Empirical results, regarding moderating role of risk on the value implications of derivative usage, provide mixed findings as derivative usage gives value premium in case of non-systematic risk and foreign exchange risk. Whereas value discounts have been observed for cases where systematic risk is high and managers try to earn non-operating income from speculative activities.

• Nuclear Engineering and Technology
• /
• 제54권9호
• /
• pp.3299-3309
• /
• 2022

Nuclear energy has the potential to play an influential role in energy transition efforts than is now anticipated by many countries. Realizing sustainable human development and reducing global climate crises will become more difficult without significantly increasing nuclear power. This paper aims to probe the role of nuclear energy, external debt, and financial globalization in sustaining human development and environmental conditions simultaneously in BRICS (Brazil, Russia, India, China, and South Africa) countries. This study applied a battery of second-generation estimation approaches over the period from 1990 to 2019. These methods are useful and robust to cross-countries dependencies, slope heterogeneity, parameters endogeneity, and serial correlation that are ignored in conventional approaches to generate more comprehensive and reliable estimates. The empirical findings indicate that nuclear energy and financial globalization contribute to human development, whereas external debt inhibits it. Similarly, financial globalization accelerates ecological deterioration, but nuclear energy and external debt promote environmental sustainability. Moreover, the study reveals bidirectional feedback causalities between human development, carbon emissions and nuclear energy consumption. The study offers useful policy guidance on accomplishing sustainable and inclusive development in BRICS countries.

• The Journal of Asian Finance, Economics and Business
• /
• 제7권3호
• /
• pp.41-51
• /
• 2020

A series of corporate failures and financial crises have raised attention to organizational governance issues, especially for financial institutions. In the banking system, corporate governance further plays a unique role because of the uniqueness of the banking organizations. Therefore, this study aims to examine the effect of corporate governance disclosure on bank performance by building a corporate governance disclosure index (CGDI) for 10 Islamic banks operating in Iran, Saudi Arabia and Malaysia. The data used in this study are secondary data taken from annual reports and sourced from the official websites of each banks include Iran Exchange, Stock Market Quotes and Financial News, and Bursa Malaysia. This study uses content analysis of the annual bank report within five years (2014-2018). The results show that Islamic banks comply with 72.4% of the attributes discussed in the CGDI. The most frequently reported and disclosed elements are board structure and audit committee. The regression results provide evidence that Islamic banks with a higher level of corporate governance disclosure reported high operating performance measured by ROA. In contrast to the expectation, the financial performance of ROE and Tobins'q are not significantly related to the disclosure of sharia bank governance.

• The Journal of Asian Finance, Economics and Business
• /
• 제4권1호
• /
• pp.39-49
• /
• 2017

This study develops an early warning system (EWS) to prevent the banking crisis. The proposed system incorporates both the perspective of crises and fundamental characteristics of the banking system in each economy. A fuzzy logic method with data from 1990-2009 is employed to construct the EWS of banking crisis based on 21 pre-determined variables from the aspect of total economy, financial and banking sectors. Our results show: Firstly, South Korea recorded higher probability to have a banking crisis in 1997 as there was large foreign debt in dollars. Secondly, China, Australia and New Zealand banking systems appear to be vulnerable to the crisis in 2007. The surge of China export, FDIs and booming stock market were signs of a heated economy. Australia with high commodity prices was also vulnerable to crisis. Thirdly, Australia, China, Japan and New Zealand banking systems appear to be exposed to the higher chance of a crisis in 2010. Japan with deflation coupled with expensive yen did not augur well for its export. Overall, the findings show that in Asian Financial Crisis 1997/98 and Global Financial Crisis 2008/09, many economies are exposed to a higher probability of having the crisis and this shows an urgent need of having surveillance in these economies.

• The Journal of Asian Finance, Economics and Business
• /
• 제8권5호
• /
• pp.515-521
• /
• 2021

The popularity of Islamic financial instruments among Muslims is not surprising. The Islamic capital market is where sharia-compliant financial assets are transacted. It works parallel to the conventional market and helps investors find sharia-compliant investment opportunities. At a time of collective confusion when the COVID-19 epidemic is contributing to unprecedented change, this paper is keen to understand how attractive conventional and Islamic stock markets have been to investors recently. Second, this paper takes advantage of the time-scale decomposition property of the wavelet to simultaneously capture risk exposure and distinguish the risks faced by short- and long-term investors. To this end, this research conducted a two-step investigation of the daily closing equity market price indices for three Islamic stock markets and their conventional counterparts. Given that different financial decisions occur with greater or less frequency, the paper examines the connectedness of stock markets operating at heterogeneous rates and identifies the timescales using wavelet-DCC-GARCH analysis to take account of both the time and the frequency domains of stock market connectedness. The paper findings highlight the strong evidence of contagion that can be seen in nearly all conventional stock markets in the COVID-19 pandemic; they reach a high level of dependency in such health crises. Furthermore, Islamic stock markets prove to be a rich ground for global diversification.

• 한국콘텐츠학회논문지
• /
• 제15권10호
• /
• pp.457-467
• /
• 2015

최근 전세가격 상승과 저금리 저성장 시대에도 불구하고 금융 및 보험업의 산업 생산지수는 전 산업생산지수 대비 지속적으로 상승폭을 유지하면서 일반적인 상식에 반하는 현상이 나타나고 있다. 이에 본 연구에서는 금융업 산업생산지수와 전세가격 상승의 동태적 상관관계를 분석함으로써 전세가격 상승이 금융업 산업생산지수에 미치는 영향에 대해 분석하고자 했다. 이를 위해 전세가격지수와 거시경제 변수인 전 산업생산지수, 금융 및 보험업 생산지수의 변수를 정의하고, 공적분 관계가 없는 벡터자기회귀모형(VAR)을 이용하여 연구를 진행하였다. 2000년 1월부터 2015년 5월말까지 총 183개월의 시계열 데이터 분석결과 전세가격상승이 직접적으로 금융업 생산지수에 인과 관계를 나타내지는 않았으나 금융업 산업생산지수의 상승이 전세가격 상승에 영향을 미치는 것으로 나타났다. 이는 곧 전세가격의 구조적 변화와 주택금융의 관계 분석을 통해 실질적인 주택 관련 정책이 금융산업에 직접적인 영향을 줄 수 있음을 시사한다.

• Asian review of World Histories
• /
• 제2권2호
• /
• pp.217-248
• /
• 2014

The Aid-India Consortium was organized in 1958 as an international scheme to support the economic development of India, and led by the World Bank. This article reconsiders the economic diplomacy of the Indian Government in the 1950s and 1960s, by paying attention to the interactions between the Indian authorities and the donor countries and institutions, in the context of the Cold War regime, decolonization and economic aid to the newly independent countries. First, it deals with the development of the Aid-India Consortium by considering debates at its annual meetings and the skillful negotiations of the Indian Government and financial authorities. It focuses especially on the leading role of an Indian diplomat and financial expert, B. K. Nehru. The article then tries to reveal an Indian initiative in solving the 'food crises' of 1965-67 through intimate collaboration with the US government and the World Bank, using the framework of the Aid-India Consortium. These attempts lead to a reconsideration of the economic order of Asia in the 1950s and 1960s.

• Journal of Korea Trade
• /
• 제27권2호
• /
• pp.96-114
• /
• 2023

Purpose - This paper elucidates a nexus between the occurrence of rare disaster events and the volatility of economic growth by distinguishing the likelihood of rare events from stochastic volatility. We provide new empirical facts based on a quarterly time series. In particular, we focus on the role of financial liberalization in spreading the economic crisis in developing countries. Design/methodology - We use quarterly data on consumption expenditure (real per capita consumption) from 44 countries, including advanced and developing countries, ending in the fourth quarter of 2020. We estimate the likelihood of rare event occurrences and stochastic volatility for countries using the Bayesian Markov chain Monte Carlo (MCMC) method developed by Barro and Jin (2021). We present our estimation results for the relationship between rare disaster events, stochastic volatility, and growth volatility. Findings - We find the global common disaster event, the COVID-19 pandemic, and thirteen country-specific disaster events. Consumption falls by about 7% on average in the first quarter of a disaster and by 4% in the long run. The occurrence of rare disaster events and the volatility of gross domestic product (GDP) growth are positively correlated (4.8%), whereas the rare events and GDP growth rate are negatively correlated (-12.1%). In particular, financial liberalization has played an important role in exacerbating the adverse impact of both rare disasters and financial market instability on growth volatility. Several case studies, including the case of South Korea, provide insights into the cause of major financial crises in small open developing countries, including the Asian currency crisis of 1998. Originality/value - This paper presents new empirical facts on the relationship between the occurrence of rare disaster events (or stochastic volatility) and growth volatility. Increasing data frequency allows for greater accuracy in assessing a country's specific risk. Our findings suggest that financial market and institutional stability can be vital for buffering against rare disaster shocks. It is necessary to preemptively strengthen the foundation for financial stability in developing countries and increase the quality of the information provided to markets.