Template-Type: ReDIF-Article 1.0
Author-Name: Anne M. Anderson
Author-X-Name-First: Anne M.
Author-X-Name-Last: Anderson
Author-Name: Richard J. Kish
Author-X-Name-First: Richard J.
Author-X-Name-Last: Kish
Title: Treasury triplets and the efficiency of the US treasury marketplace
Abstract:
We analyse the efficiency of the US Treasury bond market during the current period of historically low interest and inflation rates by comparing the prices of the middle triplet bond with a portfolio of the low and high bonds based on coupons. We uncover 103 arbitrage opportunities for 22 triplets with maturities ranging from 1 to 11 years using daily prices retrieved from Bloomberg from 23 August, 2018, to 23 August, 2019. Our analysis of US Treasury triplets indicates that, in general, the US Treasury Market is efficiently priced, however, there are instances where short periods of inefficiencies exist. Since the market is highly liquid and the transaction costs are relatively low, arbitrageurs could make short term profits by purchasing and selling the opposite sides of the mispriced bonds. Our study reinforces the work by Fontaine and Nolin (2019).
Journal: Int. J. of Monetary Economics and Finance
Pages: 427-437
Issue: 5
Volume: 14
Year: 2021
Keywords: efficiency; arbitrage; treasury securities; bonds; asset pricing.
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:5:p:427-437
Template-Type: ReDIF-Article 1.0
Author-Name: Alexander Amo Baffour
Author-X-Name-First: Alexander Amo
Author-X-Name-Last: Baffour
Author-Name: Kofi Nyarko Gyimah
Author-X-Name-First: Kofi Nyarko
Author-X-Name-Last: Gyimah
Author-Name: Alexander Owiredu
Author-X-Name-First: Alexander
Author-X-Name-Last: Owiredu
Title: Complexity of exchange rate movement, analysis and volatility forecasting models: a review
Abstract:
For obvious development in literature, various researchers and experts have relied on their area of expertise in the field of financial econometric to prove a substantive performance of one model or the other for volatility forecasting and analysis. Subsequently, no single model seems to be adequately suitable for the analysis of exchange rate movement and volatility. However, this paper is opposed to the random walk beliefs model as compared to the core findings by other empirical studies reviewed. We conclude that every currency has the strength which is determined by economic fundamentals such as, but not limited to, inflation, interest rate, balance of payment, national reserves, and which affect the volatility of exchange rates with respect to time. The study provides a very insightful summary of the development in finance concerning the complexity of exchange rate movement and volatility analysis models and together suggest a potential path for prospective researchers.
Journal: Int. J. of Monetary Economics and Finance
Pages: 460-476
Issue: 5
Volume: 14
Year: 2021
Keywords: exchange rate modelling; market efficiency and purchasing power parity; stochastic and ANN models; fundamental theory; technical models; hybrid models; monetary theory; asset theory.
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:5:p:460-476
Template-Type: ReDIF-Article 1.0
Author-Name: Hafiza Muntaha Khalid
Author-X-Name-First: Hafiza Muntaha
Author-X-Name-Last: Khalid
Author-Name: Sadia Farooq
Author-X-Name-First: Sadia
Author-X-Name-Last: Farooq
Author-Name: Faiza Liaqat
Author-X-Name-First: Faiza
Author-X-Name-Last: Liaqat
Author-Name: Muhammad Naeem
Author-X-Name-First: Muhammad
Author-X-Name-Last: Naeem
Title: Assessment of return and volatility spillover across sectors' indices: evidence from Pakistan stock exchange
Abstract:
This paper examines the dynamics of return and volatility transmission between several sectors of Pakistan Stock Exchange (PSX). We employed GARCH(1,1) model and our results demonstrate that the most influential sector regarding the return spillover is power generation and distribution sector, and regarding volatility spillover, highly influential sector is automobile sector indicating that these sectors are the main drivers of spillover effect. Whereas, the most suggested sectors for investment are Automobile Assembler and Power generation and distribution sectors, as these are least influenced by other sectors' spillover. The investors and portfolio managers can use such findings as a guideline in making a healthy portfolio resulting in reduced risk to their investment. The well-informed decisions of the investors can, in turn, facilitate the growth of economy.
Journal: Int. J. of Monetary Economics and Finance
Pages: 477-496
Issue: 5
Volume: 14
Year: 2021
Keywords: return; volatility spillover; PSX; Pakistan Stock Exchange; GARCH(1;1); sectors' indices; portfolio diversification; investment.
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:5:p:477-496
Template-Type: ReDIF-Article 1.0
Author-Name: Kamel Helali
Author-X-Name-First: Kamel
Author-X-Name-Last: Helali
Author-Name: Khoutem Ben Jedidia
Author-X-Name-First: Khoutem Ben
Author-X-Name-Last: Jedidia
Author-Name: Thouraya Boujelbène
Author-X-Name-First: Thouraya
Author-X-Name-Last: Boujelbène
Title: Threshold effects of inflation on the financial development-economic growth nexus in Tunisia
Abstract:
The main purpose of this paper was to ascertain the effect of inflation on the growth-enhancing role of financial development assuming a non-linearity relationship between finance and growth under different inflation regimes. The empirical study was carried out using the threshold regression model over the period of the first month of 1982 to the twelfth month of 2018. We found a strong evidence of a threshold effect (4.89%) which modifies the impact of financial deepening on growth in Tunisia. If the inflation rate falls below 4.89%, financial depth stimulates economic growth. However, this effect is weakened as inflation rate grows. Oppositely, credit growth of commercial banks is not efficient enough to contribute to economic growth. Thus, high inflation disrupts the growth-enhancing role of finance in Tunisia. Practically, the Tunisian monetary authorities are recommended to keep an inflation rate under 4.89% to reach a sustainable growth through financial development.
Journal: Int. J. of Monetary Economics and Finance
Pages: 438-459
Issue: 5
Volume: 14
Year: 2021
Keywords: threshold regression model; inflation; financial development; economic growth.
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:5:p:438-459
Template-Type: ReDIF-Article 1.0
Author-Name: Aadila Hoosain
Author-X-Name-First: Aadila
Author-X-Name-Last: Hoosain
Author-Name: Alta Joubert
Author-X-Name-First: Alta
Author-X-Name-Last: Joubert
Author-Name: Emmanuel Owusu-Sekyere
Author-X-Name-First: Emmanuel
Author-X-Name-Last: Owusu-Sekyere
Title: Analysis of currency volatility from a macroeconomic perspective: the case of selected emerging market economies (EMEs)
Abstract:
This paper explores the macroeconomic drivers of currency volatility in 15 selected emerging market economies (EMEs) using data from 2001Q1 to 2017Q3. We control for country heterogeneity and cross-sectional dependence of the error term using the least square dummy variable (LSDV) fixed effects and feasible generalised least squares (FGLS) by Parks (1967) and Kmenta (1986) in a sample wide estimation. Country specific estimations are also done using Swamy's random coefficients (RC) Estimator. In the sample wide estimation, we find that currency volatility in the selected EMEs is aggravated by persistence, government expenditure, financial deepening and very marginally interest rate differential. A favourable current account balance and economic growth alleviates currency volatility in these countries. However, there are country specific differences highlighting the need for policy differentiation in addressing currency volatility in individual EMEs.
Journal: Int. J. of Monetary Economics and Finance
Pages: 411-426
Issue: 5
Volume: 14
Year: 2021
Keywords: EMEs; emerging market economies; monetary policy; open economy macroeconomics; historical volatility; dynamic panel data econometrics; cross sectional dependence of the error term.
File-URL: http://www.inderscience.com/link.php?id=118285
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:5:p:411-426
Template-Type: ReDIF-Article 1.0
Author-Name: Ruchi Kansil
Author-X-Name-First: Ruchi
Author-X-Name-Last: Kansil
Title: Ownership structure segmentation of Indian listed firms: a governance perspective
Abstract:
The research paper studies the present ownership structure of S&P BSE 500 Indian listed firms in order to take heed of the expected level of shareholder engagement and the level of governance practices of such firms. The paper employs a cluster analysis approach to identify the distinct cluster or group of firms with probably similar level of shareholder engagement and governance practices. It is found that ownership of publicly listed companies is concentrated in the hands of Indian promoters and non-promoter institutional shareholders. Thus, the institutional investors have become important owners alongside the Indian promoters and can play dominant role in the control and management of the firms they invest in. They would help to enhance corporate governance practices via shareholder activism and engagement. The study is relevant for board of directors (BOD), institutional investors and policy makers, regulators, think tanks, corporates, investors and researchers.
Journal: Int. J. of Monetary Economics and Finance
Pages: 197-211
Issue: 3
Volume: 14
Year: 2021
Keywords: corporate governance; ownership structure; cluster analysis; India; ownership segmentation; shareholder activism; shareholder engagement.
File-URL: http://www.inderscience.com/link.php?id=116541
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:3:p:197-211
Template-Type: ReDIF-Article 1.0
Author-Name: Hasan Murat Ertuğrul
Author-X-Name-First: Hasan Murat
Author-X-Name-Last: Ertuğrul
Title: The local currency oil price and food price relationship for Turkey: a dynamic correlation and time-frequency dependency analysis
Abstract:
Food prices are important both socially and economically due to food's high share in the consumption basket of households. This study aims to analyse the dynamic correlation and causality relationship between local currency oil and food prices in Turkey by employing DCC-GARCH model as well as Toda-Yamamoto and Wavelet coherence causality tests using monthly data covering 2003.1-2020.1 periods. The results indicate that there is strong dynamic correlation between local currency oil and food prices over time. It is also found that there is unidirectional causality from local currency oil prices to food prices. The results underline the importance of oil prices and exchange rates to predict food prices in Turkey. Taking into consideration that oil prices can be accepted as exogenous variable, which could not be controlled by the countries alone, policies that would be adopted for the stability of exchange rates become more prominent for Turkey.
Journal: Int. J. of Monetary Economics and Finance
Pages: 233-248
Issue: 3
Volume: 14
Year: 2021
Keywords: oil price; exchange rate; food price; DCC-GARCH; Toda-Yamamoto causality; wavelet coherence; dynamic analysis.
File-URL: http://www.inderscience.com/link.php?id=116542
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:3:p:233-248
Template-Type: ReDIF-Article 1.0
Author-Name: Haochen Guo
Author-X-Name-First: Haochen
Author-X-Name-Last: Guo
Title: Data envelopment analysis of the impact and performance of China stock market's global integration: empirical analysis of MSCI China
Abstract:
This paper contributes to analysing the impact of China stock market global integration, based on the data envelopment analysis (DEA) method to measure the performance of Morgan Stanley Capital International (MSCI) China as empirical analysis. The motivation of this paper that MSCI China grows by 20.6% in 2019, which is greater than the 2.7% increase in MSCI USA, and MSCI China's valuation is also low. China is dominated by domestic demand, and domestic demand accounts for 88% of the MSCI China Index. It is expected that with the development of the MSCI China Index, more funds will flow into China, while mainland China will relax the proportion of foreign investors holding A-shares. With a higher probability, the proportion of foreign capital will gradually increase. Considering this issue, this paper discusses the evolution, reasons and global integration of the China stock market.
Journal: Int. J. of Monetary Economics and Finance
Pages: 212-232
Issue: 3
Volume: 14
Year: 2021
Keywords: financial market integration; China stock market; MSCI; Morgan Stanley Capital International; DEA; data envelopment analysis; decision making.
File-URL: http://www.inderscience.com/link.php?id=116543
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:3:p:212-232
Template-Type: ReDIF-Article 1.0
Author-Name: Narinder Pal Singh
Author-X-Name-First: Narinder Pal
Author-X-Name-Last: Singh
Author-Name: Himanshu Goel
Author-X-Name-First: Himanshu
Author-X-Name-Last: Goel
Author-Name: Shabnam Kumari
Author-X-Name-First: Shabnam
Author-X-Name-Last: Kumari
Title: Impact of the COVID-19, lockdown and unlock on the Indian stock market and its international linkage with the Chinese stock market
Abstract:
This study investigates the impact of pandemic COVID-19, nationwide lockdown and unlock on the Indian stock market. Firstly, we analyse the impact of lockdown and unlock episodes on the volatility of the Indian stock market returns by employing the EGARCH model. The findings reveal that lockdown has a significant positive impact on the volatility of BSE returns. Secondly, this study investigates the interlinkage between Indian and Chinese markets using cointegration and causality technique in the pre and during COVID periods. Cointegration test indicates that there is no long run relationship between India and China in both the sub-periods. However, the causality results reveal unidirectional causality between India and China in the pre COVID-19 period. Therefore, the findings of this research are beneficial to investors of all categories and portfolio managers.
Journal: Int. J. of Monetary Economics and Finance
Pages: 249-264
Issue: 3
Volume: 14
Year: 2021
Keywords: COVID-19; lockdown; unlock; interlinkage; Indian stock market; China.
File-URL: http://www.inderscience.com/link.php?id=116545
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:3:p:249-264
Template-Type: ReDIF-Article 1.0
Author-Name: Thai Le
Author-X-Name-First: Thai
Author-X-Name-Last: Le
Author-Name: Marta Disegna
Author-X-Name-First: Marta
Author-X-Name-Last: Disegna
Title: Responses of macroeconomy and stock markets to structural oil price shocks: new evidence from Asian oil refinery
Abstract:
In extensive oil-related literature, less attention has been paid to Asia and particularly little evidence is known for oil-refining countries. This paper examines how the economy of an oil-refining country reacts to an oil price shock and performs cross-country comparisons with oil-exporting and oil-importing countries. Singapore (oil refiner), Japan (oil importer), and Malaysia (oil exporter) are analysed through a structural vector autoregression (SVAR) model using both macroeconomic and financial variables. Results show limited reactions of both macroeconomic indicators and stock returns to an oil supply shock, and an oil aggregate demand shock negatively impacts economic activities. Our findings reveal that the country's status in the oil market is important when an oil-specific demand shock is analysed. Our findings inform policymakers of the effectiveness of using monetary policy tools such as interest rate and exchange rate to mitigate the adverse effects of an oil price shock.
Journal: Int. J. of Monetary Economics and Finance
Pages: 265-294
Issue: 3
Volume: 14
Year: 2021
Keywords: oil price; oil refining; stock return; SVAR; structural vector autoregression; Asian economies.
File-URL: http://www.inderscience.com/link.php?id=116546
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:3:p:265-294
Template-Type: ReDIF-Article 1.0
Author-Name: Sam'un Jaja Raharja
Author-X-Name-First: Sam'un Jaja
Author-X-Name-Last: Raharja
Author-Name: Nenden Kostini
Author-X-Name-First: Nenden
Author-X-Name-Last: Kostini
Title: Financial literacy of SMEs in Citarum Watershed Area, Indonesia
Abstract:
One aspect of the role of small and medium enterprises (SMEs) is encouraging economic growth and development, domestically, and internationally. This study aims to determine the level of financial literacy of SMEs. This research uses quantitative and descriptive methods. Data were collected from 100 SMEs in the Citarum Watershed, Indonesia. Multivariate analysis techniques and factor analysis are used to process data. Results show that two factors determine the level of financial literacy of SMEs. The first factor is financial products and services. The second factor is the basic financial concepts. Suggestions for future research include other factors that influence financial literacy.
Journal: Int. J. of Monetary Economics and Finance
Pages: 142-151
Issue: 2
Volume: 14
Year: 2021
Keywords: financial literacy; financial products and services; financial concepts; crowd funding; inclusive financial program; Citarum Watershed.
File-URL: http://www.inderscience.com/link.php?id=114017
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:2:p:142-151
Template-Type: ReDIF-Article 1.0
Author-Name: Tobias F. Rötheli
Author-X-Name-First: Tobias F.
Author-X-Name-Last: Rötheli
Title: Behavioural economics and the Phillips curve: new evidence from sectoral survey data
Abstract:
Behavioural economics has a long record of providing insights into the inflation process. This study continues this tradition by adding to the current debate on the Phillips curve. We study data from periodic surveys of producing firms for Germany and Switzerland. The New Keynesian Phillips curve (NKPC) holds that prices are set by forward-looking firms. In this perspective the expectations that drive prices relate to prospective prices within the industry. By contrast, an older tradition sees expectations of economy-wide inflation as a key driving variable. With sectoral survey data we can address this debate and find support for the modern view of the price setting process. The results of our econometric estimates suggest that price setting has essentially remained unchanged in the years after the great recession. In conclusion, both policy makers and researchers continue to benefit from tools carved out by behavioural economists.
Journal: Int. J. of Monetary Economics and Finance
Pages: 131-141
Issue: 2
Volume: 14
Year: 2021
Keywords: inflation dynamics; expected inflation; Phillips curve; survey data; Germany and Switzerland.
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:2:p:131-141
Template-Type: ReDIF-Article 1.0
Author-Name: James Temitope Dada
Author-X-Name-First: James Temitope
Author-X-Name-Last: Dada
Author-Name: Philip Akanni Olomola
Author-X-Name-First: Philip Akanni
Author-X-Name-Last: Olomola
Author-Name: Adebayo Adedokun
Author-X-Name-First: Adebayo
Author-X-Name-Last: Adedokun
Title: Does non-linearity in exchange rate hold in Nigeria? evidence from smooth transition autoregressive model
Abstract:
This study employs smooth transition autoregressive (STAR) model to investigate the non-linearity in exchange rate process in Nigeria within the context of exchange rate parity theory (ERPT). Quarterly data from 1981Q1 to 2017Q4 is used. The outcome of the study confirms the presence of exchange rate parity in Nigeria using Augmented Dickey Fuller (ADF) and Kwiatkowski-Phillips-Schmidt-Shin (KPSS) unit root tests. The study rejects the null hypothesis of linearity in nominal exchange rate in Nigeria. Furthermore, the estimation result of non-linear least squares (NLS) regression indicates that most of the parameter estimates are statistically significant. The study reveals that non-linear models best explain exchange rate dynamics in Nigeria. Likewise, the study discovers that exchange rate process in Nigeria is best fit with smoothly asymmetric logistic smooth transition autoregressive (LSTAR). The study concludes that heterogeneous nature of participants and asymmetric information in the market cause exchange rate to adjust in non-linear version.
Journal: Int. J. of Monetary Economics and Finance
Pages: 152-165
Issue: 2
Volume: 14
Year: 2021
Keywords: exchange rate; exchange rate parity; STAR; smooth transition autoregressive.
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:2:p:152-165
Template-Type: ReDIF-Article 1.0
Author-Name: Apriwandi
Author-X-Name-First:
Author-X-Name-Last: Apriwandi
Author-Name: R.A. Supriyono
Author-X-Name-First: R.A.
Author-X-Name-Last: Supriyono
Title: Actual participation: the effects of information sharing and familiarity team on budget decision quality
Abstract:
This experiment examines the effect of information sharing and team member familiarity on decision quality. Forty students participated in the experiment playing the role of budget managers and teams. The task of the experiment is to translate symbol codes and propose the amount of code to be translated in an online meeting as a measure of actual information sharing and participation. Participants were randomly assigned to each condition (high/low sharing of information and familiarity). The results showed that information sharing and decision quality were better under conditions of information sharing and high familiarity than information sharing and low familiarity. The results are consistent with increased familiarity of team members under information sharing among team members which increases polarisation in budget decision making. The results also suggest that differences in the quality of team decisions may be better explained by psychological factors and cognitive behaviour than by agency contracts.
Journal: Int. J. of Monetary Economics and Finance
Pages: 188-195
Issue: 2
Volume: 14
Year: 2021
Keywords: budget decisions; team familiarity; information sharing.
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:2:p:188-195
Template-Type: ReDIF-Article 1.0
Author-Name: An Thai
Author-X-Name-First: An
Author-X-Name-Last: Thai
Author-Name: Radu Burlacu
Author-X-Name-First: Radu
Author-X-Name-Last: Burlacu
Title: The heterogeneity in adjustment speeds toward corporate target leverage: the case of Vietnam
Abstract:
The paper explores the heterogeneity in the adjustment speed toward the optimal capital structure of Vietnamese listed firms on the period from 2005 to 2017. We test the existence of the target leverage and estimate the speed of adjustment by using a partial adjustment model. The study finds that under-leveraged firms move to the target leverage faster than those that are over-leveraged. The speed of off-target firms is higher than that of near-target firms, and firms with financial surplus move more quickly to the optimal level of debt than those with a deficit.
Journal: Int. J. of Monetary Economics and Finance
Pages: 105-130
Issue: 2
Volume: 14
Year: 2021
Keywords: heterogeneity; adjustment speed; target leverage; capital structure; partial adjustment model; deficit; Vietnam.
File-URL: http://www.inderscience.com/link.php?id=114026
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:2:p:105-130
Template-Type: ReDIF-Article 1.0
Author-Name: Muhammad Farhan Basheer
Author-X-Name-First: Muhammad Farhan
Author-X-Name-Last: Basheer
Author-Name: Waeibrorheem Waemustafa
Author-X-Name-First: Waeibrorheem
Author-X-Name-Last: Waemustafa
Author-Name: Mohamad Helmi Bin Hidthiir
Author-X-Name-First: Mohamad Helmi Bin
Author-X-Name-Last: Hidthiir
Author-Name: Saira Ghulam Hassan
Author-X-Name-First: Saira Ghulam
Author-X-Name-Last: Hassan
Title: Explaining the endogeneity between the credit risk, liquidity risk, and off-balance sheet activities in commercial banks: a case of South Asian economies
Abstract:
The main objective of the current study is explaining the endogeneity among liquidity risk (LIQDR), credit risk (CRDR) and off-balance sheet activities. The balanced panel of 81 banks over a period of five years from 2013-2017 is chosen to investigate achieve the research objectives. Fixed effect and generalised method of momentum panel estimates, followed by a series of diagnostic tests have appeared most appropriate for the study. The findings of the Hausman test have confirmed the presence of endogeneity. Arellano-Bond test for zero autocorrelation are estimated in the generalised method of moments (GMM) analysis of the work in our case. The findings have provided the support that South Asian banks use OBSA for hedging purposes. The LIQDR, and CRDR are in significant positive relationship with each other. The findings of the study have provided more support to the market portfolio theory and finical intermediation theory.
Journal: Int. J. of Monetary Economics and Finance
Pages: 166-187
Issue: 2
Volume: 14
Year: 2021
Keywords: off-balance sheet activities; liquidity risk; credit risk; Market portfolio theory; market power theory; endogeneity; South Asia.
File-URL: http://www.inderscience.com/link.php?id=114032
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:2:p:166-187
Template-Type: ReDIF-Article 1.0
Author-Name: Aleksandra Nocoń
Author-X-Name-First: Aleksandra
Author-X-Name-Last: Nocoń
Title: BVAR models in short-term prediction of modern central banks: empirical evidence of the euro area
Abstract:
It has been more than a decade since central banks, in the face of the global financial crisis, implemented unconventional initiatives. Monetary authorities' actions have led to a reduction of main interest rates to historically low levels and huge expansion of central banks' balance sheet. So far, they still have not returned to the pre-crisis framework and implemented the normalisation process. Nowadays, there is observed a trend to use econometric models in monetary policy to forecast macroeconomic variables and plan normalising activities. The main aim of the study is empirical verification of BVAR model in short-term predicting, that might be used by the European Central Bank in its normalisation process. The conducted research indicate that the large BVAR model for the Eurozone has a significant predictive value in short-term forecasting. At the same time indicating its considerable precision and accuracy in prediction, with a high degree of objectivity and flexibility.
Journal: Int. J. of Monetary Economics and Finance
Pages: 54-68
Issue: 1
Volume: 14
Year: 2021
Keywords: normalisation process; central bank; BVAR model; European Central Bank; euro area; prediction; forecasting.
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:1:p:54-68
Template-Type: ReDIF-Article 1.0
Author-Name: Kristína Kočišová
Author-X-Name-First: Kristína
Author-X-Name-Last: Kočišová
Author-Name: Peter Šugerek
Author-X-Name-First: Peter
Author-X-Name-Last: Šugerek
Title: Revenue efficiency: a distributional analysis in the European banking
Abstract:
This paper uses data envelopment analysis (DEA) to compare efficiency estimated according to the traditional revenue model presented by Farrell (1957) and a new revenue model presented by Tone (2002). First, we estimated the revenue efficiency of 114 European banks during the period from 2010 to 2018. The results showed that the average traditional revenue efficiency ranged from 35.74% to 38.85%, and average new revenue efficiency ranged from 37.82% to 54.99%. The results of the analysis showed that banks located in Northern Europe and large banks seem to be most efficient. After the estimation of efficiencies, the nonparametric test for equality of densities was used to test whether two given distributions, estimated nonparametrically via kernel smoothing, differ statistically in terms of the size and geo-scheme for Europe. Based on the results of distribution hypothesis tests, we could confirm our research questions that depended on size, location and applied methodology.
Journal: Int. J. of Monetary Economics and Finance
Pages: 3-22
Issue: 1
Volume: 14
Year: 2021
Keywords: commercial banks; DEA; data envelopment analysis; distributional analysis; Europe; Li test; new revenue model; non-parametric methods; software R; traditional revenue model.
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:1:p:3-22
Template-Type: ReDIF-Article 1.0
Author-Name: Jan Černohorský
Author-X-Name-First: Jan
Author-X-Name-Last: Černohorský
Title: The relationship of liquid money and selected price indices in the USA
Abstract:
The aim of this paper is to assess the relationship between the development of liquid money and selected price indices in the US economy in 1961-2018. The Engle-Granger cointegration test and Granger causality are used to calculate the relationships. Cointegration was not demonstrated in any of the cases. Therefore, this study's contribution lies in confirming the conclusions of mostly newer studies concerning the invalidity of the quantitative theory of money under current conditions. However, short-term Granger-causal relationships were demonstrated in almost all cases. Thus, we can predict consumer prices and the prices for bonds and real estate based on the development of the amount of liquid money. It is also possible to predict the development of the amount of liquid money based on how all these price indicators develop. So central banks can still to some extent affect significant prices in the economy by influencing the money supply.
Journal: Int. J. of Monetary Economics and Finance
Pages: 69-90
Issue: 1
Volume: 14
Year: 2021
Keywords: liquid money; CPI; consumer price index; bond prices; stock prices; real estate prices; US economy; Engle-Granger cointegration.
File-URL: http://www.inderscience.com/link.php?id=113305
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:1:p:69-90
Template-Type: ReDIF-Article 1.0
Author-Name: Liběna Černohorská
Author-X-Name-First: Liběna
Author-X-Name-Last: Černohorská
Title: The impacts of monetary policy of the Czech National Bank on selected economic indicators
Abstract:
The aim of the paper is to determine the impact of monetary policy of the Czech National Bank (CNB) on selected economic variables between the years 1996 and 2017. We will therefore examine the long-term relationships between M3 and short-term interest rates in relation to inflation and other economic variables, i.e., gross domestic product (GDP) and bank loans to the private non-financial sector. Time series analysis is performed using Engle-Granger co-integration analysis to find long-term relationships and Granger causality testing to determine mutual short-term relationships between the monitored variables. The empirical results show that there are no long-term relationships between the monitored variables there are only short-term ones. This leads to the conclusion that the development of the inflation rate, GDP, and loan volume can be predicted based on the development of the M3 monetary aggregate and the CNB's basic interest rate to Granger causality. Therefore, we can positively assess the CNB's decision to leave the targeting money supply.
Journal: Int. J. of Monetary Economics and Finance
Pages: 35-53
Issue: 1
Volume: 14
Year: 2021
Keywords: central bank; GDP; gross domestic product; Granger causality; interest rate; monetary policy; money supply.
File-URL: http://www.inderscience.com/link.php?id=113306
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:1:p:35-53
Template-Type: ReDIF-Article 1.0
Author-Name: Iveta Palečková
Author-X-Name-First: Iveta
Author-X-Name-Last: Palečková
Author-Name: Pavla Klepková Vodová
Author-X-Name-First: Pavla Klepková
Author-X-Name-Last: Vodová
Title: Assessment of selected aspects of financial stability of the Czech banks
Abstract:
The aim of the paper is to choose which financial ratios are the most suitable for inclusion into the aggregate financial stability index for commercial banks, to examine the selected aspects of the financial stability and performance of the Czech commercial banks and their parent companies with the use of chosen financial ratios, and to construct aggregate financial stability index. We examined the aspects of financial stability of the Czech commercial banks and their parent companies. We focused on several aspects of financial stability: the banking profitability, efficiency, liquidity, solvency and asset quality. Results show that Czech subsidiaries were more profitable, solvent and liquid than their parent companies. Nevertheless, the Czech subsidiaries are less efficient than parent companies. Finally, we created the new aggregate financial stability index.
Journal: Int. J. of Monetary Economics and Finance
Pages: 23-34
Issue: 1
Volume: 14
Year: 2021
Keywords: profitability; efficiency; DEA; data envelopment analysis; solvency; liquidity risk; assets' quality; financial stability; commercial bank; financial conglomerate; Czechia.
File-URL: http://www.inderscience.com/link.php?id=113311
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:1:p:23-34
Template-Type: ReDIF-Article 1.0
Author-Name: Magdalena Kozińska
Author-X-Name-First: Magdalena
Author-X-Name-Last: Kozińska
Title: Role of deposit insurance schemes on financial markets
Abstract:
In the paper, 109 deposit insurance schemes have been evaluated in terms of their investment policies designed for funds collected from banks. Almost half of them develop investment strategies involving the activity on the financial markets. Nevertheless, the strategies have to be compliant with the applicable local regulations. The aim of the paper is to evaluate the impact that deposit guarantors may have on the financial markets, mainly on the sovereign debt market. In this regard at least two mechanisms negatively influencing the stability of national sovereign debt market have been identified. The research confirmed that the activity of deposit guarantee funds may have destabilising effects but they have not been addressed so far in legal framework for deposit insurance schemes.
Journal: Int. J. of Monetary Economics and Finance
Pages: 91-104
Issue: 1
Volume: 14
Year: 2021
Keywords: deposit guarantee scheme; deposit insurance fund; investment policy; capital markets; sovereign debt markets; financial stability; banking crisis; bank contributions; public policy; moral hazard.
File-URL: http://www.inderscience.com/link.php?id=113312
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:1:p:91-104
Template-Type: ReDIF-Article 1.0
Author-Name: Atika Rizki
Author-X-Name-First: Atika
Author-X-Name-Last: Rizki
Author-Name: Aria Farah Mita
Author-X-Name-First: Aria Farah
Author-X-Name-Last: Mita
Title: The relevance of fair value after the adoption of IFRS 13: fair value measurement and the role of audit committee
Abstract:
This study aims to analyse the relevance of fair value after IFRS 13 adoption, which focuses on the financial assets' fair value for all three (3) levels of the fair value hierarchy. This study also examines the role of the audit committee's effectiveness in strengthening the relevance of the financial assets' fair value. The samples are listed companies in ASEAN countries, namely Indonesia, Malaysia, Singapore, and Philippine. The observation period is two years, one year before and after the adoption in each country. The results show that, the level 3 fair value is more relevant after the implementation of IFRS 13. Moreover, the effectiveness of audit committee enhances the relevance of the level 3 fair value.
Journal: Int. J. of Monetary Economics and Finance
Pages: 297-305
Issue: 4
Volume: 14
Year: 2021
Keywords: international accounting standard; fair value; financial asset; corporate governance; IFRS 13; value relevance.
File-URL: http://www.inderscience.com/link.php?id=116973
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:4:p:297-305
Template-Type: ReDIF-Article 1.0
Author-Name: Alena Fedorova
Author-X-Name-First: Alena
Author-X-Name-Last: Fedorova
Author-Name: Zuzana Dvorakova
Author-X-Name-First: Zuzana
Author-X-Name-Last: Dvorakova
Author-Name: Ilze Kacane
Author-X-Name-First: Ilze
Author-X-Name-Last: Kacane
Author-Name: Hüseyin Atas
Author-X-Name-First: Hüseyin
Author-X-Name-Last: Atas
Author-Name: Valeriya Badambayeva
Author-X-Name-First: Valeriya
Author-X-Name-Last: Badambayeva
Title: Cause-effect relationship between toxic factors and well-being at work
Abstract:
One of the objectives of the presented monitoring study is to examine the influence of organisational and managerial practices on the employees' physical and psychosocial health, as well as to identify causal relationships between different working conditions and staff well-being. The database was formed by conducting a survey in Czech Republic, Kazakhstan, Latvia, Russian Federation and Turkey. Empirical data are analysed by methods of quality two-dimensional projection and design of classification trees. The analysis established causal relationships between toxic organisational factors and respondents' assessments regarding changes in their self-feeling, as well as health consequences.
Journal: Int. J. of Monetary Economics and Finance
Pages: 373-383
Issue: 4
Volume: 14
Year: 2021
Keywords: digital economy; new forms and conditions of work; health and well-being at work; cause-effect relationship; sociological survey; two-dimensional projection; classification trees.
File-URL: http://www.inderscience.com/link.php?id=116974
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:4:p:373-383
Template-Type: ReDIF-Article 1.0
Author-Name: Natthawipha Kitivuttishusilp
Author-X-Name-First: Natthawipha
Author-X-Name-Last: Kitivuttishusilp
Author-Name: Nongnit Chancharat
Author-X-Name-First: Nongnit
Author-X-Name-Last: Chancharat
Title: The impact of board structure on performance of Thai-listed companies in Market for Alternative Investment (mai)
Abstract:
This research investigates the relationship between corporate governance mechanisms and firm performance among Thai companies listed on the market for alternative investment (mai). The study uses an unbalanced panel data regression analysis on sample of 145 small and medium enterprises (SMEs) listed firms on the mai market covering the years 2009 to 2018. With respect to the results, this study found a conflict with global corporate governance practice that board independence is significantly negative in relation to firm performance. Furthermore, the education level of directors is found to positively impact Tobin's Q. Therefore, these findings contribute the implications to practical in context of SMEs listed firms as the board should create a positive environment to enhance work efficiency and transparency through instituting a monitoring mechanism at the proper level and board should recruit directors with a higher level of education.
Journal: Int. J. of Monetary Economics and Finance
Pages: 332-341
Issue: 4
Volume: 14
Year: 2021
Keywords: corporate governance; board structure; SMEs; small and medium enterprises; firm performance; panel regression analysis.
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:4:p:332-341
Template-Type: ReDIF-Article 1.0
Author-Name: Pratami Wulan Tresna
Author-X-Name-First: Pratami Wulan
Author-X-Name-Last: Tresna
Author-Name: Herwan Abdul Muhyi
Author-X-Name-First: Herwan Abdul
Author-X-Name-Last: Muhyi
Author-Name: Anggi Nurhidayah
Author-X-Name-First: Anggi
Author-X-Name-Last: Nurhidayah
Title: Factors affecting the turnover intention of bank employees at the West Java Regional XBank Indonesia community
Abstract:
This study determines the factors that influence bank employee turnover intentions and explores new phenomena in employee turnover intentions in the banking sector which are influenced by spiritual aspects. The object examined in this study is turnover intention. A quantitative-descriptive method is employed in this work. Primary data collection was performed using a questionnaire. The population of respondents consists of 66 employees who joined the Xbank community. Multiple linear regression analysis was performed on the data. Results indicate that organisational and individual factors simultaneously affect the turnover intention of bank employees who are members of the West Java Regional Xbank Indonesia Community.
Journal: Int. J. of Monetary Economics and Finance
Pages: 384-393
Issue: 4
Volume: 14
Year: 2021
Keywords: human relation; turnover intention; banking; employees; spiritual aspects; Xbank Community Indonesia.
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:4:p:384-393
Template-Type: ReDIF-Article 1.0
Author-Name: Mei Foong Wong
Author-X-Name-First: Mei Foong
Author-X-Name-Last: Wong
Title: Impact of corporate governance and financial stability on bank risk in Malaysia
Abstract:
Banks may not survive a major financial shock or in the coming financial crisis especially in Asia are most at risk. As bank governance and financial stability have potential adverse and destabilising effects on banks, this study is carried out to investigate the influence of bank corporate governance and financial stability on bank risk. Based on a panel of Malaysian listed conventional banks from 2010 to 2018, we adopt panel cointegration test and fully modified ordinary least squares estimator. The results provide strong evidence of the adverse influence of financial instability and poor bank governance on bank risk. Thus, policy makers should attempt to formulate appropriate course of actions to overcome the unfavourable consequences stemming from the bank financial instability and quality of bank governance, considering of the multidimensional facets of financial instability and bank governance.
Journal: Int. J. of Monetary Economics and Finance
Pages: 353-362
Issue: 4
Volume: 14
Year: 2021
Keywords: bank risk; corporate governance; financial stability; Malaysia; profitability.
File-URL: http://www.inderscience.com/link.php?id=116977
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:4:p:353-362
Template-Type: ReDIF-Article 1.0
Author-Name: Paul-Francois Muzindutsi
Author-X-Name-First: Paul-Francois
Author-X-Name-Last: Muzindutsi
Author-Name: Zama Zungu
Author-X-Name-First: Zama
Author-X-Name-Last: Zungu
Author-Name: Minenhle Khanyile
Author-X-Name-First: Minenhle
Author-X-Name-Last: Khanyile
Author-Name: Thalente Dlamini
Author-X-Name-First: Thalente
Author-X-Name-Last: Dlamini
Author-Name: Andile Sithole
Author-X-Name-First: Andile
Author-X-Name-Last: Sithole
Author-Name: Adefemi A. Obalade
Author-X-Name-First: Adefemi A.
Author-X-Name-Last: Obalade
Title: Modelling exchange rate movements in South Africa: an ARDL application
Abstract:
This study examined the monetary, unbiased forward rate hypothesis (UFRH), and random walk models of exchange rate in South Africa using the auto regressive distributed lag (ARDL) approach. The estimated results show that there is a long-run relationship between variables in each model, suggesting the examined models are able to predict the exchange rate. In the long run, this paper found a sticky-price monetary model with correct signs but restrictions on money supply are violated. However, both the UFRH restrictions and random walk model were upheld. The models were then used to predict forecasts of the out-of-sample period as compared to the random walk. We found that UFRH outperformed other models. In this context, forward rate is predominantly an unbiased estimator of the future spot exchange rate, suggesting that the South African exchange rate market is efficient.
Journal: Int. J. of Monetary Economics and Finance
Pages: 342-352
Issue: 4
Volume: 14
Year: 2021
Keywords: foreign exchange; monetary model; UFRH model; random walk; ARDL; South African Rand.
File-URL: http://www.inderscience.com/link.php?id=116978
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:4:p:342-352
Template-Type: ReDIF-Article 1.0
Author-Name: Sang-Lyul Ryu
Author-X-Name-First: Sang-Lyul
Author-X-Name-Last: Ryu
Author-Name: Jayoun Won
Author-X-Name-First: Jayoun
Author-X-Name-Last: Won
Title: Scale efficiency and marginal revenue product at the audit service level: evidence from Korea
Abstract:
This paper aims to evaluate scale efficiency and the marginal revenue products (MRP) of labour in the Korean accounting industry. Around the world, the fierce competition in the accounting industry has required accounting firms to adjust their input mix or increase scale efficiency in audit services. A translog revenue function is estimated to represent the technological relationship between audit fees and audit professionals' input hours. The sample comprised 1,025 individual audit services for two years from 2014 to 2015. The estimation of the model indicates that decreasing returns-to-scale prevailed in audit services throughout the sample period. However, when we broke down the sample into Big4 and non-Big4 audits, scale efficiency existed only in the Big4 audits. This implies that the non-Big4 audits were likely to be under-compensated for their audit hours. The estimated MRP signifies that partners were likely to be under-compensated compared to their contribution to audit fees.
Journal: Int. J. of Monetary Economics and Finance
Pages: 363-372
Issue: 4
Volume: 14
Year: 2021
Keywords: audit firm; audit service; accounting professional; translog function; scale efficiency; MRP; marginal revenue product.
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:4:p:363-372
Template-Type: ReDIF-Article 1.0
Author-Name: Takayasu Ito
Author-X-Name-First: Takayasu
Author-X-Name-Last: Ito
Title: How are residential property prices formed in Japan under different monetary policy regimes
Abstract:
Three residential property prices in Tokyo, Nagoya, and Osaka co-move in two monetary policy regimes. No causality is found in the first period, but causality from Tokyo to Osaka is found in the second period. The three residential property prices move together, but independently in the first period. After the BOJ introduces strong non-traditional monetary policies such as quantitative and qualitative easing (QQE) and negative interest rate policy (NIRP), the three residential property prices move together through the transmission from Tokyo to Osaka. This paper possibly gives an international policy implication for other countries suffering from asset deflation.
Journal: Int. J. of Monetary Economics and Finance
Pages: 306-313
Issue: 4
Volume: 14
Year: 2021
Keywords: co-movement; monetary policy; residential property price; transmission; central bank; co-movement; non-traditional monetary policy; residential property price; transmission.
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:4:p:306-313
Template-Type: ReDIF-Article 1.0
Author-Name: Nurmali Agustina
Author-X-Name-First: Nurmali
Author-X-Name-Last: Agustina
Author-Name: Dyah Setyaningrum
Author-X-Name-First: Dyah
Author-X-Name-Last: Setyaningrum
Title: Does political motives affect local government financial statement quality?
Abstract:
This study aims to analyse the effect of political motives on the quality of local government financial statements (LGFS) in Indonesia. As a public institution, local governments need to increase transparency and accountability by producing high quality financial statements. The LGFS quality is measured using qualitative characteristics while political motives are measured by percentage of opposition member in the legislative, meanwhile, the election year and re-election chances are used as moderating variable. To test the hypothesis, two sample groups were used. The first group of all selected local governments between 2016 and 2017 while the second group are the local governments that have conducted an election. The results showed that political competition had positive effect on LGFS quality while election year together with re-election chances strengthened the positive effect.
Journal: Int. J. of Monetary Economics and Finance
Pages: 394-403
Issue: 4
Volume: 14
Year: 2021
Keywords: election; financial statement quality; local government; political competition; re-election; Indonesia.
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:4:p:394-403
Template-Type: ReDIF-Article 1.0
Author-Name: Surachai Chancharat
Author-X-Name-First: Surachai
Author-X-Name-Last: Chancharat
Author-Name: Parichat Sinlapates
Author-X-Name-First: Parichat
Author-X-Name-Last: Sinlapates
Title: The profitability of trading strategies based on historical prices and risk: evidence from Thailand
Abstract:
Historical trends in share prices can be used in trading strategies to generate profits. Two such strategies are the momentum and contrarian trading strategies. The contrarian trading strategy tends to generate profits on the Stock Exchange of Thailand (SET; Pokavattana et al., 2019). The existence of contrarian profits, especially for cyclical stocks, has been confirmed for the period 1st January 2016 to 31st December 2019. It is generally suggested that contrarian investors form portfolios based on average prices over the past 60 days and hold the stock for one day. The longer the holding period, the smaller the contrarian profits. Once Fama and French's (2015) five-factor model is used to control for risk, the contrarian profits disappear. Accordingly, contrarian profits are driven by risk. These findings provide SET investors with a refined strategy and also yield implications for the stock markets in the close-knit ASEAN network.
Journal: Int. J. of Monetary Economics and Finance
Pages: 323-331
Issue: 4
Volume: 14
Year: 2021
Keywords: trading strategies; contrarian profit; Fama and French's (2015) five-factor model; risk; cyclical stock.
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:4:p:323-331
Template-Type: ReDIF-Article 1.0
Author-Name: Piyaphan Changwatchai
Author-X-Name-First: Piyaphan
Author-X-Name-Last: Changwatchai
Title: The effect of global value chain on the environment: the case of CO2 emission
Abstract:
Global value chains (GVCs) are economically important but participation has an ambiguous impact on the environment. The effect of GVC participation by countries on CO<SUB align="right"><SMALL>2</SMALL></SUB> emissions was studied using panel data analysis of secondary data. Results showed that overall and forward GVC participation led to lower CO<SUB align="right"><SMALL>2</SMALL></SUB> emissions for all types of countries, especially developed countries, while backward GVC participation led to lower CO<SUB align="right"><SMALL>2</SMALL></SUB> emissions only for developed economies.
Journal: Int. J. of Monetary Economics and Finance
Pages: 404-410
Issue: 4
Volume: 14
Year: 2021
Keywords: GVC; global value chain; forward GVC; backward GVC; environment; CO2 emission.
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:4:p:404-410
Template-Type: ReDIF-Article 1.0
Author-Name: Nongnit Chancharat
Author-X-Name-First: Nongnit
Author-X-Name-Last: Chancharat
Author-Name: Parichat Sinlapates
Author-X-Name-First: Parichat
Author-X-Name-Last: Sinlapates
Title: Is value premium driven by risk in the stock exchange of Thailand? A comparison of the Fama/French three-factor model and Fama/French five-factor model
Abstract:
The value vs. growth trading strategies suggest investor going long in value stocks and short in growth stocks. The existence of value premium in SET is confirmed between September 2005 and July 2019. Using the three measures of model accuracy (i.e., mean squared error, root mean squared error, and mean absolute error), the three-factor model outperforms the five-factor model in explaining the observed value premium. The value premiums disappear after controlling for risk. Thus, risk is one possible reason driving value premium. According to close-knit networks, risk is expected to drive value premium in others emerging markets especially in ASEAN.
Journal: Int. J. of Monetary Economics and Finance
Pages: 314-322
Issue: 4
Volume: 14
Year: 2021
Keywords: value investing; risk; the three-factor model; the five-factor model; trading strategies; value premium.
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Handle: RePEc:ids:ijmefi:v:14:y:2021:i:4:p:314-322