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(2017). Market Efficiency of ASEAN Stock Markets. Asian Economic and Financial Review, 7(2): 109-122. DOI: 10.18488/journal.aefr/2017.7.2/18.104.22.168
In this paper, we examine the stock market efficiency of the members of
the Association of South East Asian Nations (ASEAN). We use the
conventional individual variance ratio tests like the Lo and MacKinlay
(1988) test, Choi (1999) test, Wright (2000) test and Chen and Deo
(2006)) test to check for the efficient market hypothesis in these
markets. We also perform the spectral shape test of Durlauf (1991) and
Average exponential test as in Andrews and Ploberger (1996) to check for
the serial correlations in these stock indices. This study rejects the
efficient market hypothesis for the stock markets of Indonesia,
Malaysia, Philippines, Thailand and Vietnam. However, we find that the
stock markets in Cambodia, Lao and Singapore are weak form efficient.
This study is essential for the policy makers of ASEAN member nations
who attempt to introduce new financial regulations to make their markets
more attractive to the investors by making the stock markets efficient.
This study contributes to the existing literature of the stock market
efficiency of the member nations of the ASEAN region by employing
individual variance ratio tests, spectral shape test and Average
exponential test. This study documents that stock indices of Cambodia,
Lao and Singapore are weak form efficient.
Momentum Decomposition: Evidence from Emerging Markets
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(2017). Momentum Decomposition: Evidence from Emerging Markets. Asian Economic and Financial Review, 7(2): 123-132. DOI: 10.18488/journal.aefr/2017.7.2/22.214.171.124
To explain the reason why momentum effect in emerging markets is much
weaker than that in developed markets. We divide the traditional
momentum returns into intra-style momentum and inter-style momentum
effect on the basis of style investing. According to the result,
intra-style momentum effect spreads widely in all of the twelve emerging
markets, as the primary driving factor for the overall momentum effect.
Besides, the inter-style momentum strategy has distinct property in all
kinds of markets, leading to the poor performance of momentum strategy
in some markets. It is also discovered in the cross-section regression
that in emerging markets, the style-adjusted firm-specific return is in
evidently positive correlation with the future stock return, but the
relationship between the style return and future stock return is
This study uses new decomposition methodology to analyze the poor
performance of the momentum effect in emerging markets. While there is a
significant intra-style momentum effect in all of the twelve emerging
markets, the different properties of inter-style momentum capture the
variation of momentum effect in these markets.
Are Tunisian and Egyptian Share IPO Markets Hot or Cold?
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No any video found for this article.
(2017). Are Tunisian and Egyptian Share IPO Markets Hot or Cold?. Asian Economic and Financial Review, 7(2): 133-151. DOI: 10.18488/journal.aefr/2017.7.2/126.96.36.199
This paper seeks to detect hot and cold IPO cycles in the Tunisian and
Egyptian share market using a Markov regime switching model. Using a set
of IPO activity measures (number of IPOs, level of underpricing, market
conditions and duration), we established a model which estimates these
activity measures in hot and cold periods respectively. We depicted the
turning points for each activity measure. It is found that these markets
are cold in the major period. As in regards to cycles, the segmentation
method gives almost the same periods, except for the market condition
measures (Trading volume for Tunisian stock market and Stock Market
Returns (SMR) for Egyptian stock market) which give a different
This study has two contributions. First, it is one of few studies
detecting IPO cycles and turning points of hot/cold periods for Tunisian
and Egyptian share markets. Second, it provides some policy suggestions
for the improvement and the optimization of Tunisian and Egyptian share
Finance-Growth Nexus in Bangladesh? An Empirical Analysis
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(2017). Finance-Growth Nexus in Bangladesh? An Empirical Analysis. Asian Economic and Financial Review, 7(2): 152-163. DOI: 10.18488/journal.aefr/2017.7.2/188.8.131.52
We examine the empirical relationship between financial and economic
growth in Bangladesh over the period of 1985-2014. Augmented Dickey
Fuller (ADF) test is performed for checking the stationarity properties
and it is revealed that all the concerned variables are stationary.
Johansen cointegration method indicates that long-run cointegrating
relationship prevails in some of the concerned variables. Then applying
the Granger causality test, we have revealed casual relationship between
economic growth and few indicators of financial development. The weak
financial structure composed of non performing banking sector,
underdeveloped capital market, bond market and an insurance market could
well be the reasons behind it. The findings of our paper recommend
policymakers to further develop the financial structure of the country
which would ensure future economic growth.
This contribution of this study is to investigate the relationship
between financial development and economic growth nexus in Bangladesh by
considering a new set of financial indicators. This study reveals the
reasons behind a weak financial system in Bangladesh which has of great
relevance for policy matters.
Gender Disparity in Functionality and Consequence of Microfinance: Does it Function Currently?
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(2017). Gender Disparity in Functionality and Consequence of Microfinance: Does it Function Currently?. Asian Economic and Financial Review, 7(2): 164-174. DOI: 10.18488/journal.aefr/2017.7.2/184.108.40.206
This study has been designed to represent gender disparity in different
issues like adequacy of loan amount, rate of interest, formalities to
take loan and consequence of microfinance in poverty alleviation. Both
descriptive and inferential statistical tools have been used to test our
research hypothesis. This study reveals that there is a significant
perceptional difference between male and female respondents regarding
adequacy of loan amount, rate of interest, formalities to take loan.
Although female respondents have more positive attitude regarding
adequacy of loan amount, rate of interest, formalities to take loan than
that of men, they are less positive relating to poverty alleviation as a
consequence of microfinance than that of male respondents. The
findings of this study urge that if the macro-economic policymakers
don’t upgrade existing development policies, the socio-economic barriers
of the women keep them behind in accruing and using microfinance to
reduce their poverty.
This study is one of the few studies that have investigated gender
inequality in different issues in microfinance and how this disparity
results in consequence of microfinance so that the policymaker can
develop appropriate policy to create level playing field for male and
Exploring the Returns and Volatility Spillover Effect in Taiwan and Japan Stock Markets
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(2017). Exploring the Returns and Volatility Spillover Effect in Taiwan and Japan Stock Markets. Asian Economic and Financial Review, 7(2): 175-187. DOI: 10.18488/journal.aefr/2017.7.2/220.127.116.11
This study examined the returns on the Taiwan Capitalization Weighted
Stock Index (TAIEX) and NIKKEI Stock Average Index (NIKKEI) and explored
the volatility spillover effect between the Taiwanese and Japanese
stock market. The results revealed cointegration between the two
indices, suggesting a long-term, stable relationship between the two
stock markets. An examination of inner-market effects showed that the
returns on stock indices in both markets are greatly influenced by the
returns of previous time periods. Additionally, a cross-market effect
investigation showed that past returns on NIKKEI were found to affect
the current returns on TAIEX significantly, while the past returns on
TAIEX had no impact on the current returns on NIKKEI. A volatility
analysis revealed the existence of an inner-market leverage effect, a
negative cross-market volatility spillover effect, and a mutual price
leading effect. According to the relative asymmetry analysis results,
the two stock markets are more sensitive to falling than rising trends
in the counterpart market. These results suggest that the two markets
are more likely to crash due to a retreat in the counterpart market. The
impact of previous volatility shocks on the current volatility of TAIEX
and NIKKEI are 46.44 and 6.98 days, respectively.
This study is one of very few studies which adopt Bi-EGARCH model to
explore the returns and the volatility spillover effect in Taiwan and
Japan stock markets. Moreover, this study contributes to an
understanding of the short-term returns and the volatility spillover
effect relationship between these two stock markets.
Singapores Temasek Holdings Control Mechanisms and the Performance of the Firms Controlled by Temasek
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(2017). Singapores Temasek Holdings Control Mechanisms and the Performance of the Firms Controlled by Temasek. Asian Economic and Financial Review, 7(2): 188-205. DOI: 10.18488/journal.aefr/2017.7.2/18.104.22.168
This paper examines the control mechanisms of Singapore's Temasek
Holdings and the performance of the firms controlled by Temasek. The
data were hand-collected from a wide range of data sources and the
sample period consists of five years. Ordinary Least Squares regression
analysis is applied with Huber-White standard errors. This study finds
that Temasek Holdings adopts a series of control mechanism, and these
mechanisms destroy valuation. This paper also finds that Temasek
Holdings’ listed block investments in non-Singapore regions have
consistently underperformed those based in Singapore during 2004-08.
This study is the first to provide detailed analysis on the control
mechanisms employed by Temasek Holdings, and the effect of these
mechanisms on performance.
This study is the first to investigate the control mechanisms of
Singapore's Temasek Holdings and the effect of these mechanisms on
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(2017). Growing the Growth of the Ghanaian Economy: Is the Function of the Countrys Financial Development of Any Significance?. Asian Economic and Financial Review, 7(2): 206-221. DOI: 10.18488/journal.aefr/2017.7.2/22.214.171.124
This study investigates the relationship between economic growth and
financial development in Ghana, the study incorporates the variables of
government expenditure, population and trade openness among others. The
time span of the study is from 1970 to 2012. To ensure robust results,
the ARDL bounds testing approach to cointegration was applied in
analyzing the dynamic relationship between the variables. The findings
of the study in the long-run, established that, financial development
has a strong positive impact to the Ghanaian GDP and contrary was found
to be the case in the short-run. In addition to that, population was
discovered to have a negative impact on the long-run growth of the
country’s GDP. The aim of this study is to assess the directions of how
to grow the growth of the Ghanaian economy. Surprisingly, the study
discovered that despite the negative contributions of the huge
government expenditure which defied the Keynesian hypothesis and the
Wagner’s law of stimulating economic growth due largely to other
exogenous factors not included in this study, yet, the study suggested
the need for the Ghanaian policy makers to place all effort in
eliminating all forms of financial repression. In addition to that,
there is the need for the establishment of all measures that will help
in attracting foreign direct investment in to the country. This can be
achieved through sound political stability, provision of basic
infrastructural facilities, better supervision and prudential
regulations of the country’s financial system and the encouragement of
entrepreneurial growth, innovation and creativities within the local
economy. Finally corruption and embezzlement should as much as possible
be tamed if realistic results of growing the growth of the Ghanaian
economy is to be attained.
This study contributes in the existing literature by investigating the
positions of the long-run impacts of the dynamics of financial
development on economic growth in Ghana. This study is one of very few
studies which have investigated how to grow the growth of the Ghanaian
economy considering the key economic shocks the country has suffered
from in recent years. The paper's primary contribution is the discovery
of how the huge government expenditure which defied the Keynesian
hypothesis and the Wagner’s law of stimulating economic growth to have a
negative impacts to the country’s GDP.