Asian Economic and Financial Review

Published by: Asian Economic and Social Society
Online ISSN: 2222-6737
Print ISSN: 2305-2147
Total Citation: 1486

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Market Efficiency of ASEAN Stock Markets

Pages: 109-122
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Market Efficiency of ASEAN Stock Markets

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DOI: 10.18488/journal.aefr/2017.7.2/102.2.109.122

Muneer Shaik , S. Maheswaran

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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/2017.7.2/102.2.109.122
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.
Contribution/ Originality
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

Pages: 123-132
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Momentum Decomposition: Evidence from Emerging Markets

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DOI: 10.18488/journal.aefr/2017.7.2/102.2.123.132

Hongbo Guo , Xianhua Wei

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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/2017.7.2/102.2.123.132
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 uncertain.
Contribution/ Originality
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?

Pages: 133-151
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Are Tunisian and Egyptian Share IPO Markets Hot or Cold?

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DOI: 10.18488/journal.aefr/2017.7.2/102.2.133.151

A. Kammoun Abdelmoula , L. Hedhili Zaier

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(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/2017.7.2/102.2.133.151
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 segmentation.
Contribution/ Originality
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 IPO markets.

Finance-Growth Nexus in Bangladesh? An Empirical Analysis

Pages: 152-163
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Finance-Growth Nexus in Bangladesh? An Empirical Analysis

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DOI: 10.18488/journal.aefr/2017.7.2/102.2.152.163

Sakib Bin Amin , Ridwan Mosharraf Hossain

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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/2017.7.2/102.2.152.163
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.
Contribution/ Originality
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?

Pages: 164-174
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Gender Disparity in Functionality and Consequence of Microfinance: Does it Function Currently?

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DOI: 10.18488/journal.aefr/2017.7.2/102.2.164.174

Protap Kumar Ghosh , Sutap Kumar Ghosh

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  31. Zororo, M., 2011. Characteristics and motivation in female entrepreneurship - Case of Botswana. University of Botswana Journal, 3(2): 1-10.
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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/2017.7.2/102.2.164.174
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.
Contribution/ Originality
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 female.

Exploring the Returns and Volatility Spillover Effect in Taiwan and Japan Stock Markets

Pages: 175-187
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Exploring the Returns and Volatility Spillover Effect in Taiwan and Japan Stock Markets

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DOI: 10.18488/journal.aefr/2017.7.2/102.2.175.187

Chi-Lu Peng , Chi-Fu Chung , Chin-Chang Tsai , Cheng-Te Wang

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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/2017.7.2/102.2.175.187
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.
Contribution/ Originality
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

Pages: 188-205
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Singapores Temasek Holdings Control Mechanisms and the Performance of the Firms Controlled by Temasek

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DOI: 10.18488/journal.aefr/2017.7.2/102.2.188.205

Kerry Liu

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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/2017.7.2/102.2.188.205
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.
Contribution/ Originality
This study is the first to investigate the control mechanisms of Singapore's Temasek Holdings and the effect of these mechanisms on performance.

Growing the Growth of the Ghanaian Economy: Is the Function of the Countrys Financial Development of Any Significance?

Pages: 206-221
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Growing the Growth of the Ghanaian Economy: Is the Function of the Countrys Financial Development of Any Significance?

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DOI: 10.18488/journal.aefr/2017.7.2/102.2.206.221

Abdulkadir Abdulrashid Rafindadi , Almustapha A Aliyu

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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/2017.7.2/102.2.206.221
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.
Contribution/ Originality
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.