2021-06-06 21:38:36
Gkaitantzis Christos , Nikandrou Charalampos , Kyriazakou Eleni
Using time-series data for 19 countries, we examine whether market connectedness (measured by market returns and volatility) increased over time because of the global financial crisis and the COVID-19 pandemic. Using a vector autoregression–based spillover
Abstract2021-06-06 21:59:22
Xiao-Cui Yin,Chi-Wei Su
This study aims to explore whether house prices have an asymmetrical threshold effect on the birth rate in China. We find that house prices have a significant negative impact on the birth rate when it is higher than the threshold value. This result indicates
Abstract2021-06-27 12:22:30
Yu Hao,Haitao Wu
With the emergence of information communication technology, the role of internet development has become crucial for energy intensity. This study uses the spatial Durbin model to test the impact of internet development on China’s energy intensity. The
Abstract2021-06-27 12:29:05
Huayu Shen,Man Zhang,Runxin Liu,Fei Hou
This study investigates whether economic policy uncertainty affects corporate innovation. Using a sample of Chinese listed firms during the period of 2007-2017, this paper finds that economic policy uncertainty is positively associated with corporate
Abstract2021-06-27 12:36:04
Huwei Wen,Qiming Zhong,Quanen Guo
Using the difference-in-differences method, this study investigates the impact of bank lending intervention on firm innovation. We find that bank lending intervention significantly hampers R&D investment of firms in overcapacity industries. Moreover,
Abstract2021-06-27 12:41:25
Guoxiang Li,Suling Feng
Using panel data from 30 Chinese provinces (excluding Tibet, Hong Kong, Macao, and Taiwan) over the 2006 to 2016 period, this research analyzes the impact of private investment on natural resource utilization efficiency. We find that private investment
Abstract2021-06-27 12:47:11
Susan Sunila Sharma
This paper provides a note on commonality in volatility for five developed Asian economies, namely Hong Kong, Japan, Russia, Singapore and South Korea. Additionally, we examine whether the COVID-19 pandemic changed the commonality in volatility within
Abstract2021-06-27 12:51:38
Afees A. Salisu,Abdulsalam Abidemi Sikiru
In this paper, we examine the potential of the Asia-Pacific Islamic stock market to serve as a good hedge against uncertainty due to pandemics and epidemics (UPE). Relying on a new dataset for UPE, we find evidence in favour of the hedging potential of
Abstract2021-06-27 12:57:13
Paresh Kumar Narayan
In this note, we propose the hypothesis that COVID-19 has influenced the Yen-US dollar exchange rate’s resistance to shocks. We propose a time varying unit root model and unravel that prior to the pandemic, the Yen was non-stationary while during the
Abstract2021-06-27 13:01:15
Meng Qin,Chi Wei Su
This paper investigates the time-varying interaction between tourist arrivals (TA) and unemployment rate (UE) in Hong Kong. We find that TA negatively influence UE, implying that lack of tourism hurts employment prospects. We also document a positive
Abstract2021-06-27 13:51:49
Luis A. Gil-Alana,Gloria Claudio-Quiroga
In this note, we examine the impact that the COVID-19 crisis may have on the Asian stock markets by examining the statistical properties of three financial markets in Asia: namely, the Korean SE Kospi Index, the Japanese Nikkei 225, and the Chinese Shanghai
Abstract2021-06-27 13:55:53
Paresh Kumar Narayan
In this note, we utilize hourly exchange rate data for Japanese Yen, Canadian dollar, European Euro and the British pound to search for possible bubble type behavior. We identify evidence that bubble activity characterizes all four exchange rates more
Abstract2021-06-27 14:01:17
Bernard Njindan Iyke
We examine the impact of the novel coronavirus (COVID-19) pandemic on economic policy uncertainty (EPU) in five leading Asian economies, namely China, India, Japan, Korea, and Singapore. We find that the pandemic has a positive and statistically significant
Abstract2021-06-27 14:06:23
Ziyu Song,Shuming Ren
We investigate the relationship between product market competition (measured by textual analysis of annual reports) and Research and Development (R&D) investment of China’s listed firms. Empirical results show that competition promotes innovation. Economic
Abstract2021-06-27 14:14:40
Neluka Devpura
In this paper, we examine the relationship between Japanese Yen (vis-à-vis the US dollar) and the crude oil futures price. The novelty is that we use high frequency (intraday hourly) data to examine time-varying predictability. We find limited evidence
Abstract2021-06-27 14:19:55
Prabheesh KP
This paper examines the causality relation between stock returns and foreign portfolio (FPI) flows in the Indian context during the COVID-19 pandemic. Using daily data and the Toda and Yamamoto Granger causality test, the study finds that unidirectional
Abstract2021-06-27 14:26:06
Anasuya Haldar,Narayan Sethi
This study explores the effects of demographic, socio-economic, and public-response factors on the incidence of new COVID-19 cases for the 10 countries with the greatest number of confirmed cases. Results show that demographic factors and government policies
Abstract2021-08-10 13:32:36
Hongfang Han,Yanhong Qian
This paper uses a fixed effect model to empirically study the impact of COVID-19 on the innovative ability of listed companies in China. We find that the innovative abilities of Chinese listed companies, both large-scale and small-scale, increase during
Abstract2021-08-10 13:38:33
Cheng Lan, Ziyi Huang,Wenli Huang
In this paper, the dynamic CoVaR method is used to measure changes in systemic risk in the financial industry during the COVID-19 pandemic. We find that, first, after the outbreak of the COVID-19 pandemic, the systemic risk of the financial industry increased
Abstract2021-08-10 13:43:09
Lei Yan,Yanhong Qian
Using an event study approach, this paper investigates the impact of the coronavirus pandemic (COVID-19) on the consumer industry in the Chinese stock market. We find that stocks belonging to the consumer industry was adversely impacted by the pandemic
Abstract2021-08-10 13:51:36
Haochang Yang,Peidong Deng
We study the impact of COVID-19 and various government interventions on the stock market returns of 20 OECD countries from February 1, 2020 to October 1, 2020. We find that stock market returns react significantly negatively to the increase in the number
Abstract2021-08-10 13:56:56
Xing Fang ,Yu Zhang
In this paper, we assume that the COVID-19 pandemic exerts a time-varying asymmetric impact on the RMB exchange rate. Based on the Taylor rule model, we examine the RMB exchange rate fluctuations around the outbreak of COVID-19. We find that the RMB rate
Abstract2021-08-10 14:00:56
Thi Hong Van Hoang, Qasim Raza Syed
In this note, we examine whether the volatility predictive power of investor sentiment for currencies and commodities is sensitive to the COVID-19 pandemic. The Credit Suisse Fear Barometer (CSFB) and the VIX are used to measure investor sentiment. The
Abstract2021-08-10 14:04:46
Isaac Appiah-Otoo
We estimate the impact of COVID-19 on domestic credit in China over the period January 01, 2020 to June 30, 2020. Our findings show that an increase in COVID-19 confirmed cases/deaths significantly increases domestic credit in China, however; the magnitude
Abstract2021-08-10 14:08:45
Qiang Fu,Chun-Ping Chang
Based on a sample of panel data for 14 countries spanning the period 2000-2018, this paper investigates the effect of pandemics on government expenditure and public health expenditure. The empirical results show that pandemics lead to an increase in government
Abstract2021-08-10 14:13:08
Creina Day
This paper analyzes socially optimal shares of output invested in research and development (R&D), education and physical capital to sustain China’s economic growth as population growth slows. China’s high human capital income share closes the gap
Abstract2021-08-10 14:17:03
Tao Bing
This paper investigates the relation between retail investors’ flows and returns during the COVID-19 pandemic in the Chinese market using the VAR model. The results show that though the positive feedback trading during the pandemic is weaker than that
Abstract2021-08-10 14:20:49
Kai-Hua Wang,Chi-Wei Su
This paper investigates the asymmetric relationship between COVID-19 and fossil energy prices through bootstrap Fourier Granger Causality test in quantiles. The empirical results indicate that COVID-19 influences oil and natural gas prices in high volatile
Abstract2021-08-10 14:24:27
Xing Fang,Weijuan Cao
In the context of a severely volatile global financial market in 2020, the Ren Min Bi (RMB) has also experienced dramatic fluctuations. We examine the impact of the COVID-19 pandemic on the status of the RMB as an anchor currency in countries along the
Abstract2021-08-10 14:29:03
Ismail O Fasanya,Oluwatomisin J Oyewole,Taofeek Agbatogun
We examine the connection between global economic policy uncertainty (GEPU) and the dynamic spillovers of the Asia-Pacific manufacturing market within a nonparametric framework. We find strong connectedness between markets, and our results strongly support
Abstract2021-08-10 14:32:50
Debi Bal,Seba Mohanty
This paper examines the linear and nonlinear relationship between daily confirmed COVID-19 cases and sectoral stock market volatility in India. The linear Granger causality test reveals bidirectional causality. Further, we observe that bidirectional nonlinear
Abstract2021-08-10 14:37:38
Ismail O. Fasanya,Oluwatomisin J. Oyewole ,Johnson A. Oliyide
In this note, we examine the predictability of the energy stock markets using the diseases-based uncertainty index within a nonparametric framework. The nonparametric causality test reveals that energy stocks’ predictability driven by pandemic uncertainty
Abstract2021-10-06 11:35:06
Paresh Kumar Narayan,Bernard Njindan Iyke,Susan Sunila Sharma
The multitude of papers exploring the effects of the COVID-19 pandemic over the last 12 months has motivated us to develop new, alternative measures of COVID-19. One limitation of current research has been the lack of robustness in quantifying the effects
Abstract2021-10-06 11:45:40
Gkaitantzis Christos, Nikandrou Charalampos,Kyriazakou Eleni
Using time-series data for 19 countries, we examine whether market connectedness (measured by market returns and volatility) increased over time because of the global financial crisis and the COVID-19 pandemic. Using a vector autoregression–based spillover
Abstract2021-10-06 11:51:17
Zheng Zheng Li, Yidong Xiao,Chi-Wei Su
This article studies whether there is a bubble in the price of medical masks, especially considering the COVID-19 pandemic. The empirical results show that multiple bubbles exist in 2020 and are correlated with COVID-19 related events. This study alerts
Abstract2021-10-06 11:56:19
Umar B. Ndako,Afees A. Salisu,Muritala O. Ogunsiji
In this paper, the predictive value of geopolitical risk (GPR) for the return volatility of Islamic stocks in Indonesia and Malaysia is examined. GPR data, whether global or country-specific, heighten the return volatility of Islamic stocks in both countries,
Abstract2021-10-06 11:59:45
Afees A. Salisu
This special issue of the Asian Economics Letters (AEL) contains papers on forecasting of Asian financial markets. After initial screening of all submitted papers by the Guest Editor, only the best six papers were chosen for peer review. Post this review
Abstract2021-10-06 12:04:47
Ahamuefula E. Ogbonna,Olusanya E. Olubusoye
Hinging on the recently established relevance of tail thickness information, we examine the predictability of fifteen major stocks in the Asia-Pacific region using conditional autoregressive value at risk (CAViaR) model estimates of tail risks. We used
Abstract2021-10-06 12:11:02
Afees A. Salisu, Lukman Lasisi,Abeeb Olaniran
In this paper, we examine the predictive content of uncertainty due to pandemics and epidemics (UPE) for the exchange rate movements of selected Asian economies. Our results show evidence of superior out-of-sample predictability of a UPE-based predictive
Abstract2021-10-06 12:14:54
Idris A. Adediran
We present novel evidence to show that tail (market) risk, measured as the conditional autoregressive value at risk, is a good predictor of Asia-Pacific exchange rates. We use daily exchange rate data for the Australian dollar, the Chinese yuan, the Indonesian
Abstract2021-10-06 12:18:37
Joel Ede Owuru
This study investigates the response of Chinese stock returns to oil prices amidst the COVID-19 pandemic using both linear and nonlinear autoregressive distributed lag (ARDL) models. The results indicate that oil price and the COVID-19 Global Fear Index
Abstract2021-10-06 12:23:14
Tirimisiyu F. Oloko,Abeeb O. Olaniran,Lukman A. Lasisi
In this study, we examine the potential of South Korean stocks to hedge against global and country-specific geopolitical risks. A predictability approach with a feasible quasi generalized least square (FQGLS) estimator was employed. Our results reveal
Abstract2021-10-06 12:26:39
Zubair Tanveer
This study investigates the behavior of stock prices to identify the speed of adjustment of stock returns in response to dividend declarations in the 10 most lucrative sectors of the Pakistan stock market. The event methodology results show that the Pakistan
Abstract2021-10-06 12:32:13
Badri Narayan Rath,Vaseem Akram
This study undertakes a systematic literature review on recent developments in unit root tests. We highlight popular unit root tests developed since 2010 based on the number of citations. We observe from the literature that the most popular unit root
Abstract2021-10-06 12:36:19
Xin Li
This study examines the asymmetric effects of positive and negative changes in media attention to COVID-19 and daily new confirmed COVID-19 cases on China’s stock market volatility by utilizing the nonlinear autoregressive distributed lag (NARDL) model.
Abstract2021-11-06 02:34:47
Ololade Periola-Fatunsin,Johnson A. Oliyide, Ismail O. Fasanya
With increasing COVID-19 cases and instability of many financial markets, we examine the role of uncertainty due to infectious diseases in influencing volatility connectedness among Asian Real Estate Investment Trust market. Our result unveils the importance
Abstract2021-11-06 02:47:57
Muhamad Rias K V Zainuddin,Nurul Aishah Khairuddin,Hakimah Nur Ahmad Hamidi
This study analyzes the impact of COVID-19 on Malaysia’s bilateral export in three categories of goods. The results show that higher numbers of COVID-19 cases among trading partners has led to higher levels of bilateral export for capital and consumption
Abstract2021-11-06 11:22:42
C. T. Vidya,world trade network,covid-19
The study compares the world trade network among the top merchandise trading countries before and during the COVID-19 pandemic. China’s preeminence in world trade during the 2020 pandemic is also examined. The results reveal that the pandemic did not
Abstract2021-11-06 11:39:29
Kiki Verico
This paper compares the effects of the economic convergence levels of the two mega-regional cooperative efforts of the Comprehensive and Progressive Agreement for Trans-Pacific Partnership (CPTPP) and the Regional Comprehensive Economic Partnership (RCEP)
Abstract2021-11-06 11:48:31
Ichiro Iwasaki,Xinxin Ma
In this paper, we conduct a meta-analysis using 1429 estimates extracted from 61 English and Chinese studies to estimate the wage effect of secondary and tertiary education in China. The meta-synthesis results show that the impact of tertiary education
Abstract2021-11-06 12:02:20
Radeef Chundakkadan,Subash Sasidharan
This paper investigates the impact of unconventional monetary policy on stock returns using the Reserve Bank of India’s long-term repo operations (LTROs). We provide evidence that firms listed on the Bombay Stock Exchange register higher returns on
Abstract2021-12-05 09:53:36
Pragyanrani Behera,Prajukta Tripathy,Bikash Ranjan Mishra
This study investigates the determinants of outward foreign direct investment (OFDI) for eight emerging Asian source countries vis-à-vis 107 host countries from 2009 to 2016. We employ Bayesian model averaging and the weighted average least squares technique
Abstract2022-03-05 10:09:42
Darjana Darjana,S.K. Wiryono,D.P. Koesrindartoto
This paper aims to investigate the COVID-19 pandemic’s impact on the banking sector in Indonesia between 2011 and 2020. The study reveals that a credit crunch has transpired during the pandemic period. The result reveals that credit delivery decreased
Abstract2022-03-05 10:33:00
Basem Ertimi,Tamat Sarmidi,Norlin Khalid,Mohd Helmi Ali
In an attempt to mitigate the effects of COVID-19, the Malaysian government imposed the Movement Control Order (MCO). To address the adverse impacts of the MCO policy, the Malaysian government initiated a series of recovery plans for both fiscal and monetary
Abstract2022-03-05 10:51:00
Nuruddeen Usman,Kodili Nwanneka,Nduka
This study uses a fractional integration method to evaluate the efficiency of cryptocurrencies before and after the period COVID-19 had been announced as being a pandemic. Evidence of long memory is confirmed across all subsamples. Additionally, we find
Abstract