• Asia-Pacific Journal of Business
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• v.13 no.3
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• pp.183-208
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• 2022

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

• Journal of the Korean Data Analysis Society
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• v.20 no.6
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• pp.2771-2779
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• 2018

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

• The Journal of Asian Finance, Economics and Business
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• v.8 no.4
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• pp.591-599
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• 2021

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

• Nuclear Engineering and Technology
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• v.54 no.9
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• pp.3299-3309
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• 2022

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

• The Journal of Economics, Marketing and Management
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• v.12 no.4
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• pp.27-36
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• 2024

Purpose: The paper analyzes for detecting unexpected shocks such as global financial crisis and COVID-19 pandemic, and contagion between countries by capturing in the mean-shift, variance-covariance-shift, and skewness-coskewness-shift parameters of interest rates. Research design, data and methodology: A flexible multivariate model of interest rates is provided by allowing for regime switching and a joint skewed normal distribution. The model is applying to the structural breaks of crisis and contagion between the US and the selected global bond markets during the global financial crisis and COVID-19 pandemic, respectively. Inspection of the moment statistics weakly suggests a flight to safety to the US during the global financial crisis and to Canada during the COVID-19 pandemic. Results: The results indicate that risk averse investors had a higher risk appetite for the US and Canada assets during the crisis regimes, compared to their counterparts. Conclusions: The results show that coskewness contagion dominates correlation contagion, and coskewness contagion is significant for the Korea and Japan-US pairs for the global financial crisis and the Euro-US pair for the COVID-19 pandemic. All channels of structural breaks of crisis and contagion are significant when considered jointly, reinforcing the need to consider contagion and structural breaks during crises in a multivariate setting.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.3
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• pp.41-51
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• 2020

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

• The Journal of Asian Finance, Economics and Business
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• v.4 no.1
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• pp.39-49
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• 2017

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

• The Journal of Asian Finance, Economics and Business
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• v.8 no.5
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• pp.515-521
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• 2021

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

• The Journal of the Korea Contents Association
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• v.15 no.10
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• pp.457-467
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• 2015

Despite the recent phenomena of Chonsei price increase, low interest rate and low growth, the indexes of financial and insurance industry production showed the results contrary to the common belief that the financial industry is sensitive to such financial crises. This is because the index of financial industry has continuously maintained a certain level of increase as opposed to the index of all industry production. Thus, this study aimed to analyze the dynamic correlation between the index of financial industry production and Chonsei price increase. A vector autoregression (VAR) model, which doesn't have a cointegrating relationship, was used to define the Chonsei price index and the indexes of all industry production and financial and insurance industry, which are macro economic variables, and describe the data. The results of the analysis on the time series data of 183 months from January 2000 to May 2015 showed that Chonsei price increase was not directly derived from the index of financial industry, but the finance industrial index affected Chonsei price increase.

• Asian review of World Histories
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• v.2 no.2
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• pp.217-248
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• 2014

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