• The Journal of Asian Finance, Economics and Business
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• v.7 no.3
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• pp.149-156
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• 2020

The study aims to investigate a close relation between macro and non-macro variables on stock performance of tourism companies in Korea. The sample used in this study includes monthly data from January 2001 to December 2018. The stock price index of the tourism companies as a dependent variable are obtained from Sejoong, HanaTour, and RedcapTour as three leading Korean tourism companies that have been listed on the Korea Stock Exchange. This study assesses the tourism stock performance using the quantile regression approach. This study also investigates whether global crisis events as the Iraq War and the global financial crisis as non-macro variables have a significant effect on the stock performance of tourism companies in Korea. The results show that the oil prices, exchange rate and industrial production have negative coefficients on stock prices of tourism companies, while the effects of tourist expenditure and consumer price index are positive and significant. We estimate the result of quantile regression that non-macro determinants have statistically a significant and negative effect on tourism stock performance because the global crisis could threaten traveler's safety and economy. Overall, empirical results suggest that the effects of macro and non-macro variables are statistically asymmetric and highly related to tourism stock performance.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.2
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• pp.77-88
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• 2021

The stock markets in the BRICS (Brazil, Russia, India, China and South Africa) countries are the leading emerging markets globally. Therefore, it is pertinent to ascertain the critical drivers of stock market development in these economies. The currrent study empirically investigates to identify the linkages between stock market development, key macro-economic factors and institutional factors in the BRICS economies. The study covers the time period from 2000 to 2017. The dependent variable is the country's stock market development and the independent variables consist of six macroeconomic variables and five institutional variables. The study employs a panel cointegration test, Fully Modified OLS (FMOLS), a Pooled Mean Group (PMG) approach and a heterogeneous panel non-causality test.The findings of the study indicate co-integration among the selected variables across the BRICS stock markets. Long-run estimations reveal that five macroeconomic variables and four variables related to institutional quality are positive and statistically significant. Further, short-run causalities between stock market capitalization and selected variables are detected through the test of non-causality in a heterogeneous panel setting. The findings suggest that policymakers in the BRICS countries should enhance robust macroeconomic conditions to support their financial markets and should strengthen the institutional quality drivers to stimulate the pace of stock market development in their countries.

• The Journal of Asian Finance, Economics and Business
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• v.9 no.1
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• pp.153-166
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• 2022

The study estimates the Structured VAR and the Dynamic Stochastic General Equilibrium Model for the Vietnamese economy based on the new Keynesian model for small and open economies, with the output gap, inflation, policy interest rate, the Vietnamese exchange rate, and the inflation and interest rate in the United States. The paper aims to clarify the impulse response of the macro variables through their shocks. It offers to model the SVAR and DSGE processes, as well as describe why and how interest rate policy is important in the impulse response of macro variables like the output gap and inflation process. The study supports the central role of monetary policy by giving empirical evidence for the new Keynesian theory, according to which an interest rate shock causes the output gap to widen and inflation to decrease. Finally, the application of the DSGE model is becoming more and more popular in the State Bank of Viet Nam to improve its policy planning, analyzing, and forecasting policy towards sustainable and stable growth.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.5
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• pp.551-559
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• 2021

The maturity structure of corporate debt is one of the significant financing choices that a firm must make simultaneously while deciding how to finance its operational and investment decisions. Even though the capital structure is one of the scrutinized topics of interest in the corporate finance literature, scarce studies have investigated corporate debt maturity, even less so in the context of emerging markets. The choice of a suitable debt maturity structure is exceptionally relevant for firms. It can enable them to avoid mismatch by aligning assets in line with liabilities, addressing agency-related problems, sidestep the ill effects of cost of capital, and signaling the firms' earning quality and value. The study investigates the firm-specific and macroeconomic determinants significant for the debt maturity structure of Vietnamese corporate firms. A sample of 722 non-financial firms listed on the Ho Chi Minh and Hanoi Stock Exchange in Vietnam from 2007 to 2018 was taken to test the hypothesis. The study's methods fixed effects panel data analysis provides empirical evidence that firm size, firms' quality, liquidity, leverage, asset maturity, tax impact, and macro variables are significantly related to the debt maturity structure.

• Economic and Environmental Geology
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• v.55 no.6
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• pp.617-632
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• 2022

In recent years, environmental pollution and determining the main factors causing this pollution have become an important issue. This study investigates the relationship between the agricultural sector and environmental pollution in Azerbaijan for 1992-2018. The dependent variable in the study is the agricultural greenhouse gas emissions (CO₂ equivalent). Eight variables were selected as explanatory variables: four agricultural inputs and four agricultural macro indicators. Unit root tests, ARDL boundary test, FMOLS, DOLS and CCR long-term estimators, Granger causality analysis, and variance decomposition analyses were used to investigate the effect of these variables on agricultural emissions. The results show that chemical fertilizer consumption, livestock number, and pesticide use positively and statistically significantly affect agricultural emissions from agricultural input variables. In contrast, agricultural energy consumption has a negative and significant effect. From agricultural macro indicator variables, it was found that the crop and animal production index had a positive and significant effect on agricultural emissions. According to the Granger causality test results, it was concluded that there are a causality relationship from chemical fertilizer consumption, livestock number, crop and livestock production index variables towards agricultural emissions. Considering all the results obtained, it is seen that the variables that have the most effect on the increase in agricultural emissions in Azerbaijan are the number of livestock, the consumption of chemical fertilizers, and the use of pesticides, respectively. The results from the research will contribute to the information on agricultural greenhouse gas emissions and will play an enlightening role for policymakers and the general public.

• The Journal of Asian Finance, Economics and Business
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• v.9 no.4
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• pp.197-212
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• 2022

The study uses the audited financial statements of 26 Vietnamese commercial banks listed on the Ho Chi Minh City Stock Exchange (HOSE) and Hanoi Stock Exchange (HOSE) during the 2008-2018 period to estimate the system GMM model, which provides empirical evidence on the effect of the variables of customer deposit to total assets (DEPO) ratio, loan to assets (LTA) ratio, liquidity of commercial banks (LIQ), credit development (CRD) ratio, external funding (EFD) ratio, and credit loss provision (LLP) ratio on liquidity risk. The study confirms that commercial banks' internal factors play the most important role, and there is no empirical evidence on macro variables that affect liquidity risk. Finally, in accordance with the theoretical framework, the study uses an estimation method with the R language and the bootstrap methodology to give empirical proof of the nonlinear correlation and U-shaped graph between commercial bank size and liquidity risk. The importance of commercial bank size in absorbing and moderating the effects of liquidity shocks is demonstrated, however, excessive growth in commercial bank size would increase liquidity risk in commercial bank operations.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.8
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• pp.681-693
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• 2020

This study sees a critical gap in the previous body of research, which it seeks to fill; the disclosure of the unemployment ratio correlation has only been measured by the level of economic growth. This study is to add investment variables and government expenditure variables that objectively aim to measure the level of effectiveness in handling the unemployment ratio, which is then a measurement of the effectiveness of unemployment. Economic growth is measured by its impact on income inequality through empirical, conceptual relationships as a critical review and economic strategy for the future. The research uses secondary data on Indonesian macro and microeconomics since 2003-2018, then testing uses a quantitative approach to correlation, regression, and scatterplot. The results of this study show correlations between variables, and volatiles on the graphs show a similar trend. In other words, variables are bound together and support each other. The strategy of prioritizing the scale of government expenditure and investment to reach the target is the primary concern, so that the economic cycle can be optimal and equipped to face the possibility of an economic recession in the future. Many factors cause complex income inequality, though investment does not show a correlation to income inequality.

• The Journal of Asian Finance, Economics and Business
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• v.6 no.4
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• pp.53-63
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• 2019

The paper examines the influence of profitability on distance to default (DD) in Vietnam securities market. The investigated sample consists of 211 companies listed on HOSE during 18 years from 2010 to 2017. We apply KMV model to calculate distance to default and use both macroeconomics factors and firm specific factors as independent variables. Using General Least Squared (GLS) method, we find evidence to confirm the positive relationship between profitability and distance to default. This result showed that, although profitability did not directly reflect the cash flow generated, a good profitable enterprise would be an important factor to help facilitate and generate cash flow and at the same time debt was guaranteed when it was due. Besides, the test results revealed that the financial structure and sales on assets have the inverse effect on the distance to default at the significance level of 5%. The results also revealed that a group of macro factors had an influence on the distance to default of businesses, including spread, GDP and trade balance (via exchange rates). Gross domestic income had certain impacts on the distance to default of businesses. This was also a basic indicator measuring the national economic cycle.

• Korea Real Estate Review
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• v.28 no.2
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• pp.21-34
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• 2018

The purpose of this study is to investigate the effect of macro-finance variables on the correlation between the housing and stock markets because understanding the nature of time-varying correlations between different assets has important implications on portfolio allocation and risk management. Thus, we adopted the AG-DCC GARCH model to obtain time-varying, conditional correlations. Our sample ranged from January 2004 to November 2017. Our empirical result showed that the coefficients on asymmetric correlation were significantly positive, implying that correlations between the housing and stock markets were significantly higher when changes in the housing price and stock returns were negative. This finding suggested that the housing market has less hedging potential during a stock market downturn, when such a hedging strategy might be necessary. Based on the regression analysis, we found that the term spread had a significantly negative effect on correlations, while the credit spread had a significantly positive effect. This result could be interpreted by the risk premium effect.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.3
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• pp.751-761
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• 2021

The Vietnamese economy is a developing country that has brought many opportunities and challenges for the banking system. Commercial banks have developed strongly from quality to quantity, which plays a vital role in developing the economy. They play an important role in capital formation, which is essential for the economic development of a country. They provide financial services to the general public and businesses, ensuring economic and social stability and sustainable growth of the economy. Therefore, the relationship between bank depth and economic growth is of importance in research. This paper used a VAR (Vector Autoregressive Models) estimator for time series data models. The data is collected quarterly from the first quarter of the year 2000 to 2020. The study uses the VAR model to examine the causal relationships of economic growth, growth in money supply expansion, private sector capital requirement, and banks' domestic credit. The results indicate a general short-run relationship between banking sector depth and economic growth with a positive connection, but in the long term, the relationship between these variables can be reversed because of other macro factors. The findings show the two-way causal relationship between GDP growth and banking depth factors. This research contributes to policy-making by underlining the banking sector depth determinants when setting regulations and policies to develop the banking sector.