Showing papers in "Emerging Markets Review in 2018"

TL;DR: This paper investigated the interconnectedness and systemic risk of China's financial institutions by constructing dynamic tail-event driven networks (TENETs) at 1% risk level based on weekly returns of 24 publicly-listed financial institutions from 2008 to 2016.

TL;DR: Wang et al. as discussed by the authors constructed a tail risk network to present overall systemic risk of Chinese financial institutions, given the macroeconomic and market externalities, and utilized the Kolmogorov-Smirnov statistic to test significance of systemic risk beta based on tail risk and further rank the systemic risk contribution.

TL;DR: In this article, the authors evaluate whether the new Fama-French five-factor model is able to offer a better description of emerging market equity returns than the three factor model.

TL;DR: In this paper, the authors examined whether gold or the US dollar is a safe haven for emerging stocks and found that both gold and US dollar can serve as safe havens for emerging stock.

TL;DR: In this article, the authors examined the financial connectedness via return and volatility spillovers between Brazil, Russia, India, China and South Africa (BRICS) and three global bond market indices represented by the United States of America (USA), European Monetary Union (EMU), and Japan for the period 01 January 1997 to 27 July 2016 (weekly data).

TL;DR: In this article, the authors explored the relationship between changes in the fear index (VIX) and changes in emerging market volatilities across their conditional distributions by employing a mixed Quantile regression - Copula methodological approach.

TL;DR: In this paper, the impact of the non-financial disclosure on firm value for a large sample of Indian firms, arguably emerging market with poor investor protections and legal enforcement, was studied.

TL;DR: Wang et al. as discussed by the authors investigated the impact of firms' business group affiliations on their performance in CSR in China and found that firms with a dual status of being a business group member and a state-owned enterprise (SOE) at the same time have weaker CSR performance.

TL;DR: In this article, the authors investigate how the Fama and French three-, four-, and five-factor models perform in emerging markets and find that the four and five factor models perform better than the three-factor model in most of their tests.

TL;DR: In this paper, the authors examined the impact of ownership structure, whether state owned, foreign owned or institutionally owned, on Vietnamese stock market liquidity in different market conditions and found that state ownership is associated with lower liquidity after the 2008 financial crisis.

TL;DR: In this paper, the authors investigated the relationship between the Islamic interbank benchmark rate (IIBR) and its comparable conventional counterpart, London interbank offer rate (LIBOR), and found that there are both long-term and short-term dynamic relationships between the two rates providing significant evidence of their convergence and co-movement.

TL;DR: In this paper, the authors studied the interaction between housing market sentiment and government interventions and found that high sentiment negatively impacts the effectiveness of tightening policies, especially significant in the zones where housing prices are sensitive to increasing sentiment.

TL;DR: In this paper, the authors proposed a predictive CoVaR measure to analyze asynchronous risk spillovers between the Chinese stock and futures market, which showed the presence of asymmetric spillovers under different market states, different trading rules and different confidence levels.

TL;DR: In this article, the results from the recent EDCC-GARCH model of Nakatani and Terasvirta (2009), which permits for concurrent estimation of shock and volatility interactions as well as dynamic conditional correlations across assets, shows unidirectional shock-and volatility transmissions from the US to the frontier markets.

TL;DR: Li et al. as mentioned in this paper examined the effect of VC political connections on accrual and real earnings management of IPOs controlled by private entrepreneurs in China and found IPOs backed by government-controlled VCs exhibit severe IPO-year EM, which is driven by those VCs exiting their investments immediately after the VC lock-up expiration.

TL;DR: Li et al. found that state owned enterprises (SOEs hereafter) have lower mean-reverting rates when profitability is better (worse) than the norm; while non-SOEs with politically connected executives have lower (higher) mean-REF.

TL;DR: Wang et al. as mentioned in this paper found that the level of compensation of a Chinese listed firm's directors is influenced by both the propensity to be paid and the amount of compensation paid.

TL;DR: In this article, the authors used loan contracts of firms in the syndicated loan market to generate weighted aggregate measures of financial connections of emerging market economies and relate these financial integration indices to income inequality.

TL;DR: In this article, the MAX anomaly is shown to be larger in magnitude in advanced emerging markets compared with developed markets, and the authors support the proposition that the Max anomaly is a pervasive anomaly that is related to mispricing.

TL;DR: In this paper, the authors explored the asymmetric effect of real exchange rate changes on poverty through the remittance channel for a panel of 99 countries, spanning the period 1980-2015.

TL;DR: In this paper, the authors investigate how bank ownership influences cyclicality of lending in Africa and measure the sensitivity of bank loan growth to GDP per capita growth of the host country with dynamic GMM estimations.

TL;DR: In this paper, the authors investigate how the presence of local banks affects the prospects of troubled small and medium-sized enterprises (SMEs) and find evidence supporting the notion that local banks extend a helping hand to SMEs and act in this role efficiently.

TL;DR: For 77 technology-investing countries, the authors find that exchange rate returns and U.S. stock excess returns predict stock market returns for most countries in their sample, while crude oil and inflation predict returns of less than 40% of countries.

TL;DR: In this article, the effects of political turmoil on equity return, risk, and corporate governance of politically connected firms in Egypt were examined, showing that equity risk of firms connected to fractions encountering intense political rivalry and public discontent rose without any compensating increase in return.

TL;DR: In this article, the authors constructed the most comprehensive paintings price index in Turkey by using 32,391 manually collected sales transactions, including artworks of 413 artists over the period 1990-2016.

TL;DR: The authors investigated whether central banks in twenty four emerging economies are "leaning against the wind" in their intervention strategies, whether they have an asymmetric response to exchange rate movements, and whether the response changes after the Global Financial Crisis.

TL;DR: In this article, the authors examined the tail systemic risk of the Brazilian banking system using the conditional quantile as the risk measure and demonstrated that Brazilian financial systemic risk increased drastically during the global financial crisis period.

TL;DR: The authors examine spillover of monetary policy on corporate bond yields and find that if domestic policy rates are held constant, the spillover effect of US monetary policies on corporates diminishes, and if the Fed hikes and policymakers follow suit, funding conditions for corporates worsen through higher yields.

TL;DR: The authors examined the determinants of recovery rates of corporate defaulted bonds in the emerging markets and found that bond recovery rates in developing countries seem to depend much more on specific characteristics of firms.