School of Economics

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Browsing School of Economics by Subject "Asia"
  • Item
    Co-movement among asian forex markets: Evidence from wavelet methods
    ( 2018-01-12) Kumar, Anoop S. ; Kamaiah, Bandi
    In this article, we analyze the co-movements of nine Asian Forex markets China, India, Hong Kong, Malaysia, Indonesia, Singapore, Japan, Taiwan, Thailand, and South Korea using bilateral exchange rate against US Dollar from 03-01-2006 to 04-09-2015. We employ a wavelet-based methodology to analyze the extent to with the markets are correlated with each other across different timescales. It is found that the markets are moderately correlated at the intra-week scale and the extent of correlation increases with the increase in timescale. Near-perfect cointegration among the analyzed markets is found across annual- biannual timescale. The cross-correlation analysis shows that Singapore Forex market may lead the other Forex markets of the group across timescales from 16 to 64 days. Results indicate that there is a possibility of intervention as well as potential for portfolio diversification for the short term.
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    Returns and volatility spillover between asian equity markets: A wavelet approach
    ( 2017-01-01) Kumar, Anoop S. ; Kamaiah, B.
    We analyse return and volatility spillover across select Asian equity markets using wavelet multiple correlation and cross-correlation. For the purpose of analysis, daily return data is taken from equity markets, viz. Bombay Stock Exchange SENSEX, Tokyo Stock Exchange NIKKEI 225, Hong Kong Shanghai Index (HSI), Amman Equity Index, Korea Composite Stock Price Index (KOSPI), and Singapore Strait Time Index (STI), from 03/01/2000 to 31/12/2013. The results show that the Asian markets are co-integrated in the long run. Further, it is found that a significant part of each market's volatility pattern at intraweek scale can be largely explained by own shocks, but in the long run the volatility dynamics of the market changes as the extent of the spillover increases. From the wavelet multiple cross-correlation values, two developed markets, the STI and the HSI, are identified as potential leaders or followers among the group. From the analysis it is found that the volatility spillover across the studied markets is relatively low at the high frequency, implying that there is possibility of diversification at a daily to intraweek scale. The discrepancies between the markets vanish in the long run; hence a long-term diversification strategy is best avoided.
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    The size and growth of firms: new evidence on law of proportionate effect from Asia
    ( 2020-01-10) Yadav, Inder Sekhar ; Pahi, Debasis ; Goyari, Phanindra
    Purpose: This paper aims to investigate the relationship between firm size and growth under the framework of Law of Proportionate Effect (LPE) for Asian firms. Design/methodology/approach: An unbalanced panel data for about 12,001 unique non-financial listed and active firms from 1995 to 2016 for 12 industrial and emerging Asian economies was examined. Total assets and net sales were used as size variables. Firm-specific variables such as return on equity, leverage and liquidity ratio were used along with macroeconomic variables such as GDP growth and two financial development indicators. The fixed effects and random effects approach were used to estimate the dynamic growth model after taking into account econometric issues such as correlation between the cross-country-specific error component and the regressors and heteroscedasticity. Findings: The estimated coefficient of firm size was found to be always significant and negative rejecting the Gibrat’s law for Asian firms confirming that the small-sized firms are growing faster than larger-sized firms. Also, the persistence of growth coefficient suggested that a positive persistence of firm growth does not exist for the selected Asian firms. Gibrat’s LPE was also rejected across small, medium- and large-sized companies. For the aggregate sample, the coefficient of leverage was found to be negative and significant, whereas liquidity ratio, GDP growth, banking sector and stock market variables are found to have positive and significant relationship with growth of firms. For individual economies, a mix of positive and negative (significant and insignificant) estimated coefficient was observed. Practical implications: At macro-level, the examination of firm growth is likely to have significant policy implications for the regulators and various government agencies as firm growth may increase economic activity in general and employment opportunities in particular. The policymakers can control economic and employment activity by designing specific firm growth policies. At micro-level, the study will have significant implications for managerial decision-making. Originality/value: To the best of the authors’ knowledge, this is one of the first studies to test the validity of Gibrat’s LPE for large Asian economies and firms using recent data under a dynamic growth framework using firm-specific and macroeconomic variables. Also, persistence of growth of firms under LPE (that growth does not persist from one period to the next) is uniquely examined for Asian firms.