Index
Emerging Market Finance: New Challenges and Opportunities
ISBN: 978-1-83982-059-5, eISBN: 978-1-83982-058-8
ISSN: 1569-3767
Publication date: 28 September 2020
This content is currently only available as a PDF
Citation
(2020), "Index", Jeon, B.N. and Wu, J. (Ed.) Emerging Market Finance: New Challenges and Opportunities (International Finance Review, Vol. 21), Emerald Publishing Limited, Leeds, pp. 279-287. https://doi.org/10.1108/S1569-376720200000021016
Publisher
:Emerald Publishing Limited
Copyright © 2020 Emerald Publishing Limited
INDEX
Index
Note: Page numbers followed by “n” indicate end notes.
Access to basic financial services
, 252, 254–257
Account ownership
, 257
Adjusted R-squared model
, 177
Adverse herding
, 188–189
Age
, 234
Agency theory
, 233
Aggregate level analysis, econometric model for
, 115–116
Agricultural Bank of China (ABC)
, 65, 76, 81
Arab Spring
, 192
Arellano–Bond technique
, 39–40
Asian Bank of Infrastructure investments
, 77
Asian crisis (1997–1998)
, 182n2
Asian financial crisis (AFC)
, 34
Asian Pacific-Basin markets
, 166, 17
Asian stock markets
, 166
Asset structure
, 234
Augmented Dickey Fuller unit root tests (ADF unit root tests)
, 152, 193
Autocorrelations
, 59
Autoregressive conditional heteroscedasticity models (ARCH models) (see also Econometric model; Generalized autoregressive conditional heteroscedasticity model ((GARCH) (1,1) model))
, 150–151
ARCH effect
, 152–153
ARCH-LM test
, 152–153
mean equation and, 156
B2B meetings
, 79
Bad management hypothesis
, 36
Bank of China (BOC)
, 65, 76, 79–80
Bank of Korea (BOK)
, 117–122
Bank-level data analysis
, 37, 117, 122–125
econometric model for
, 116–117
Bank(s) (see also Credit)
bank-based economy, 232
bank-level indicators, 38
bank-level variables, 40
bank-specific factors, 35–36, 42
bank-specific panel data
, 114–115
with costly screening technology
, 209–212
profitability, 42
Banking crisis (B-Crisis)
, 16, 24–26
and letter of credit
, 220–223
Banking system in China
, 76–77
BankScope database
, 13, 37, 44
Baseline panel data regression
, 271
Basic financial services
, 252
Benchmark interest rate (Brate)
, 60
Benchmark regressions
, 61–62
Big Four banks, 65–67
, 76
BIST100 Index
, 152
Black-Scholes-Merton structural model
, 58–59
Book-to-market ratio (B/M ratio)
, 166
Borrower screening test
, 214
Borsa Istanbul market
, 166
Branch variables
, 101
Business
cycle
, 62–65
risk, 236
in Russia
, 81–84
transactions, 219
BVSP Index
, 152, 157, 159, 161
Capital asset pricing model (CAPM)
, 166, 190
Capital immobility
, 91
Capital mobility
, 93, 99–100
Capital structure
, 232, 236–237
Capitalist firms
, 256
Capitalization
, 123
Cash flows
, 133
Cash-in-advance payment system (CA payment system)
, 205, 208
Central, Eastern, and Southeastern European countries (CESE countries), 4, 11–12
, 24
descriptive statistics and control variables
, 14–16
factors lure foreign bank branches
, 18–19
foreign bank branches change lending activity in host country
, 20–26
methodology
, 16–17
number of foreign bank branches and commercial banks, 30
results, 17
sample
, 13–14
variable descriptions
, 30–31
China (CN)
, 170
benchmark regressions
, 61–62
Big Four banks vs. other banks
, 65–67
corporate default risk effect, 61
data
, 59–60
empirical framework
, 58–59
empirical results, 61
firm ownership, business cycle, loan pricing
, 62–65
5-year lending rate, 57
loan pricing across industries
, 67–69
method to estimate DLI, 73
related literature
, 57–58
size of commercial loans, 56
China Banking and Insurance Regulatory Commission (CBIRC)
, 76
China Construction Bank (CCB)
, 65, 76, 80
China Development Bank (CDB)
, 76, 81
Chinese banks in Russia
, 75, 81–84
ABC, 81
activity
, 77–79
Bank of China
, 79–80
banking system in China
, 76–77
CCB, 80
CDB and Eximbank of China, 81
existing credit organizations list
, 86–87
ICBC, 80
Chinese Securities Regulatory Commission (CSRC)
, 59
Cholesky orderings
, 46
Classification tree
, 266
Cluster analysis
, 6–7, 264–270
Commercial banks
, 56
Commercial loans
, 57
Commonwealth Independent States (CIS)
, 76–77
Competitive risk-free market
, 57
Consumer price index (CPI)
, 44
Contract-specific data
, 58
Control variables
, 14–16
Conventional models
, 133
Cornish–Fisher expansion
, 135
Corporate governance
, 235
principles, 6
Corporate taxes
, 16, 19
Correlation analysis
, 138
Cost of financial services
, 258
Counter-cyclical trade finance premium
, 215–217
Credit
rationing, 56
supply, 90
system, 206
Crisis period (2008–2010)
, 150
Cross-sectional absolute deviation model (CSAD model)
, 187, 193
Cross-sectional standard deviation (CSSD)
, 189–190
Currency denomination
, 90, 93
Daily volatility for GARCH (1, 1) model
, 154
Data library
, 177
Datastream
, 137
Default likelihood (DLI)
, 59
method to estimate, 73
Demand-side financial inclusion
, 252
Dendrogram
, 266
Deposits
, 14
Digital alternatives
, 257
Dividend
payout ratio, 247
policy, 236
yield, 174
Domestic banks
, 12
Domestic investors
, 187
Dot-com crisis (2000–2001), 182n2
Downside risk premium hypothesis
, 133, 136–142
Dynamic autoregressive distributed lag model
, 122
Dynamic bank-level panel data methods
, 36, 237
Dynamic regression structure
, 136
Earnings before interests and taxes (EBIT)
, 168
Econometric model
for aggregate level analysis
, 115–116
for bank-level analysis
, 116–117
Econometric specification
, 134–136
Economic development strategies
, 3
Economic policy uncertainty (EPU)
, 132–133
Economic Statistics System
, 117
Education, 265–266
, 271
Efficiency
, 101, 103
EGARCH model and leverage effect
, 154
Eight-factor model
, 167, 174–177
extended
, 5–6
results under different market conditions
, 178–179
Emerging economies
, 3
Emerging stock market indices
, 150
Entire population
, 263
Equally weighted market (EW market)
, 167
Equity
, 15
Equity-to-assets ratio
, 37
EU Fundamental Rights Agency
, 264
European Economic Area (EEA)
, 12
European Monetary Union (EMU)
, 12
European Union (EU)
, 12
EUROSTAT database
, 265, 271
Excess lending
, 36
Excluded population
, 252–253, 256–258
Expanded asset pricing model
, 171
Expansionary fiscal policy
, 132
Explanatory variables
, 239
Exponential generalized autoregressive conditional heteroscedasticity ((EGARCH) (1,1) model)
, 150–151
and leverage effect, 154
, 159–160
Export-to-domestic sales
, 221–222
Export–Import Bank of China
, 76, 81
Extended eight-factor model
, 5–6
Fama–French three-factor model
, 166–168, 170–171
Financial Analysis Information Retrieval System
, 119
Financial crisis (2008)
, 24, 204
Financial data
, 150
Financial distress, herding behavior within
, 195–196
Financial inclusion (see also Social inclusion (SI)), 3, 6–7
, 251, 253
benefits of
, 254–255
conditions for optimality in
, 256–258
critical perspectives on
, 255–256
defining
, 253–254
optimality in
, 251–252
Financial information
, 117
Financial institutions, 76–77
, 81, 254–255
Financial market
, 6, 166, 177, 232–233
volatility
, 150–151
Financial regulators
, 251
Financial services
, 6, 257–258
Financial structure
, 232
Financial theories
, 232
Financializing society
, 256
Firms
, 3, 57
characteristics, 60
default risk
, 57–58
DLI, 59
level studies
, 204–205
ownership, 62–65, 56
Fiscal policy uncertainty (FPU) (see also Monetary policy uncertainty (MPU))
, 5, 132, 134, 137
premium hypothesis, 136
role of FPU change
, 141–144
Fisher type panel unit root tests
, 38, 44
Fixed-effect dynamic panel data estimator
, 119
Foreign bank
, 3, 5, 90, 92–94, 97–103, 113–114
bank-level analysis
, 117–118
bank-level data analysis
, 122–125
banking crises
, 24–26
banking sector
, 20–21
branches, 16, 20
data, 117
econometric model for aggregate level analysis
, 115–116
econometric model for bank-level analysis
, 116–117
interest rate differential, 118
international spillover of monetary policy shocks from Euro area to Korea
, 121–122
international spillover of monetary policy shocks from United States to Korea
, 119–121
interoffice transactions, 119
lending activity in Korea
, 114–115
macroeconomic and banking data analyses, 119
model, 115
modes of ownerships
, 22–24
owners
, 13–14
quantitative easing, 118
real effective foreign exchange rates, 119
real GDP growth rates of Korea, 119
spillover effects in Korean economy, 114
VIXQ, 119
Foreign Currency Loan Growth
, 101
Foreign monetary shocks
, 116
Free cash flow
, 247
Frontier market
, 186
“Fuyu” (common prosperity)society
, 76
Generalized autoregressive conditional heteroscedasticity model ((GARCH) (1,1) model), 150–151
, 153
daily volatility for, 154
results, daily volatility, and volatility persistence
, 156–157
volatility persistence and half-life volatility for
, 153–154
Generalized Method of Moments (GMM), 39–40
, 45, 237
estimator, 123, 242
Global banking
, 3, 90
Global financial crisis (G-Crisis), 16, 25, 56, 63–65
, 114, 150, 275, 232
Global risk aversion
, 38
Global stock market prices response
correlation analysis, 138
data, 137
econometric specification
, 134–136
economic framework
, 133–134
EPU
, 132–133
evidence of monetary policy uncertainty change
, 138–141
monetary policy
, 131–132
role of fiscal policy uncertainty change
, 141–144
testable hypotheses
, 136–137
Glosten, Jagannathan, and Rankle model (GJR model)
, 151
Government-supported industries, loan pricing for
, 67–69
Granger causality tests
, 46
Great Depression
, 204
“Great trade collapse”
, 6
Gross domestic product (GDP), 15)
, 44, 132, 204
GDP per capita, 274
growth rate, 274
Half-life volatility
, 157–159
for GARCH (1,1) model
, 153–154
Health indicators
, 265–266
Herding behavior
, 186
within extreme market conditions
, 194–195
within financial distress during Jasmine Revolution Period
, 195–196
in Tunisia
, 187–188
within Tunisia stock market
, 193–194
Hierarchical cluster analysis
, 265
Home variables
, 100–101
Hong Kong (HK)
, 170
Identification strategy
, 45
Immigrants
, 263–266
immigrants-level data, 269
Impulse response functions
, 46
Individual stock returns
, 189–190
Indonesia (ID)
, 170
average loan to deposit ratio, 92
cross-border lending
, 91–92
data source
, 97–98
empirical base models
, 99–104
impacts of crisis
, 104–105
Indonesian banking sector and descriptive statistics
, 98–99
Indonesian economy, 90
literature review
, 92–93
loan outstanding by type of banks, 91
loans in
, 90–91
statistics for individual banks
, 111–112
theoretical base model
, 93–97
Industrial and Commercial Bank of China (ICBC)
, 65, 76, 80
Inequalities
, 262
Inflation
, 36, 40–41
affect loan growth rates, 101
affect NPLs, 40, 46
rate, 44
, 131–132
rate in Korea, 123
variables of foreign banks, 104
Information risk
, 57–58
Insurance
, 254
Interbank screening test
, 217
Interest rate differential
, 118
Intermediate goods
, 208
Internal capital markets, 90, 92–94
, 99, 103
International banking model, 90–91, 93–94
, 96
International Financial Statistics (IFS)
, 117
International fundamental factors
, 177–178
International spillover of monetary policy shocks
from Euro area to Korea
, 121–122
from United States to Korea
, 119–121
International trade finance
, 204–205
Interoffice transactions
, 119
Investment factors
, 171–174
IPC Index
, 152, 155, 157, 159
Japan (JP)
, 170
Jasmine revolution
, 186
crisis periods and market evolution, 192
Korea
inflation rate in Korea, 123
international spillover of monetary policy shocks from Euro area to
, 121–122
international spillover of monetary policy shocks from United States to
, 119–121
Labor market, 265–266
, 271
Letter of credit payment system (L/C payment system)
, 208, 217–219
banking crisis and letter of credit
, 220–223
optimal payment system
, 219–220
Leverage effect
EGARCH (1,1) models and
, 159–160
EGARCH model and, 154
Liquidity
, 101, 103, 123, 235, 247
Loan pricing
, 4, 56, 62–65
behavior, 58
for government-supported industries
, 67–69
across industries, 67
for real estate sector, 67
Loan to deposits ratios (LtD ratios)
, 14, 37, 42, 93
Loan(s) (see also Nonperforming loans (NPL))
allocation, 58
features
, 59–60
growth rate, 37
Logit transformation
, 38
Macro-level data
, 266
Macroeconomic analysis
, 115
Macroeconomic variables
, 38
Macroindicators
, 60
Malaysia (MY)
, 170
Marginal benefit (MB)
, 258
Marginal cost (MC)
, 258
curve, 213
Marginal gains curve
, 213
Market finance (see also Trade finance)
economic development strategies, 3
extended eight-factor model
, 5–6
financial inclusion
, 6–7
loan pricing
, 4–5
Market stress
, 186
Market-oriented financial reform
, 56
Market-to-book ratio (MTB ratio)
, 59
Mean equation
, 156
Mean reversion, 151, 153–154
, 159
Merton model
, 73
Microfinance
, 255–256
Momentum investment strategies
, 166
Monetary policy
, 58, 131–132
Monetary policy uncertainty (MPU) (see also Fiscal policy uncertainty (FPU))
, 5, 132
evidence of MPU change
, 138–141
innovation, 133
premium hypothesis, 136
Monetary shocks
, 133
Monti-Klein model
, 61
Moral hazard hypothesis
, 36, 42
Mortgage-backed securities (MBS)
, 118
Multifactor asset pricing models
complete eight-factor model
, 174–177
data description
, 169–170
eight-factor model results under different market conditions
, 178–179
emerging market
, 166–167
firms
, 165–166
formation of portfolios and fundamental factors
, 168–169
international fundamental factors
, 177–178
models
, 167–168
original Fama–French three-factor model
, 170–171
P/E and dividend yield, 174
profitability and investment factors
, 171–174
Multilevel hierarchy system
, 77
Multinational banks
, 12, 16
National Bureau of Statistics (NBS), 70n7
News-based uncertainty index
, 135
Non-linear model
, 190
Non-SOEs, 56–58, 62, 70n9
pricing of loans to, 63
Nonperforming loans (NPL)
, 4, 34–35
bank NPL of gross, 53
data
, 37–39
determinants of, 37
factors influence evolution of
, 35–36
feedback effects from, 44
literature review
, 35–37
macroeconomic and bank-level determinants, 41
methodology
, 45–46
model
, 39–40, 44–45
orthogonalized impulse response functions
, 47–48
pre-and post-global financial crisis analysis
, 42–44
ratio
, 44
results
, 40, 46
Open account payment system (OA payment system)
, 205, 208
Optimal capital structure
, 233
Optimal financial inclusion
, 257–258
Optimal investment in screening tests
, 213–215
Optimal payment system
, 219–220
Ordinary least squares (OLS)
, 17, 19
Pacific-Basin emerging markets
, 166
Panel data estimations
, 6–7
Panel regression analysis
, 59, 238–242
Panel unit root test
, 271
Panel-data analysis
, 237
Parent variables
, 101
Payment systems
, 205, 208
Pecking order theory
, 233
People’s Bank of China (PBoC)
, 76–77
People’s Republic of China (PRC)
, 34, 76
banking reform
, 77
Phillips–Perron unit root tests (PP unit root tests)
, 152
Policymakers
, 257
Post-crisis period (2011–2018)
, 150
Post-global financial crisis analysis
, 42–44
Poverty
eradication
, 263
across European countries
, 262
financial inclusion and
, 251–253
inclusive approach and
, 264
Pre-crisis period (2002–2007)
, 150
Pre-global financial crisis analysis
, 42–44
Price
, 252, 256, 258
Price-to-earnings ratio (P/E)
, 167–170, 174, 181
Pricing mechanism
, 3
Private firms
, 256
Profitability
, 101, 103, 168, 171–174, 181, 233–234, 236
Prosperity Index
, 274–275
Quantitative easing (QE)
, 116, 118
Quantitative methods
, 237–238
Re-run model
, 177
Real effective foreign exchange rates
, 119
Real estate sector, loan pricing for
, 67
Real GDP growth rate
, 274
of Korea
, 119
Regime-switching-based CSAD model
, 187
Regression model
, 276
Required reserve ratio (RRR)
, 59
Resource productivity
, 274
Return on assets (ROA)
, 15, 123, 238
Return on equity
, 37
Return on invested capital (RO IC)
, 239
Rights-based policies
, 263
Risk
management skills
, 56
premium hypothesis
, 133
risk-adjusted loan pricing
, 56
risk-based capital
, 90
risk-return relation
, 144
risk-taking behavior
, 42
Robustness tests
, 242–247
Roma communities
, 263
Roma effect
, 271, 274–275
Roma population data
, 269
Roma social integration
, 264
Romanian firms
, 6
hypothesis validation and theory accordance
, 247
literature and hypotheses development
, 232–236
panel regression analysis
, 238–242
quantitative methods
, 237–238
robustness tests
, 242–247
sample and measures
, 236–237
univariate analysis
, 238
Russia, Chinese banks in
, 75, 81–84
ABC
, 81
activity
, 77–79
Bank of China
, 79–80
banking system in China
, 76–77
CCB
, 80
CDB and Eximbank of China
, 81
existing credit organizations list
, 86–87
ICBC
, 80
Russian-Chinese relations
, 75
Security markets
, 186
Signal theory
, 233
Singapore (SG)
, 170
‘Skimping’ hypothesis
, 36
Social inclusion (SI) (see also Financial inclusion)
, 3, 262–263
EU countries classification in social inclusiveness terms
, 264–270
exploring relationship between sustainable development indicators and
, 270–276
indicators
, 265
literature review
, 263–264
Social integration of youth
, 262
Society development
, 264
Society for Worldwide Interbank Financial Telecommunication (SWIFT)
, 224n5
Solvency
, 101, 103
South Korea (KR)
, 170
Sovereign credit ratings
, 16
SSEC Index
, 151–152, 155–157, 159
State-owned enterprises (SOEs)
, 56, 62, 70n7
Stock market(s)
, 3
ARCH effect
, 152–153
daily volatility for GARCH (1,1) model
, 154
data collection
, 152
descriptive analysis
, 154–156
EGARCH (1,1) models and leverage effect
, 159–160
EGARCH model and leverage effect
, 154
GARCH (1,1) results, daily volatility, and volatility persistence
, 156–157
GARCH model
, 153
half-life volatility
, 157–159
indices
, 150
literature review
, 150–151
mean equation and ARCH effect
, 156
returns
, 132, 134
unit root tests
, 152
volatility persistence and half-life volatility for GARCH (1,1) model
, 153–154
Stock returns, 166–168, 171, 174–175, 177–180, 189, 191–192
, 194
Subprime mortgage crisis (2007–2009), 182n2
Supplier’s bank
, 218
Supply-side financial inclusion
, 252
Sustainable economic development
, 263
Synchronization theory
, 233
Taiwan (TW)
, 170
Tangible assets
, 60
Taxes
, 16, 137, 233, 235
TGARCH (1,1) model
, 151
Thailand (TH)
, 170
Thomson Reuters Eikon database
, 152
Tobit model
, 17–18
Total debt to equity ratio
, 247
Trade credit, 224n5
Trade finance (see also Market finance), 204, 224n1
banks
, 205–206, 209–212
baseline model
, 208–209
channel
, 208
counter-cyclical trade finance premium
, 215–217
financing
, 203–204
interbank dimension
, 206–207
international trade finance
, 204–205
letter of credit
, 217–223
literature
, 207
optimal investment in screening tests
, 213–215
premium
, 212
screening precision level
, 228–229
theory
, 6
Trade-off theory
, 233–235
TUNINDEX index
, 189
Tunisia stock exchange (TSE)
, 186, 189
adverse herding
, 188–189
contextualizing nature of herding behavior in Tunisia
, 187–188
data description
, 189
descriptive statistics
, 192–193
investors
, 186–187
Jasmine revolution crisis periods and market evolution
, 192
methodology
, 189–192
regression coefficients of CSAD
, 197
regression results on herding behavior within extreme market conditions
, 194–195
regression results on herding behavior within financial distress
, 195–196
regression results on herding behavior within Tunisia stock market
, 193–194
Tunisian revolution
, 188
Tunisian Jasmine Revolution
, 6
Tunisian revolution
, 186–188
Two-country international lending model
, 93–99
2 × 2 sorts three-factor model
, 168–169
Uncertainty
, 137
Unemployment rate
, 44
Unit banking model
, 94
Unit root tests
, 152
Univariate analysis
, 238
US interfirm trade
, 205
US liquidity shocks
, 90
US monetary policy
, 114, 132
Vector autoregression methods (VAR methods)
, 36, 137
VIX
, 38, 42, 44, 46, 49, 117, 123
VIXQ
, 119
Volatility persistence for GARCH (1,1) model
, 153–154
World Development Indicators (WDI)
, 13
“Xiaokang” (small prosperity) society
, 76
Zombie lending
, 36
- Prelims
- Part I : An Overview
- Chapter 1: Emerging Market Finance: New Challenges and Opportunities
- Part II : Global Banking Activity, Risk, and Contagion
- Chapter 2: Do Foreign Bank Branches Affect Lending of Foreign- and State-owned Banks? Empirical Evidence from CESEE Countries
- Chapter 3: Nonperforming Loans in Asia: Determinants and Macrofinancial Linkages
- Chapter 4: Corporate Default Risk and Loan Pricing Behavior in China
- Chapter 5: Chinese Banks in Russia: Market Expansion Strategies and New Opportunities
- Chapter 6: Global Shock and Foreign Bank Lending: Choice of Home and Local Currency Loans in Indonesia
- Chapter 7: Spillover Effects of Global MonetaRy Shocks on Foreign Banks: Evidence from an Emerging Economy
- Part III : Stock Market Behavior in Emerging Economies
- Chapter 8: Global Stock Market Prices Response to Uncertainty Changes in US Monetary and Fiscal Policies
- Chapter 9: The Asymmetry Effect and Volatility Persistence in Stock Market Returns: Evidence from Brazil, China, Mexico and Turkey
- Chapter 10: Tests of Multifactor Asset Pricing Models in Asian Stock Markets
- Chapter 11: Tunisian Revolution and Herd Behavior: Empirical Evidence from the Tunisia Stock Exchange
- Part IV : Global financing for firms and financial inclusion
- Chapter 12: A Theory of Domestic and International Trade Finance
- Chapter 13: The Impact of CEO and Firm-Specific Characteristics on Capital Structure: Evidence from Romanian Firms
- Chapter 14: Optimal Financial Inclusion
- Chapter 15: Social Inclusion and Sustainable Economic Development: Evidence from EU Economies
- Index