Index
Advances in Pacific Basin Business, Economics and Finance
ISBN: 978-1-83867-364-2, eISBN: 978-1-83867-363-5
ISSN: 2514-4650
Publication date: 9 September 2020
This content is currently only available as a PDF
Citation
(2020), "Index", Lee, C.F. and Yu, M.-T. (Ed.) Advances in Pacific Basin Business, Economics and Finance (Advances in Pacific Basin Business, Economics and Finance, Vol. 8), Emerald Publishing Limited, Leeds, pp. 237-242. https://doi.org/10.1108/S2514-465020200000008012
Publisher
:Emerald Publishing Limited
Copyright © 2020 Emerald Publishing Limited
INDEX
Abnormal return, 143
Accounting performance, 123–124
Adjusted return (AR), 135
Artificial intelligence (AI) method, 24–25
Artificial neural network (ANN) model, 28–30
artificial intelligence (AI) method, 24–25
in-sample performance, 39–44
model specification, 38
out-of-sample risk forecast, 44–49
ASEAN Economic Community (AEC), 150–151
Asset pricing, 67
Autoregressive conditional heteroscedastic (ARCH), 27–28
Autoregressive moving average, generalized autoregressive conditional heteroscedasticity (ARMA-GARCH) model
artificial neural network (ANN) model, 25, 27–28, 46–49
in-sample performance, 39
root-mean-squared-error (RMSE), 39
samples, 32–33
The Basel Committee on Banking Supervision, 2019, 26
Bid–ask spreads, 3–4
Black box hypothesis, 202
Black–Scholes option pricing formula, 53
Bloomberg Barclays US Aggregate Bond Index, 31
Body mass index (BMI), 182
Bond analysis, 67
Bond momentum, 71
excess returns, 90–91
liquidity, 66, 87–88
longer holding periods, 76
rating, 73–74
subperiods, 84–86
Trading Reporting and Compliance Engine (TRACE), 75
Buy-and-hold returns (BHR), 134–135
Capital structure theories
pecking order theory (POT), 151–152
trade-off theory (TOT), 151
Cash holdings, 104
Category-based thinking, 3
China stock market and Accounting Research (CSMAR), 8, 11–12
Chinese economy, 201
Christoffersen’s test, 35
Closed-form option pricing formula
model setting, 55–56
moment generating function, 57–58
option pricing formula, 56–60
Component-driven regime switching (CDRS) models, 54–55, 61–62
Computable general equilibrium (CGE), 215
Constant Difference of Elasticities (CDE), 216
Constant elasticity of substitution (CES), 216
Controlling shareholders
corporate governance, 107–109
firm attributes, 105–107
market condition, 107
Control system, 202
Control variables, 182, 183
Corporate bond market
asset pricing, 67
bond analysis, 67
bond momentum, 71, 73–74
cross-sectional regression cests, 94–95
different return horizons, 72–75
empirical results, 69–91
excess returns, 90–91
factors loading, 92–93
Fama-French five factors, 89
Fixed Investment Securities Database (FISD), 67, 68
health maintenance organizations (HMOs), 68
The Lehman Brothers Fixed Income Database (LBFI), 67, 69
liquidity, 83, 87–88
longer holding periods, 76–81
momentum effects, 72–75, 89–91
National Association of Insurance Commissioners Database (NAIC), 67, 69
risk-adjusted momentum returns, 66
short-term momentum returns, 66
statistics, 70
subperiods, 75–86
Trading Reporting and Compliance Engine (TRACE), 67–69, 75–83
Corporate governance, 107–109
board seats, 108
cash flow right, 108
cooperative, 109
family-controlled firms, 109
professional managers, 108–109
state-controlled firms, 109
types, 108–109
Correlation matrix, 10
Cross-sectional regression cests, 94–95
Cumulative abnormal returns, 143
Cumulative average return (CAR), 135
Data snooping, 44
Discrete stochastic autoregressive volatility (DSARV) models, 54–55, 59–60
Dynamic panel data (DPD), 157–158
Economic globalization, 205–206
Equal-weighted portfolios
adjusted return (AR), 135
book-to-market, 138
cumulative average return (CAR), 135
distribution, 135
holding-period returns, 137–138
long-run stock returns, 137–138, 139–141
Excess returns, 90–91
Expected shortfall (ES), 26–27
Expected tail loss (ETL), 23–24
Fama-French factor model, 6–7, 89, 143–147
Financial Services Authority (FSA), 102
Firm attributes, 105–107
capital, 105
credit rating, 106–107
leverage, 106
Firm characteristics/capital structure, 150–151
data sample, 154
descriptive statistics, 156–157
dynamic model specification, 154–155
empirical model, 157–158
empirical results and discussion, 158–159
expected impacts, 153
hypotheses, 152–153
nondebt tax shields, 153
postestimation efficiency tests, 155–156
profitability, 152
size, 152
tangibility, 153
theories, 151–152
variables, 154
Fixed Investment Securities Database (FISD), 67–68
Force field hypothesis, 203
Forecasting accuracy, 33–34
Generalized method of moments (GMM), 150
Global Trade Analysis Project (GTAP), 217
Global village model, 205
Governance variables, 11–12
Health maintenance organizations (HMOs), 68
Holding-period returns (HPRs), 134
Human capital investment, 177–178
Information components, 11
Information efficiency, 4
Information system, 202
Initial Public Offering (IPO), 163–164
initial return, 164
Malaysia, 164
offer price, 164
trading volume, 164–165
Initial returns, 164
descriptive statistics, 170
D1IRi
, 168
D2PSi
, 168
D3PSi
, 168
hierarchical regression, 172
regression, 171
Investor opinion divergence, 6–8
Japanese seasoned equity offerings, 131–133
data and methodologies, 133–135
equal-weighted portfolios, 135–142
Fama-French three-factor, 143–147
value-weighted portfolios, 142–143
Kupiec’s test, 35, 39–41
Large closed economy model, 204
Leapfrogging strategy, 229–231
The Lehman Brothers Fixed Income Database (LBFI), 67, 69
Levenberg–Marquardt backpropogation training function, 38
Liquidity, 83, 87–88
Logit models, 119–121
Long-run performance, 132
Malaysian IPO, 164
Market
black box hypothesis, 202
control system, 202
exchange activity, 202–203
force field hypothesis, 203
information system, 202
institution, 202
place and integral sum, 202–203
production coordinating mechanism, 202
transactions, 202–203
Market conditions, controlling shareholders, 107
beta, 107
share price, 107
Market ownership, 206
Market property right, 203–204
closed economy, 204
cost components, 206–209
economic significance, 210–211
execution and operation costs, 207–209
extremely simple market transaction model, 204
global village model, 205
market establishment cost, 207–209
monitoring cost, 207–209
multicountry open economy model, 205
two-country open economy model, 205
Markov switching multifractal (MSM), 55, 59, 61
Markov switching stochastic volatility (MSSV) models
Black–Scholes option pricing formula, 53
closed-form option pricing formula, 55–60
component-driven regime switching (CDRS) models, 54–55, 61–62
discrete stochastic autoregressive volatility (DSARV) models, 54–55, 59–60
empirical example, 60–62
generalized autoregressive conditional heteroscedasticity (GARCH) models, 53
Markov switching multifractal (MSM), 55, 59, 61
mean-squared-error (MSE), 62
root-mean-squared-error (RMSE), 61–62
Mean Absolute Error, 33
Mean-squared-error (MSE), 62
Microstructure theory, 5
Momentum effects, 72–75, 89–91
Monash-type investment function, 216
Multicountry open economy model, 205
Multivariate regressions, 10–11
National Association of Insurance Commissioners Database (NAIC), 67, 69
Neural Network Toolbox of MathWorks, 38
Nontariff trade barriers (NTBs), 215, 217
Opinion divergence, 4–6
Option pricing formula, 56–60
Ordinary least squares (OLS), 150, 182
Oversubscription ratio/trading volume
data and methodology, 166–169
definition, 164
descriptive statistics, 169–170
initial return, 169–170
Pacific-Basin Capital Market (PACAP), 134
Pecking order theory (POT), 151–152
Physical activities
Asian and Western societies, 178
body mass index (BMI), 182
children and adolescents, 178
control variables, 182–183
data source, 184
data statistics, 187–189
dummy variables, 186
frequency grid, 189
gross domestic product (GDP), 181
gross national product (GNP), 181
instrumental variable (IV) approach, 179
intensity of participation, 185
Mincer’s earning function, 182
ordinary least squares (OLS), 182
participation and intensity, 179, 185, 190–192
persistent participation, 185–187, 192–195
starting salary, 190
variable and indicators, 184–187
Pooling regressions, 14
Production coordinating mechanism, 202
Rate of return (ROR), 216
Return on assets (ROA), 103–104, 111
Return on equity (ROE), 103–104, 110
Risk-adjusted momentum returns, 66
Robustness checks, 15–17
Root-mean-squared-error (RMSE), 61
Seasoned equity offerings (SEOs), 132
abnormal return, 135–137
distribution, 135, 142
holding-period returns, 135, 138
long-run stock returns, 135, 139, 141
underperformance, 133
Self-sufficiency, 229–231
SEOs. See Seasoned equity offerings (SEOs)
Short-term momentum returns, 66
Small closed economy model, 204
Stock pledging
accounting performance, 123–124
cash holdings, 104
controlling shareholders, 105–109
correlation matrix, 118
data availability, 102–103
determinants, 114–119
financial performance, 124–127
Financial Services Authority (FSA), 102
firm performances, 123–127
logit models, 119–121
methodology, 111–114
return on assets (ROA), 103–104
return on equity (ROE), 103–104
sample selection, 109–111
share financing, 100
tobit models, 122–123
working capital, 104
Stock price movements
bear and bull markets, 12–15
bid–ask spreads, 3–4
China stock market and Accounting Research (CSMAR) database, 8
correlation matrix, 10
data, 8
governance variables, 11–12
information components, 11
information efficiency, 4
investor opinion divergence, 3, 6–8
market environments, 5
market microstructure theory, 1
measuring, 6
microstructure theory, 5
multivariate regressions, 10–11
opinion divergence, 4–6
pooling regressions, 14
proxies, 9
robustness checks, 15–17
statistics, 9
traditional asset pricing theory, 2
Stock return volatility, 3–4
Subperiods
analysis, 75–83
ratings, 84–86
Taiwanese business enterprises, 215–216
Taiwan Higher Education Dataset (THED), 178–179
Taiwan’s macro economy, 219
Tobit models, 122–123
Tokyo Stock Exchange (TSE), 132, 133
Trade diversion, 215, 220
Trade-off theory (TOT), 151
Trade shocks, 217–218
Trading Reporting and Compliance Engine (TRACE), 67–68, 69, 75–83, 95
Traditional asset pricing theory, 2
Two-country open economy model, 205
US–China trade war, spillover effect
closure, 217
computable general equilibrium (CGE), 215
foreign direct investment (FDI), 215–216, 224–225
market share, 226–228
nontariff trade barriers (NTBs), 215
policy implications, 229–231
recursive dynamic framework, 216–217
sectoral shifts, 220–223
Taiwan’s macro economy, 219
Taiwan total exports, 221–222
Taiwan total imports, 221, 223
trade shocks and empirical works, 217–218
trade similarity index, 226–228
US, Mexico, and Canada (USMCA) Trade Agreement, 223–224
Value at risk (VaR)
artificial intelligence (AI) method, 24–25
artificial neural network (ANN), 24–25
assessments, 25–26
autoregressive moving average, generalized autoregressive conditional heteroscedasticity (ARMA-GARCH) model, 24–25
backtesting, 34–36
expected shortfall, 26–27
expected tail loss (ETL), 23–24
forecasting accuracy, 33–34
measurement approaches, 27–28
model assessment, 33–38
risk properties, 25–26
Value-weighted portfolios
abnormal return (AR), 143
cumulative abnormal returns (CAR), 143
distribution, 142–143
three-factor regressions, 142–143, 145–146
and value weighted buy-and-hold, 142–144
Variance infiation factor (VIF), 157
Violation ratio, 35
Abnormal return
, 143
Accounting performance
, 123–124
Adjusted return (AR)
, 135
Artificial intelligence (AI) method
, 24–25
Artificial neural network (ANN) model
, 28–30
artificial intelligence (AI) method
, 24–25
in-sample performance
, 39–44
model specification
, 38
out-of-sample risk forecast
, 44–49
ASEAN Economic Community (AEC)
, 150–151
Asset pricing
, 67
Autoregressive conditional heteroscedastic (ARCH)
, 27–28
Autoregressive moving average, generalized autoregressive conditional heteroscedasticity (ARMA-GARCH) model
artificial neural network (ANN) model
, 25, 27–28, 46–49
in-sample performance
, 39
root-mean-squared-error (RMSE)
, 39
samples
, 32–33
The Basel Committee on Banking Supervision
, 2019, 26
Bid–ask spreads
, 3–4
Black box hypothesis
, 202
Black–Scholes option pricing formula
, 53
Bloomberg Barclays US Aggregate Bond Index
, 31
Body mass index (BMI)
, 182
Bond analysis
, 67
Bond momentum
, 71
excess returns
, 90–91
liquidity
, 66, 87–88
longer holding periods
, 76
rating
, 73–74
subperiods
, 84–86
Trading Reporting and Compliance Engine (TRACE)
, 75
Buy-and-hold returns (BHR)
, 134–135
Capital structure theories
pecking order theory (POT), 151–152
trade-off theory (TOT), 151
Cash holdings, 104
Category-based thinking, 3
China stock market and Accounting Research (CSMAR), 8, 11–12
Chinese economy, 201
Christoffersen’s test, 35
Closed-form option pricing formula
model setting, 55–56
moment generating function, 57–58
option pricing formula, 56–60
Component-driven regime switching (CDRS) models, 54–55, 61–62
Computable general equilibrium (CGE), 215
Constant Difference of Elasticities (CDE), 216
Constant elasticity of substitution (CES), 216
Controlling shareholders
corporate governance, 107–109
firm attributes, 105–107
market condition, 107
Control system, 202
Control variables, 182, 183
Corporate bond market
asset pricing, 67
bond analysis, 67
bond momentum, 71, 73–74
cross-sectional regression cests, 94–95
different return horizons, 72–75
empirical results, 69–91
excess returns, 90–91
factors loading, 92–93
Fama-French five factors, 89
Fixed Investment Securities Database (FISD), 67, 68
health maintenance organizations (HMOs), 68
The Lehman Brothers Fixed Income Database (LBFI), 67, 69
liquidity, 83, 87–88
longer holding periods, 76–81
momentum effects, 72–75, 89–91
National Association of Insurance Commissioners Database (NAIC), 67, 69
risk-adjusted momentum returns, 66
short-term momentum returns, 66
statistics, 70
subperiods, 75–86
Trading Reporting and Compliance Engine (TRACE), 67–69, 75–83
Corporate governance, 107–109
board seats, 108
cash flow right, 108
cooperative, 109
family-controlled firms, 109
professional managers, 108–109
state-controlled firms, 109
types, 108–109
Correlation matrix, 10
Cross-sectional regression cests, 94–95
Cumulative abnormal returns, 143
Cumulative average return (CAR), 135
Data snooping, 44
Discrete stochastic autoregressive volatility (DSARV) models, 54–55, 59–60
Dynamic panel data (DPD), 157–158
Economic globalization, 205–206
Equal-weighted portfolios
adjusted return (AR), 135
book-to-market, 138
cumulative average return (CAR), 135
distribution, 135
holding-period returns, 137–138
long-run stock returns, 137–138, 139–141
Excess returns, 90–91
Expected shortfall (ES), 26–27
Expected tail loss (ETL), 23–24
Fama-French factor model, 6–7, 89, 143–147
Financial Services Authority (FSA), 102
Firm attributes, 105–107
capital, 105
credit rating, 106–107
leverage, 106
Firm characteristics/capital structure, 150–151
data sample, 154
descriptive statistics, 156–157
dynamic model specification, 154–155
empirical model, 157–158
empirical results and discussion, 158–159
expected impacts, 153
hypotheses, 152–153
nondebt tax shields, 153
postestimation efficiency tests, 155–156
profitability, 152
size, 152
tangibility, 153
theories, 151–152
variables, 154
Fixed Investment Securities Database (FISD), 67–68
Force field hypothesis, 203
Forecasting accuracy, 33–34
Generalized method of moments (GMM), 150
Global Trade Analysis Project (GTAP), 217
Global village model, 205
Governance variables, 11–12
Health maintenance organizations (HMOs), 68
Holding-period returns (HPRs), 134
Human capital investment, 177–178
Information components, 11
Information efficiency, 4
Information system, 202
Initial Public Offering (IPO), 163–164
initial return, 164
Malaysia, 164
offer price, 164
trading volume, 164–165
Initial returns, 164
descriptive statistics, 170
D1IRi
, 168
D2PSi
, 168
D3PSi
, 168
hierarchical regression, 172
regression, 171
Investor opinion divergence, 6–8
Japanese seasoned equity offerings, 131–133
data and methodologies, 133–135
equal-weighted portfolios, 135–142
Fama-French three-factor, 143–147
value-weighted portfolios, 142–143
Kupiec’s test, 35, 39–41
Large closed economy model, 204
Leapfrogging strategy, 229–231
The Lehman Brothers Fixed Income Database (LBFI), 67, 69
Levenberg–Marquardt backpropogation training function, 38
Liquidity, 83, 87–88
Logit models, 119–121
Long-run performance, 132
Malaysian IPO, 164
Market
black box hypothesis, 202
control system, 202
exchange activity, 202–203
force field hypothesis, 203
information system, 202
institution, 202
place and integral sum, 202–203
production coordinating mechanism, 202
transactions, 202–203
Market conditions, controlling shareholders, 107
beta, 107
share price, 107
Market ownership, 206
Market property right, 203–204
closed economy, 204
cost components, 206–209
economic significance, 210–211
execution and operation costs, 207–209
extremely simple market transaction model, 204
global village model, 205
market establishment cost, 207–209
monitoring cost, 207–209
multicountry open economy model, 205
two-country open economy model, 205
Markov switching multifractal (MSM), 55, 59, 61
Markov switching stochastic volatility (MSSV) models
Black–Scholes option pricing formula, 53
closed-form option pricing formula, 55–60
component-driven regime switching (CDRS) models, 54–55, 61–62
discrete stochastic autoregressive volatility (DSARV) models, 54–55, 59–60
empirical example, 60–62
generalized autoregressive conditional heteroscedasticity (GARCH) models, 53
Markov switching multifractal (MSM), 55, 59, 61
mean-squared-error (MSE), 62
root-mean-squared-error (RMSE), 61–62
Mean Absolute Error, 33
Mean-squared-error (MSE), 62
Microstructure theory, 5
Momentum effects, 72–75, 89–91
Monash-type investment function, 216
Multicountry open economy model, 205
Multivariate regressions, 10–11
National Association of Insurance Commissioners Database (NAIC), 67, 69
Neural Network Toolbox of MathWorks, 38
Nontariff trade barriers (NTBs), 215, 217
Opinion divergence, 4–6
Option pricing formula, 56–60
Ordinary least squares (OLS), 150, 182
Oversubscription ratio/trading volume
data and methodology, 166–169
definition, 164
descriptive statistics, 169–170
initial return, 169–170
Pacific-Basin Capital Market (PACAP), 134
Pecking order theory (POT), 151–152
Physical activities
Asian and Western societies, 178
body mass index (BMI), 182
children and adolescents, 178
control variables, 182–183
data source, 184
data statistics, 187–189
dummy variables, 186
frequency grid, 189
gross domestic product (GDP), 181
gross national product (GNP), 181
instrumental variable (IV) approach, 179
intensity of participation, 185
Mincer’s earning function, 182
ordinary least squares (OLS), 182
participation and intensity, 179, 185, 190–192
persistent participation, 185–187, 192–195
starting salary, 190
variable and indicators, 184–187
Pooling regressions, 14
Production coordinating mechanism, 202
Rate of return (ROR), 216
Return on assets (ROA), 103–104, 111
Return on equity (ROE), 103–104, 110
Risk-adjusted momentum returns, 66
Robustness checks, 15–17
Root-mean-squared-error (RMSE), 61
Seasoned equity offerings (SEOs), 132
abnormal return, 135–137
distribution, 135, 142
holding-period returns, 135, 138
long-run stock returns, 135, 139, 141
underperformance, 133
Self-sufficiency, 229–231
SEOs. See Seasoned equity offerings (SEOs)
Short-term momentum returns, 66
Small closed economy model, 204
Stock pledging
accounting performance, 123–124
cash holdings, 104
controlling shareholders, 105–109
correlation matrix, 118
data availability, 102–103
determinants, 114–119
financial performance, 124–127
Financial Services Authority (FSA), 102
firm performances, 123–127
logit models, 119–121
methodology, 111–114
return on assets (ROA), 103–104
return on equity (ROE), 103–104
sample selection, 109–111
share financing, 100
tobit models, 122–123
working capital, 104
Stock price movements
bear and bull markets, 12–15
bid–ask spreads, 3–4
China stock market and Accounting Research (CSMAR) database, 8
correlation matrix, 10
data, 8
governance variables, 11–12
information components, 11
information efficiency, 4
investor opinion divergence, 3, 6–8
market environments, 5
market microstructure theory, 1
measuring, 6
microstructure theory, 5
multivariate regressions, 10–11
opinion divergence, 4–6
pooling regressions, 14
proxies, 9
robustness checks, 15–17
statistics, 9
traditional asset pricing theory, 2
Stock return volatility, 3–4
Subperiods
analysis, 75–83
ratings, 84–86
Taiwanese business enterprises, 215–216
Taiwan Higher Education Dataset (THED), 178–179
Taiwan’s macro economy, 219
Tobit models, 122–123
Tokyo Stock Exchange (TSE), 132, 133
Trade diversion, 215, 220
Trade-off theory (TOT), 151
Trade shocks, 217–218
Trading Reporting and Compliance Engine (TRACE), 67–68, 69, 75–83, 95
Traditional asset pricing theory, 2
Two-country open economy model, 205
US–China trade war, spillover effect
closure, 217
computable general equilibrium (CGE), 215
foreign direct investment (FDI), 215–216, 224–225
market share, 226–228
nontariff trade barriers (NTBs), 215
policy implications, 229–231
recursive dynamic framework, 216–217
sectoral shifts, 220–223
Taiwan’s macro economy, 219
Taiwan total exports, 221–222
Taiwan total imports, 221, 223
trade shocks and empirical works, 217–218
trade similarity index, 226–228
US, Mexico, and Canada (USMCA) Trade Agreement, 223–224
Value at risk (VaR)
artificial intelligence (AI) method, 24–25
artificial neural network (ANN), 24–25
assessments, 25–26
autoregressive moving average, generalized autoregressive conditional heteroscedasticity (ARMA-GARCH) model, 24–25
backtesting, 34–36
expected shortfall, 26–27
expected tail loss (ETL), 23–24
forecasting accuracy, 33–34
measurement approaches, 27–28
model assessment, 33–38
risk properties, 25–26
Value-weighted portfolios
abnormal return (AR), 143
cumulative abnormal returns (CAR), 143
distribution, 142–143
three-factor regressions, 142–143, 145–146
and value weighted buy-and-hold, 142–144
Variance infiation factor (VIF), 157
Violation ratio, 35
Capital structure theories
pecking order theory (POT)
, 151–152
trade-off theory (TOT)
, 151
Cash holdings
, 104
Category-based thinking
, 3
China stock market and Accounting Research (CSMAR)
, 8, 11–12
Chinese economy
, 201
Christoffersen’s test
, 35
Closed-form option pricing formula
model setting
, 55–56
moment generating function
, 57–58
option pricing formula
, 56–60
Component-driven regime switching (CDRS) models
, 54–55, 61–62
Computable general equilibrium (CGE)
, 215
Constant Difference of Elasticities (CDE)
, 216
Constant elasticity of substitution (CES)
, 216
Controlling shareholders
corporate governance
, 107–109
firm attributes
, 105–107
market condition
, 107
Control system
, 202
Control variables
, 182, 183
Corporate bond market
asset pricing
, 67
bond analysis
, 67
bond momentum
, 71, 73–74
cross-sectional regression cests
, 94–95
different return horizons
, 72–75
empirical results
, 69–91
excess returns
, 90–91
factors loading
, 92–93
Fama-French five factors
, 89
Fixed Investment Securities Database (FISD)
, 67, 68
health maintenance organizations (HMOs)
, 68
The Lehman Brothers Fixed Income Database (LBFI)
, 67, 69
liquidity
, 83, 87–88
longer holding periods
, 76–81
momentum effects
, 72–75, 89–91
National Association of Insurance Commissioners Database (NAIC)
, 67, 69
risk-adjusted momentum returns
, 66
short-term momentum returns
, 66
statistics
, 70
subperiods
, 75–86
Trading Reporting and Compliance Engine (TRACE)
, 67–69, 75–83
Corporate governance
, 107–109
board seats
, 108
cash flow right
, 108
cooperative
, 109
family-controlled firms
, 109
professional managers
, 108–109
state-controlled firms
, 109
types
, 108–109
Correlation matrix
, 10
Cross-sectional regression cests
, 94–95
Cumulative abnormal returns
, 143
Cumulative average return (CAR)
, 135
Data snooping
, 44
Discrete stochastic autoregressive volatility (DSARV) models
, 54–55, 59–60
Dynamic panel data (DPD)
, 157–158
Economic globalization, 205–206
Equal-weighted portfolios
adjusted return (AR), 135
book-to-market, 138
cumulative average return (CAR), 135
distribution, 135
holding-period returns, 137–138
long-run stock returns, 137–138, 139–141
Excess returns, 90–91
Expected shortfall (ES), 26–27
Expected tail loss (ETL), 23–24
Fama-French factor model, 6–7, 89, 143–147
Financial Services Authority (FSA), 102
Firm attributes, 105–107
capital, 105
credit rating, 106–107
leverage, 106
Firm characteristics/capital structure, 150–151
data sample, 154
descriptive statistics, 156–157
dynamic model specification, 154–155
empirical model, 157–158
empirical results and discussion, 158–159
expected impacts, 153
hypotheses, 152–153
nondebt tax shields, 153
postestimation efficiency tests, 155–156
profitability, 152
size, 152
tangibility, 153
theories, 151–152
variables, 154
Fixed Investment Securities Database (FISD), 67–68
Force field hypothesis, 203
Forecasting accuracy, 33–34
Generalized method of moments (GMM), 150
Global Trade Analysis Project (GTAP), 217
Global village model, 205
Governance variables, 11–12
Health maintenance organizations (HMOs), 68
Holding-period returns (HPRs), 134
Human capital investment, 177–178
Information components, 11
Information efficiency, 4
Information system, 202
Initial Public Offering (IPO), 163–164
initial return, 164
Malaysia, 164
offer price, 164
trading volume, 164–165
Initial returns, 164
descriptive statistics, 170
D1IRi
, 168
D2PSi
, 168
D3PSi
, 168
hierarchical regression, 172
regression, 171
Investor opinion divergence, 6–8
Japanese seasoned equity offerings, 131–133
data and methodologies, 133–135
equal-weighted portfolios, 135–142
Fama-French three-factor, 143–147
value-weighted portfolios, 142–143
Kupiec’s test, 35, 39–41
Large closed economy model, 204
Leapfrogging strategy, 229–231
The Lehman Brothers Fixed Income Database (LBFI), 67, 69
Levenberg–Marquardt backpropogation training function, 38
Liquidity, 83, 87–88
Logit models, 119–121
Long-run performance, 132
Malaysian IPO, 164
Market
black box hypothesis, 202
control system, 202
exchange activity, 202–203
force field hypothesis, 203
information system, 202
institution, 202
place and integral sum, 202–203
production coordinating mechanism, 202
transactions, 202–203
Market conditions, controlling shareholders, 107
beta, 107
share price, 107
Market ownership, 206
Market property right, 203–204
closed economy, 204
cost components, 206–209
economic significance, 210–211
execution and operation costs, 207–209
extremely simple market transaction model, 204
global village model, 205
market establishment cost, 207–209
monitoring cost, 207–209
multicountry open economy model, 205
two-country open economy model, 205
Markov switching multifractal (MSM), 55, 59, 61
Markov switching stochastic volatility (MSSV) models
Black–Scholes option pricing formula, 53
closed-form option pricing formula, 55–60
component-driven regime switching (CDRS) models, 54–55, 61–62
discrete stochastic autoregressive volatility (DSARV) models, 54–55, 59–60
empirical example, 60–62
generalized autoregressive conditional heteroscedasticity (GARCH) models, 53
Markov switching multifractal (MSM), 55, 59, 61
mean-squared-error (MSE), 62
root-mean-squared-error (RMSE), 61–62
Mean Absolute Error, 33
Mean-squared-error (MSE), 62
Microstructure theory, 5
Momentum effects, 72–75, 89–91
Monash-type investment function, 216
Multicountry open economy model, 205
Multivariate regressions, 10–11
National Association of Insurance Commissioners Database (NAIC), 67, 69
Neural Network Toolbox of MathWorks, 38
Nontariff trade barriers (NTBs), 215, 217
Opinion divergence, 4–6
Option pricing formula, 56–60
Ordinary least squares (OLS), 150, 182
Oversubscription ratio/trading volume
data and methodology, 166–169
definition, 164
descriptive statistics, 169–170
initial return, 169–170
Pacific-Basin Capital Market (PACAP), 134
Pecking order theory (POT), 151–152
Physical activities
Asian and Western societies, 178
body mass index (BMI), 182
children and adolescents, 178
control variables, 182–183
data source, 184
data statistics, 187–189
dummy variables, 186
frequency grid, 189
gross domestic product (GDP), 181
gross national product (GNP), 181
instrumental variable (IV) approach, 179
intensity of participation, 185
Mincer’s earning function, 182
ordinary least squares (OLS), 182
participation and intensity, 179, 185, 190–192
persistent participation, 185–187, 192–195
starting salary, 190
variable and indicators, 184–187
Pooling regressions, 14
Production coordinating mechanism, 202
Rate of return (ROR), 216
Return on assets (ROA), 103–104, 111
Return on equity (ROE), 103–104, 110
Risk-adjusted momentum returns, 66
Robustness checks, 15–17
Root-mean-squared-error (RMSE), 61
Seasoned equity offerings (SEOs), 132
abnormal return, 135–137
distribution, 135, 142
holding-period returns, 135, 138
long-run stock returns, 135, 139, 141
underperformance, 133
Self-sufficiency, 229–231
SEOs. See Seasoned equity offerings (SEOs)
Short-term momentum returns, 66
Small closed economy model, 204
Stock pledging
accounting performance, 123–124
cash holdings, 104
controlling shareholders, 105–109
correlation matrix, 118
data availability, 102–103
determinants, 114–119
financial performance, 124–127
Financial Services Authority (FSA), 102
firm performances, 123–127
logit models, 119–121
methodology, 111–114
return on assets (ROA), 103–104
return on equity (ROE), 103–104
sample selection, 109–111
share financing, 100
tobit models, 122–123
working capital, 104
Stock price movements
bear and bull markets, 12–15
bid–ask spreads, 3–4
China stock market and Accounting Research (CSMAR) database, 8
correlation matrix, 10
data, 8
governance variables, 11–12
information components, 11
information efficiency, 4
investor opinion divergence, 3, 6–8
market environments, 5
market microstructure theory, 1
measuring, 6
microstructure theory, 5
multivariate regressions, 10–11
opinion divergence, 4–6
pooling regressions, 14
proxies, 9
robustness checks, 15–17
statistics, 9
traditional asset pricing theory, 2
Stock return volatility, 3–4
Subperiods
analysis, 75–83
ratings, 84–86
Taiwanese business enterprises, 215–216
Taiwan Higher Education Dataset (THED), 178–179
Taiwan’s macro economy, 219
Tobit models, 122–123
Tokyo Stock Exchange (TSE), 132, 133
Trade diversion, 215, 220
Trade-off theory (TOT), 151
Trade shocks, 217–218
Trading Reporting and Compliance Engine (TRACE), 67–68, 69, 75–83, 95
Traditional asset pricing theory, 2
Two-country open economy model, 205
US–China trade war, spillover effect
closure, 217
computable general equilibrium (CGE), 215
foreign direct investment (FDI), 215–216, 224–225
market share, 226–228
nontariff trade barriers (NTBs), 215
policy implications, 229–231
recursive dynamic framework, 216–217
sectoral shifts, 220–223
Taiwan’s macro economy, 219
Taiwan total exports, 221–222
Taiwan total imports, 221, 223
trade shocks and empirical works, 217–218
trade similarity index, 226–228
US, Mexico, and Canada (USMCA) Trade Agreement, 223–224
Value at risk (VaR)
artificial intelligence (AI) method, 24–25
artificial neural network (ANN), 24–25
assessments, 25–26
autoregressive moving average, generalized autoregressive conditional heteroscedasticity (ARMA-GARCH) model, 24–25
backtesting, 34–36
expected shortfall, 26–27
expected tail loss (ETL), 23–24
forecasting accuracy, 33–34
measurement approaches, 27–28
model assessment, 33–38
risk properties, 25–26
Value-weighted portfolios
abnormal return (AR), 143
cumulative abnormal returns (CAR), 143
distribution, 142–143
three-factor regressions, 142–143, 145–146
and value weighted buy-and-hold, 142–144
Variance infiation factor (VIF), 157
Violation ratio, 35
Economic globalization
, 205–206
Equal-weighted portfolios
adjusted return (AR)
, 135
book-to-market
, 138
cumulative average return (CAR)
, 135
distribution
, 135
holding-period returns
, 137–138
long-run stock returns
, 137–138, 139–141
Excess returns
, 90–91
Expected shortfall (ES)
, 26–27
Expected tail loss (ETL)
, 23–24
Fama-French factor model
, 6–7, 89, 143–147
Financial Services Authority (FSA)
, 102
Firm attributes
, 105–107
capital
, 105
credit rating
, 106–107
leverage
, 106
Firm characteristics/capital structure
, 150–151
data sample
, 154
descriptive statistics
, 156–157
dynamic model specification
, 154–155
empirical model
, 157–158
empirical results and discussion
, 158–159
expected impacts
, 153
hypotheses
, 152–153
nondebt tax shields
, 153
postestimation efficiency tests
, 155–156
profitability
, 152
size
, 152
tangibility
, 153
theories
, 151–152
variables
, 154
Fixed Investment Securities Database (FISD)
, 67–68
Force field hypothesis
, 203
Forecasting accuracy
, 33–34
Generalized method of moments (GMM), 150
Global Trade Analysis Project (GTAP), 217
Global village model, 205
Governance variables, 11–12
Health maintenance organizations (HMOs), 68
Holding-period returns (HPRs), 134
Human capital investment, 177–178
Information components, 11
Information efficiency, 4
Information system, 202
Initial Public Offering (IPO), 163–164
initial return, 164
Malaysia, 164
offer price, 164
trading volume, 164–165
Initial returns, 164
descriptive statistics, 170
D1IRi
, 168
D2PSi
, 168
D3PSi
, 168
hierarchical regression, 172
regression, 171
Investor opinion divergence, 6–8
Japanese seasoned equity offerings, 131–133
data and methodologies, 133–135
equal-weighted portfolios, 135–142
Fama-French three-factor, 143–147
value-weighted portfolios, 142–143
Kupiec’s test, 35, 39–41
Large closed economy model, 204
Leapfrogging strategy, 229–231
The Lehman Brothers Fixed Income Database (LBFI), 67, 69
Levenberg–Marquardt backpropogation training function, 38
Liquidity, 83, 87–88
Logit models, 119–121
Long-run performance, 132
Malaysian IPO, 164
Market
black box hypothesis, 202
control system, 202
exchange activity, 202–203
force field hypothesis, 203
information system, 202
institution, 202
place and integral sum, 202–203
production coordinating mechanism, 202
transactions, 202–203
Market conditions, controlling shareholders, 107
beta, 107
share price, 107
Market ownership, 206
Market property right, 203–204
closed economy, 204
cost components, 206–209
economic significance, 210–211
execution and operation costs, 207–209
extremely simple market transaction model, 204
global village model, 205
market establishment cost, 207–209
monitoring cost, 207–209
multicountry open economy model, 205
two-country open economy model, 205
Markov switching multifractal (MSM), 55, 59, 61
Markov switching stochastic volatility (MSSV) models
Black–Scholes option pricing formula, 53
closed-form option pricing formula, 55–60
component-driven regime switching (CDRS) models, 54–55, 61–62
discrete stochastic autoregressive volatility (DSARV) models, 54–55, 59–60
empirical example, 60–62
generalized autoregressive conditional heteroscedasticity (GARCH) models, 53
Markov switching multifractal (MSM), 55, 59, 61
mean-squared-error (MSE), 62
root-mean-squared-error (RMSE), 61–62
Mean Absolute Error, 33
Mean-squared-error (MSE), 62
Microstructure theory, 5
Momentum effects, 72–75, 89–91
Monash-type investment function, 216
Multicountry open economy model, 205
Multivariate regressions, 10–11
National Association of Insurance Commissioners Database (NAIC), 67, 69
Neural Network Toolbox of MathWorks, 38
Nontariff trade barriers (NTBs), 215, 217
Opinion divergence, 4–6
Option pricing formula, 56–60
Ordinary least squares (OLS), 150, 182
Oversubscription ratio/trading volume
data and methodology, 166–169
definition, 164
descriptive statistics, 169–170
initial return, 169–170
Pacific-Basin Capital Market (PACAP), 134
Pecking order theory (POT), 151–152
Physical activities
Asian and Western societies, 178
body mass index (BMI), 182
children and adolescents, 178
control variables, 182–183
data source, 184
data statistics, 187–189
dummy variables, 186
frequency grid, 189
gross domestic product (GDP), 181
gross national product (GNP), 181
instrumental variable (IV) approach, 179
intensity of participation, 185
Mincer’s earning function, 182
ordinary least squares (OLS), 182
participation and intensity, 179, 185, 190–192
persistent participation, 185–187, 192–195
starting salary, 190
variable and indicators, 184–187
Pooling regressions, 14
Production coordinating mechanism, 202
Rate of return (ROR), 216
Return on assets (ROA), 103–104, 111
Return on equity (ROE), 103–104, 110
Risk-adjusted momentum returns, 66
Robustness checks, 15–17
Root-mean-squared-error (RMSE), 61
Seasoned equity offerings (SEOs), 132
abnormal return, 135–137
distribution, 135, 142
holding-period returns, 135, 138
long-run stock returns, 135, 139, 141
underperformance, 133
Self-sufficiency, 229–231
SEOs. See Seasoned equity offerings (SEOs)
Short-term momentum returns, 66
Small closed economy model, 204
Stock pledging
accounting performance, 123–124
cash holdings, 104
controlling shareholders, 105–109
correlation matrix, 118
data availability, 102–103
determinants, 114–119
financial performance, 124–127
Financial Services Authority (FSA), 102
firm performances, 123–127
logit models, 119–121
methodology, 111–114
return on assets (ROA), 103–104
return on equity (ROE), 103–104
sample selection, 109–111
share financing, 100
tobit models, 122–123
working capital, 104
Stock price movements
bear and bull markets, 12–15
bid–ask spreads, 3–4
China stock market and Accounting Research (CSMAR) database, 8
correlation matrix, 10
data, 8
governance variables, 11–12
information components, 11
information efficiency, 4
investor opinion divergence, 3, 6–8
market environments, 5
market microstructure theory, 1
measuring, 6
microstructure theory, 5
multivariate regressions, 10–11
opinion divergence, 4–6
pooling regressions, 14
proxies, 9
robustness checks, 15–17
statistics, 9
traditional asset pricing theory, 2
Stock return volatility, 3–4
Subperiods
analysis, 75–83
ratings, 84–86
Taiwanese business enterprises, 215–216
Taiwan Higher Education Dataset (THED), 178–179
Taiwan’s macro economy, 219
Tobit models, 122–123
Tokyo Stock Exchange (TSE), 132, 133
Trade diversion, 215, 220
Trade-off theory (TOT), 151
Trade shocks, 217–218
Trading Reporting and Compliance Engine (TRACE), 67–68, 69, 75–83, 95
Traditional asset pricing theory, 2
Two-country open economy model, 205
US–China trade war, spillover effect
closure, 217
computable general equilibrium (CGE), 215
foreign direct investment (FDI), 215–216, 224–225
market share, 226–228
nontariff trade barriers (NTBs), 215
policy implications, 229–231
recursive dynamic framework, 216–217
sectoral shifts, 220–223
Taiwan’s macro economy, 219
Taiwan total exports, 221–222
Taiwan total imports, 221, 223
trade shocks and empirical works, 217–218
trade similarity index, 226–228
US, Mexico, and Canada (USMCA) Trade Agreement, 223–224
Value at risk (VaR)
artificial intelligence (AI) method, 24–25
artificial neural network (ANN), 24–25
assessments, 25–26
autoregressive moving average, generalized autoregressive conditional heteroscedasticity (ARMA-GARCH) model, 24–25
backtesting, 34–36
expected shortfall, 26–27
expected tail loss (ETL), 23–24
forecasting accuracy, 33–34
measurement approaches, 27–28
model assessment, 33–38
risk properties, 25–26
Value-weighted portfolios
abnormal return (AR), 143
cumulative abnormal returns (CAR), 143
distribution, 142–143
three-factor regressions, 142–143, 145–146
and value weighted buy-and-hold, 142–144
Variance infiation factor (VIF), 157
Violation ratio, 35
Generalized method of moments (GMM)
, 150
Global Trade Analysis Project (GTAP)
, 217
Global village model
, 205
Governance variables
, 11–12
Health maintenance organizations (HMOs)
, 68
Holding-period returns (HPRs)
, 134
Human capital investment
, 177–178
Information components, 11
Information efficiency, 4
Information system, 202
Initial Public Offering (IPO), 163–164
initial return, 164
Malaysia, 164
offer price, 164
trading volume, 164–165
Initial returns, 164
descriptive statistics, 170
D1IRi
, 168
D2PSi
, 168
D3PSi
, 168
hierarchical regression, 172
regression, 171
Investor opinion divergence, 6–8
Japanese seasoned equity offerings, 131–133
data and methodologies, 133–135
equal-weighted portfolios, 135–142
Fama-French three-factor, 143–147
value-weighted portfolios, 142–143
Kupiec’s test, 35, 39–41
Large closed economy model, 204
Leapfrogging strategy, 229–231
The Lehman Brothers Fixed Income Database (LBFI), 67, 69
Levenberg–Marquardt backpropogation training function, 38
Liquidity, 83, 87–88
Logit models, 119–121
Long-run performance, 132
Malaysian IPO, 164
Market
black box hypothesis, 202
control system, 202
exchange activity, 202–203
force field hypothesis, 203
information system, 202
institution, 202
place and integral sum, 202–203
production coordinating mechanism, 202
transactions, 202–203
Market conditions, controlling shareholders, 107
beta, 107
share price, 107
Market ownership, 206
Market property right, 203–204
closed economy, 204
cost components, 206–209
economic significance, 210–211
execution and operation costs, 207–209
extremely simple market transaction model, 204
global village model, 205
market establishment cost, 207–209
monitoring cost, 207–209
multicountry open economy model, 205
two-country open economy model, 205
Markov switching multifractal (MSM), 55, 59, 61
Markov switching stochastic volatility (MSSV) models
Black–Scholes option pricing formula, 53
closed-form option pricing formula, 55–60
component-driven regime switching (CDRS) models, 54–55, 61–62
discrete stochastic autoregressive volatility (DSARV) models, 54–55, 59–60
empirical example, 60–62
generalized autoregressive conditional heteroscedasticity (GARCH) models, 53
Markov switching multifractal (MSM), 55, 59, 61
mean-squared-error (MSE), 62
root-mean-squared-error (RMSE), 61–62
Mean Absolute Error, 33
Mean-squared-error (MSE), 62
Microstructure theory, 5
Momentum effects, 72–75, 89–91
Monash-type investment function, 216
Multicountry open economy model, 205
Multivariate regressions, 10–11
National Association of Insurance Commissioners Database (NAIC), 67, 69
Neural Network Toolbox of MathWorks, 38
Nontariff trade barriers (NTBs), 215, 217
Opinion divergence, 4–6
Option pricing formula, 56–60
Ordinary least squares (OLS), 150, 182
Oversubscription ratio/trading volume
data and methodology, 166–169
definition, 164
descriptive statistics, 169–170
initial return, 169–170
Pacific-Basin Capital Market (PACAP), 134
Pecking order theory (POT), 151–152
Physical activities
Asian and Western societies, 178
body mass index (BMI), 182
children and adolescents, 178
control variables, 182–183
data source, 184
data statistics, 187–189
dummy variables, 186
frequency grid, 189
gross domestic product (GDP), 181
gross national product (GNP), 181
instrumental variable (IV) approach, 179
intensity of participation, 185
Mincer’s earning function, 182
ordinary least squares (OLS), 182
participation and intensity, 179, 185, 190–192
persistent participation, 185–187, 192–195
starting salary, 190
variable and indicators, 184–187
Pooling regressions, 14
Production coordinating mechanism, 202
Rate of return (ROR), 216
Return on assets (ROA), 103–104, 111
Return on equity (ROE), 103–104, 110
Risk-adjusted momentum returns, 66
Robustness checks, 15–17
Root-mean-squared-error (RMSE), 61
Seasoned equity offerings (SEOs), 132
abnormal return, 135–137
distribution, 135, 142
holding-period returns, 135, 138
long-run stock returns, 135, 139, 141
underperformance, 133
Self-sufficiency, 229–231
SEOs. See Seasoned equity offerings (SEOs)
Short-term momentum returns, 66
Small closed economy model, 204
Stock pledging
accounting performance, 123–124
cash holdings, 104
controlling shareholders, 105–109
correlation matrix, 118
data availability, 102–103
determinants, 114–119
financial performance, 124–127
Financial Services Authority (FSA), 102
firm performances, 123–127
logit models, 119–121
methodology, 111–114
return on assets (ROA), 103–104
return on equity (ROE), 103–104
sample selection, 109–111
share financing, 100
tobit models, 122–123
working capital, 104
Stock price movements
bear and bull markets, 12–15
bid–ask spreads, 3–4
China stock market and Accounting Research (CSMAR) database, 8
correlation matrix, 10
data, 8
governance variables, 11–12
information components, 11
information efficiency, 4
investor opinion divergence, 3, 6–8
market environments, 5
market microstructure theory, 1
measuring, 6
microstructure theory, 5
multivariate regressions, 10–11
opinion divergence, 4–6
pooling regressions, 14
proxies, 9
robustness checks, 15–17
statistics, 9
traditional asset pricing theory, 2
Stock return volatility, 3–4
Subperiods
analysis, 75–83
ratings, 84–86
Taiwanese business enterprises, 215–216
Taiwan Higher Education Dataset (THED), 178–179
Taiwan’s macro economy, 219
Tobit models, 122–123
Tokyo Stock Exchange (TSE), 132, 133
Trade diversion, 215, 220
Trade-off theory (TOT), 151
Trade shocks, 217–218
Trading Reporting and Compliance Engine (TRACE), 67–68, 69, 75–83, 95
Traditional asset pricing theory, 2
Two-country open economy model, 205
US–China trade war, spillover effect
closure, 217
computable general equilibrium (CGE), 215
foreign direct investment (FDI), 215–216, 224–225
market share, 226–228
nontariff trade barriers (NTBs), 215
policy implications, 229–231
recursive dynamic framework, 216–217
sectoral shifts, 220–223
Taiwan’s macro economy, 219
Taiwan total exports, 221–222
Taiwan total imports, 221, 223
trade shocks and empirical works, 217–218
trade similarity index, 226–228
US, Mexico, and Canada (USMCA) Trade Agreement, 223–224
Value at risk (VaR)
artificial intelligence (AI) method, 24–25
artificial neural network (ANN), 24–25
assessments, 25–26
autoregressive moving average, generalized autoregressive conditional heteroscedasticity (ARMA-GARCH) model, 24–25
backtesting, 34–36
expected shortfall, 26–27
expected tail loss (ETL), 23–24
forecasting accuracy, 33–34
measurement approaches, 27–28
model assessment, 33–38
risk properties, 25–26
Value-weighted portfolios
abnormal return (AR), 143
cumulative abnormal returns (CAR), 143
distribution, 142–143
three-factor regressions, 142–143, 145–146
and value weighted buy-and-hold, 142–144
Variance infiation factor (VIF), 157
Violation ratio, 35
Information components
, 11
Information efficiency
, 4
Information system
, 202
Initial Public Offering (IPO)
, 163–164
initial return
, 164
Malaysia
, 164
offer price
, 164
trading volume
, 164–165
Initial returns
, 164
descriptive statistics
, 170
D1IRi
, 168
D2PSi
, 168
D3PSi
, 168
hierarchical regression
, 172
regression
, 171
Investor opinion divergence
, 6–8
Japanese seasoned equity offerings
, 131–133
data and methodologies
, 133–135
equal-weighted portfolios
, 135–142
Fama-French three-factor
, 143–147
value-weighted portfolios
, 142–143
Kupiec’s test, 35, 39–41
Large closed economy model, 204
Leapfrogging strategy, 229–231
The Lehman Brothers Fixed Income Database (LBFI), 67, 69
Levenberg–Marquardt backpropogation training function, 38
Liquidity, 83, 87–88
Logit models, 119–121
Long-run performance, 132
Malaysian IPO, 164
Market
black box hypothesis, 202
control system, 202
exchange activity, 202–203
force field hypothesis, 203
information system, 202
institution, 202
place and integral sum, 202–203
production coordinating mechanism, 202
transactions, 202–203
Market conditions, controlling shareholders, 107
beta, 107
share price, 107
Market ownership, 206
Market property right, 203–204
closed economy, 204
cost components, 206–209
economic significance, 210–211
execution and operation costs, 207–209
extremely simple market transaction model, 204
global village model, 205
market establishment cost, 207–209
monitoring cost, 207–209
multicountry open economy model, 205
two-country open economy model, 205
Markov switching multifractal (MSM), 55, 59, 61
Markov switching stochastic volatility (MSSV) models
Black–Scholes option pricing formula, 53
closed-form option pricing formula, 55–60
component-driven regime switching (CDRS) models, 54–55, 61–62
discrete stochastic autoregressive volatility (DSARV) models, 54–55, 59–60
empirical example, 60–62
generalized autoregressive conditional heteroscedasticity (GARCH) models, 53
Markov switching multifractal (MSM), 55, 59, 61
mean-squared-error (MSE), 62
root-mean-squared-error (RMSE), 61–62
Mean Absolute Error, 33
Mean-squared-error (MSE), 62
Microstructure theory, 5
Momentum effects, 72–75, 89–91
Monash-type investment function, 216
Multicountry open economy model, 205
Multivariate regressions, 10–11
National Association of Insurance Commissioners Database (NAIC), 67, 69
Neural Network Toolbox of MathWorks, 38
Nontariff trade barriers (NTBs), 215, 217
Opinion divergence, 4–6
Option pricing formula, 56–60
Ordinary least squares (OLS), 150, 182
Oversubscription ratio/trading volume
data and methodology, 166–169
definition, 164
descriptive statistics, 169–170
initial return, 169–170
Pacific-Basin Capital Market (PACAP), 134
Pecking order theory (POT), 151–152
Physical activities
Asian and Western societies, 178
body mass index (BMI), 182
children and adolescents, 178
control variables, 182–183
data source, 184
data statistics, 187–189
dummy variables, 186
frequency grid, 189
gross domestic product (GDP), 181
gross national product (GNP), 181
instrumental variable (IV) approach, 179
intensity of participation, 185
Mincer’s earning function, 182
ordinary least squares (OLS), 182
participation and intensity, 179, 185, 190–192
persistent participation, 185–187, 192–195
starting salary, 190
variable and indicators, 184–187
Pooling regressions, 14
Production coordinating mechanism, 202
Rate of return (ROR), 216
Return on assets (ROA), 103–104, 111
Return on equity (ROE), 103–104, 110
Risk-adjusted momentum returns, 66
Robustness checks, 15–17
Root-mean-squared-error (RMSE), 61
Seasoned equity offerings (SEOs), 132
abnormal return, 135–137
distribution, 135, 142
holding-period returns, 135, 138
long-run stock returns, 135, 139, 141
underperformance, 133
Self-sufficiency, 229–231
SEOs. See Seasoned equity offerings (SEOs)
Short-term momentum returns, 66
Small closed economy model, 204
Stock pledging
accounting performance, 123–124
cash holdings, 104
controlling shareholders, 105–109
correlation matrix, 118
data availability, 102–103
determinants, 114–119
financial performance, 124–127
Financial Services Authority (FSA), 102
firm performances, 123–127
logit models, 119–121
methodology, 111–114
return on assets (ROA), 103–104
return on equity (ROE), 103–104
sample selection, 109–111
share financing, 100
tobit models, 122–123
working capital, 104
Stock price movements
bear and bull markets, 12–15
bid–ask spreads, 3–4
China stock market and Accounting Research (CSMAR) database, 8
correlation matrix, 10
data, 8
governance variables, 11–12
information components, 11
information efficiency, 4
investor opinion divergence, 3, 6–8
market environments, 5
market microstructure theory, 1
measuring, 6
microstructure theory, 5
multivariate regressions, 10–11
opinion divergence, 4–6
pooling regressions, 14
proxies, 9
robustness checks, 15–17
statistics, 9
traditional asset pricing theory, 2
Stock return volatility, 3–4
Subperiods
analysis, 75–83
ratings, 84–86
Taiwanese business enterprises, 215–216
Taiwan Higher Education Dataset (THED), 178–179
Taiwan’s macro economy, 219
Tobit models, 122–123
Tokyo Stock Exchange (TSE), 132, 133
Trade diversion, 215, 220
Trade-off theory (TOT), 151
Trade shocks, 217–218
Trading Reporting and Compliance Engine (TRACE), 67–68, 69, 75–83, 95
Traditional asset pricing theory, 2
Two-country open economy model, 205
US–China trade war, spillover effect
closure, 217
computable general equilibrium (CGE), 215
foreign direct investment (FDI), 215–216, 224–225
market share, 226–228
nontariff trade barriers (NTBs), 215
policy implications, 229–231
recursive dynamic framework, 216–217
sectoral shifts, 220–223
Taiwan’s macro economy, 219
Taiwan total exports, 221–222
Taiwan total imports, 221, 223
trade shocks and empirical works, 217–218
trade similarity index, 226–228
US, Mexico, and Canada (USMCA) Trade Agreement, 223–224
Value at risk (VaR)
artificial intelligence (AI) method, 24–25
artificial neural network (ANN), 24–25
assessments, 25–26
autoregressive moving average, generalized autoregressive conditional heteroscedasticity (ARMA-GARCH) model, 24–25
backtesting, 34–36
expected shortfall, 26–27
expected tail loss (ETL), 23–24
forecasting accuracy, 33–34
measurement approaches, 27–28
model assessment, 33–38
risk properties, 25–26
Value-weighted portfolios
abnormal return (AR), 143
cumulative abnormal returns (CAR), 143
distribution, 142–143
three-factor regressions, 142–143, 145–146
and value weighted buy-and-hold, 142–144
Variance infiation factor (VIF), 157
Violation ratio, 35
Kupiec’s test
, 35, 39–41
Large closed economy model
, 204
Leapfrogging strategy
, 229–231
The Lehman Brothers Fixed Income Database (LBFI)
, 67, 69
Levenberg–Marquardt backpropogation training function
, 38
Liquidity
, 83, 87–88
Logit models
, 119–121
Long-run performance
, 132
Malaysian IPO, 164
Market
black box hypothesis, 202
control system, 202
exchange activity, 202–203
force field hypothesis, 203
information system, 202
institution, 202
place and integral sum, 202–203
production coordinating mechanism, 202
transactions, 202–203
Market conditions, controlling shareholders, 107
beta, 107
share price, 107
Market ownership, 206
Market property right, 203–204
closed economy, 204
cost components, 206–209
economic significance, 210–211
execution and operation costs, 207–209
extremely simple market transaction model, 204
global village model, 205
market establishment cost, 207–209
monitoring cost, 207–209
multicountry open economy model, 205
two-country open economy model, 205
Markov switching multifractal (MSM), 55, 59, 61
Markov switching stochastic volatility (MSSV) models
Black–Scholes option pricing formula, 53
closed-form option pricing formula, 55–60
component-driven regime switching (CDRS) models, 54–55, 61–62
discrete stochastic autoregressive volatility (DSARV) models, 54–55, 59–60
empirical example, 60–62
generalized autoregressive conditional heteroscedasticity (GARCH) models, 53
Markov switching multifractal (MSM), 55, 59, 61
mean-squared-error (MSE), 62
root-mean-squared-error (RMSE), 61–62
Mean Absolute Error, 33
Mean-squared-error (MSE), 62
Microstructure theory, 5
Momentum effects, 72–75, 89–91
Monash-type investment function, 216
Multicountry open economy model, 205
Multivariate regressions, 10–11
National Association of Insurance Commissioners Database (NAIC), 67, 69
Neural Network Toolbox of MathWorks, 38
Nontariff trade barriers (NTBs), 215, 217
Opinion divergence, 4–6
Option pricing formula, 56–60
Ordinary least squares (OLS), 150, 182
Oversubscription ratio/trading volume
data and methodology, 166–169
definition, 164
descriptive statistics, 169–170
initial return, 169–170
Pacific-Basin Capital Market (PACAP), 134
Pecking order theory (POT), 151–152
Physical activities
Asian and Western societies, 178
body mass index (BMI), 182
children and adolescents, 178
control variables, 182–183
data source, 184
data statistics, 187–189
dummy variables, 186
frequency grid, 189
gross domestic product (GDP), 181
gross national product (GNP), 181
instrumental variable (IV) approach, 179
intensity of participation, 185
Mincer’s earning function, 182
ordinary least squares (OLS), 182
participation and intensity, 179, 185, 190–192
persistent participation, 185–187, 192–195
starting salary, 190
variable and indicators, 184–187
Pooling regressions, 14
Production coordinating mechanism, 202
Rate of return (ROR), 216
Return on assets (ROA), 103–104, 111
Return on equity (ROE), 103–104, 110
Risk-adjusted momentum returns, 66
Robustness checks, 15–17
Root-mean-squared-error (RMSE), 61
Seasoned equity offerings (SEOs), 132
abnormal return, 135–137
distribution, 135, 142
holding-period returns, 135, 138
long-run stock returns, 135, 139, 141
underperformance, 133
Self-sufficiency, 229–231
SEOs. See Seasoned equity offerings (SEOs)
Short-term momentum returns, 66
Small closed economy model, 204
Stock pledging
accounting performance, 123–124
cash holdings, 104
controlling shareholders, 105–109
correlation matrix, 118
data availability, 102–103
determinants, 114–119
financial performance, 124–127
Financial Services Authority (FSA), 102
firm performances, 123–127
logit models, 119–121
methodology, 111–114
return on assets (ROA), 103–104
return on equity (ROE), 103–104
sample selection, 109–111
share financing, 100
tobit models, 122–123
working capital, 104
Stock price movements
bear and bull markets, 12–15
bid–ask spreads, 3–4
China stock market and Accounting Research (CSMAR) database, 8
correlation matrix, 10
data, 8
governance variables, 11–12
information components, 11
information efficiency, 4
investor opinion divergence, 3, 6–8
market environments, 5
market microstructure theory, 1
measuring, 6
microstructure theory, 5
multivariate regressions, 10–11
opinion divergence, 4–6
pooling regressions, 14
proxies, 9
robustness checks, 15–17
statistics, 9
traditional asset pricing theory, 2
Stock return volatility, 3–4
Subperiods
analysis, 75–83
ratings, 84–86
Taiwanese business enterprises, 215–216
Taiwan Higher Education Dataset (THED), 178–179
Taiwan’s macro economy, 219
Tobit models, 122–123
Tokyo Stock Exchange (TSE), 132, 133
Trade diversion, 215, 220
Trade-off theory (TOT), 151
Trade shocks, 217–218
Trading Reporting and Compliance Engine (TRACE), 67–68, 69, 75–83, 95
Traditional asset pricing theory, 2
Two-country open economy model, 205
US–China trade war, spillover effect
closure, 217
computable general equilibrium (CGE), 215
foreign direct investment (FDI), 215–216, 224–225
market share, 226–228
nontariff trade barriers (NTBs), 215
policy implications, 229–231
recursive dynamic framework, 216–217
sectoral shifts, 220–223
Taiwan’s macro economy, 219
Taiwan total exports, 221–222
Taiwan total imports, 221, 223
trade shocks and empirical works, 217–218
trade similarity index, 226–228
US, Mexico, and Canada (USMCA) Trade Agreement, 223–224
Value at risk (VaR)
artificial intelligence (AI) method, 24–25
artificial neural network (ANN), 24–25
assessments, 25–26
autoregressive moving average, generalized autoregressive conditional heteroscedasticity (ARMA-GARCH) model, 24–25
backtesting, 34–36
expected shortfall, 26–27
expected tail loss (ETL), 23–24
forecasting accuracy, 33–34
measurement approaches, 27–28
model assessment, 33–38
risk properties, 25–26
Value-weighted portfolios
abnormal return (AR), 143
cumulative abnormal returns (CAR), 143
distribution, 142–143
three-factor regressions, 142–143, 145–146
and value weighted buy-and-hold, 142–144
Variance infiation factor (VIF), 157
Violation ratio, 35
Malaysian IPO
, 164
Market
black box hypothesis
, 202
control system
, 202
exchange activity
, 202–203
force field hypothesis
, 203
information system
, 202
institution
, 202
place and integral sum
, 202–203
production coordinating mechanism
, 202
transactions
, 202–203
Market conditions, controlling shareholders
, 107
beta
, 107
share price
, 107
Market ownership
, 206
Market property right
, 203–204
closed economy
, 204
cost components
, 206–209
economic significance
, 210–211
execution and operation costs
, 207–209
extremely simple market transaction model
, 204
global village model
, 205
market establishment cost
, 207–209
monitoring cost
, 207–209
multicountry open economy model
, 205
two-country open economy model
, 205
Markov switching multifractal (MSM)
, 55, 59, 61
Markov switching stochastic volatility (MSSV) models
Black–Scholes option pricing formula
, 53
closed-form option pricing formula
, 55–60
component-driven regime switching (CDRS) models
, 54–55, 61–62
discrete stochastic autoregressive volatility (DSARV) models
, 54–55, 59–60
empirical example
, 60–62
generalized autoregressive conditional heteroscedasticity (GARCH) models
, 53
Markov switching multifractal (MSM)
, 55, 59, 61
mean-squared-error (MSE)
, 62
root-mean-squared-error (RMSE)
, 61–62
Mean Absolute Error
, 33
Mean-squared-error (MSE)
, 62
Microstructure theory
, 5
Momentum effects
, 72–75, 89–91
Monash-type investment function
, 216
Multicountry open economy model
, 205
Multivariate regressions
, 10–11
National Association of Insurance Commissioners Database (NAIC)
, 67, 69
Neural Network Toolbox of MathWorks
, 38
Nontariff trade barriers (NTBs)
, 215, 217
Opinion divergence, 4–6
Option pricing formula, 56–60
Ordinary least squares (OLS), 150, 182
Oversubscription ratio/trading volume
data and methodology, 166–169
definition, 164
descriptive statistics, 169–170
initial return, 169–170
Pacific-Basin Capital Market (PACAP), 134
Pecking order theory (POT), 151–152
Physical activities
Asian and Western societies, 178
body mass index (BMI), 182
children and adolescents, 178
control variables, 182–183
data source, 184
data statistics, 187–189
dummy variables, 186
frequency grid, 189
gross domestic product (GDP), 181
gross national product (GNP), 181
instrumental variable (IV) approach, 179
intensity of participation, 185
Mincer’s earning function, 182
ordinary least squares (OLS), 182
participation and intensity, 179, 185, 190–192
persistent participation, 185–187, 192–195
starting salary, 190
variable and indicators, 184–187
Pooling regressions, 14
Production coordinating mechanism, 202
Rate of return (ROR), 216
Return on assets (ROA), 103–104, 111
Return on equity (ROE), 103–104, 110
Risk-adjusted momentum returns, 66
Robustness checks, 15–17
Root-mean-squared-error (RMSE), 61
Seasoned equity offerings (SEOs), 132
abnormal return, 135–137
distribution, 135, 142
holding-period returns, 135, 138
long-run stock returns, 135, 139, 141
underperformance, 133
Self-sufficiency, 229–231
SEOs. See Seasoned equity offerings (SEOs)
Short-term momentum returns, 66
Small closed economy model, 204
Stock pledging
accounting performance, 123–124
cash holdings, 104
controlling shareholders, 105–109
correlation matrix, 118
data availability, 102–103
determinants, 114–119
financial performance, 124–127
Financial Services Authority (FSA), 102
firm performances, 123–127
logit models, 119–121
methodology, 111–114
return on assets (ROA), 103–104
return on equity (ROE), 103–104
sample selection, 109–111
share financing, 100
tobit models, 122–123
working capital, 104
Stock price movements
bear and bull markets, 12–15
bid–ask spreads, 3–4
China stock market and Accounting Research (CSMAR) database, 8
correlation matrix, 10
data, 8
governance variables, 11–12
information components, 11
information efficiency, 4
investor opinion divergence, 3, 6–8
market environments, 5
market microstructure theory, 1
measuring, 6
microstructure theory, 5
multivariate regressions, 10–11
opinion divergence, 4–6
pooling regressions, 14
proxies, 9
robustness checks, 15–17
statistics, 9
traditional asset pricing theory, 2
Stock return volatility, 3–4
Subperiods
analysis, 75–83
ratings, 84–86
Taiwanese business enterprises, 215–216
Taiwan Higher Education Dataset (THED), 178–179
Taiwan’s macro economy, 219
Tobit models, 122–123
Tokyo Stock Exchange (TSE), 132, 133
Trade diversion, 215, 220
Trade-off theory (TOT), 151
Trade shocks, 217–218
Trading Reporting and Compliance Engine (TRACE), 67–68, 69, 75–83, 95
Traditional asset pricing theory, 2
Two-country open economy model, 205
US–China trade war, spillover effect
closure, 217
computable general equilibrium (CGE), 215
foreign direct investment (FDI), 215–216, 224–225
market share, 226–228
nontariff trade barriers (NTBs), 215
policy implications, 229–231
recursive dynamic framework, 216–217
sectoral shifts, 220–223
Taiwan’s macro economy, 219
Taiwan total exports, 221–222
Taiwan total imports, 221, 223
trade shocks and empirical works, 217–218
trade similarity index, 226–228
US, Mexico, and Canada (USMCA) Trade Agreement, 223–224
Value at risk (VaR)
artificial intelligence (AI) method, 24–25
artificial neural network (ANN), 24–25
assessments, 25–26
autoregressive moving average, generalized autoregressive conditional heteroscedasticity (ARMA-GARCH) model, 24–25
backtesting, 34–36
expected shortfall, 26–27
expected tail loss (ETL), 23–24
forecasting accuracy, 33–34
measurement approaches, 27–28
model assessment, 33–38
risk properties, 25–26
Value-weighted portfolios
abnormal return (AR), 143
cumulative abnormal returns (CAR), 143
distribution, 142–143
three-factor regressions, 142–143, 145–146
and value weighted buy-and-hold, 142–144
Variance infiation factor (VIF), 157
Violation ratio, 35
Opinion divergence
, 4–6
Option pricing formula
, 56–60
Ordinary least squares (OLS)
, 150, 182
Oversubscription ratio/trading volume
data and methodology
, 166–169
definition
, 164
descriptive statistics
, 169–170
initial return
, 169–170
Pacific-Basin Capital Market (PACAP)
, 134
Pecking order theory (POT)
, 151–152
Physical activities
Asian and Western societies
, 178
body mass index (BMI)
, 182
children and adolescents
, 178
control variables
, 182–183
data source
, 184
data statistics
, 187–189
dummy variables
, 186
frequency grid
, 189
gross domestic product (GDP)
, 181
gross national product (GNP)
, 181
instrumental variable (IV) approach
, 179
intensity of participation
, 185
Mincer’s earning function
, 182
ordinary least squares (OLS)
, 182
participation and intensity
, 179, 185, 190–192
persistent participation
, 185–187, 192–195
starting salary
, 190
variable and indicators
, 184–187
Pooling regressions
, 14
Production coordinating mechanism
, 202
Rate of return (ROR), 216
Return on assets (ROA), 103–104, 111
Return on equity (ROE), 103–104, 110
Risk-adjusted momentum returns, 66
Robustness checks, 15–17
Root-mean-squared-error (RMSE), 61
Seasoned equity offerings (SEOs), 132
abnormal return, 135–137
distribution, 135, 142
holding-period returns, 135, 138
long-run stock returns, 135, 139, 141
underperformance, 133
Self-sufficiency, 229–231
SEOs. See Seasoned equity offerings (SEOs)
Short-term momentum returns, 66
Small closed economy model, 204
Stock pledging
accounting performance, 123–124
cash holdings, 104
controlling shareholders, 105–109
correlation matrix, 118
data availability, 102–103
determinants, 114–119
financial performance, 124–127
Financial Services Authority (FSA), 102
firm performances, 123–127
logit models, 119–121
methodology, 111–114
return on assets (ROA), 103–104
return on equity (ROE), 103–104
sample selection, 109–111
share financing, 100
tobit models, 122–123
working capital, 104
Stock price movements
bear and bull markets, 12–15
bid–ask spreads, 3–4
China stock market and Accounting Research (CSMAR) database, 8
correlation matrix, 10
data, 8
governance variables, 11–12
information components, 11
information efficiency, 4
investor opinion divergence, 3, 6–8
market environments, 5
market microstructure theory, 1
measuring, 6
microstructure theory, 5
multivariate regressions, 10–11
opinion divergence, 4–6
pooling regressions, 14
proxies, 9
robustness checks, 15–17
statistics, 9
traditional asset pricing theory, 2
Stock return volatility, 3–4
Subperiods
analysis, 75–83
ratings, 84–86
Taiwanese business enterprises, 215–216
Taiwan Higher Education Dataset (THED), 178–179
Taiwan’s macro economy, 219
Tobit models, 122–123
Tokyo Stock Exchange (TSE), 132, 133
Trade diversion, 215, 220
Trade-off theory (TOT), 151
Trade shocks, 217–218
Trading Reporting and Compliance Engine (TRACE), 67–68, 69, 75–83, 95
Traditional asset pricing theory, 2
Two-country open economy model, 205
US–China trade war, spillover effect
closure, 217
computable general equilibrium (CGE), 215
foreign direct investment (FDI), 215–216, 224–225
market share, 226–228
nontariff trade barriers (NTBs), 215
policy implications, 229–231
recursive dynamic framework, 216–217
sectoral shifts, 220–223
Taiwan’s macro economy, 219
Taiwan total exports, 221–222
Taiwan total imports, 221, 223
trade shocks and empirical works, 217–218
trade similarity index, 226–228
US, Mexico, and Canada (USMCA) Trade Agreement, 223–224
Value at risk (VaR)
artificial intelligence (AI) method, 24–25
artificial neural network (ANN), 24–25
assessments, 25–26
autoregressive moving average, generalized autoregressive conditional heteroscedasticity (ARMA-GARCH) model, 24–25
backtesting, 34–36
expected shortfall, 26–27
expected tail loss (ETL), 23–24
forecasting accuracy, 33–34
measurement approaches, 27–28
model assessment, 33–38
risk properties, 25–26
Value-weighted portfolios
abnormal return (AR), 143
cumulative abnormal returns (CAR), 143
distribution, 142–143
three-factor regressions, 142–143, 145–146
and value weighted buy-and-hold, 142–144
Variance infiation factor (VIF), 157
Violation ratio, 35
Rate of return (ROR)
, 216
Return on assets (ROA)
, 103–104, 111
Return on equity (ROE)
, 103–104, 110
Risk-adjusted momentum returns
, 66
Robustness checks
, 15–17
Root-mean-squared-error (RMSE)
, 61
Seasoned equity offerings (SEOs)
, 132
abnormal return
, 135–137
distribution
, 135, 142
holding-period returns
, 135, 138
long-run stock returns
, 135, 139, 141
underperformance
, 133
Self-sufficiency
, 229–231
SEOs. See Seasoned equity offerings (SEOs)
Short-term momentum returns
, 66
Small closed economy model
, 204
Stock pledging
accounting performance
, 123–124
cash holdings
, 104
controlling shareholders
, 105–109
correlation matrix
, 118
data availability
, 102–103
determinants
, 114–119
financial performance
, 124–127
Financial Services Authority (FSA)
, 102
firm performances
, 123–127
logit models
, 119–121
methodology
, 111–114
return on assets (ROA)
, 103–104
return on equity (ROE)
, 103–104
sample selection
, 109–111
share financing
, 100
tobit models
, 122–123
working capital
, 104
Stock price movements
bear and bull markets
, 12–15
bid–ask spreads
, 3–4
China stock market and Accounting Research (CSMAR) database
, 8
correlation matrix
, 10
data
, 8
governance variables
, 11–12
information components
, 11
information efficiency
, 4
investor opinion divergence
, 3, 6–8
market environments
, 5
market microstructure theory
, 1
measuring
, 6
microstructure theory
, 5
multivariate regressions
, 10–11
opinion divergence
, 4–6
pooling regressions
, 14
proxies
, 9
robustness checks
, 15–17
statistics
, 9
traditional asset pricing theory
, 2
Stock return volatility
, 3–4
Subperiods
analysis
, 75–83
ratings
, 84–86
Taiwanese business enterprises, 215–216
Taiwan Higher Education Dataset (THED), 178–179
Taiwan’s macro economy, 219
Tobit models, 122–123
Tokyo Stock Exchange (TSE), 132, 133
Trade diversion, 215, 220
Trade-off theory (TOT), 151
Trade shocks, 217–218
Trading Reporting and Compliance Engine (TRACE), 67–68, 69, 75–83, 95
Traditional asset pricing theory, 2
Two-country open economy model, 205
US–China trade war, spillover effect
closure, 217
computable general equilibrium (CGE), 215
foreign direct investment (FDI), 215–216, 224–225
market share, 226–228
nontariff trade barriers (NTBs), 215
policy implications, 229–231
recursive dynamic framework, 216–217
sectoral shifts, 220–223
Taiwan’s macro economy, 219
Taiwan total exports, 221–222
Taiwan total imports, 221, 223
trade shocks and empirical works, 217–218
trade similarity index, 226–228
US, Mexico, and Canada (USMCA) Trade Agreement, 223–224
Value at risk (VaR)
artificial intelligence (AI) method, 24–25
artificial neural network (ANN), 24–25
assessments, 25–26
autoregressive moving average, generalized autoregressive conditional heteroscedasticity (ARMA-GARCH) model, 24–25
backtesting, 34–36
expected shortfall, 26–27
expected tail loss (ETL), 23–24
forecasting accuracy, 33–34
measurement approaches, 27–28
model assessment, 33–38
risk properties, 25–26
Value-weighted portfolios
abnormal return (AR), 143
cumulative abnormal returns (CAR), 143
distribution, 142–143
three-factor regressions, 142–143, 145–146
and value weighted buy-and-hold, 142–144
Variance infiation factor (VIF), 157
Violation ratio, 35
Taiwanese business enterprises
, 215–216
Taiwan Higher Education Dataset (THED)
, 178–179
Taiwan’s macro economy
, 219
Tobit models
, 122–123
Tokyo Stock Exchange (TSE)
, 132, 133
Trade diversion
, 215, 220
Trade-off theory (TOT)
, 151
Trade shocks
, 217–218
Trading Reporting and Compliance Engine (TRACE)
, 67–68, 69, 75–83, 95
Traditional asset pricing theory
, 2
Two-country open economy model
, 205
US–China trade war, spillover effect
closure
, 217
computable general equilibrium (CGE)
, 215
foreign direct investment (FDI)
, 215–216, 224–225
market share
, 226–228
nontariff trade barriers (NTBs)
, 215
policy implications
, 229–231
recursive dynamic framework
, 216–217
sectoral shifts
, 220–223
Taiwan’s macro economy
, 219
Taiwan total exports
, 221–222
Taiwan total imports
, 221, 223
trade shocks and empirical works
, 217–218
trade similarity index
, 226–228
US, Mexico, and Canada (USMCA) Trade Agreement
, 223–224
Value at risk (VaR)
artificial intelligence (AI) method, 24–25
artificial neural network (ANN), 24–25
assessments, 25–26
autoregressive moving average, generalized autoregressive conditional heteroscedasticity (ARMA-GARCH) model, 24–25
backtesting, 34–36
expected shortfall, 26–27
expected tail loss (ETL), 23–24
forecasting accuracy, 33–34
measurement approaches, 27–28
model assessment, 33–38
risk properties, 25–26
Value-weighted portfolios
abnormal return (AR), 143
cumulative abnormal returns (CAR), 143
distribution, 142–143
three-factor regressions, 142–143, 145–146
and value weighted buy-and-hold, 142–144
Variance infiation factor (VIF), 157
Violation ratio, 35
Value at risk (VaR)
artificial intelligence (AI) method
, 24–25
artificial neural network (ANN)
, 24–25
assessments
, 25–26
autoregressive moving average, generalized autoregressive conditional heteroscedasticity (ARMA-GARCH) model
, 24–25
backtesting
, 34–36
expected shortfall
, 26–27
expected tail loss (ETL)
, 23–24
forecasting accuracy
, 33–34
measurement approaches
, 27–28
model assessment
, 33–38
risk properties
, 25–26
Value-weighted portfolios
abnormal return (AR)
, 143
cumulative abnormal returns (CAR)
, 143
distribution
, 142–143
three-factor regressions
, 142–143, 145–146
and value weighted buy-and-hold
, 142–144
Variance infiation factor (VIF)
, 157
Violation ratio
, 35
- Prelims
- Divergent Opinion, Trading Information, and Stock Price Co-movements
- Assessing Asset Tail Risk with Artificial Intelligence: The Application of Artificial Neural Network
- Option Pricing with Markov Switching Stochastic Volatility Models
- Further Evidence of Momentum in Corporate Bond Returns
- The Causes and Consequences of Stock Pledging by Controlling Shareholders: The Case of Taiwan
- Japanese SEOs Before the Lost Decade: A Revisit of the Long-Run Stock Performance
- Firm Characteristics and Capital Structure: Evidence from ASEAN-4 Economies
- Impact of Oversubscription Ratio and Trading Volume on IPO First THREE-day Initial Return
- Does Participating in Physical Activities Raise Starting Salaries of Female College Graduates? Evidence from an Asian Society
- On Market Property Right, Its Cost Components and Economic Significance
- The Spillover Effect of the US–China Trade War on Taiwan's Economy
- Index