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Book part
Publication date: 10 December 2024

Takayasu Ito

This chapter presents comparative analyses of the term structure of interbank interest rates in Japan under different regimes of non-traditional monetary policy. The yield curve…

Abstract

This chapter presents comparative analyses of the term structure of interbank interest rates in Japan under different regimes of non-traditional monetary policy. The yield curve under a ‘quantitative and qualitative easing policy’ is driven by three common trends and driven by two common trends under a ‘negative interest rate policy’. Market practitioners assumed that there was little room for interbank interest rates to be lowered because of the zero lower bound restriction under ‘a quantitative and qualitative easing policy’. But after the BOJ introduced ‘a negative interest rate policy’, the zero lower bound restriction was lifted. This is why the market function of interbank interest rate began to recover.

Details

The Finance-Innovation Nexus: Implications for Socio-Economic Development
Type: Book
ISBN: 978-1-83608-730-4

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Book part
Publication date: 3 October 2022

Takayasu Ito

A cheaper yen gives foreign investors strong incentives to buy Japanese Government Bonds (JGBs) of 5 and 10 years under the comprehensive easing policy regime. The purchase of…

Abstract

A cheaper yen gives foreign investors strong incentives to buy Japanese Government Bonds (JGBs) of 5 and 10 years under the comprehensive easing policy regime. The purchase of JGBs by foreign investors using a cheaper yen funded on a negative basis in the long-term basis swap market contributes to the declining yield of JGBs under the comprehensive easing policy regime. When the Bank of Japan introduced a quantitative and qualitative easing policy, and then a negative interest rate policy, the trend observed under the comprehensive easing policy changed. This was because long-term basis swap rate tended not to decline under the quantitative and qualitative easing policy and negative interest rate policy regimes in comparison with under the comprehensive easing policy regime.

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Book part
Publication date: 19 June 2019

Takayasu Ito

The five-, 10-, and 20-year yields of Japanese government bonds (JGBs) co-move with the six- and 12-month basis swap rates under the quantitative and qualitative easing policy…

Abstract

The five-, 10-, and 20-year yields of Japanese government bonds (JGBs) co-move with the six- and 12-month basis swap rates under the quantitative and qualitative easing policy regime introduced by the Bank of Japan (BOJ). The 10- and 20-year JGB yields are in a one-to-one relationship with the six- and 12-month basis swap rates. A cheaper yen gives foreign investors strong incentives to buy 10- and 20-year JGBs under the quantitative and qualitative easing policy regime. A cheaper yen also gives foreign investors some incentives to buy five-year JGBs under the same regime. However, JGB yield does not co-move with basis swap rate under the negative interest rate policy regime. After the BOJ introduced the negative interest rate policy, the trend observed under the quantitative and qualitative easing policy regime changed.

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Article
Publication date: 25 November 2013

Takayasu Ito

This paper aims to analyze Islamic rates of return, conventional interest rates in the Malaysian deposit markets, and Kuala Lumpur Interbank Offered Rate (KLIBOR) rates in the…

2424

Abstract

Purpose

This paper aims to analyze Islamic rates of return, conventional interest rates in the Malaysian deposit markets, and Kuala Lumpur Interbank Offered Rate (KLIBOR) rates in the short-term money market from the view point of co-movement and transmission.

Design/methodology/approach

The non-stationary time series models such as cointegration and Granger causality tests are applied to analyze the daily data.

Findings

Islamic rates of return and conventional interest rates co-move in the Malaysian deposit market. The Islamic rates of return propel conventional interest rates in the three-, six-, and 12-month maturities. Islamic rates of return and conventional interest rates form a short-term money market with KLIBOR rates.

Research limitations/implications

The author analyzes econometrically the sample period from May 16, 2005 to January 12, 2012. This paper concentrates on the period after the development of Islamic banking in Malaysia.

Practical implications

Islamic and conventional deposit markets are competitive in Malaysia; in particular, the competition in the one-month deposit market is very keen. Islamic rates of return have more impact on the formation of short-term interest rates than conventional interest rates.

Originality/value

This paper makes three contributions to the related literatures. First, it uses daily data in the maturities of one month, three months, six months and 12 months for its analyses. Second, it uses the Granger causality method of Toda and Yamamoto to avoid the issue of the non-stationarity of the data. The results of the Granger causality tests in this paper are different from related literatures. Third, this paper focuses on the relationship of KLIBOR rates and Islamic rates of return, and of KLIBOR rates and conventional interest rates.

Details

International Journal of Islamic and Middle Eastern Finance and Management, vol. 6 no. 4
Type: Research Article
ISSN: 1753-8394

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Available. Content available
Book part
Publication date: 10 December 2024

Abstract

Details

The Finance-Innovation Nexus: Implications for Socio-Economic Development
Type: Book
ISBN: 978-1-83608-730-4

Available. Content available
Book part
Publication date: 3 October 2022

Free Access. Free Access

Abstract

Details

Quantitative Analysis of Social and Financial Market Development
Type: Book
ISBN: 978-1-80117-921-8

Available. Content available
Article
Publication date: 25 November 2013

M. Kabir Hassan

243

Abstract

Details

International Journal of Islamic and Middle Eastern Finance and Management, vol. 6 no. 4
Type: Research Article
ISSN: 1753-8394

Available. Content available
Book part
Publication date: 19 June 2019

Abstract

Details

Asia-Pacific Contemporary Finance and Development
Type: Book
ISBN: 978-1-78973-273-3

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Case study
Publication date: 5 June 2020

Masahiro Toriyama, Mohanbir Sawhney and Katharine Kruse

In late 2019, Dr. Hiroaki Kitano, the president and director of research at Sony Computer Science Laboratories (Sony CSL), had decided he would be stepping down from his position…

Abstract

In late 2019, Dr. Hiroaki Kitano, the president and director of research at Sony Computer Science Laboratories (Sony CSL), had decided he would be stepping down from his position soon. Sony CSL, a small blue-sky fundamental research facility funded by Sony, had always operated on the strength of the trust between Sony's CEO and the lab's director. Sony had been hands-off in its management, leaving Kitano to hire, fire, fund, and evaluate the lab's researchers and project portfolio at his own discretion. Now that he was stepping down, however, he worried that Sony CSL could not withstand his departure. Kitano wanted to make a transparent plan for the organization's future before he handed off Sony CSL to his successor. That plan involved three key decisions. First, what should be the optimal structure and governance of Sony CSL? Should it maintain its independence and autonomy, or should it align more closely with Sony's business priorities? Second, how could Sony CSL scale its impact on Sony and society at large, given its small size? Finally, should Sony CSL establish some standard methods of measuring project success and strength of the portfolio? In making these decisions, Kitano wanted to ensure that he preserved the unique culture that had allowed Sony CSL to pursue path-breaking research and innovation.

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Article
Publication date: 5 August 2024

Aritra Ganti and Shubham Singhania

While being integrated together conceptually and practically, the literature on game theory in the context of financial markets lacks a cohesive understanding. This study aims to…

251

Abstract

Purpose

While being integrated together conceptually and practically, the literature on game theory in the context of financial markets lacks a cohesive understanding. This study aims to systematically scrutinize and analyse the literature of game theory in the context of financial markets, through a systematic literature review.

Design/methodology/approach

A systematic literature-based approach, through the theories, context, characteristics and methodology (TCCM) framework has been applied to 97 articles, extracted and filtered from two databases, Scopus and Web of Science, for a comprehensive review and understanding of the intellectual development in the domain of game theory and financial markets.

Findings

The review highlighted the most utilitarian theories within the literature, the context of research in terms of countries and industries, four themes which characterize the literature, as well as the methodologies and research designs used in this research domain. The paper also uncovered certain essential areas that present scope for further research.

Research limitations/implications

While two of the largest indexation databases have been used, some relevant articles may have been excluded due to the restriction of databases and screening criteria, which may lead to the less exploration of several facets of the domain.

Practical implications

Practically, the paper has implications for multiple stakeholders including traders, businesses and governments. For traders, this paper acts as a guide to entering and understanding the dynamics of financial markets. The review also covers decision-making from the perspective of firms, including venture capitalists. This paper would allow firms to understand how game theory can help influence or analyze the strategic interactions between their stakeholders in terms of information disclosure, or consumers and their behavior to stimuli from the firm’s actions.

Originality/value

To the best of the authors’ knowledge, this study is the first of its kind that attempts to comprehensively provide an overview of the literature on game theory in financial markets. In doing so, this study shall help assess the current state of knowledge in the said field and locate gaps in the literature to propose new research directions.

Details

Journal of Modelling in Management, vol. 20 no. 1
Type: Research Article
ISSN: 1746-5664

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