Advances in Pacific basin financial markets

著者

• Bos, Theodore
• Fetherston, Thomas A.

書誌事項

Advances in Pacific basin financial markets

editors Theodore Bos, Thomas A. Fetherston

Jai Press, 1995-

• v. 1. 1995
• v. 2, pt. A 1996
• v. 2, pt. B 1996
• v. 3. 1997
• v. 4, 1998
• v. 5, 1999
• v. 6, 2000

注記

Includes bibliographies

内容説明・目次

巻冊次

v. 2, pt. B 1996 ISBN 9780762300938

内容説明

This second volume in the series discusses a variety of topics in the fields of derivative market analysis, macroeconomic factors, initial public offering studies, foreign exchange topics, financial management concerns and capital asset pricing and market efficiency studies.

目次

• Volume 1: Part 1 Derivative market analysis: put-call-futures parity pricing in Australia, John W. English
• pricing of Australian all ordinaries share price index futures contracts, Richard Heaney
• the impact of the lengths of estimation periods and hedging horizons on the Hang Seng index futures contract, Zhenmin Fang and Richard Y.K. Ho
• volatility patterns and trading activities under electronic trading system and in after-hour trading in Australia and New Zealand futures markets, Chun I. Lee. Part 2 Macroeconomic factors: stock market returns and macroeconomic variables in Taiwan, Don Dayananda and Wen-Yao Ko
• the demand for international reserves - some recent evidence from China, Guobo Huang. Part 3 Initial public offering studies: some further Australian evidence on the long-run performance of initial public offerings - 1974-1984, David E. Allen and M. Patrick
• the aftermarket performance of IPOs - the Korean experience, John S. Howe et al. Part 4 Foreign exchange topics: fractal structures in currency markets - evidence from the spot Australian/US dollar, Jonathan Batten and Craig Ellis
• the pricing of foreign exchange risk of Taiwan stock exchange companies, Simon C. Dzeng et al
• testing uncovered interest rate parity - the Australian experience, Ramaprasad Bhar. Volume 2: Part 1 Financial management concerns: Australian dividend reinvestment plans - the announcement effects of differing discount rates, Keith K.W. Chan et al
• the valuation effects of transnational acquisitions - evidence from the Pacific Basin region, Anand S. Desai et al
• some evidence on the trade credit practices of Japanese trading companies, Gary W. Emery and Kenn Ariga. Part 2 Capital asset pricing and market efficiency studies: a simultaneous study of the size, earnings/price, and January effects in the stock markets of Taiwan, Korea and Thailand, David K. Ding and Charlie Charoenwong
• cross-section risk and return of Tokyo stock exchange firms, Keiichi Kubota and Hitoshi Takehara
• beta is not dead - just misrepresented - evidence from the Japanese stock market, Theodore Bos and Thomas A. Fetherston
• stock market volatility and return patterns following large price changes - evidence from six Pacific Basin countries, Jinwoo Park
• conditional heteroscedasticity in the equity returns from emerging markets, P. Fraser and D.M. Power
• nonlinear dependence in daily stock index returns - evidence from Pacific Basin markets, Pradeep K. Yadav et al
• time series properties of Asian emerging markets, Ricardo Leal and Michael Austin
• intraday buy/sell orders, trading volumes, returns in the Taiwan stock market - an application of the vat model, Rern-Jay Hung et al.

巻冊次

v. 3. 1997 ISBN 9780762301966

内容説明

This is the third volume in a series which examines advances in Pacific Basin financial markets. It discusses issues such as time-varying volatility estimates in option pricing, the risk behaviour of Hong Kong firms approaching bankruptcy, and the time value of futures options in Australia.

目次

Outlook and overview (T. Bos, T.A. Fetherston). Time-varying volatility estimates in option pricing: can superior estimates be obtained? (T.J. Brailsford, B.R. Oliver). Enhancing portfolio performance: a Bayesian approach to incorporating the CAPM into conditional asset allocation (A. Khanthavit). Price changes, trading volume and price limits (Kee-Hong Bae, Baekin Cha). Estimating the term structure of volatility in bond prices by use of Kalman filter methodology (Ramaprasad Bhar, C. Chiarella). An empirical analysis of the determinants of Australian commercial banks' loan-to-deposit ratios (S.A. Dennis, I.S. Suriawinata). Simex Nikkei futures spreads and their determinants (D.K. Ding and Beng-Soon Chong). The time value of futures options in Australia (J.W. English). No gains from dual listing in the Shanghai Stock Exchange (Zhenmin Fang). The short-run performance of initial public offers: new results using a dynamic beta model (D. Blake, A.F. Freris). Sources of return volatility: evidence from Australian ADRs (J.C.Y. How and J.S. Howe). Index futures and the covariability of its underlying constituent stocks: the case of Hong Kong (A.C.N. Kan). The effects of section change on return, volatility and liquidity in the Korean Stock Market (Kwangsoo Ko, Insup Lee). The Markowitz efficient frontiers of the Pacific-Basin capital markets with exchange rate risk (Chin W. Yang, D.B. Means, Jr. and Bwo N. Huang). Price volatility of the Nikkei Index component stocks (S. Ghon Rhee, C.J. Wang and Y. Hashimoto). Extended trading hours and market microstructure: evidence from the Thai Stock Market (R.P. Chang, S. Ghon Rhee and W. Tawarangkoon). The risk behavior of Hong Kong firms approaching bankruptcy (G.Y.N. Tang, S.K.M. Lam). Initial public offerings: the Malaysian experience 1990-1994 (Othman Yong). Common risk factor of Tokyo Stock Exchange firms: in finding the mimicking portfolios(Keiichi Kubota, Hitoshai Takehara).

巻冊次

v. 4, 1998 ISBN 9780762303199

内容説明

This is the fourth volume in a series which examines advances in Pacific Basin financial markets.

目次

Prologue and overview. Market Integration. Trading mechanisms, liquidity risk and international equity market integration (Kyung-Won Kim, J.E. Finnerty). An examination into market segmentation in the Chinese Stock Market (Yea-Mow Chen, Yuli Su). Stock price fluctuations in Australia: the influence of Japanese and U.S. markets (Guay Lim, P. McNelis. Market Microstructure. Intraday and interday volatility patterns in HSIF contracts (D.F.S. Choi, Kin Lam). Intraday bid-asked spreads on the prediction of currency risk and return (T.H. Lin, Ansing Chen). Additional evidence of the spinoff effect: the case of Hong Kong (Lifan Wu). Fractal structure in the Pacific Rim (J.S. Howe et al.). Statistical long-term dependence in currency futures markets (J. Batten, C. Ellis). An analysis of return behavior of Indonesian Stocks (R.P. Chang and S. Ghon Rhee). IPO returns: state versus non-state firms (Tai Ma, C.C. Tsai). The behavior of stock returns around the holidays: an approach of robustness in Taiwan (Che-Peng Lin, M. Walker). Estimating interest rate futures model in the Heath-Jarrow-Morton framework (R. Bhar, C. Chiarella). Futures margin regulation and stock market volatility evidence from the Nikkei 225 options market (M.M. Nabil). A term structure model for delivery options implied in interest rate futures (Shang-Wu Yu). Banking, Financial Forecasting, Capital Structure and Fixed Income. Capital theory: lesson from Tobin's Q applied to bank's commercial loan portfolios (D.J. Juttner, B.E. Gup). Regulatory intervention and the removal of market discipline evidence from the deposit interest rates of uninsured financial institutions in Taiwan (Chai-Liang Huang, Pu Liu). Earnings forecasts in Malaysia: an empirical analysis (K. Paudyal et al.). A direct test of the pecking order hypothesis in an Australian context (D.E. Allen, M.R. Clissold). Valuation of Singapore corporate bonds and implications (J. Kang et al.).

巻冊次

v. 5, 1999 ISBN 9780762306015

内容説明

Eighteen papers address a number of financial research topics pertinent to the Pacific Basin region in the 5th volume in the series.

目次

Overview (T. Bos, T. Fetherston). Instututional Arrangements and Market Microstructure. Financial innovation in Taiwan: the engineering of treasury bond margin contracts (E. Chow, Pu Liu). Financial fragility and recent developments in the Japanese safety net (A. Horiuchi). A contingent-claim approach to the joint decision of the flat-rate deposit insurance and risk-based capital regulation (Pi-Hiu Ting et al.). Election of an index for stock index futures: the Indian case (M. Thiripalraju et al.). Foreign exchange traders in Hong Kong, Tokyo and Singapore: a survey study (Yin-Wong Cheung, C. Yuk-Pang Wong). Reducing multinational corporation's foreign exchange risk and financing cost by sourcing debt from Asia Pacific national provident funds: a model for thought (D. Dayananda). Quoted and effective spreads on Taiwan stocks (S. Ghon Rhee, Chi-Jeng Wang). Delivery options and hedging effectiveness (Shang-Wu Yu). Market efficiency empirics. The instability of intercountry equity returns: implications for the efficient frontier (T. Bos, T. Fetherston). An analysis of dual-listed stocks on the SES and the KLSE: 1991-1996 (D.K. Ding). The signaling impact of the suspension of trading in China's treasury bond futures (W.P. Poon, M. Firth). Stock returns and volatility: international evidence (K. Paudyal, L. Saldanha). An examination of long-run overreaction in three Far-Eastern capital markets (Kuang-Hua Wang et al.). Investment Performance Scenarios. Institutional shareholdings and the financial structure and performance of firms (M. Firth). The wealth effects to Japanese firms from international joint ventures (Enyang Guo et al.). A test of the diversification benefits of multinational companies in a New Zealand based portfolio (A.T. Rad et al.). An empirical study of forecasting power of turnover and book-to-price for stock returns in Taiwan (Her-Jiun Sheu, Kuang-Ping Ku). Pacific Basin mutual fund (G. Pushner, D. Coogan).

巻冊次

v. 6, 2000 ISBN 9780762306428

内容説明

Thomas A. Fetherston explores the financial markets in the 6th volume of Advances in Pacific Basin Financial Markets.

目次

Part headings and selected papers: List of contributors. Overview (T.A. Fetherston). Market Microstructure. Price parities of stocks listed on both the Kuala Lumpur Stock Exchange and Singapore's Clob International (D.K. Ding). Market structure and stock price behaviour in the Korean stock market (Kyung-Won Kim). The effects of price limits on overreaction and information asymmetry: evidence from the Taiwan stock market (Jie-Haun Lee). Opening prices on the ASX and the SES (A. Frino et al.). Investment Return Factors. Long-term and short-term casual relationships between dividends and stock prices in Malaysia: a time-series analysis in the spirit of Lintner's model (D.E. Allen et al.). An investigation into the performance of recommended funds: do the managed funds "approved" by research companies outperform the non-gratae? (J. Sawicki, K. Thomson). Seasonality of the covariance and correlation matrices of stock returns: Hong Kong evidence (G.Y.N. Tang). The instability of cointegrating relationships among stock indices: the case of Pacific Basin and major stock markets (T. Bos et al.). Ownership structure and corporate performance: some Chinese evidence (Yea-Mow Chen, Shang-Chi Gong). Futures and Options Analysis. Pacific Rim futures markets and their intertemporal relationships (K. Fong, R. Zurbruegg). The markets for Korean stock index futures: arbitrage opportunities and hedging effectiveness (J. Park). Short-term and long-term impact of option listing on underlying securities: Hong Kong evidence (Sangphill Kim, O.M. Rui). Intertemporal dynamic interactions between spot and futures stock markets in Japan (Shang-Wu Yu). Interest Rate and Macroeconomic Factors. The time-series properties of credit spreads: evidence from Australian dollar eurobonds (J. Batten et al.). Exposure to permanent and temporary exchange-rate shocks of industries in Thailand (A. Khanthavit).

巻冊次

v. 1. 1995 ISBN 9781559388610

内容説明

This is the first volume in a series concentrating on the financial markets of the Pacific Basin. It investigates such topics as market integration in the four newly industrialized economies of Asia and equity price variation in Pacific Basin countries.

目次

• Advances in Pacific Basin financial markets - introduction and overview, Theodore Bos and Thomas A. Fetherston
• volume and price relationships in three yen futures markets, Jonathan Batten and Ram Bhar
• bidders' initial stake in target companies and premiums paid to remaining target shareholders in New Zealand full takeover offers - could it justify a mandatory offer rule?, Amnon Mandelbaum
• the inflation-stock returns puzzle - a comparison of the United States and Japan, 1970-1992, Susan Belden
• equity price variation in Pacific Basin countries - Thai stock market volatility, Don Dayananda and Kevin Fagg
• using interest rate swaps to manage corporate bonds, Zhenmin Fang
• the cost of capital in Japan and the United States - a comparative analysis, Benton E. Gup
• market integration in the four newly industrialized economies of Asia, Raymond H.F. Kwok
• "news" and the volatility of the foreign exchange market, John Hin Hock Lee
• large operating efficiency of Malaysian banks, Ming-Hua Liu et al
• the impact of price limits on market volatility in Taiwan, Soushan We and Tony Naughton
• the relationship between accounting returns and stock market returns - Australian evidence, David E. Allen et al
• equity price variation in Pacific Basin countries, Yin Wong et al
• the stochastic structure of official and black-market exchange rates in the Pacific Basin economies, Pochara Theerathorn and T. Chotigea
• diversification and intervalling effects on stock - returns across industrial sectors - evidence from Hong Kong, Gordon Y.N. Tang
• stochastic behaviour of interest rates in Singapore, Y.K. Tse
• measuring the hedging contribution of futures trading and futures contracts, Soushan Wu et al
• response of country fund returns, premiums and trading volume to news - the case of the Korea fund, Chan-Wung Kim and Young-Kyu Kim
• the long-term performance of IPO's and non-IPO's - evidence from the firms listed on the Tokyo stock exchange, Chuan Yang Hwang and Narayanan Jayaraman
• the tail index of Asian exchange rate returns, Kees Koedjik and Fred Nieuwland
• correlation structure forecasting of ex-ante portfolio selection strategies in emerging Asia markets, Richard Y.K. Ho and Rayrnolld Siu-Kuen Lee
• foreign exchange risk strategies of Australian firms, Tony Naughton and Teoh Hai Yap
• nonstationary of the market model, outliers and choice of the market rate of return, Theodore Bos and Thomas A. Fetherston.

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詳細情報

• NII書誌ID(NCID): BA26591562
• ISBN:
  • 1559388617
  • 0762300930
  • 0762300930
  • 0762301961
  • 0762303190
  • 0762306017
  • 0762306424
• 出版国コード: us
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: Greenwich ; London
• ページ数/冊数: v.
• 大きさ: 24 cm
• 分類:
  • NDC9 : 338.1