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Luo, Yongli
- Economic Freedom, Financial Crisis and Stock Volatilities in Emerging Markets
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1 School of Business, Wayland Baptist University, IN
1 School of Business, Wayland Baptist University, IN
Source
International Journal of Financial Management, Vol 4, No 1 (2014), Pagination: 1-10Abstract
This paper explores how equity market volatilities are related with the Index of Economic Freedom for 22 emerging countries over 1995-2010 by considering the impacts of financial crisis. Consistent with theory, we find the overall economic freedom index and its components exert significant impacts on equity market volatilities. Specifically, the index components within the categories of regulatory efficiency (such as business freedom and monetary freedom) and limited government (fiscal freedom, and government spending) exhibit strong and significant explaining powers to the stock market volatilities. However, the other index components within the categories of rule of law and open markets are not significant. In addition, the stock market volatilities are significantly higher when the country confronts either one of the currency crisis, inflation crisis, stock market crash, debt crisis, or banking crisis. The results are consistent across different levels of inflation and wealth in emerging markets.Keywords
Economic Freedom, Financial Crisis, Stock Volatility, Emerging Markets
- The Herding Behavior and Financial Crisis:Evidence from Chinese ADRs
Abstract Views :226 |
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Authors
Affiliations
1 Associate Professor, Department of Accounting Economics and Finance, Archie W. Dunham College School of Business, Houston Baptist University, US
1 Associate Professor, Department of Accounting Economics and Finance, Archie W. Dunham College School of Business, Houston Baptist University, US
Source
International Journal of Financial Management, Vol 9, No 4 (2019), Pagination: 11-15Abstract
This paper investigates the herding behavior among Chinese American Depository Receipts (ADRs) during 1993-2008. We find the evidence of herding among Chinese ADRs in both rising and falling markets. Moreover, the herding has no significant difference in the host market (NYSE or NASDAQ), where the ADRs were traded, and the underlying markets (mainland China or Hong Kong), where the ADRs were issued. However, we find that herding occurs only among those Chinese ADRs issued during the time of Internet bubble, indicating that market timing has great effects on herding behavior, while the origin of issuers does not matter. Thus, this paper concludes that the herding behavior of Chinese ADRs supports the informationdriven hypothesis, and this result has important implication on global financial crisis. This paper suggests that information-driven herding exists among Chinese ADRs. The results support our hypothesis that Chinese ADRs are dominated by sophisticated investors. To further stabilize ADR stock markets, it is imperative to improve information transparency of the underlying firms, especially those Chinese ADRs issued during the time of Internet bubble.Keywords
Herding Behavior, Financial Crisis, Chinese ADRs.References
- Bikhchandani, S., & Sharma, S. (2000). Herd behavior in financial markets: A review. IMF Working Paper WP/00/48 (International Monetary Fund, Washington).
- Chang, E. C., Cheng, J. W., & Khorana, A. (2000). An examination of herd behavior in equity markets: An international perspective. Journal of Banking and Finance, 24(10), 1651-1679.
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- Regional Heterogeneity, Monetary Shock, and Bank Lending: Evidence from Chinese Real Estate Market
Abstract Views :92 |
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Authors
Affiliations
1 Associate Professor, The Department of Accounting, Economics, and Finance, Houston Baptist University, Texas, USA, GB
1 Associate Professor, The Department of Accounting, Economics, and Finance, Houston Baptist University, Texas, USA, GB
Source
International Journal of Financial Management, Vol 11, No 2 (2021), Pagination: 1-12Abstract
This paper investigates whether the Chinese real estate price rise is a national monetary shock and driven mainly by monetary shocks, or is controlled by the regional governments and driven mainly by local bank lending activities. The paper attempts to reveal how the determinants on residential property prices differ from those of the commercial property prices. Using both cross-sectional OLS regression and dynamic GMM method, it shows that, historically, movements in Chinese house prices have strong regional heterogeneity, meaning that they have mainly been driven by the local (provincial or region-specific) components, rather than nation-wide components. In addition, the local income level is a strong candidate in explaining the housing price movements. The paper extends prior literature by shedding light on the current debate that increases in house prices in China reflect a national phenomenon, rather than a collection of “local bubbles”. In addition, the paper empirically addresses the role of monetary shock and bank lending activities in the Chinese real estate market.Keywords
Chinese Real Estate, Monetary Policy, Bank Lending, Regional HeterogeneityReferences
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