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Asian Financial Crisis (asian + financial_crisis)
Selected AbstractsTHE IMF'S MONETARY PRESCRIPTION FOR THE SOUTHEAST ASIAN FINANCIAL CRISES: WHAT IF ,?ECONOMIC PAPERS: A JOURNAL OF APPLIED ECONOMICS AND POLICY, Issue 2 2000MARGARET FREEBAIRN First page of article [source] TESTING THE NET BUYING PRESSURE HYPOTHESIS DURING THE ASIAN FINANCIAL CRISIS: EVIDENCE FROM HANG SENG INDEX OPTIONSTHE JOURNAL OF FINANCIAL RESEARCH, Issue 1 2006Kam C. Chan Abstract We investigate net buying pressure in the Hong Kong Hang Seng Index options market during the Asian financial crisis from July 1997 to August 1998. Our findings suggest that during this period, the dramatic changes in volatility overwhelmed the dynamics of supply and demand in the options market. The extremely high realized volatility drove market participants' expectations about future market volatility in the early months of the crisis. Findings during the late-crisis, pre-crisis, and post-crisis periods are consistent with the net buying pressure hypothesis. [source] The Change in Corporate Transparency of Korean Firms After the Asian Financial Crisis: an analysis using analysts' forecast dataCORPORATE GOVERNANCE, Issue 6 2007Jinho Chang Using analysts' forecast error and forecast dispersion of firms covered by the I/B/E/S database, this study examines the change in information asymmetry of Korean firms around the financial crisis of 1997. Results show that the information asymmetry of Korean firms is lower after the financial crisis than before, implying that corporate transparency did, in effect, improve with the change in business environment. In addition, this study finds that chaebol firms have higher information asymmetry than non-chaebol firm, and also that the corporate transparency improvement of chaebol firms is not higher than that of non-chaebol firms in the post-crisis period despite the reforms particularly targeted to chaebol firms after the financial crisis. [source] Tourism flows between India and SingaporeINTERNATIONAL JOURNAL OF TOURISM RESEARCH, Issue 5 2003Faizal Yahya The tourism industry has become increasingly important as a source of revenue and employment for countries in Southeast Asia. Within the Southeast Asian region, intraregional travel has also seen an upsurge since the Asian Financial Crisis of 1997. More attention is also being paid to attract other Asian tourists from China, India, Japan and South Korea to the region. Competition to be tourism hubs in the region has seen countries such as Singapore developing an array of incentives to entice inbound foreign tourists to its shores. The aim of this paper is to examine the growing importance of India as a source of inbound tourists for countries in Southeast Asia and in particular Singapore. India is an apt case study because of its long historical and cultural links with the region. Another main motivation for examining inbound tourists from India is India's engagement with the Southeast Asian region through its ,Look East' policy. Following from its economic reforms and liberalisation of 1991, India has sought to strengthen economic links with ASEAN member states through a range of economic sectors including tourism. The 1991 Indian economic liberalisation has also created an upsurge of Indian business travellers who are exploring investment and business opportunities in the Southeast Asian region. With India's economic liberalisation of 1991, an expanding middle class has come to view foreign travel as a necessity. In turn, ASEAN member states, such as Singapore in particular, which is heavily dependent on its services sector, including tourism, for revenue, have chosen to regionalise its tourism operations by collaborating and investing in projects in India to woo more Indian tourists. Competition in the tourism sector among ASEAN countries has increased the urgency for Singapore to reinvent itself to attract foreign tourists and implement a number of initiatives to maintain its share of the tourism market. Copyright © 2003 John Wiley & Sons, Ltd. [source] The Rise and Fall of Chinese Immigration to Canada: Newcomers from Hong Kong Special Administrative Region of China1 and Mainland China, 1980,20002INTERNATIONAL MIGRATION, Issue 3 2005Peter S. Li ABSTRACT An emerging perspective in the study of global diasporas stresses the effect of economic globalization and migration shifts in reshaping the population and identifying the formation of diaspora communities. This paper analyses the immigration patterns from Hong Kong and mainland China to Canada between the 1980s and 1990s, and shows that the migration shifts have been influenced by political and economic forces in Hong Kong and China, as well as changes in Canada's immigration policy. The imminent return of Hong Kong to China in 1997 and its uncertain political future in the 1990s were often cited as the main reasons for Hong Kong's large emigration in the late 1980s and early 1990s. In reality, the rising volume of Hong Kong emigration was prompted by the 1989 Tiananmen Square incident in China and its aftermath, and by the booming economy of Hong Kong in the early 1990s that created the means for many middle-class Chinese to emigrate. At the same time, Canada's expansion of the Business Immigration Program in the mid-1980s also benefited immigrant entrepreneurs from Hong Kong. In contrast, the Asian Financial Crisis of 1997 did not deter the economic growth of China. Immigration from China rose after 1989 when Canada allowed Chinese students studying in Canada to immigrate, but it was after the mid-1990s that immigration from China expanded due to Canada's greater emphasis on admitting economic immigrants and to China's growing middle class. The continuous arrival of well-educated and urban-based immigrants from China is likely to change the population composition and identity complexity of the Chinese community in Canada. LES HAUTS ET LES BAS DE L'IMMIGRATION CHINOISE AU CANADA : LES NOUVEAUX VENUS ORIGINAIRES DE LA RÉGION ADMINISTRATIVE SPÉCIALE DE HONG KONG1 ET DE LA CHINE CONTINENTALE, 1980,2000 Une perspective émergente dans l'étude des diasporas mondiales souligne l'effet de la mondialisation économique et des glissements migratoires dans le remodelage des populations et l'identification de la formation des communautés issues des diasporas. Cet ouvrage analyse les comportements migratoires en provenance de Hong Kong et de la Chine continentale en direction du Canada entre les années 80 et 90, et montre que les glissements migratoires ont été influencés par des forces politiques et économiques à l',uvre à Hong Kong et en Chine, ainsi que par des changements intervenus au niveau de la politique canadienne d'immigration. Le retour imminent de Hong Kong à la Chine en 1997 et son avenir politique incertain dans les années 90 ont souvent été cités comme les principales raisons pour l'importante émigration qui s'est produite au départ de Hong Kong à la fin des années 80 et au début des années 90. En réalité, l'ampleur croissante de l'émigration en provenance de Hong Kong a été suscitée par les événements de la place Tiananmen qui ont eu lieu en 1989 et par leurs retombées, ainsi que par l'essor économique de Hong Kong au début des années 90, ayant procuréà bon nombre de Chinois de la classe moyenne les moyens d'émigrer. Parallèlement, l'expansion du programme d'immigration commerciale mis en place par le Canada au milieu des années 80 a également profité aux entrepreneurs immigrants de Hong Kong. Par comparaison, la crise financière asiatique de 1997 n'a pas produit d'effet dissuasif sur la croissance économique de la Chine. L'immigration en provenance de Chine continentale a augmenté après 1989, lorsque le Canada a autorisé les étudiants chinois se trouvant sur son sol à immigrer légalement, mais ce n'est qu'après le milieu des années 90 que l'immigration en provenance de Chine s'est accélérée sous l'effet de la politique canadienne facilitant l'entrée au Canada des immigrants économiques et aussi de la progression de la classe moyenne en Chine. L'arrivée continue d'immigrants chinois instruits et originaires des villes est susceptible de modifier la composition de la population et la complexité identitaire de la communauté chinoise au Canada. EL AUMENTO Y CAÍDA DE LA INMIGRACIÓN CHINA AL CANADÁ: RECIÉN LLEGADOS DE LA REGIÓN ADMINISTRATIVA ESPECIAL DE HONG KONG1 Y DE CHINA, 1980,2000 En los estudios realizados sobre las diásporas en el mundo, se observa el efecto que tienen la globalización económica y los cambios migratorios en la reconfiguración de la población y en la conformación de comunidades de la diáspora. En este artículo se examinan los patrones de inmigración de Hong Kong y China al Canadá en los años ochenta y noventa, y se demuestra que los cambios en la migración resultan de fuerzas políticas y económicas en Hong Kong y China, así como de cambios en la política de inmigración del Canadá. La inminente devolución de Hong Kong a la China en 1997 y la incertidumbre sobre su futuro político, fueron consideradas como la principal razón de la numerosa inmigración de Hong Kong a finales de los años ochenta y principios de los noventa. En realidad, el creciente número de emigrantes de Hong Kong se debió al incidente en la Plaza de Tiananmen en China en 1989 y a sus consecuencias, y al auge económico de Hong Kong a principios de los años noventa, que permitió que la clase media china pudiera emigrar. Al mismo tiempo, la ampliación del Programa de Inmigración Empresarial instaurado por el Canadá a mediados de los años ochenta también atrajo a empresarios inmigrantes provenientes de Hong Kong. Por su parte, la crisis financiera asiática de 1997 no afectó el crecimiento económico en la China. La inmigración de China aumentó tras 1989, cuando el Canadá autorizó a la inmigración de los chinos que estudiaban en el Canadá, pero fue ulteriormente, a mediados de los años noventa, que la inmigración desde China se amplió debido a que el Canadá decidió aceptar a inmigrantes económicos y a la creciente clase media proveniente de China. La continua llegada de inmigrantes chinos instruidos y de zonas urbanas, probablemente afecte la composición y complejidad de la identidad de la población china en el Canadá. [source] Stock Index Futures Prices and the Asian Financial Crisis,INTERNATIONAL REVIEW OF FINANCE, Issue 3-4 2007TAUFIQ HASSAN ABSTRACT This study reports new findings on the behavior of index futures (FKLI: code name of Kuala Lumpur Index Futures contract) prices and also records the effect of a major financial crisis on the prices. Since the inception of trading in 1995, the FKLI has been selling at a discount, which gradually increased till early 1997; further, at the onset of the financial crisis in July 1997, FKLI prices were at a high premium relative to its theoretical values. This significant mispricing of the contract declined after the initial overreaction to the crisis. Herding behavior during crisis, liquidity constraint and imposition of trading restrictions are some plausible explanations for the mispricing. This study also investigates whether trades by foreign investors had any impact when compared with prices by domestic investors. We find that foreign investors had a negative influence on permanent price changes while the domestic investors had a positive effect. [source] Bank Relationship and Firm Performance: Evidence From Thailand Before the Asian Financial CrisisJOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 9-10 2004Piman Limpaphayom Abstract: This study examines the relation between bank relations and market performance in Thailand, an economy in which commercial banks play a crucial role through lending relationship and, for a number of companies, equity ownership. Overall, bank relationships, both equity-based and debt-based, positively affect capital investment. However, there is a negative relation between lending relationships, both short-term and long-term, and market performance indicating that bank lending may not always be consistent with value maximization. There is also evidence of a positive marginal effect of bank monitoring through equity ownership on market performance. Further, the relation between bank equity ownership and market performance appears to be non-linear with a concave function. Ownership by corporate insiders is also negatively related to bank equity ownership. Overall, the findings highlight the detrimental effects of excessive short-term debt usage, one of the factors believed to contribute to the financial crisis in Thailand, and the marginal benefit of the equity-based relationship on firm value. [source] The Impact of the Asian Financial Crisis on Conservatism and Timeliness of Earnings: Evidence from Hong Kong, Malaysia, Singapore, and ThailandJOURNAL OF INTERNATIONAL FINANCIAL MANAGEMENT & ACCOUNTING, Issue 1 2010Thanyaluk Vichitsarawong This paper examines conservatism and timeliness of earnings in the period surrounding the 1997 Asian financial crisis in Hong Kong, Malaysia, Singapore, and Thailand. Prior research suggests that managers tended to be more aggressive in reporting good news and delayed recognition of bad news during the financial crisis (less conservative and less timely in financial reporting). After the crisis, these four countries implemented corporate governance measures to stabilize their financial systems and improve regulation and supervision (that should improve conservatism and timeliness). We examine and find that conservatism and timeliness of earnings during the crisis period are low, but improved in the post-crisis period. More importantly, conservatism and timeliness in the post-crisis period is even greater than in the pre-crisis period. We measure conservatism using Basu's model and the accumulation of non-operating accruals suggested by Givoly and Hayn. The findings from both measures are consistent with an increase in conservatism after the crisis period. Overall, the results indicate that corporate governance reforms in these four countries had a positive impact on conservatism and timeliness of earnings. [source] Insider Trading, Earnings Management and Corporate Governance: Empirical Evidence Based on Hong Kong FirmsJOURNAL OF INTERNATIONAL FINANCIAL MANAGEMENT & ACCOUNTING, Issue 3 2007Bikki Jaggi We document positive association between earnings management and insider selling after the fiscal year-end for Hong Kong firms. This positive association is especially evident before the 1997 Asian Financial Crisis. Our findings suggest that Hong Kong executives manage reported earnings to maximize their private benefits from insider selling. Additionally, we find that a higher proportion of independent directors (INED) on corporate boards moderate the positive association between insider selling and earnings management. Stricter monitoring of earnings management by INED is especially evident when no member of the family with majority ownership is present on corporate boards as a director. This suggests that the presence of family members with majority ownership on corporate boards significantly reduces INED's monitoring effectiveness. Our findings suggest that strict regulations are needed to control insider trading, and independence of corporate boards is important for monitoring of earnings management associated with insider trading. Furthermore, appointment of family members with majority shareholdings should be avoided to enhance independence and to monitor effectiveness of corporate boards. [source] Relationship Lending, Accounting Disclosure, and Credit Availability during the Asian Financial CrisisJOURNAL OF MONEY, CREDIT AND BANKING, Issue 1 2008WENYING JIANGLI relationship lending; accounting disclosure We examine whether lending relationships benefit firms by making credit more available during periods of financial stress. Our main finding is that during the Asian financial crisis of July 1997 through the end of 1998, relationship lending increased the likelihood that Korean and Thai firms would obtain credit but it had no effect on Indonesian and Philippine firms. We ask if accounting disclosure might explain the observed differences among the three countries for which audit information is available. We find that for Indonesian firms with weak lending relationships, banks replace relationship lending technology with a financial-statement lending technology. Such a result does not hold for Korean and Philippine firms. [source] REARGUARD POLITICS: HONG KONG'S MIDDLE CLASSTHE DEVELOPING ECONOMIES, Issue 2 2003TAI-LOK LUI This paper reports on the emergence of the middle class in contemporary Hong Kong First, it gives the historical background of the rise of the middle class in the 1970s. This historical background is important to our understanding of Hong Kong's middle class because it highlights its symbolic significance,the realization of the so-called Hong Kong dream,in the context of the local society. It is also relevant to our understanding of the shaping of its political outlook. The second section explores why the middle class stayed away from politics when the future of Hong Kong and democratization were the main topics in the political agenda of the 1980s and 1990s. Finally, the paper rounds up its discussion by reporting on the new grievances of the middle class amid the economic downturn after the Asian Financial Crisis. [source] Risk Sensitivity of Bank Stocks in Malaysia: Empirical Evidence Across the Asian Financial CrisisASIAN ECONOMIC JOURNAL, Issue 3 2004Chee Wooi Hooy The present study examines the sensitivity of commercial banks' stock excess returns to their volatility and financial risk factors, measured by interest rates and exchange rates, across the recent Asian financial crisis. In general, we found that there were no significant differences among Malaysian commercial banks in their risk exposure prior to and during the Asian financial crisis. The introduction of selective capital controls, a fixed exchange rate regime and a forced banking consolidation program, however, had increased the risk exposure of both large and small domestic banks. The effects of these risk factors were significantly detected in both large and small banks. [source] Hedge Ratio Stability and Hedging Effectiveness of Time-Varying Hedge Ratios in Volatile Index Futures Markets: Evidence from the Asian Financial Crisis,ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 5 2010Janchung Wang C10; G13; G15 Abstract Hedge ratio stability is especially important because hedgers are likely to use the estimate of historical hedge ratios to hedge future positions of their portfolios. One main purpose of the present study is to examine hedge ratio stability during the Asian financial crisis and post-crisis, periods characterized by high price volatility, using the Nikkei 225, Hang Seng, and KOSPI 200 index futures contracts. Empirical results from the Hang Seng and the KOSPI 200 futures markets indicate that during the two periods of high price volatility, hedge ratios appeared to be unstable. Additionally, both in-sample and out-of-sample evidences indicate that, for hedging effectiveness, the time-varying hedge ratios clearly outperform the constant hedge ratios for the Hang Seng and the KOSPI 200 index futures, consistent with the findings of hedge ratio instability. The comparison results of different time-varying hedge ratios support the conclusion that the bivariate error correction generalized autoregressive conditional heteroskedastic (1,1) model enhances hedging effectiveness compared to other time-varying hedge ratios. Finally, this study examines the impact of hedge duration on hedging effectiveness and hedge ratios. The empirical results indicate that hedging effectiveness improves with increasing hedge duration. [source] Attending to the world: competition, cooperation and connectivity in the World City networkGLOBAL NETWORKS, Issue 2 2002J. V. Beaverstock World Cities are acknowledged to be a key aspect of globalization. In many accounts, these cities are depicted as rivals in a global marketplace, their economic success a result of their competitive advantage. However, what has not been fully acknowledged is their connectivity and, in addition, the time and effort taken by specific ,attendants' to produce the World City network. Accordingly, this article aims to advance understanding of World City network formation by developing a conceptual model that focuses on four major attendants (firms, sectors, cities and states) that enact network formation through two nexuses ,,city-firm' and ,statesector', and two communities ,,cities within states' and ,firms within sectors'. The utility of this model is demonstrated by drawing upon interviews conducted in offices of 39 advanced producer service firms in banking and law. These interviews were undertaken in three World Cities (London, New York and Singapore) in the wake of the East Asian financial crisis, an event that challenged the consistency of the World City network. Showing how attendants sought to maintain and transform the World City network at this key moment of crisis, we conclude that studies of city competitiveness ultimately need to focus on the cooperative work that sustains global networks. [source] The Market for Professional Services in IndonesiaINTERNATIONAL JOURNAL OF AUDITING, Issue 2 2004Ilias G. Basioudis This paper reports the results of a study which investigates the market for professional services in Indonesia, a country which has not been investigated in the by audit fee literature prior. A well-developed research model used in the prior literature has also been applied in this study, and the empirical findings suggest broad similarities in the pricing of professional services in Indonesia and other countries previously studied. In addition to extending the results of prior research to a country not previously studied, this paper examines whether the large auditors fee premium documented in other countries exists in Indonesia, especially after the major Asian financial crisis of 1997/98, since then almost all companies in this geographical area exercise tight budget controls. The results suggest that no audit fee premium is accrued to Indonesian Big 5 auditors, in contrast to the large audit firm fee premium documented in many other countries. [source] Excess Risk Premia of Asian BanksINTERNATIONAL REVIEW OF FINANCE, Issue 2 2000Jianping (J.P.) Mei This paper develops a framework for gauging the risks of emerging market banks by using stock market data. Employing a multifactor asset pricing model that allows for time-varying risk premia, we find the presence of large excess risk premia on Asian bank stocks, especially in those markets affected by the Asian financial crisis. We find that the excess risk premia appear to be negatively related to the degree of economic freedom of a country but positively related to its corruption level. Thus, our findings are consistent with the view that crony capitalism in Asia may have distorted the market mechanism or the systematic risk exposure of banks. This suggests that the excess risk premium provides useful information on risk exposure for opaque banking systems where quality accounting information is not available. [source] The impact of the Asian financial crisis on bank efficiency: The 1997 experience of Malaysia and ThailandJOURNAL OF INTERNATIONAL DEVELOPMENT, Issue 7 2010Fadzlan Sufian Abstract In the mid-1990s, the East Asian countries experienced severe financial crisis that were followed by deep economic downturns. A variety of methodologies have been used to understand the nature of the Asian financial crisis. However, the impact of the 1997 Asian financial crisis on the efficiency of the financial industry has yet to be studied. By employing the Data Envelopment Analysis (DEA) approach the present study attempts to examine for the first time the impact of the 1997 Asian financial crisis on the efficiency of the Malaysian and Thailand banking sectors, two of the East Asian countries that were severely affected by the crisis. The study focuses on three major approaches vis., intermediation, value added and operating approaches. The results clearly bring forth the high degree of inefficiency in the Malaysian and Thailand banking sectors, particularly a year after the crisis. We find that the Malaysian banking sector has exhibited a higher TE levels during the post crisis period under the intermediation and value added approaches, while TE seems to be lower under the operating approach. The empirical findings suggest that the Thailand banking sector has exhibited a lower TE level during the post crisis period under all approaches. Copyright © 2009 John Wiley & Sons, Ltd. [source] The Impact of the Asian Financial Crisis on Conservatism and Timeliness of Earnings: Evidence from Hong Kong, Malaysia, Singapore, and ThailandJOURNAL OF INTERNATIONAL FINANCIAL MANAGEMENT & ACCOUNTING, Issue 1 2010Thanyaluk Vichitsarawong This paper examines conservatism and timeliness of earnings in the period surrounding the 1997 Asian financial crisis in Hong Kong, Malaysia, Singapore, and Thailand. Prior research suggests that managers tended to be more aggressive in reporting good news and delayed recognition of bad news during the financial crisis (less conservative and less timely in financial reporting). After the crisis, these four countries implemented corporate governance measures to stabilize their financial systems and improve regulation and supervision (that should improve conservatism and timeliness). We examine and find that conservatism and timeliness of earnings during the crisis period are low, but improved in the post-crisis period. More importantly, conservatism and timeliness in the post-crisis period is even greater than in the pre-crisis period. We measure conservatism using Basu's model and the accumulation of non-operating accruals suggested by Givoly and Hayn. The findings from both measures are consistent with an increase in conservatism after the crisis period. Overall, the results indicate that corporate governance reforms in these four countries had a positive impact on conservatism and timeliness of earnings. [source] Loan Loss Provisions by Banks in Hong Kong, Malaysia and SingaporeJOURNAL OF INTERNATIONAL FINANCIAL MANAGEMENT & ACCOUNTING, Issue 1 2007Li Li Eng This paper studies loan loss disclosures by banks in Hong Kong, Malaysia, and Singapore for the period 1993 through 2000. We find that unexpected loan loss provisions are positively related to bank stock returns and future cash flows. This indicates that Asian bank managers increase loan loss provisions to signal favorable cash flow prospects, and bank investors bid bank stock prices up when unexpected provisions are positive. These results are consistent with those obtained by Wahlen (1994) for US banks. We also examine the impact of the Asian financial crisis of 1997 on the loan loss variables. The results indicate that the association between the unexpected loan loss provisions and bank stock returns and future cash flows was significantly lower in the crisis years, relative to the non-crisis period. Evidently, discretionary loan loss provisions had no signaling value during the crisis. This suggests that macroeconomic uncertainty influenced the strategic behavior of Asian bank managers and investors. [source] Relationship Lending, Accounting Disclosure, and Credit Availability during the Asian Financial CrisisJOURNAL OF MONEY, CREDIT AND BANKING, Issue 1 2008WENYING JIANGLI relationship lending; accounting disclosure We examine whether lending relationships benefit firms by making credit more available during periods of financial stress. Our main finding is that during the Asian financial crisis of July 1997 through the end of 1998, relationship lending increased the likelihood that Korean and Thai firms would obtain credit but it had no effect on Indonesian and Philippine firms. We ask if accounting disclosure might explain the observed differences among the three countries for which audit information is available. We find that for Indonesian firms with weak lending relationships, banks replace relationship lending technology with a financial-statement lending technology. Such a result does not hold for Korean and Philippine firms. [source] The New Dynamics of East Asian Regional Economy: Japanese and Chinese Strategies in AsiaPACIFIC FOCUS, Issue 2 2006Yasumasa Komori The Japan-led flying-geese pattern of economic development has become obsolete as an accurate description of the pattern of economic relations in East Asia. Meanwhile, the rise of China as the world's production platform has become the most significant factor in transforming the East Asian regional economy. Although the Asian financial crisis served as a major catalyst for the emergence of ASEAN+3, the China factor looms increasingly important in the subsequent development of East Asian regionalism. Despite its enhanced position in the region, however, China's new role in East Asia is clearly different from the role that Japan played at the zenith of its economic prosperity. While Japan's economic engagement in Asia was based on economic penetration by Japanese multilateral firms, China's rapid growth is still predicated upon foreign capital and technology. China's strength lies in its ability to open up its economy for trade and investment. In trade negotiations with ASEAN, China has taken the lead, surpassing Japan, a country constrained by domestic politics. However, Japan remains an important partner for ASEAN countries, not only in providing financial and developmental assistance, but also in hedging against China's dominance. [source] Capital Structure and Financial Risk: Evidence from Foreign Debt Use in East AsiaTHE JOURNAL OF FINANCE, Issue 6 2003George Allayannis Using a data set of East Asian nonfinancial companies, we examine a firm's choice between local, foreign, and synthetic local currency (hedged foreign currency) debt. We find evidence of unique as well as common factors that determine each debt type's use, indicating the importance of examining debt at a disaggregated level. We exploit the Asian financial crisis as a natural experiment to investigate the role of debt type in firm performance. Surprisingly, we find that the use of synthetic local currency debt is associated with the biggest drop in market value, possibly due to currency derivative market illiquidity during the crisis. [source] TESTING THE NET BUYING PRESSURE HYPOTHESIS DURING THE ASIAN FINANCIAL CRISIS: EVIDENCE FROM HANG SENG INDEX OPTIONSTHE JOURNAL OF FINANCIAL RESEARCH, Issue 1 2006Kam C. Chan Abstract We investigate net buying pressure in the Hong Kong Hang Seng Index options market during the Asian financial crisis from July 1997 to August 1998. Our findings suggest that during this period, the dramatic changes in volatility overwhelmed the dynamics of supply and demand in the options market. The extremely high realized volatility drove market participants' expectations about future market volatility in the early months of the crisis. Findings during the late-crisis, pre-crisis, and post-crisis periods are consistent with the net buying pressure hypothesis. [source] Order imbalance and the pricing of index futuresTHE JOURNAL OF FUTURES MARKETS, Issue 7 2007Joseph K.W. Fung This study examines whether the aggregate order imbalance for index stocks can explain the arbitrage spread between index futures and the underlying cash index. The study covers the period of the Asian financial crisis and includes wide variations in order imbalance and the indexfutures basis. The analysis controls for realistic trading costs and actual dividend payments. The results indicate that the arbitrage spread is positively related to the aggregate order imbalance in the underlying index stocks; negative order-imbalance has a stronger impact than positive order imbalance. Violations of the upper no-arbitrage bound are related to positive order imbalance; of the lower no-arbitrage bound to negative order imbalance. Asymmetric response times to negative and positive spreads can be attributed to the difficulty, cost, and risk of short stock arbitrage when the futures are below their no-arbitrage value. The significant relationship between order imbalance and arbitrage spread confirms that index arbitrageurs are important providers of liquidity in the futures market when the stock market is in disequilibrium. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:697,717, 2007 [source] Discretionary government intervention and the mispricing of index futuresTHE JOURNAL OF FUTURES MARKETS, Issue 12 2003Paul Draper This article examines how and to what extent direct market intervention by the Hong Kong government in both the stock and futures markets affected the pricing relationship between the Hang Seng Index futures and the cash index during the period of the Asian financial crisis. The study avoids infrequent trading and nonexecution problems by using tradeable bid and offer quotes for the constituent stocks of the index. The results show that arbitrage efficiency was impeded during, and in the immediate aftermath of, the intervention. The findings suggest that discretionary government action introduces an additional risk factor for arbitrageurs that continues to disrupt normal market processes even after the government ceases to intervene. The continued disruption following the government's actions in the market also stems from a poorly developed stock loan market that impedes short selling, as well as a lack of liquidity in the market. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:1159,1189, 2003 [source] Interaction between Foreign and Domestic Investors in the Korean Stock and Futures Markets,ASIAN ECONOMIC JOURNAL, Issue 2 2009Young-Rae Song G1; F3 The present paper analyzes the behavioral relations of major investor groups in the stabilized Korean stock and futures markets after the 1997 Asian financial crisis. Investor groups cannot be classified as positive or negative feedback traders on market returns when both stock and futures markets are considered, which is inconsistent with the results in Ghysels and Seon (2005). Foreign investors and domestic institutions tend to take opposite positions in both markets. The impact of foreign investors on the basis change is significantly negative in the futures market, whereas domestic institutions have a negative relation in the stock market. This supports the view that selling activity of foreign investors in the futures market pulls the futures price down compared with the index value and, consequently, induces the reverse cash-and-carry trade of domestic institutions. This relationship, which negatively influenced the Korean economy during the crisis, as shown in Ghysels and Seon (2005), still exists in the Korean financial markets. [source] Risk Sensitivity of Bank Stocks in Malaysia: Empirical Evidence Across the Asian Financial CrisisASIAN ECONOMIC JOURNAL, Issue 3 2004Chee Wooi Hooy The present study examines the sensitivity of commercial banks' stock excess returns to their volatility and financial risk factors, measured by interest rates and exchange rates, across the recent Asian financial crisis. In general, we found that there were no significant differences among Malaysian commercial banks in their risk exposure prior to and during the Asian financial crisis. The introduction of selective capital controls, a fixed exchange rate regime and a forced banking consolidation program, however, had increased the risk exposure of both large and small domestic banks. The effects of these risk factors were significantly detected in both large and small banks. [source] Intradaily Patterns in the Korean Index Futures MarketASIAN ECONOMIC JOURNAL, Issue 2 2002Laurence Copeland This paper extends the research on intraday patterns in stock and futures exchanges into the Korean market. Similar patterns to those found previously in the heavily investigated Western markets are observed, despite the differing microstructures, institutional framework and time zones between East and West. In addition, we investigate the effect of the Asian financial crisis on intraday variables. In the Korean market, both volume and volatility were found to be consistently higher at the start of the trading day during the crisis, presumably due to a rapid reaction to overnight news. [source] 185 , Asian financial crisisASIAN-PACIFIC ECONOMIC LITERATURE, Issue 1 2002Article first published online: 9 OCT 200 No abstract is available for this article. [source] Hedge Ratio Stability and Hedging Effectiveness of Time-Varying Hedge Ratios in Volatile Index Futures Markets: Evidence from the Asian Financial Crisis,ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 5 2010Janchung Wang C10; G13; G15 Abstract Hedge ratio stability is especially important because hedgers are likely to use the estimate of historical hedge ratios to hedge future positions of their portfolios. One main purpose of the present study is to examine hedge ratio stability during the Asian financial crisis and post-crisis, periods characterized by high price volatility, using the Nikkei 225, Hang Seng, and KOSPI 200 index futures contracts. Empirical results from the Hang Seng and the KOSPI 200 futures markets indicate that during the two periods of high price volatility, hedge ratios appeared to be unstable. Additionally, both in-sample and out-of-sample evidences indicate that, for hedging effectiveness, the time-varying hedge ratios clearly outperform the constant hedge ratios for the Hang Seng and the KOSPI 200 index futures, consistent with the findings of hedge ratio instability. The comparison results of different time-varying hedge ratios support the conclusion that the bivariate error correction generalized autoregressive conditional heteroskedastic (1,1) model enhances hedging effectiveness compared to other time-varying hedge ratios. Finally, this study examines the impact of hedge duration on hedging effectiveness and hedge ratios. The empirical results indicate that hedging effectiveness improves with increasing hedge duration. [source] | |||||||||||||||||||||||||