for Journals by Title or ISSN
for Articles by Keywords
help
  Subjects -> BUSINESS AND ECONOMICS (Total: 3107 journals)
    - ACCOUNTING (88 journals)
    - BANKING AND FINANCE (264 journals)
    - BUSINESS AND ECONOMICS (1150 journals)
    - CONSUMER EDUCATION AND PROTECTION (24 journals)
    - COOPERATIVES (4 journals)
    - ECONOMIC SCIENCES: GENERAL (166 journals)
    - ECONOMIC SYSTEMS, THEORIES AND HISTORY (179 journals)
    - FASHION AND CONSUMER TRENDS (13 journals)
    - HUMAN RESOURCES (93 journals)
    - INSURANCE (23 journals)
    - INTERNATIONAL COMMERCE (126 journals)
    - INTERNATIONAL DEVELOPMENT AND AID (83 journals)
    - INVESTMENTS (27 journals)
    - LABOR AND INDUSTRIAL RELATIONS (43 journals)
    - MACROECONOMICS (15 journals)
    - MANAGEMENT (523 journals)
    - MARKETING AND PURCHASING (88 journals)
    - MICROECONOMICS (24 journals)
    - PRODUCTION OF GOODS AND SERVICES (138 journals)
    - PUBLIC FINANCE, TAXATION (34 journals)
    - TRADE AND INDUSTRIAL DIRECTORIES (2 journals)

BUSINESS AND ECONOMICS (1150 journals)                  1 2 3 4 5 6 | Last

Showing 1 - 200 of 1566 Journals sorted alphabetically
4OR: A Quarterly Journal of Operations Research     Hybrid Journal   (Followers: 9)
Abacus     Hybrid Journal   (Followers: 12)
Accounting Forum     Hybrid Journal   (Followers: 23)
Acta Amazonica     Open Access   (Followers: 3)
Acta Commercii     Open Access   (Followers: 2)
Acta Oeconomica     Full-text available via subscription   (Followers: 2)
Acta Scientiarum. Human and Social Sciences     Open Access   (Followers: 4)
Acta Universitatis Danubius. Œconomica     Open Access   (Followers: 1)
Acta Universitatis Nicolai Copernici Zarządzanie     Open Access   (Followers: 3)
AD-minister     Open Access   (Followers: 2)
ADR Bulletin     Open Access   (Followers: 5)
Advances in Developing Human Resources     Hybrid Journal   (Followers: 21)
Advances in Economics and Business     Open Access   (Followers: 12)
AfricaGrowth Agenda     Full-text available via subscription   (Followers: 1)
African Affairs     Hybrid Journal   (Followers: 60)
African Development Review     Hybrid Journal   (Followers: 35)
African Journal of Business and Economic Research     Full-text available via subscription   (Followers: 1)
African Journal of Business Ethics     Open Access   (Followers: 7)
African Review of Economics and Finance     Open Access   (Followers: 3)
Afro-Asian Journal of Finance and Accounting     Hybrid Journal   (Followers: 7)
Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi     Open Access   (Followers: 3)
Agronomy     Open Access   (Followers: 11)
Akademika : Journal of Southeast Asia Social Sciences and Humanities     Open Access   (Followers: 4)
Alphanumeric Journal : The Journal of Operations Research, Statistics, Econometrics and Management Information Systems     Open Access   (Followers: 4)
American Economic Journal : Applied Economics     Full-text available via subscription   (Followers: 141)
American Journal of Business     Hybrid Journal   (Followers: 15)
American Journal of Business and Management     Open Access   (Followers: 52)
American Journal of Business Education     Open Access   (Followers: 10)
American Journal of Economics and Business Administration     Open Access   (Followers: 25)
American Journal of Economics and Sociology     Hybrid Journal   (Followers: 27)
American Journal of Evaluation     Hybrid Journal   (Followers: 13)
American Journal of Finance and Accounting     Hybrid Journal   (Followers: 19)
American Journal of Health Economics     Full-text available via subscription   (Followers: 11)
American Journal of Industrial and Business Management     Open Access   (Followers: 23)
American Journal of Medical Quality     Hybrid Journal   (Followers: 7)
American Law and Economics Review     Hybrid Journal   (Followers: 25)
ANALES de la Universidad Central del Ecuador     Open Access   (Followers: 1)
Annales de l'Institut Henri Poincare (C) Non Linear Analysis     Full-text available via subscription   (Followers: 1)
Annals in Social Responsibility     Full-text available via subscription  
Annals of Finance     Hybrid Journal   (Followers: 28)
Annals of Operations Research     Hybrid Journal   (Followers: 8)
Annual Review of Economics     Full-text available via subscription   (Followers: 30)
Applied Developmental Science     Hybrid Journal   (Followers: 3)
Applied Economics     Hybrid Journal   (Followers: 46)
Applied Economics Letters     Hybrid Journal   (Followers: 29)
Applied Economics Quarterly     Full-text available via subscription   (Followers: 10)
Applied Financial Economics     Hybrid Journal   (Followers: 23)
Applied Mathematical Finance     Hybrid Journal   (Followers: 7)
Applied Stochastic Models in Business and Industry     Hybrid Journal   (Followers: 5)
Arab Economic and Business Journal     Open Access   (Followers: 3)
Archives of Business Research     Open Access   (Followers: 5)
Arena Journal     Full-text available via subscription   (Followers: 1)
Argomenti. Rivista di economia, cultura e ricerca sociale     Open Access   (Followers: 2)
ASEAN Economic Bulletin     Full-text available via subscription   (Followers: 5)
Asia Pacific Business Review     Hybrid Journal   (Followers: 5)
Asia Pacific Journal of Human Resources     Hybrid Journal   (Followers: 316)
Asia Pacific Viewpoint     Hybrid Journal  
Asia-Pacific Journal of Business Administration     Hybrid Journal   (Followers: 3)
Asia-Pacific Journal of Operational Research     Hybrid Journal   (Followers: 3)
Asia-Pacific Management and Business Application     Open Access  
Asian Business Review     Open Access   (Followers: 2)
Asian Case Research Journal     Hybrid Journal   (Followers: 1)
Asian Development Review     Open Access   (Followers: 13)
Asian Economic Journal     Hybrid Journal   (Followers: 8)
Asian Economic Papers     Hybrid Journal   (Followers: 7)
Asian Economic Policy Review     Hybrid Journal   (Followers: 4)
Asian Journal of Accounting and Governance     Open Access   (Followers: 4)
Asian Journal of Business Ethics     Hybrid Journal   (Followers: 7)
Asian Journal of Social Sciences and Management Studies     Open Access   (Followers: 7)
Asian Journal of Sustainability and Social Responsibility     Open Access  
Asian Journal of Technology Innovation     Hybrid Journal   (Followers: 8)
Asian-pacific Economic Literature     Hybrid Journal   (Followers: 5)
AStA Wirtschafts- und Sozialstatistisches Archiv     Hybrid Journal   (Followers: 5)
Atlantic Economic Journal     Hybrid Journal   (Followers: 15)
Australasian Journal of Regional Studies, The     Full-text available via subscription   (Followers: 2)
Australian Cottongrower, The     Full-text available via subscription   (Followers: 1)
Australian Economic Papers     Hybrid Journal   (Followers: 25)
Australian Economic Review     Hybrid Journal   (Followers: 6)
Australian Journal of Maritime and Ocean Affairs     Hybrid Journal   (Followers: 10)
Balkan Region Conference on Engineering and Business Education     Open Access   (Followers: 1)
Baltic Journal of Real Estate Economics and Construction Management     Open Access   (Followers: 1)
Banks in Insurance Report     Hybrid Journal   (Followers: 1)
BBR - Brazilian Business Review     Open Access   (Followers: 4)
Benchmarking : An International Journal     Hybrid Journal   (Followers: 11)
BER : Consumer Confidence Survey     Full-text available via subscription   (Followers: 4)
BER : Economic Prospects : An Executive Summary     Full-text available via subscription  
BER : Economic Prospects : Full Survey     Full-text available via subscription   (Followers: 2)
BER : Intermediate Goods Industries Survey     Full-text available via subscription   (Followers: 1)
BER : Manufacturing Survey : Full Survey     Full-text available via subscription   (Followers: 2)
BER : Motor Trade Survey     Full-text available via subscription   (Followers: 1)
BER : Retail Sector Survey     Full-text available via subscription   (Followers: 2)
BER : Retail Survey : Full Survey     Full-text available via subscription   (Followers: 2)
BER : Survey of Business Conditions in Building and Construction : An Executive Summary     Full-text available via subscription   (Followers: 4)
BER : Survey of Business Conditions in Manufacturing : An Executive Summary     Full-text available via subscription   (Followers: 3)
BER : Survey of Business Conditions in Retail : An Executive Summary     Full-text available via subscription   (Followers: 3)
BER : Trends : Full Survey     Full-text available via subscription   (Followers: 2)
BER : Wholesale Sector Survey     Full-text available via subscription   (Followers: 1)
Berkeley Business Law Journal     Free   (Followers: 10)
Bio-based and Applied Economics     Open Access   (Followers: 1)
Biodegradation     Hybrid Journal   (Followers: 1)
Biology Direct     Open Access   (Followers: 7)
Black Enterprise     Full-text available via subscription  
Board & Administrator for Administrators only     Hybrid Journal  
Border Crossing : Transnational Working Papers     Open Access   (Followers: 2)
Briefings in Real Estate Finance     Hybrid Journal   (Followers: 5)
British Journal of Industrial Relations     Hybrid Journal   (Followers: 33)
Brookings Papers on Economic Activity     Open Access   (Followers: 48)
Brookings Trade Forum     Full-text available via subscription   (Followers: 3)
BRQ Business Research Quarterly     Open Access   (Followers: 2)
Building Sustainable Legacies : The New Frontier Of Societal Value Co-Creation     Full-text available via subscription   (Followers: 1)
Bulletin of Economic Research     Hybrid Journal   (Followers: 17)
Bulletin of Geography. Socio-economic Series     Open Access   (Followers: 7)
Bulletin of Indonesian Economic Studies     Hybrid Journal   (Followers: 3)
Bulletin of the Dnipropetrovsk University. Series : Management of Innovations     Open Access   (Followers: 1)
Business & Entrepreneurship Journal     Open Access   (Followers: 17)
Business & Information Systems Engineering     Hybrid Journal   (Followers: 5)
Business & Society     Hybrid Journal   (Followers: 9)
Business : Theory and Practice / Verslas : Teorija ir Praktika     Open Access   (Followers: 1)
Business and Economic Research     Open Access   (Followers: 6)
Business and Management Horizons     Open Access   (Followers: 12)
Business and Management Research     Open Access   (Followers: 17)
Business and Management Studies     Open Access   (Followers: 9)
Business and Politics     Hybrid Journal   (Followers: 6)
Business and Professional Communication Quarterly     Hybrid Journal   (Followers: 7)
Business and Society Review     Hybrid Journal   (Followers: 5)
Business Economics     Hybrid Journal   (Followers: 6)
Business Ethics: A European Review     Hybrid Journal   (Followers: 16)
Business Horizons     Hybrid Journal   (Followers: 8)
Business Information Review     Hybrid Journal   (Followers: 13)
Business Management and Strategy     Open Access   (Followers: 41)
Business Research     Hybrid Journal   (Followers: 2)
Business Strategy and the Environment     Hybrid Journal   (Followers: 12)
Business Strategy Review     Hybrid Journal   (Followers: 7)
Business Strategy Series     Hybrid Journal   (Followers: 6)
Business Systems & Economics     Open Access   (Followers: 2)
Business Systems Research Journal     Open Access   (Followers: 5)
Business, Management and Education     Open Access   (Followers: 18)
Business, Peace and Sustainable Development     Full-text available via subscription   (Followers: 3)
Bustan     Hybrid Journal   (Followers: 1)
Cadernos EBAPE.BR     Open Access   (Followers: 1)
Cambridge Journal of Economics     Hybrid Journal   (Followers: 58)
Cambridge Journal of Regions, Economy and Society     Hybrid Journal   (Followers: 11)
Canadian Journal of Administrative Sciences / Revue Canadienne des Sciences de l Administration     Hybrid Journal   (Followers: 1)
Canadian Journal of Economics/Revue Canadienne d`Economique     Hybrid Journal   (Followers: 27)
Canadian journal of nonprofit and social economy research     Open Access   (Followers: 2)
Capitalism and Society     Hybrid Journal   (Followers: 2)
Capitalism Nature Socialism     Hybrid Journal   (Followers: 11)
Case Studies in Business and Management     Open Access   (Followers: 8)
CBU International Conference Proceedings     Open Access   (Followers: 1)
Central European Business Review     Open Access   (Followers: 1)
Central European Journal of Operations Research     Hybrid Journal   (Followers: 5)
Central European Journal of Public Policy     Open Access   (Followers: 2)
CESifo Economic Studies     Hybrid Journal   (Followers: 16)
Chain Reaction     Full-text available via subscription  
Challenge     Full-text available via subscription   (Followers: 4)
China & World Economy     Hybrid Journal   (Followers: 15)
China : An International Journal     Full-text available via subscription   (Followers: 16)
China Economic Journal: The Official Journal of the China Center for Economic Research (CCER) at Peking University     Hybrid Journal   (Followers: 11)
China Economic Review     Hybrid Journal   (Followers: 9)
China Finance Review International     Hybrid Journal   (Followers: 5)
China Nonprofit Review     Hybrid Journal   (Followers: 3)
China perspectives     Open Access   (Followers: 11)
Chinese Economy     Full-text available via subscription  
Ciência & Saúde Coletiva     Open Access   (Followers: 2)
CLIO América     Open Access   (Followers: 1)
Cliometrica     Hybrid Journal   (Followers: 2)
COEPTUM     Open Access  
Community Development Journal     Hybrid Journal   (Followers: 24)
Compensation & Benefits Review     Hybrid Journal   (Followers: 6)
Competition & Change     Hybrid Journal   (Followers: 10)
Competitive Intelligence Review     Hybrid Journal   (Followers: 2)
Competitiveness Review : An International Business Journal incorporating Journal of Global Competitiveness     Hybrid Journal   (Followers: 5)
Computational Economics     Hybrid Journal   (Followers: 9)
Computational Mathematics and Modeling     Hybrid Journal   (Followers: 8)
Computer Law & Security Review     Hybrid Journal   (Followers: 16)
Computers & Operations Research     Hybrid Journal   (Followers: 10)
Construction Innovation: Information, Process, Management     Hybrid Journal   (Followers: 14)
Contemporary Wales     Full-text available via subscription   (Followers: 3)
Contextus - Revista Contemporânea de Economia e Gestão     Open Access   (Followers: 1)
Contributions to Political Economy     Hybrid Journal   (Followers: 6)
Corporate Communications An International Journal     Hybrid Journal   (Followers: 5)
Corporate Philanthropy Report     Hybrid Journal   (Followers: 2)
Corporate Reputation Review     Hybrid Journal   (Followers: 4)
Creative and Knowledge Society     Open Access   (Followers: 10)
Creative Industries Journal     Hybrid Journal   (Followers: 9)
CRIS - Bulletin of the Centre for Research and Interdisciplinary Study     Open Access   (Followers: 1)
Crossing the Border : International Journal of Interdisciplinary Studies     Open Access   (Followers: 4)
Cuadernos de Administración (Universidad del Valle)     Open Access   (Followers: 1)
Cuadernos de Economía     Open Access   (Followers: 1)
Cuadernos de Economia - Latin American Journal of Economics     Open Access   (Followers: 1)
Cuadernos de Estudios Empresariales     Open Access   (Followers: 1)
Current Opinion in Creativity, Innovation and Entrepreneurship     Open Access   (Followers: 8)
De Economist     Hybrid Journal   (Followers: 12)
Decision Analysis     Full-text available via subscription   (Followers: 8)
Decision Sciences     Hybrid Journal   (Followers: 15)
Decision Support Systems     Hybrid Journal   (Followers: 15)
Defence and Peace Economics     Hybrid Journal   (Followers: 16)
der markt     Hybrid Journal   (Followers: 1)
Desenvolvimento em Questão     Open Access  
Development     Full-text available via subscription   (Followers: 24)

        1 2 3 4 5 6 | Last

Journal Cover China Finance Review International
  [5 followers]  Follow
    
   Hybrid Journal Hybrid journal (It can contain Open Access articles)
   ISSN (Print) 2044-1398
   Published by Emerald Homepage  [335 journals]
  • Estimating Liquidity Premium of Corporate Bonds Using the Spread
           Information in On- and Off-the-Run Treasury Securities
    • First page: 134
      Abstract: China Finance Review International, Volume 7, Issue 2, May 2017.
      Purpose The purpose of this paper is to estimate the effects of liquidity on corporate bond spreads. Design/methodology/approach Using a systematic liquidity factor extracted from the yield spreads between on- and off-the-run Treasury issues as a state variable, we jointly estimate the default and liquidity spreads from corporate bond prices. Findings We find that the liquidity factor is strongly related to conventional liquidity measures such as bid-ask spread, volume, order imbalance and depth. Empirical evidence shows that the liquidity component of corporate bond yield spreads is sizable and increases with maturity and credit risk. On average the liquidity spread accounts for about 25 percent of the spread for investment-grade bonds and one-third of the spread for speculative-grade bonds. Research limitations/implications Our results show that a significant part of corporate bond spreads are due to liquidity, which implies that it is not necessary for credit risk to explain the entire corporate bond spread. Practical implications Our results show that returns from investments in corporate bonds represent compensations for bearing both credit and liquidity risks. Originality/value It is a novel approach to extract a liquidity factor from on- and off-the-run Treasury issues and use it to disentangle liquidity and credit spreads for corporate bonds.
      Citation: China Finance Review International
      PubDate: 2017-04-05T11:08:53Z
      DOI: 10.1108/CFRI-11-2016-0125
       
  • The Impact of Macroeconomic Uncertainty on International Commodity
           Prices—Empirical Analysis Based on TVAR Model
    • First page: 163
      Abstract: China Finance Review International, Volume 7, Issue 2, May 2017.
      Purpose This study aims to empirically analyze the impact of macroeconomic uncertainty on a large sample of 19 commodity markets. Design/methodology/approach We rely on Jurado et al. (2015) measure of macroeconomic uncertainty based on a wide range of monthly macroeconomic and financial indicators and estimate a threshold VAR model to assess whether the impact of macroeconomic uncertainty on commodity prices differs under the high- or low-uncertainty state. Findings Our findings show that positive macroeconomic uncertainty shocks affect commodity prices returns negatively on average and the impact of macroeconomic uncertainty is generally higher in high-uncertainty states compared with low-uncertainty states. Besides, whereas the safe-haven role of precious metals is confirmed, energy and industrial markets are more sensitive to short-run and long-run macroeconomic uncertainty respectively. Research limitations/implications The findings in this study suggest that commodity prices reflect not only the level of economic fundamental, but also the volatility of economic fundamental. Originality/value This study empirically analyzes and verifies the influence of macroeconomic uncertainty not only on oil prices but also on four groups of 19 raw materials. As for the methodological issues, we rely on a structural threshold vector autoregressive specification for modeling commodity price returns to account for potentially different effects depending on the macroeconomic uncertainty states.
      Citation: China Finance Review International
      PubDate: 2017-04-05T11:08:48Z
      DOI: 10.1108/CFRI-06-2016-0066
       
  • Does Foreign Direct Investment Promote Exports in China?
    • First page: 185
      Abstract: China Finance Review International, Volume 7, Issue 2, May 2017.
      Purpose This study investigates the causal link between foreign direct investment (FDI) and exports in China based on the knowledge capital model (KK model, Markusen, 2002). Design/methodology/approach The bootstrap Granger full-sample and sub-sample rolling window causality test is used to determine whether FDI can promote exports. Findings The full-sample causality test indicates no causal relationship from FDI to exports. However, considering structural changes of exports and FDI, we find that the full-sample test is not reliable. Instead, we use the rolling window causality test to revisit the dynamic causal relationship, and the results present significant effects from FDI on exports, mostly around periods in which the proportion of FDI from Hong Kong, Macao and Taiwan is increasing. Specifically, positive impacts of FDI on exports are stronger than the negative impacts in China. Research limitations/implications The findings in this study suggest a significant time-varying nature of the correlation between FDI and exports. The promotion effect of FDI to exports is proved by the rolling window approach; it thus supports the KK model that divides FDI into lateral FDI and vertical FDI and proves that the constitution of FDI is critical to the relationship between FDI and exports. Practical implications China has been facing adjustment of its economic structure in recent years, and in this situation, increasing the proportion of FDI that can bring advanced production function is critical for the industrial structural adjustment. Originality/value This paper uses the bootstrap rolling window causality test to investigate the time-varying nature of the causality between FDI and exports, considering structural changes for the first time. We further deepen the previous research and draw a more realistic conclusion.
      Citation: China Finance Review International
      PubDate: 2017-04-05T11:08:51Z
      DOI: 10.1108/CFRI-04-2016-0026
       
  • Volatility Cones and Volatility Arbitrage Strategies—Empirical Study
           Based on SSE ETF Option
    • First page: 203
      Abstract: China Finance Review International, Volume 7, Issue 2, May 2017.
      Purpose Using volatility cones as the estimate of actual volatility instead of GARCH models, this thesis explores whether volatility arbitrage strategy can provide positive profits and how the transaction costs existed in the real market affect the effectiveness of volatility arbitrage strategy. Design/methodology/approach A number of hedging approaches proposed to improve the hedging results and final returns of Black-Scholes model, are analysed and compared. Findings The general finding is that volatility arbitrage strategy can provide satisfactory returns based on the samples in Chinese market. Regarding transaction costs, the variable bandwidth delta and delta tolerance approach showed better results. Besides, choosing futures together with ETFs as hedging underlying can increase the VaR for better risk management. Practical implications This paper offers a new method for volatility arbitrage in Chinese financial market. Originality/value This paper researches the profitability of the volatility arbitrage strategy on ETF 50 options using volatility cones method for the first time. This method has advantage over the point-wise estimation such as GARCH model and stochastic volatility model.
      Citation: China Finance Review International
      PubDate: 2017-04-05T11:08:54Z
      DOI: 10.1108/CFRI-05-2016-0041
       
  • Forward Looking Versus Backward Looking: An Empirical Study on the
           Effectiveness of Credit Evaluation System in China’s Online P2P Lending
           Market
    • First page: 228
      Abstract: China Finance Review International, Volume 7, Issue 2, May 2017.
      Purpose This paper aims to estimate the effectiveness of the credit evaluation system using the borrowing data from China's leading P2P lending platform, Renrendai.com. Design/methodology/approach Current credit valuation systems are classified into the forward-looking mechanism, which judges borrowers’ credit levels based on their uploaded information, and the backward-looking mechanism, which judges borrowers' credit levels based on their historical repayment performance. Probit models and Tobit models are used to examine the effectiveness of credit evaluation mechanisms. Findings The results show that only the "hard" information reflecting borrowers' credit ability can explain the default risk on the platform under the forward-looking credit evaluation mechanism (FCEM). The backward-looking credit evaluation mechanism (BCEM) based on repeated borrowings produces both promise-enhancing and “fishing” incentives and thus fails to explain the default risk, and weakens the effectiveness of forward-looking credit indicators in explaining the default risk because it encourages borrowers to invest in forging forward-looking credit indicators. Additional information such as the interest rate and the repayment periods reveals borrower’s credit and thus can also be used as a predictor of borrowers’ default risk. Practical implications The findings suggest that current ex-ante screening based on the information collected from borrowers or repeated borrowings is inadequate to control the default risk in P2P lending markets and thus needs be improved. Ex-post monitoring and sharing on defaulter's information should be strengthened to increase the default cost and thus to deter potential bad borrowers. Originality/value To the authors’ knowledge, this is the first paper classifying the credit evaluation system in online P2P lending market into the forward-looking type and the backward-looking type, which is important since they provide different incentives to borrowers. The paper also investigates and provides evidence on the promise-enhancing and "fishing" incentives of backward-looking credit evaluation mechanisms.
      Citation: China Finance Review International
      PubDate: 2017-04-05T11:08:50Z
      DOI: 10.1108/CFRI-07-2016-0089
       
  • The Spillover Effect between CSI500 Index Futures Market and the Spot
           Market: Evidence from High Frequency Data in 2015
    • First page: 249
      Abstract: China Finance Review International, Volume 7, Issue 2, May 2017.
      Purpose Focusing on the spillover effects between the CSI 500 stock index futures market and its underlying spot market during April to September in 2015, this paper explores whether Chinese stock index futures should be responsible for the 2015 stock market crash Design/methodology/approach Using both linear and non-linear econometric models, this paper empirically examines the mean spillover and the volatility spillover between the CSI 500 stock index futures market and the underlying spot market. Findings The results showed that: 1. the CSI 500 stock index futures market has significant one-way mean spillover effect on its spot market. 2. The volatility in CSI500 stock index futures market also has a significant positive spillover effect on its spot stock market, the mean value of dynamic correlation coefficient between the two market volatility is 0.4848. 3.The spillover effect of the CSI 500 stock index futures market on the underlying spot market is significant asymmetric, characterized by relatively moderate and slow during the period of the markets rising yet violent and rapid during the period of the markets falling. The findings suggest that although the stock index futures itself was not the "culprit" of Chinese stock market crash in 2015, its existence indeed accelerated and exacerbated the stock market's decline under the imperfect trading system. Originality/value Different from the existing literature mainly focusing on CSI 300 Stock Index Futures, this paper empirically examines the impact of the introduction of CSI 500 stock index futures on 2015 Chinese stock market crash for the first time.
      Citation: China Finance Review International
      PubDate: 2017-04-05T11:08:57Z
      DOI: 10.1108/CFRI-08-2016-0103
       
  • Modeling Non-normality Using Multivariate t:Implications for Asset Pricing
    • First page: 2
      Abstract: China Finance Review International, Volume 7, Issue 1, February 2017.
      Purpose The purpose of this paper is show that multivariate t-distribution assumption provides a better description of stock return data than multivariate normality assumption. Design/methodology/approach The EM algorithm is applied to solve the statistical estimation problem almost analytically, and the asymptotic theory is provided for inference. Findings We find that the multivariate normality assumption is almost always rejected by real stock return data, while the multivariate t-distribution assumption can often be adequate. Conclusions under normality vs. under t can be drastically different for estimating expected returns and Jensen's alphas, and for testing asset pricing models. Practical implications The results provide improved estimates of cost of capital and asset moment parameters that are useful for corporate project evaluation and portfolio management. Originality/value We proposed new procedures that makes it easy to use a multivariate t-distribution, which ts well the data, as a simple and viable alternative in practice to examine the robustness of many existing results.
      Citation: China Finance Review International
      PubDate: 2017-01-07T12:39:16Z
      DOI: 10.1108/CFRI-10-2016-0114
       
  • Volatility Risk and Stock Return Predictability on Global Financial Crises
    • First page: 33
      Abstract: China Finance Review International, Volume 7, Issue 1, February 2017.
      Purpose This paper investigates the role of volatility risk on stock return predictability specified on two global financial crises: the dot-com bubble and recent financial crisis. Design/methodology/approach Using a broad sample of stock options traded on the American Stock Exchange and the Chicago Board Options Exchange (CBOE) from January 2001 to December 2010, the effect of different idiosyncratic volatility forecasting measures are examined on future stock returns in four different periods (Bear and Bull markets). Findings First we find clear and robust empirical evidence that the implied idiosyncratic volatility is the best stock return predictor for every sub-period both in Bear and Bull markets. Second, the cross-section firm-specific characteristics are important when it comes to stock returns forecasts, as the latter have mixed positive and negative effects on Bear and Bull markets. Third, we provide evidence that short selling constraints impact negatively on stock returns for only a Bull market and that liquidity is meaningless for both Bear and Bull markets after the recent financial crisis. Practical implications These results would be helpful to disclose more information on the best idiosyncratic volatility measure to be implemented in Global Financial Crises. Originality/value This study empirically analyses the effect of different idiosyncratic volatility measures for a period that involves both the dotcom bubble and the recent financial crisis in four different periods (bear and bull markets) and contributes the existing literature on volatility measures, volatility risk and stock return predictability in Global Financial Crises.
      Citation: China Finance Review International
      PubDate: 2017-01-07T12:39:13Z
      DOI: 10.1108/CFRI-04-2016-0021
       
  • Analyst’s Ability, Media Selection and Investor Interests: Evidence
           from China
    • First page: 67
      Abstract: China Finance Review International, Volume 7, Issue 1, February 2017.
      Purpose The purpose of this paper is to find out whether the election of star analysts leads to the conflict of interests between analysts\institutional investors and individual investors. And then, further investigate how the election results to influence the individual investors’ decision-making. Design/methodology/approach Given the fact that earning forecasts and stock ratings are the most important foundations for the investor’s investment decision, the authors investigate the relationship among the earning forecasts, abnormal returns and the election of star analyst. This paper further analyzes the impact factors on investors’ decision. The data used in this paper for star analysts’ information, analysts’ forecast and recommendations, as well as stock performances related data are from 2005 to 2012. Findings This paper finds that mass media cannot select analysts with high forecast accuracy, and then misleads investors. It demonstrates that the analysts with poorer forecast ability and more optimistic stock recommendations are more prone to be entitled as star analysts by mass media,and these titled star analysts tend to show a poorer performance. Therefore, the star analyst are worsens investors’ cognition on analysts forecast ability and then misleads investors’ decision-making. Originality/value This paper supports a new perspective of the role of mass media in financial market, which is different from existed studies.
      Citation: China Finance Review International
      PubDate: 2017-01-07T12:39:15Z
      DOI: 10.1108/CFRI-06-2016-0049
       
  • The Performance of China’s Stock Market Price Limits: Noise
           Mitigator or Noise Maker?
    • First page: 85
      Abstract: China Finance Review International, Volume 7, Issue 1, February 2017.
      Purpose This paper aims to re-examine the effectiveness of price limits on stock volatilities in China over a more recent time period spanning from 2007 to 2012. The motivation stems from the fact that very high stock market volatilities are observed in China and we are sceptical of the volatility mitigating effect claimed by advocates of price limits Design/methodology/approach The effectiveness of price limits on volatilities is examined using an event study methodology and within an expanded framework of volatility-volume relationships. The sample stocks include the 300 component stocks of the CSI300 Index. Findings Both event study and regression analysis suggest that price limits exaggerate market volatilities by causing volatility spillovers. The destabilising effect is much more pronounced for small firm stocks and when the market falls. In addition to the informational source of volatilities (represented by volume), price limits create another non-trivial frictional source of volatilities in China’s stock market. Originality/value This research is the first to reexamine the price limit effect in China’s stock market in an expanded framework of volatility-volume relationships. It identifies price limits, in addition to information, as another non-trivial frictional source of volatilities. The findings derived from a recent sample period confirm the conventional view of inefficiency of price limits raised by Fama (1989) and provide evidence in support of the pervasive trend of stock market deregulations.
      Citation: China Finance Review International
      PubDate: 2017-01-07T12:39:10Z
      DOI: 10.1108/CFRI-07-2016-0096
       
  • The Competition Effect of New Entry on Mutual Fund Incumbents in China
    • First page: 98
      Abstract: China Finance Review International, Volume 7, Issue 1, February 2017.
      Purpose Using the sample between 2005 and 2011, we investigate the effect of new fund entry on incumbents using the overlap measure in portfolio holdings. Design/methodology/approach Empirical methodology is used in this study. Findings We find that incumbents that have a higher overlap with the entrants underperform subsequently. Based on the characteristic-based approach of Daniel et al (1997), we find that the characteristic selectivity component is negatively correlated with our overlap measure, and thereby the decline in performance is driven by stock-picking ability. We also discuss the unobserved actions of incumbents using the approach proposed by Kacperczyk et al(2008) and find that incumbent unobserved actions do not benefit mutual fund investors in China. Finally we find that investors respond to the supply-side competition between entrants and incumbents quickly. These findings help us understand the mutual fund completion in China. Originality/value The findings in this study can help scholars, industry experts and regulatory authorities to understand the effect of competition in Chinese mutual fund industry.
      Citation: China Finance Review International
      PubDate: 2017-01-07T12:39:13Z
      DOI: 10.1108/CFRI-04-2016-0020
       
  • Credit Enhancement and Bond Rating: An Empirical Study of the Bonds Issued
           by Local Government Financing Platforms
    • First page: 114
      Abstract: China Finance Review International, Volume 7, Issue 1, February 2017.
      Purpose This paper examines the difference of credit enhancement of variously secured bonds issued by local government financing platforms (LGFPB). Design/methodology/approach The approaches to secure the bonds usually include mortgage, collateral, guarantee, etc.. Findings Using a sample of LGFPBs issued during the 2007-2013 period, we find that all of the approaches to secure the bonds would increase the bond rating and that compounded approaches have a higher credit enhancement effect than single approaches. Among these approaches, the requirement of collateral has the strongest enhancement effect. Moreover, we find that the guarantee provided by a state-owned bank or enterprise increases the bond rating more than the guarantee provided by other local government financing platforms. Research limitations/implications The findings in this study suggest that the credit enhancement would be deeply affected by the approach used to secure the bond. Practical implications These results can help the local government make better decisions when issuing bond. Originality/value This study empirically analyzes the different credit enhancement approaches for securing LGPFBs for the first time and contributes to the literature regarding credit ratings of local government bonds.
      Citation: China Finance Review International
      PubDate: 2017-01-07T12:39:14Z
      DOI: 10.1108/CFRI-12-2015-0143
       
 
 
JournalTOCs
School of Mathematical and Computer Sciences
Heriot-Watt University
Edinburgh, EH14 4AS, UK
Email: journaltocs@hw.ac.uk
Tel: +00 44 (0)131 4513762
Fax: +00 44 (0)131 4513327
 
Home (Search)
Subjects A-Z
Publishers A-Z
Customise
APIs
Your IP address: 54.144.29.233
 
About JournalTOCs
API
Help
News (blog, publications)
JournalTOCs on Twitter   JournalTOCs on Facebook

JournalTOCs © 2009-2016