Asian Economics Letters

Gkaitantzis Christos , Nikandrou Charalampos , Kyriazakou Eleni

Using time-series data for 19 countries, we examine whether market connectedness (measured by market returns and volatility) increased over time because of the global financial crisis and the COVID-19 pandemic. Using a vector autoregression–based spillover

Xiao-Cui Yin,Chi-Wei Su

This study aims to explore whether house prices have an asymmetrical threshold effect on the birth rate in China. We find that house prices have a significant negative impact on the birth rate when it is higher than the threshold value. This result indicates

Yu Hao,Haitao Wu

With the emergence of information communication technology, the role of internet development has become crucial for energy intensity. This study uses the spatial Durbin model to test the impact of internet development on China’s energy intensity. The

Huayu Shen,Man Zhang,Runxin Liu,Fei Hou

This study investigates whether economic policy uncertainty affects corporate innovation. Using a sample of Chinese listed firms during the period of 2007-2017, this paper finds that economic policy uncertainty is positively associated with corporate

Huwei Wen,Qiming Zhong,Quanen Guo

Using the difference-in-differences method, this study investigates the impact of bank lending intervention on firm innovation. We find that bank lending intervention significantly hampers R&D investment of firms in overcapacity industries. Moreover,

Guoxiang Li,Suling Feng

Using panel data from 30 Chinese provinces (excluding Tibet, Hong Kong, Macao, and Taiwan) over the 2006 to 2016 period, this research analyzes the impact of private investment on natural resource utilization efficiency. We find that private investment

Susan Sunila Sharma

This paper provides a note on commonality in volatility for five developed Asian economies, namely Hong Kong, Japan, Russia, Singapore and South Korea. Additionally, we examine whether the COVID-19 pandemic changed the commonality in volatility within

Afees A. Salisu,Abdulsalam Abidemi Sikiru

In this paper, we examine the potential of the Asia-Pacific Islamic stock market to serve as a good hedge against uncertainty due to pandemics and epidemics (UPE). Relying on a new dataset for UPE, we find evidence in favour of the hedging potential of

Paresh Kumar Narayan

In this note, we propose the hypothesis that COVID-19 has influenced the Yen-US dollar exchange rate’s resistance to shocks. We propose a time varying unit root model and unravel that prior to the pandemic, the Yen was non-stationary while during the

Meng Qin,Chi Wei Su

This paper investigates the time-varying interaction between tourist arrivals (TA) and unemployment rate (UE) in Hong Kong. We find that TA negatively influence UE, implying that lack of tourism hurts employment prospects. We also document a positive

Luis A. Gil-Alana,Gloria Claudio-Quiroga

In this note, we examine the impact that the COVID-19 crisis may have on the Asian stock markets by examining the statistical properties of three financial markets in Asia: namely, the Korean SE Kospi Index, the Japanese Nikkei 225, and the Chinese Shanghai

Paresh Kumar Narayan

In this note, we utilize hourly exchange rate data for Japanese Yen, Canadian dollar, European Euro and the British pound to search for possible bubble type behavior. We identify evidence that bubble activity characterizes all four exchange rates more

Bernard Njindan Iyke

We examine the impact of the novel coronavirus (COVID-19) pandemic on economic policy uncertainty (EPU) in five leading Asian economies, namely China, India, Japan, Korea, and Singapore. We find that the pandemic has a positive and statistically significant

Ziyu Song,Shuming Ren

We investigate the relationship between product market competition (measured by textual analysis of annual reports) and Research and Development (R&D) investment of China’s listed firms. Empirical results show that competition promotes innovation. Economic

Hong Chen,Shamal S Chand,Baljeet Singh

Neluka Devpura

In this paper, we examine the relationship between Japanese Yen (vis-à-vis the US dollar) and the crude oil futures price. The novelty is that we use high frequency (intraday hourly) data to examine time-varying predictability. We find limited evidence

Prabheesh KP

This paper examines the causality relation between stock returns and foreign portfolio (FPI) flows in the Indian context during the COVID-19 pandemic. Using daily data and the Toda and Yamamoto Granger causality test, the study finds that unidirectional

Anasuya Haldar,Narayan Sethi

This study explores the effects of demographic, socio-economic, and public-response factors on the incidence of new COVID-19 cases for the 10 countries with the greatest number of confirmed cases. Results show that demographic factors and government policies

Hongfang Han,Yanhong Qian

This paper uses a fixed effect model to empirically study the impact of COVID-19 on the innovative ability of listed companies in China. We find that the innovative abilities of Chinese listed companies, both large-scale and small-scale, increase during

Cheng Lan, Ziyi Huang,Wenli Huang

In this paper, the dynamic CoVaR method is used to measure changes in systemic risk in the financial industry during the COVID-19 pandemic. We find that, first, after the outbreak of the COVID-19 pandemic, the systemic risk of the financial industry increased

Lei Yan,Yanhong Qian

Using an event study approach, this paper investigates the impact of the coronavirus pandemic (COVID-19) on the consumer industry in the Chinese stock market. We find that stocks belonging to the consumer industry was adversely impacted by the pandemic

Hong Chen,Shamal S Chand,Baljeet Singh

Haochang Yang,Peidong Deng

We study the impact of COVID-19 and various government interventions on the stock market returns of 20 OECD countries from February 1, 2020 to October 1, 2020. We find that stock market returns react significantly negatively to the increase in the number

Xing Fang ,Yu Zhang

In this paper, we assume that the COVID-19 pandemic exerts a time-varying asymmetric impact on the RMB exchange rate. Based on the Taylor rule model, we examine the RMB exchange rate fluctuations around the outbreak of COVID-19. We find that the RMB rate

Thi Hong Van Hoang, Qasim Raza Syed

In this note, we examine whether the volatility predictive power of investor sentiment for currencies and commodities is sensitive to the COVID-19 pandemic. The Credit Suisse Fear Barometer (CSFB) and the VIX are used to measure investor sentiment. The

Isaac Appiah-Otoo

We estimate the impact of COVID-19 on domestic credit in China over the period January 01, 2020 to June 30, 2020. Our findings show that an increase in COVID-19 confirmed cases/deaths significantly increases domestic credit in China, however; the magnitude

Qiang Fu,Chun-Ping Chang

Based on a sample of panel data for 14 countries spanning the period 2000-2018, this paper investigates the effect of pandemics on government expenditure and public health expenditure. The empirical results show that pandemics lead to an increase in government

Creina Day

This paper analyzes socially optimal shares of output invested in research and development (R&D), education and physical capital to sustain China’s economic growth as population growth slows. China’s high human capital income share closes the gap

Tao Bing

This paper investigates the relation between retail investors’ flows and returns during the COVID-19 pandemic in the Chinese market using the VAR model. The results show that though the positive feedback trading during the pandemic is weaker than that

Kai-Hua Wang,Chi-Wei Su

This paper investigates the asymmetric relationship between COVID-19 and fossil energy prices through bootstrap Fourier Granger Causality test in quantiles. The empirical results indicate that COVID-19 influences oil and natural gas prices in high volatile

Xing Fang,Weijuan Cao

In the context of a severely volatile global financial market in 2020, the Ren Min Bi (RMB) has also experienced dramatic fluctuations. We examine the impact of the COVID-19 pandemic on the status of the RMB as an anchor currency in countries along the

Ismail O Fasanya,Oluwatomisin J Oyewole,Taofeek Agbatogun

We examine the connection between global economic policy uncertainty (GEPU) and the dynamic spillovers of the Asia-Pacific manufacturing market within a nonparametric framework. We find strong connectedness between markets, and our results strongly support

Debi Bal,Seba Mohanty

This paper examines the linear and nonlinear relationship between daily confirmed COVID-19 cases and sectoral stock market volatility in India. The linear Granger causality test reveals bidirectional causality. Further, we observe that bidirectional nonlinear

Ismail O. Fasanya,Oluwatomisin J. Oyewole ,Johnson A. Oliyide

In this note, we examine the predictability of the energy stock markets using the diseases-based uncertainty index within a nonparametric framework. The nonparametric causality test reveals that energy stocks’ predictability driven by pandemic uncertainty

Paresh Kumar Narayan,Bernard Njindan Iyke,Susan Sunila Sharma

The multitude of papers exploring the effects of the COVID-19 pandemic over the last 12 months has motivated us to develop new, alternative measures of COVID-19. One limitation of current research has been the lack of robustness in quantifying the effects

Gkaitantzis Christos, Nikandrou Charalampos,Kyriazakou Eleni

Using time-series data for 19 countries, we examine whether market connectedness (measured by market returns and volatility) increased over time because of the global financial crisis and the COVID-19 pandemic. Using a vector autoregression–based spillover

Zheng Zheng Li, Yidong Xiao,Chi-Wei Su

This article studies whether there is a bubble in the price of medical masks, especially considering the COVID-19 pandemic. The empirical results show that multiple bubbles exist in 2020 and are correlated with COVID-19 related events. This study alerts

Umar B. Ndako,Afees A. Salisu,Muritala O. Ogunsiji

In this paper, the predictive value of geopolitical risk (GPR) for the return volatility of Islamic stocks in Indonesia and Malaysia is examined. GPR data, whether global or country-specific, heighten the return volatility of Islamic stocks in both countries,

Afees A. Salisu

This special issue of the Asian Economics Letters (AEL) contains papers on forecasting of Asian financial markets. After initial screening of all submitted papers by the Guest Editor, only the best six papers were chosen for peer review. Post this review

Ahamuefula E. Ogbonna,Olusanya E. Olubusoye

Hinging on the recently established relevance of tail thickness information, we examine the predictability of fifteen major stocks in the Asia-Pacific region using conditional autoregressive value at risk (CAViaR) model estimates of tail risks. We used

Afees A. Salisu, Lukman Lasisi,Abeeb Olaniran

In this paper, we examine the predictive content of uncertainty due to pandemics and epidemics (UPE) for the exchange rate movements of selected Asian economies. Our results show evidence of superior out-of-sample predictability of a UPE-based predictive

Idris A. Adediran

We present novel evidence to show that tail (market) risk, measured as the conditional autoregressive value at risk, is a good predictor of Asia-Pacific exchange rates. We use daily exchange rate data for the Australian dollar, the Chinese yuan, the Indonesian

Joel Ede Owuru

This study investigates the response of Chinese stock returns to oil prices amidst the COVID-19 pandemic using both linear and nonlinear autoregressive distributed lag (ARDL) models. The results indicate that oil price and the COVID-19 Global Fear Index

Tirimisiyu F. Oloko,Abeeb O. Olaniran,Lukman A. Lasisi

In this study, we examine the potential of South Korean stocks to hedge against global and country-specific geopolitical risks. A predictability approach with a feasible quasi generalized least square (FQGLS) estimator was employed. Our results reveal

Zubair Tanveer

This study investigates the behavior of stock prices to identify the speed of adjustment of stock returns in response to dividend declarations in the 10 most lucrative sectors of the Pakistan stock market. The event methodology results show that the Pakistan

Badri Narayan Rath,Vaseem Akram

This study undertakes a systematic literature review on recent developments in unit root tests. We highlight popular unit root tests developed since 2010 based on the number of citations. We observe from the literature that the most popular unit root

Xin Li

This study examines the asymmetric effects of positive and negative changes in media attention to COVID-19 and daily new confirmed COVID-19 cases on China’s stock market volatility by utilizing the nonlinear autoregressive distributed lag (NARDL) model.

Ololade Periola-Fatunsin,Johnson A. Oliyide, Ismail O. Fasanya

With increasing COVID-19 cases and instability of many financial markets, we examine the role of uncertainty due to infectious diseases in influencing volatility connectedness among Asian Real Estate Investment Trust market. Our result unveils the importance

Muhamad Rias K V Zainuddin,Nurul Aishah Khairuddin,Hakimah Nur Ahmad Hamidi

This study analyzes the impact of COVID-19 on Malaysia’s bilateral export in three categories of goods. The results show that higher numbers of COVID-19 cases among trading partners has led to higher levels of bilateral export for capital and consumption

C. T. Vidya,world trade network,covid-19

The study compares the world trade network among the top merchandise trading countries before and during the COVID-19 pandemic. China’s preeminence in world trade during the 2020 pandemic is also examined. The results reveal that the pandemic did not

Kiki Verico

This paper compares the effects of the economic convergence levels of the two mega-regional cooperative efforts of the Comprehensive and Progressive Agreement for Trans-Pacific Partnership (CPTPP) and the Regional Comprehensive Economic Partnership (RCEP)

Ichiro Iwasaki,Xinxin Ma

In this paper, we conduct a meta-analysis using 1429 estimates extracted from 61 English and Chinese studies to estimate the wage effect of secondary and tertiary education in China. The meta-synthesis results show that the impact of tertiary education

Radeef Chundakkadan,Subash Sasidharan

This paper investigates the impact of unconventional monetary policy on stock returns using the Reserve Bank of India’s long-term repo operations (LTROs). We provide evidence that firms listed on the Bombay Stock Exchange register higher returns on

Pragyanrani Behera,Prajukta Tripathy,Bikash Ranjan Mishra

This study investigates the determinants of outward foreign direct investment (OFDI) for eight emerging Asian source countries vis-à-vis 107 host countries from 2009 to 2016. We employ Bayesian model averaging and the weighted average least squares technique

Darjana Darjana,S.K. Wiryono,D.P. Koesrindartoto

This paper aims to investigate the COVID-19 pandemic’s impact on the banking sector in Indonesia between 2011 and 2020. The study reveals that a credit crunch has transpired during the pandemic period. The result reveals that credit delivery decreased

Basem Ertimi,Tamat Sarmidi,Norlin Khalid,Mohd Helmi Ali

In an attempt to mitigate the effects of COVID-19, the Malaysian government imposed the Movement Control Order (MCO). To address the adverse impacts of the MCO policy, the Malaysian government initiated a series of recovery plans for both fiscal and monetary

Nuruddeen Usman,Kodili Nwanneka,Nduka

This study uses a fractional integration method to evaluate the efficiency of cryptocurrencies before and after the period COVID-19 had been announced as being a pandemic. Evidence of long memory is confirmed across all subsamples. Additionally, we find

Qihui Chen

This study exploits twin births to identify the effects of fertility on parental labor supply in rural northwestern China. Instrumental variable estimation suggests that having an additional child reduces mothers’ yearly labor supply by seven days and

Ting Zeng,Qian Cao

The omission of the asset value of life insurance policies in computing household assets would underestimate household wealth and therefore bias measures of wealth inequality. We propose a method to estimate the cash value of household life insurance

Darjana Darjana,S.K. Wiryono,D.P. Koesrindartoto

This paper aims to investigate the COVID-19 pandemic’s impact on the banking sector in Indonesia between 2011 and 2020. The study reveals that a credit crunch has transpired during the pandemic period. The result reveals that credit delivery decreased

Nuruddeen Usman,Kodili Nwanneka Nduka

This study uses a fractional integration method to evaluate the efficiency of cryptocurrencies before and after the period COVID-19 had been announced as being a pandemic. Evidence of long memory is confirmed across all subsamples. Additionally, we find

Bayu Adi Nugroho

This paper tests regime changes of the conditional dependence between Asia-Pacific Islamic stocks and gold. Relying on a time-varying Student’s t copula with Markov-switching autoregressive conditional heteroskedasticity (MSGARCH), this paper finds

Basem Ertimi,Tamat Sarmidi,Norlin Khalid,Mohd Helmi Ali

In an attempt to mitigate the effects of COVID-19, the Malaysian government imposed the Movement Control Order (MCO). To address the adverse impacts of the MCO policy, the Malaysian government initiated a series of recovery plans for both fiscal and monetary

Idris A. Adediran,Emeka O. Akpa

This study explores the transmission of various policy uncertainty shocks—such as financial market uncertainty (using the Chicago Board Options Exchange Volatility Index), macroeconomic policy uncertainty (using the Global Economic Policy Uncertainty),

S. Irudaya Rajan,T. M. Sivadasan ,Reddy Sai,Shiva Jayanth,Pooja Batra

We study the social impact of the COVID-19 pandemic and the coping strategies adopted by left-behind households comprising both internal and international migrants in Kerala, India. Using semi-structured telephone interviews with 52 households, we analyze

Santanu Bhadra,Sougata Ray

Although COVID-19 caused initial shocks to the Indian economy, a quick recovery was visible within a few months. We systematically analyze corporate responses during the lockdown period and argue that corporate resilience through proactive responses played

Radeef Chundakkadan,Subash Sasidharan

This paper investigates the impact of unconventional monetary policy on stock returns using the Reserve Bank of India’s long-term repo operations (LTROs). We provide evidence that firms listed on the Bombay Stock Exchange register higher returns on

Muhamad Rias K V Zainuddin,Nurul Aishah Khairuddin,Hakimah Nur Ahmad Hamidi

This study analyzes the impact of COVID-19 on Malaysia’s bilateral export in three categories of goods. The results show that higher numbers of COVID-19 cases among trading partners has led to higher levels of bilateral export for capital and consumption

Johnson A. Oliyide,Abiodun M. Adetokunbo,Ismail O. Fasanya

Studies have documented the strong effect of the COVID-19 pandemic on different world economies. In this study, we examine the influence of COVID-19 cases in India on the country’s sectoral stock indices. Our results find that COVID-19 has had a negligible

C. T. Vidya

The study compares the world trade network among the top merchandise trading countries before and during the COVID-19 pandemic. China’s preeminence in world trade during the 2020 pandemic is also examined. The results reveal that the pandemic did not

Xin Li

This study examines the asymmetric effects of positive and negative changes in media attention to COVID-19 and daily new confirmed COVID-19 cases on China’s stock market volatility by utilizing the nonlinear autoregressive distributed lag (NARDL) model.

Badri Narayan Rath,Vaseem Akram

This study undertakes a systematic literature review on recent developments in unit root tests. We highlight popular unit root tests developed since 2010 based on the number of citations. We observe from the literature that the most popular unit root

Xuan Hu,Agus Salim,Kai Shi,Meng Yan

To understand and address the issue of how political party disagreement affects the dynamics of fiscal policy, we investigate the potential link between partisan conflict and government spending in the United States. We find that one standard deviation

Bijoy Rakshit

This paper empirically examines an important research question of whether changes in bank competition have influenced the profitability pattern of Indian banking. Using the two-step system generalized method of moments, we examine the implications of

Charumathi Balakrishnan,Habeebu Rahman

We investigate the extent to which the United States (US) bond yield affects foreign institutional investor (FII) inflows and the performance of the Indian stock market using monthly time-series data from 2002 to 2021. We use the vector autoregressive

Pratap Kumar Jena,Pramod Kumar Mishra

This paper examined the impact of the lockdown and opening-up of India during the COVID-19 pandemic on eleven Indian stock market indices. Using an event study methodology, we found that the lockdown has adversely affected financial services and consumer

Thi Phuong Thao Nguyen,Phuc Hieu Nghiem ,Thi Thu Hong Vo

This study investigates the effect of capacity building for innovation through research and development (R&D) investment and training on innovation performance. The results show that training positively affects product/service and process innovation,

Apica Sharma

This study analyses the impact of inflation expectations from 17 July 2016 to 20 August 2022 using the actual future consumer price index (CPI) in the Structural Factor Augmented Vector Autoregressive (SFAVAR) Framework. Around 85 percent of inflation

Aadil Ummar Zaman,Mohammad Shahid Zaman,Nisar Ahmad Khan

Using data envelopment analysis, this paper investigates the technical efficiency of rural cooperative banks in India from 2013 to 2019. The results indicate a continuous deterioration in efficiency as well as a large asymmetry between states regarding

Hassanudin Mohd Thas Thaker

Time-series and time frequency domain analyses were used to examine the impact of mobility in ASEAN-5 stock markets. Using daily data, most markets (except for two) were found to have a long-run association with mobility. We found no Granger causality

Afees Salisu,Tirimisiyu Oloko

The increasing concern about the far-reaching effects of climate change-related risk on sustainability has engendered the need to develop alternative indices to measure it. In this study, we review the existing measures of climate risk and offer useful

Idris A. Adediran,Kazeem O. Isah,Ahamuefula E. Ogbonna,Sheriff K. Badmus

We offer global evidence on the macroeconomic effects of climate change for a panel of 22 countries classified by economic groupings. We show that: globally, climate change is inflationary; the negative impacts of climate change on the exchange rate markets

Miaomiao Tao,Lim Thye Goh

We provide fresh evidence on the effect of corruption on energy efficiency and its regional heterogeneity in China by using a dynamic quantile panel regression model. We find that: (1) there are large differences in energy efficiency across Chinese provinces;

Isaac Appiah-Otoo

This research provides the very first empirical investigation of the impact of the Russia-Ukraine war on the cryptocurrency market (Bitcoin trading volume, and returns). The findings indicate that the Russia-Ukraine war impedes Bitcoin trading volume.

Miaomiao Tao,Yuhang Zheng,Pierre Failler,Wee Yeap Lau,Lim Thye Goh

Using a panel data of 30 Chinese provinces from 2000 to 2016, we investigate the linear and nonlinear effects of industrial energy structure on pollution emissions. We find that: (1) technological innovation can alleviate the restraining effect of coal-based

OlaOluwa Yaya,Rafiu Akano,Oluwasegun Adekoya

Using a nonlinear framework with Chebyshev polynomial in time, we investigate the market efficiency and volatility persistence of five green investments before and during the COVID-19 pandemic. Our results show that, except for the MSCI global green

Anasuya Haldar,Narayan Sethi

The paper investigates the opportunities provided by renewable energy consumption and innovation along with the challenges posed by corruption and political instability, for climate- change mitigation and economic growth in seven selected emerging Asian

Ahmad Monir Abdullah

In this article, the MGARCH-DCC model is utilised to compare the usefulness of Bitcoin, gold, and crude oil as a hedge and safe haven for the US Islamic stock index. We utilised daily data from August 2014 to April 2022, which covers the most recent COVID-19

Abhishek Sah ,Biswajit Patra

This paper investigates the impact of COVID-19 on the cryptocurrency market. It empirically examines the level of volatility and the dynamic conditional correlations among cryptocurrencies pre-COVID-19 and during COVID-19. We find significant dynamic

Ismaila Adeleye Okunoye ,Emeka O. Akpa,Bamidele Boluwatife,Maxwell Jimmy

In this paper, we examine the impact of global economic uncertainty on foreign direct investment (FDI) in Asian emerging markets using the new world uncertainty index (WWUI). The results show an insignificant and indirect impact of global uncertainty

Nagmi Aimer,Abdulmula Lusta

We examine the asymmetric impact of the COVID-19 pandemic on Economic Policy Uncertainty Index for United States (EPU). Our results indicate that the pandemic has had a long-term impact on EPU. In addition, there is no strong short-term impact of the

Siok Jin Lim,Andaeus Zun Khan Neoh

This paper applies the DCC-MGARCH model to investigate the role of Bitcoin as a hedge for Islamic stocks in Asia during the COVID-19 pandemic. Despite being a highly volatile cryptocurrency, evidence of low dynamic correlation between Bitcoin and Islamic