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Asia-Pacific Financial Markets

Asia-Pacific Financial Markets OnlineFirst articles

01-02-2021 | Original Research

The Short-Selling Hypothesis of Weekend Effect and T + 1 Trading Mechanism

Utilizing a difference-in-difference regression model, we conduct cross-sectional and time-series analysis to explore effect of short sales on the weekend effect in the Chinese stock market, which uses a T + 1 trading mechanism. Our empirical …

08-01-2021 | Original Research

Evaluating Financial System Stability Using Heatmap from Aggregate Financial Stability Index with Change Point Analysis Approach

The financial system stability is an important issue to be evaluated and controlled in order to withstand the threat of a crisis that may occur in Indonesia. Bank Indonesia has constructed Indeks Stabilitas Sistem Keuangan (ISSK) to respond the …

04-01-2021 | Original Research

Structural Changes in the Duration of Bull Markets and Business Cycle Dynamics

This paper tests for structural changes in the duration of bull regimes in 18 developed and emerging economies’ adjusted market capitalization stock indexes, by using the novel approach of Nicolau (Econ Lett 146:64–67, 2016) as well as two …

25-11-2020 | Original Research

Directional Spillover Effects Between BRICS Stock Markets and Economic Policy Uncertainty

In recent years, researchers have increasingly studied the association between the stock market and economic policy uncertainty (EPU). To have more profound knowledge, this paper investigates the evolution of the mean spillover effects between EPU …

09-11-2020 | Original Research

Stock Crashes and Jumps Reactions to Information Demand and Supply: An Intraday Analysis

The objective of this paper is to examine the possible linkage between the intraday stock price crashes and jumps and public information by using data from the Chinese stock market and Baidu Index. We divided public information into two kinds of …

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About this journal

The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering.
Here we interpret the term 'financial engineering' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome.

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