Asian Journal of Economic Modelling

Volatility spillovers in the US-China financial markets: Evidence from BEKK-GARCH model

2024-12-13T22:13:26-06:00

This study investigates the spillover effects of volatility between the financial markets of the US and China using the BEKK-GARCH model on daily data from 4 January 2016 to 31 December 2021. The results, validated by the Wald test, reveal significant findings: First, the internationalization of the RMB has enhanced China's influence on the USD, resulting in volatility spillovers between the US dollar index and China's foreign exchange market. Second, while volatility spillovers exist between Chinese and US stock markets, the ARCH effect has weakened following the trade war. Finally, there are spillover effects between the Chinese and US bond markets, though these are less pronounced compared to the foreign exchange markets. These findings highlight the evolving nature of volatility spillovers between the US and Chinese financial markets, especially in the context of a trade war. The practical implications suggest that investors and policymakers should closely monitor these spillover effects to manage risks better and make informed decisions in an increasingly interconnected global market.

The impact of stock liquidity on stock price crash risk: Empirical research on listed firms in Vietnam

2025-01-21T01:51:50-06:00

Vietnam's stock market is now highly developed and significant to the economy of the country. Many previous researches have studied the factors that affect stock prices on the stock market. Therefore, in this article, the authors examine the impact of stock liquidity on stock price crash risk with a sample space of companies on the Ho Chi Minh City Stock Exchange (HOSE) from 2016 to 2022. By using the linear regression research model, the authors found that stock liquidity has a negative impact on stock price crash risk. In this model, stock price crash risk will be the dependent variable, whereas stock liquidity will be the explanatory variable, which will ultimately determine the accuracy and suitability of the model through observed data. This topic provides considerable value to the depth of knowledge on stock liquidity and stock price crash risk in emerging markets and is helpful for emerging markets to monitor stock liquidity there. Additionally, this study offers potential strategies to manage stock price crash risk, which is valuable information for investors, authorities, regulators, and policymakers.

Innovation and economic growth in middle-income countries: The moderating role of remittances

2025-02-20T04:11:09-06:00

The prime objective of this paper is to examine the direct and moderating role of remittances in the innovation-growth nexus in MICs. Middle-income countries (MICs) can drive global economic growth by utilizing 75% of the population through technological development and boosting GDP by over one-third of the total. However, using human resources effectively and maintaining technical advancement standards in response to rapid economic changes remain a significant challenge. The study utilizes the "2^nd generation unit root test and the panel corrected standard errors (PCSE) and the feasible generalized least squares (FGLS)" approaches. The FGLS and "Dumitrescu-Hurlin (D-H)" causality tests are applied to confirm the robustness of the PCSE approach. The study highlights the distinct and interconnected effects of remittances and innovation on economic growth in MICs, emphasizing their mutually reinforcing role in sustained growth. The interactive span demonstrates that remittances functioned as a substitute in the innovation-growth association. Finally, the study reveals a bidirectional causal affiliation between remittances and economic growth and a unidirectional causal connection between economic growth and innovation. MICs should enhance remittance transfer systems, invest in innovation, enhance skills, utilize public-private partnerships for efficient allocation, and balance entrepreneurship with macroeconomic stability.

Does financial development boost entrepreneurship? Evidence from transitory economies

2025-04-04T00:18:38-05:00

The transition from planned to market-oriented economies presents a unique landscape for the study of entrepreneurship. Entrepreneurship is crucial to reducing unemployment, mitigating poverty, and promoting economic growth across the world, especially in the economies of the global South. Some people opine that not having enough money is a big reason why more people don't start their own businesses. On the other hand, a well-developed financial system with strong financial institutions and markets can help people start their own businesses, which is good for the country's economy. This study analyzes the liaison between financial developments and entrepreneurship in these transitioning countries. The empirical analysis uses the panel fixed effects, Driscoll and Kraay standard errors (DKSEs), feasible generalized least-squares (FGLS), and panel-corrected standard errors (PCSEs) models. The results reveal an inverted U-shaped relationship between financial development and entrepreneurship in the transitory economies. We also use sub-indices of financial development and find similar results. The relationship between financial institutions and entrepreneurship is an inverted U shape. The relationship between financial markets (FM) and entrepreneurship yields similar but insignificant results. The role of foreign direct investment (FDI) and technological innovations is positive in promoting entrepreneurial activities in these economies. The findings of the study will help the governments and policymakers of these countries to devise such policies as are required, as they reduce the financial constraints and boost entrepreneurial activity that leads to economic decolonization.

Ownership structure and tax avoidance in Vietnam's listed securities firms: The moderating role of foreign directors, firm leverage, and the COVID-19 pandemic

2025-04-12T07:17:53-05:00

The purpose of this study is to investigate the connection between foreign ownership and tax avoidance among Vietnamese listed securities firms. It does this by focusing on the role of various other factors. This study uses data from 35 listed securities firms in Vietnam over a nine-year period (2015-2023). The Feasible Generalized Least Squares (FGLS) method is employed to estimate the impact of ownership structure on tax avoidance practices. The study reveals that foreign ownership plays a significant role in shaping tax avoidance practices, with greater foreign ownership leading to more aggressive tax planning strategies. We also discover that having a foreign director on boards has a stronger moderating effect, while firm leverage has a weaker moderating effect. The COVID-19 pandemic does not play a significant moderating role in the relationship between ownership structure and tax avoidance. The findings have important implications for policymakers, regulators, securities firms, and investors in Vietnam’s securities market. They highlight the need for enhanced monitoring and regulation of firms with significant foreign ownership and foreign directors on board to ensure tax compliance. The results can inform investment decisions and corporate governance practices in the context of ownership structures and tax strategies.

Impact of logistics performance and trade facilitation on China-ASEAN trade flows

2025-04-12T07:21:51-05:00

The Association of Southeast Asian Nations (ASEAN) has grown to be China's biggest trading partner since 2019. Trade flows between China and ASEAN are becoming increasingly significant in fostering economic expansion in both China and ASEAN nations. This research aims to analyze the impact of logistics performance and trade facilitation improvements on bilateral trade flows between China and ASEAN countries. We use a panel data set of six ASEAN countries from 2009 to 2019. We use feasible generalized least squares estimation to do the data regression based on the heteroskedasticity and Wooldridge autocorrelation test results to make sure the results are correct. The empirical results indicate that the logistics performance improvement of ASEAN countries significantly promotes China-ASEAN bilateral trade flows. Trade facilitation measures implemented in ASEAN countries also play a crucial role in boosting the bilateral trade flows between China and ASEAN. Trade facilitation shows a higher impact on China’s exports to ASEAN than on China’s imports from ASEAN. The findings of this research imply that policymakers in ASEAN countries still need to prioritize improving their logistics performance and trade facilitation to enhance their bilateral trade flows. This research also provides valuable insights for other developing countries to promote their trade flows by improving their logistics performance and trade facilitation.

The impact of corporate social responsibility on firm efficiency

2025-04-12T07:27:58-05:00

The impact of corporate social responsibility (CSR) on business performance is increasingly becoming a topic of interest among scholars. This study examines how CSR influences the performance of sustainable businesses in Vietnam from 2019 to 2023. Business performance is measured through technical efficiency, calculated using the Data Envelopment Analysis (DEA) method. To analyze the relationship between CSR and business performance, the Tobit regression model is applied. The results indicate that CSR positively affects business performance when companies focus on economic and legal responsibilities, as these factors contribute to financial stability and regulatory compliance. However, ethical and philanthropic responsibilities tend to reduce operational efficiency, potentially due to increased costs or challenges in resource allocation. This suggests that while fulfilling economic and legal obligations enhances performance, businesses may face difficulties in balancing efficiency with ethical and philanthropic commitments. These findings highlight the need for strategic implementation of CSR to maximize both social impact and business efficiency. Companies should focus on optimizing ethical and philanthropic initiatives to minimize potential negative impacts while leveraging economic and legal responsibilities to drive performance. A balanced approach to CSR can contribute to both corporate sustainability and long-term operational effectiveness.

The nonlinear relationship between monetary policy and financial deepening in an oil-exporting economy: Evidence from Saudi Arabia

2025-04-12T07:31:31-05:00

This study explores the asymmetric impact of monetary policy on financial deepening in Saudi Arabia from 1992 to 2022. It uses the nonlinear autoregressive distributed lag (NARDL) bounds-testing method to show that there is strong evidence of a long-term link between financial deepening and the sums of monetary policy and control variables. The findings indicate that financial deepening responds nonlinearly to monetary policy shocks. Specifically, both positive and negative shifts in monetary policy encourage financial deepening, but positive shifts have a more significant effect. Additionally, monetary uncertainty and economic activity levels notably influence financial deepening. The study suggests that policymakers should use tools like changing interest rates and managing inflation to help the economy become more diverse, deepen the financial system, and lower short-term monetary risks. This will ensure that the financial sector continues to grow.

Prerequisites for effective international financial integration in Asian economies: A panel threshold approach

2025-04-12T07:37:02-05:00

Financial integration is expected to provide participating economies and stakeholders with significant opportunities in terms of capital and human resources, risk diversification, technological innovation, and fair economic treatment, ultimately contributing to national prosperity. However, the potential risks associated with integration have raised concerns about the prerequisite preparation for an efficient integration process. This paper focuses on scrutinizing the conditions required to enhance the positive impact of financial integration on economic growth among selected Asian countries (India, Indonesia, Malaysia, Japan, the Philippines, Singapore, Thailand, China, and Vietnam) during the 1996 to 2019 period. Using a panel threshold approach with parametric ordinary least squares regression and bootstrap replications, the study finds a non-linear impact of financial integration on the economic development of the examined countries, suggesting that different stages of financial integration contribute differently to economic growth. Our empirical results confirm the existence of two financial integration thresholds that maximize the benefits of the integration process. Furthermore, the findings highlight the importance of prerequisite conditions such as financial depth and trade openness for effective and positive financial liberalization in the studied countries. This suggests that countries should strengthen their internal financial systems before engaging in international integration to derive the maximum benefits from this process.