scholarly journals An analysis of the prosperity of China's marine economy

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Li Xuemei ◽  
Benshuo Yang ◽  
Yun Cao ◽  
Liyan Zhang ◽  
Han Liu ◽  
...  
Keyword(s):  
Turning Point ◽  
Industrial Structure ◽  
Factor Model ◽  
Indicator System ◽  
Economic Benefits ◽  
Dynamic Factor ◽  
Economic Prosperity ◽  
Content Type ◽  
Marine Economy ◽  
Prosperity Index

PurposeChina's marine economy occupies an important position within the national economy, and its contribution thereto is constantly improving. The overall operation of the marine economy shows positive developmental trends with potential for further growth. The purpose of this research is to analyse the prosperity of China's marine economy, reveal trends therein and forecast the likely turning point in its operation.Design/methodology/approachBased on the periodicity and fluctuation of China's marine economy development, China's marine economic prosperity indicator system is established from five perspectives. On this basis, China's marine economic operation prosperity index can be synthesised and calculated, then a dynamic factor model is constructed. Using the filtering method to calculate China's marine economic operational Stock–Watson index, Markov switching has been used to determine the trend to transition. Furthermore, China's current marine economic prosperity is evaluated through analysis of influencing factors and correlation analysis.FindingsThe analysis shows that, from 2017 to 2019, the operation of the marine economy is relatively stable, and the prosperity index supports this finding; meanwhile it also exposes problems in China's marine economy, such as an unbalanced industrial structure, low marine economic benefits and insufficient capacity for sustainable development.Originality/valueThrough the analysis of the prosperity of China's marine economy, the authors reveal the trends in China's marine economy and forecast its likely future turning point.

Impact of marine industrial structure on environmental efficiency

2020 ◽  
Vol 31 (1) ◽  
pp. 111-129 ◽  
Author(s):  
Shuhong Wang ◽  
Lu Xing ◽  
Hanxue Chen
Keyword(s):  
Human Capital ◽  
Economic Development ◽  
Ownership Structure ◽  
Industrial Structure ◽  
Environmental Efficiency ◽  
Content Type ◽  
Development Level ◽  
Marine Economy ◽  
Marine Environmental ◽  
Land Economic

Purpose Recently, China has been paying increasing attention to how to improve the efficiency of the marine environment and realize a green and sustainable development of the marine economy. Consequently, the industrial structure is crucial to improving efficiency. The purpose of this paper is to introduce environmental factors into the efficiency analysis framework and explore the relationship between marine industrial structure and marine environmental efficiency. Design/methodology/approach This paper uses marine economic data under the DEA-BBC model to measure the marine environmental efficiency of provinces and cities and classifies them by cluster analysis. Then, the marine industrial structure and marine environmental efficiency are studied by an econometric model with human capital, ownership structure, land economic development level, scientific research input and government intervention degree as control variables. Findings The overall level of marine environmental efficiency is relatively low in China, increasing and then decreasing over the research period. The rationalization of industrial structure and scientific research input have significant promoting effects on marine environmental efficiency, while the degree of government intervention has a significant inhibiting effect. The positive effect of human capital on efficiency depends on whether it can be successfully converted into productivity. The effects of industrial structure advancement, ownership structure and land economic development level of on the marine environmental efficiency are mixed. Originality/value The results provide a theoretical and decision-making basis for China to transform and upgrade its marine industrial structure and sustainably develop the marine economy.

Inter-dependencies among Asian bond markets

2017 ◽  
Vol 34 (4) ◽  
pp. 485-505 ◽  
Author(s):  
Sowmya Subramaniam ◽  
Krishna P. Prasanna
Keyword(s):  
Term Structure ◽  
Yield Curve ◽  
Factor Model ◽  
Dynamic Factor ◽  
Bond Markets ◽  
Content Type ◽  
Monetary Authorities ◽  
Asian Economies ◽  
Regional Factors

Purpose The purpose of the paper is to investigate the global and regional influences on the domestic term structure of nine Asian economies. Design/methodology/approach The dynamic Nelson Siegel model was used to extract the latent factors of a country’s yield curve movements in a state-space framework using the Kalman filter. The global and regional factors of the yield curve were extracted using the dynamic factor model. Further, the Bayesian inference of Gibbs sampling approach was used to identify the influence of global and regional factors on the domestic yield curve. Findings The results suggest that financial integration does not reduce the control of monetary authorities on the front end of the yield curve, and long-term interest rate is the potential transmission channel through which the contagion of the financial crisis spreads. Practical implications The results of this study would help the monetary authorities to understand the efficacy of the monetary policy transmission mechanism. It also offers the global investors diversification opportunities for investing in the Asian bond markets. Originality/value It is one of the earliest attempts to capture the global and regional yield curve movements and their impact on the emerging Asian economies yield curve. It contributes to literature by identifying the linkages in the long-term factor that is the potential channel through which crisis spreads.

Islamic stock-sukuk indexes' correlations: does financial uncertainty matter?

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Fatma Alahouel ◽  
Nadia Loukil
Keyword(s):  
Factor Model ◽  
Dynamic Factor ◽  
Investment Horizon ◽  
Market Uncertainty ◽  
Content Type ◽  
Financial Uncertainty ◽  
Flight To Quality ◽  
Diversification Benefit ◽  
Stock Indexes ◽  
The Impact

PurposeThis study examines co-movements between global Islamic index and heterogeneous rated/maturity sukuk. It tests the impact of financial uncertainty on these movements.Design/methodology/approachFirstly, we conduct a bivariate wavelet analysis to assess the co-movements between stocks and sukuk indexes. Secondly, we use General dynamic factor model and stochastic volatility to construct financial uncertainty index from Islamic stock indexes. Finally, we run regression analysis to determine the impact of uncertainty on the obtained correlations.FindingsOur results suggest the absence of flight to quality phenomenon since correlations are positive especially at a short investment horizon. There is evidence of contagion phenomena across assets. Financial uncertainty may be considered as a determinant of stock-sukuk co-movements. Our results show that a rise in financial uncertainty induces correlation to move in the opposite direction in the short term, (exception for correlation with AA-Rated sukuk). However, the sign of stock market uncertainty becomes positive in the long term, which leads sukuk and stocks to move in the same direction (exception for 1–3 Year and AA Rated sukuk).Practical implicationsInvestors may combine sukuk with 1–3 Year maturity and AA Rated when considering long holding periods. Further, all sukuk categories provide diversification benefit in time high financial uncertainty expectation for AA Rated sukuk when considering short holding periods.Originality/valueTo the best of our best knowledge, our study is the first investigation of the impact of financial uncertainty on Stock-sukuk co-movements and provides recommendation considering sukuk with different characteristics.

Tax compliance, public spending and happiness in Europe

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
María Jesús Delgado-Rodríguez ◽  
Sonia De Lucas-Santos
Keyword(s):  
Factor Model ◽  
Public Spending ◽  
Tax Compliance ◽  
Well Being ◽  
Tax Revenue ◽  
Dynamic Factor ◽  
Content Type ◽  
Public Resources ◽  
Short Run ◽  
And Behavior

Purpose This study aims to analyze whether tax compliance is the basis for the short-run dynamics of the development of welfare and happiness. The strengthening of tax compliance of corporates and citizens is not only important to achieve the goals assumed by fiscal policy but also is part of the values that can generate a higher level of welfare and happiness in Europe. Design/methodology/approach This study uses a dynamic factor model to offer new indexes that allow to monitor tax compliance, public spending and happiness trajectories and to evaluate their short-run relationships. Next, an analysis of the cyclical characteristics in terms of duration, amplitude and intensity is provided using the Harding and Pagan method (2002). Findings The empirical findings show that the European countries were able to reinforce tax compliance during the expansionary periods of the economy, and this has made it possible to increase public spending, and indirectly, happiness. Otherwise, this paper shows that the contractions of public resources during the global crisis, such as the case in the COVID-19, reduced the possibilities of well-being in Europe and made it more difficult to increase public spending and happiness. Research limitations/implications This study tries to analyze the transmission channels and relationships of three very complex variables: tax compliance, public spending and happiness. Incorporating these three variables into this research, with a short-run perspective, the authors have opened a new line of research that enriched the previous analysis. Therefore, the authors’ results should be considered the first step, that this study is going to continue to unravel the complexity of these relationships. Practical implications The design of policies aimed at improving individual, corporate and the well-being of nations needs them to incorporate elements of tax compliance as an objective that has economic and social implications. Individuals and corporates contribute to a fairer and more equitable society through compliance with tax obligations. Originality/value To the best of the authors’ knowledge, this is the first paper that offers evidence on the short-run dynamics of tax revenue, public spending and happiness for a better understanding of their relationships and behavior during the different periods of the economy.

Skin in the game – investor behavior in asset pricing, the Indian context

2019 ◽  
Vol 11 (4) ◽  
pp. 373-392 ◽  
Author(s):  
Saurabh Gupta ◽  
Saumitra N. Bhaduri
Keyword(s):  
Factor Model ◽  
Asset Returns ◽  
Investor Behavior ◽  
Dynamic Factor ◽  
Information Cascades ◽  
Behavioral Factors ◽  
Content Type ◽  
Market Crashes ◽  
Behavioral Mechanisms ◽  
The Impact

Purpose The purpose of this paper is to investigate investor behavior under two broad categories, market-wide sentiment and herding. Design/methodology/approach Using a dynamic factor model, that extracts distinct latent factors representing fluctuations in asset returns due to changes in fundamentals as well as investors’ sentiments, the paper investigates the impact of investor behavior on asset pricing. Findings Consistent with the literature, the results suggest that the behavioral factors play a significant role in explaining variation in the asset prices. However, the degree of influence depends on the nature of the stocks or portfolios. The findings conform to the hypothesis that behavioral factors play a more important role in explaining the price movements of high and medium valued stocks than those of smaller valued stocks. Further, the behavioral factors also exhibit high auto-correlation, depicting the pervasive nature of such factors, and proving that information cascades and other behavioral mechanisms propagate over a period of time leading to bubbles and market crashes. Finally, since herding is often associated with market volatility, the authors test the hypothesis using two measures of volatility and the result shows positive significant associations between them as suggested in the literature. Originality/value The paper presents a dynamic factor model to study the impact of investor behavior on asset returns using a conventional three factors model with behavioral factors. A factor model is proposed to extract distinct latent factors representing fluctuations in asset returns due to changes in fundamentals as well as investors’ sentiments. The study investigates investor behavior under two broad categories, market-wide sentiment and herding. Consistent with the literature, the results suggest that the behavioral factors play a significant role in explaining variation in the asset prices. However, the degree of influence depends on the nature of the stocks or portfolios. The findings conform to the hypothesis that behavioral factors play a more important role in explaining the price movements of high and medium valued stocks than those of smaller valued stocks. Further, the behavioral factors also exhibit high auto-correlation, depicting the pervasive nature of such factors, and proving that information cascades and other behavioral mechanisms propagate over a period of time leading to bubbles and market crashes.

scholarly journals Measurement of the high-quality development level of China's marine economy

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Xuemei Li ◽  
Shiwei Zhou ◽  
Kedong Yin ◽  
Huichao Liu
Keyword(s):  
Temporal Distribution ◽  
Indicator System ◽  
Quality Development ◽  
Distribution Law ◽  
High Quality ◽  
Temporal And Spatial Distribution ◽  
Content Type ◽  
Development Level ◽  
Marine Economy ◽  
Comprehensive Level

PurposeThe purpose of this paper is to measure the high-quality development level of China's marine economy and analyze corresponding spatial and temporal distribution characteristic.Design/methodology/approachDesign and optimize the index system of high-quality development level of marine economy and use entropy and TOPSIS method for comprehensive evaluation.FindingsThe research finds that from 2017 to 2019, the high-quality development tendency of China's marine economy is on the rise, but the overall level is still low. The level of each subsystem has different distribution characteristics in different provinces and cities. Guangdong, Shandong and Shanghai have a high comprehensive level. According to the comprehensive level of high-quality development of marine economy, 11 coastal provinces are divided into three types: leading, general and backward.Research limitations/implicationsThis paper clarifies the temporal and spatial distribution law of high-quality development level of China's marine economy, providing basis for promoting comprehensive and coordinated improvement of coastal provinces and cities.Originality/valueAn indicator system for the high-quality development level of the marine economy has been established, including social development guarantee, marine economic foundation, marine science and technology drive and green marine sustainability.

Forecasting the yield curve of government bonds: a dynamic factor approach

2017 ◽  
Vol 43 (7) ◽  
pp. 774-793
Author(s):  
Walid Ben Omrane ◽  
Chao He ◽  
Zhongzhi Lawrence He ◽  
Samir Trabelsi
Keyword(s):  
Kalman Filter ◽  
Yield Curve ◽  
Factor Model ◽  
Dynamic Factor ◽  
Dynamic Factor Model ◽  
Dynamic Approach ◽  
Yield Curves ◽  
Content Type ◽  
Forecasting Performance ◽  
Out Of Sample

Purpose Forecasting the future movement of yield curves contains valuable information for both academic and practical issues such as bonding pricing, portfolio management, and government policies. The purpose of this paper is to develop a dynamic factor approach that can provide more precise and consistent forecasting results under various yield curve dynamics. Design/methodology/approach The paper develops a unified dynamic factor model based on Diebold and Li (2006) and Nelson and Siegel (1987) three-factor model to forecast the future movement yield curves. The authors apply the state-space model and the Kalman filter to estimate parameters and extract factors from the US yield curve data. Findings The authors compare both in-sample and out-of-sample performance of the dynamic approach with various existing models in the literature, and find that the dynamic factor model produces the best in-sample fit, and it dominates existing models in medium- and long-horizon yield curve forecasting performance. Research limitations/implications The authors find that the dynamic factor model and the Kalman filter technique should be used with caution when forecasting short maturity yields on a short time horizon, in which the Kalman filter is prone to trade off out-of-sample robustness to maintain its in-sample efficiency. Practical implications Bond analysts and portfolio managers can use the dynamic approach to do a more accurate forecast of yield curve movements. Social implications The enhanced forecasting approach also equips the government with a valuable tool in setting macroeconomic policies. Originality/value The dynamic factor approach is original in capturing the level, slope, and curvature of yield curves in that the decay rate is set as a free parameter to be estimated from yield curve data, instead of setting it to be a fixed rate as in the existing literature. The difference range of estimated decay rate provides richer yield curve dynamics and is the key to stronger forecasting performance.

Financial uncertainty valuation: does Shariah compliant screening matter?

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Fatma Alahouel ◽  
Nadia Loukil
Keyword(s):  
Factor Model ◽  
Dynamic Factor ◽  
Financial Assets ◽  
Content Type ◽  
Vector Autoregressive ◽  
Financial Uncertainty ◽  
Long Run ◽  
Uncertainty Index ◽  
Practical Implications ◽  
Uncertainty Level

Purpose This paper aims to investigate the financial uncertainty vary according to different financial assets type: conventional and Islamic. Design/methodology/approach Common factors are related to risk or known information. For this, the authors use general dynamic factor model to extract common variation between both types of indexes. Then they calculate stochastic volatility for each idiosyncratic component. They also carry out the study on three different family indexes respectively, Dow Jones, S&P and MSCI indexes, for the period going from January 1, 2008 to June 30, 2018. Through a comparison analysis with uncertainty index designed for conventional assets, the authors examine the similarity between the two indexes via mean, median and variance tests. They decrypt the interrelation between them by using OLS linear regression, vector autoregressive model. Findings The findings show that Islamic assets uncertainty is different from conventional uncertainty level. This difference can be due to the Shariah screening and the prohibition of gharar. The main findings suggest that Islamic financial uncertainty is lower than conventional one. The OLS results prove that conventional financial uncertainties have no impact on their Islamic counterparts. In addition, Islamic financial uncertainty appears to have no significant influence on conventional one exception for Dow Jones pair. Overall, the findings support the decoupling hypothesis in term of uncertainty only for SP and MSCI indexes. Practical implications Risk averse investors can find their claim in Shariah-compliant assets, as it offers a low level of financial uncertainty. A portfolio manager may benefit from the long run non-association in uncertainty between Islamic and conventional assets especially in time of crisis. Originality/value In this work, the authors measured financial uncertainty differently and take into account the specific features of each index type to improve the results quality.

scholarly journals A Dynamic Factor and Neural Networks Analysis of the Co-movement of Public Revenues in the EMU

2021 ◽  
Author(s):  
Cosimo Magazzino ◽  
Marco Mele
Keyword(s):  
Neural Networks ◽  
Factor Model ◽  
Common Factor ◽  
Back Propagation ◽  
Dynamic Factor ◽  
Common Component ◽  
Economic Cycles ◽  
Composite Nature ◽  
Empirical Demonstration ◽  
Public Revenues

AbstractThis paper shows that the co-movement of public revenues in the European Monetary Union (EMU) is driven by an unobserved common factor. Our empirical analysis uses yearly data covering the period 1970–2014 for 12 selected EMU member countries. We have found that this common component has a significant impact on public revenues in the majority of the countries. We highlight this common pattern in a dynamic factor model (DFM). Since this factor is unobservable, it is difficult to agree on what it represents. We argue that the latent factor that emerges from the two different empirical approaches used might have a composite nature, being the result of both the more general convergence of the economic cycles of the countries in the area and the increasingly better tuned tax structure. However, the original aspect of our paper is the use of a back-propagation neural networks (BPNN)-DF model to test the results of the time-series. At the level of computer programming, the results obtained represent the first empirical demonstration of the latent factor’s presence.

Information risk, stock returns, and asset pricing: Evidence from China

2017 ◽  
Vol 30 (4) ◽  
pp. 379-394 ◽  
Author(s):  
Raheel Safdar ◽  
Chen Yan
Keyword(s):  
Stock Returns ◽  
Factor Model ◽  
Empirical Literature ◽  
Firm Level ◽  
Cross Sectional ◽  
Market Pricing ◽  
Content Type ◽  
Information Risk ◽  
Accruals Quality ◽  
Three Factor

Purpose This study aims to investigate information risk in relation to stock returns of a firm and whether information risk is priced in China. Design/methodology/approach The authors used accruals quality (AQ) as their measure of information risk and performed Fama-Macbeth regressions to investigate association of AQ with future realized stock returns. Moreover, two-stage cross-sectional regression analysis was performed, both at firm level and at portfolio level, to test if the AQ factor is priced in China in addition to existing factors in the Fama French three-factor model. Findings The authors found poor AQ being associated with higher future realized stock returns. Moreover, they found evidence of market pricing of AQ in addition to existing factors in the Fama French three-factor model. Further, subsample analysis revealed that investors value AQ more in non-state owned enterprises than in state owned enterprises. Research limitations/implications The study sample comprises A-shares only and the generalization of the findings is limited by the peculiar institutional and economic setup in China. Originality/value This study contributes to market-based accounting literature by providing further insight into how and if investors value information risk, and it seeks to fill gap in empirical literature by providing evidence from the Chinese capital market.

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