The Determinants of Dim Sum Bond Liquidity

In this paper, we offer a comprehensive analysis of the structure of the Dim Sum bond market. We show that Dim Sum bonds usually have a short maturity and that the market is dominated by issuers from the banking sector. In our analysis of the determinants of Dim Sum bond bid-ask spread, we find that both bond-specific determinants (issuance amount, maturity, and collateral), and macroeconomic variables particular to the Dim Sum bond market, influence its liquidity. The narrower Chinese yuan interest rate gap between mainland China and Hong Kong and a growing appreciation of the Chinese yuan, in addition to the fall in the Dim Sum Bond Market Yield Index, have led to improved liquidity in the market.

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Is Optimum Currency Area Feasible In East Asia? A Regional Study On Mainland China And Hong Kong

International Business & Economics Research Journal (IBER) ◽

10.19030/iber.v10i3.4095 ◽

2011 ◽

Vol 10 (3) ◽

pp. 1

Author(s):

Hong Zhuang

Keyword(s):

Hong Kong ◽

Interest Rate ◽

Mainland China ◽

Output Growth ◽

Product Diversification ◽

Regional Study ◽

Currency Area ◽

Inflation Rates ◽

Economic Indices ◽

Industry Structures

This paper evaluates the possibility of forming a common currency area in Mainland China and Hong Kong using five economic indices that are used as criterion for the optimality of a currency area in the literature and finds mixed results. The higher product diversification in Mainland China, low correlations in real output growth, money growth, nominal interest rate and real interest rate, dissimilarity of industry structures and inflation rates do not support the formation of a currency union between the two regions. However, the analysis of degrees of openness is in favor of Hong Kong forming a monetary union with Mainland China.

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Banks’ Profitability Under Democratic & Dictatorship Regime: Evidence from Pakistan

International Conference on Advances in Business Management and Law (ICABML) ◽

10.30585/icabml-cp.v2i1.69 ◽

2019 ◽

Vol 2 (1) ◽

pp. 1-9

Author(s):

Muhammad AsadUllah

Keyword(s):

Interest Rate ◽

Significant Relationship ◽

Banking Sector ◽

Negative Relationship ◽

Banking System ◽

Capital Adequacy ◽

Panel Regression ◽

Macroeconomic Variables ◽

Independent Variables ◽

Significant Negative Relationship

The aim of the study is to find out the determinants of profitability of Pakistan Banking System under democratic and dictatorship regime, i.e. 2006-2008 and 2009-2011 respectively. The authors were taken macroeconomic variables, i.e. GDP, Inflation and Interest Rate and bank-specific variables, i.e. Liquidity, size and capital adequacy as independent variables whereas Return on Asset as the dependent variable. By employing panel regression, the authors found that size has a significant negative relationship with profitability under both regimes. Interest and Liquidity had a positive significant relationship during democratic tenure. However, liquidity had significantly negative relationship between dictatorship duration. The findings will be helpful for the banking sector to make their policies accordingly.

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ARBITRAGE PRICING MODEL IN RELATION TO EFFICIENT MARKET HYPOTHESES

International Journal of Research -GRANTHAALAYAH ◽

10.29121/granthaalayah.v4.i7.2016.2605 ◽

2016 ◽

Vol 4 (7) ◽

pp. 137-149

Author(s):

Bilal Razzaq ◽

Sabra Noveen ◽

Adeel Mustafa ◽

Rabia Najaf

Keyword(s):

United States ◽

Hong Kong ◽

Interest Rate ◽

Stock Prices ◽

Stock Exchange ◽

Stock Exchanges ◽

Arbitrage Pricing Theory ◽

Arbitrage Pricing ◽

Efficient Market ◽

Macroeconomic Variables

The purpose of this thesis is to distinguish between efficient and inefficient markets and check the validity and efficiency of Arbitrage Pricing Theory in these markets (United States and Hong Kong). In order to distinguish between efficient and inefficient markets, Durbin Watson Autocorrelation tests were applied on 12 stock exchanges name EUROPE, HONG KONG, INDIA, TAIWAN, AMSTERDAM, MALAYSIA, UNITED STATES, CANADA, TOKYO, AUSTRALIA, AUSTRIA, and SWITZERLAND. Furthermore, the efficiency was further checked through comparison of the market and locally listed mutual funds. After the selection of Hong Kong and United States Stock Exchanges, 10 macroeconomic variables (Inflation, Short Term Interest Rate, Long Term Interest Rate, Exchange Rate, Money Supply, Gold Prices, Oil Prices, Industrial Production Index, Market Return and Unemployment Rate were tested upon so that the APT model could be constructed. Tests like Normality and Multi-co-linearity were performed. Principle Component Analysis was used to reduce the number of variables. After all the above mentioned tests 4 variables were chosen to represent the APT in both the Hong Kong and United States Stock Exchanges. Lastly OLS Regression was applied to study the effect of these macroeconomic variables on the stock prices. The results showed that Hong Kong Stock Exchange was the most efficient while United States Stock Exchange fell in the inefficient category. The efficiency of APT was proven through the analysis of the value of R2. This value proved that when similar model of APT is applied in two different stock exchanges, the results would be more efficient in an efficient market like Hong Kong. This is the first attempt at constructing an APT Model based on the economic conditions in one country and applying the same model in a highly efficient market; in order to relate the performance of APT with market efficiency.

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Long Run Relationship between Selected Macroeconomic Indicators and Banking Sector in Pakistan

International Journal of Economics and Finance ◽

10.5539/ijef.v10n2p67 ◽

2018 ◽

Vol 10 (2) ◽

pp. 67

Author(s):

Javed Pervaiz ◽

Teng Jian-Zhou ◽

Junaid Masih

Keyword(s):

Exchange Rate ◽

Interest Rate ◽

Banking Sector ◽

Oil Prices ◽

Nominal Exchange Rate ◽

Government Bond ◽

Macroeconomic Variables ◽

Long Run ◽

Augmented Dickey Fuller ◽

Macroeconomic Indicators

The study investigated the long run relationship between selected macroeconomic indicators and banking sector index in Pakistan. The selected macroeconomic indicators are Exports, Industrial Production, CPI, and KIBOR as short-term interest rate, Money Supply (M0), Nominal Exchange Rate between Pakistan and United States of America (USA), Oil Prices and the Interest rate on Pakistan Government bond ten years, as the long-term interest rate. Monthly time series was used from January 2009 to August 2015. The study applied Augmented Dickey-Fuller test to determine the stationarity levels for the selected macroeconomic indicators and banking sector index, Phillips-Perron test to validate the results of Augmented Dickey-Fuller test, a bound testing technique in ARDL model to investigate the long run relationship between selected macroeconomic variables and banking sector index. Results suggested the presence of a long-run relationship between macroeconomic variables exchange rate, inflation, oil price and banking sector index in Pakistan. Results of Granger causality test suggested unidirectional causality running from macroeconomic variables KIBOR and oil prices to banking sector index in Pakistan. Further, unidirectional causality was found running from banking sector index to government bond in Pakistan.

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PENGARUH VARIABEL RASIO KEUANGAN DAN MAKROEKONOMI TERHADAP PEMBERIAN KREDIT SEKTOR UMKM OLEH PERBANKAN DI INDONESIA

Jurnal Manajemen dan Pemasaran Jasa ◽

10.25105/jmpj.v9i2.2035 ◽

2018 ◽

Vol 9 (2) ◽

pp. 253

Author(s):

Raden Ai Lutfi Hidayat

Keyword(s):

Interest Rate ◽

Banking Sector ◽

Random Effect ◽

Random Effect Model ◽

Capital Adequacy ◽

Working Capital ◽

Operating Income ◽

Macroeconomic Variables ◽

Negative Effect ◽

The Impact

<em>The purpose of this study is to investigate the impact of financial ratios and macroeconomic variables toward SME’s credit on banking sector in Indonesia. In this research, financial ratio variables are the capital adequacy ratio, non performing loan, operating expenses per operating income, third party fund, return on assets, and business credit program. Macroeconomic variables is inflation, the gross domestic product, interest rate of working capital, and interest rate of investment. The research’s samples are banks in Indonesia that are divided based on their types in the period of 2004-2014. The method uses panel data multiple linear regression with random effect model. The results of this study are that CAR, NPL, and BOPO has a significantly negative effect on SME’s credit; DPK, ROA, KUR, inflation, and GDP have a significantly positive effect on SME’s credit. Interest rate of working capital has a significantly negative effect on SME’s credit and interest rate investments do not have a significantly effect on SME’s credit.</em>

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The Role of the Financial and Macroeconomy Industry on the Development of the Sukuk (Sharia Compliant Bonds) Market: The Case of Indonesia

Academic Journal of Interdisciplinary Studies ◽

10.36941/ajis-2021-0112 ◽

2021 ◽

Vol 10 (4) ◽

pp. 225

Author(s):

Datien Eriska Utami ◽

Zulfa Irawati

Keyword(s):

Banking Sector ◽

Stock Exchange ◽

Secondary Data ◽

Bond Market ◽

Monthly Data ◽

Financial Investment ◽

Macroeconomic Variables ◽

Import Trade ◽

Positive Effect

The purpose of this study is to empirically determine whether the banking sector, bond market and conventional stock market as well as macroeconomic variables can influence the development of the Sukuk (Sharia Compliant Bonds) market in Indonesia. This study uses secondary data taken from the Indonesian Stock Exchange, OJK and the Indonesian Statistics Agency. The data used is monthly data from January 2014 to December 2018 which includes the outstanding value of Sharia Compliant Bonds, outstanding bonds value, stock capitalization value and macro variable data in the form of GDP data and export-import trade data. Based on the results of data analysis, it shows that the variables of all financial investment variables, namely the banking sector, the bond market and stocks have a positive effect on the development of the Sharia Compliant Bonds market. in Indonesia, while for the macroeconomic variables only the GDP variable affects the development of the Sharia Compliant Bonds market in Indonesia. The trade-to-foreign ratio variable has no effect on the development of the Sharia Compliant Bonds market in Indonesia. Received: 4 March 2021 / Accepted: 6 May 2021 / Published: 8 July 2021

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