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Asian Economics Letters

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2021-06-06 21:38:36

Impact of COVID-19 on Stock Markets

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


2021-06-06 21:59:22

House Prices and China's Birth Rate: A Note

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


2021-06-27 12:22:30

The Role of Internet Development on Energy Intensity in China: Evidence From a Spatial Econometric Analysis

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


2021-06-27 12:29:05

Economic Policy Uncertainty and Corporate Innovation: Evidence From China

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


2021-06-27 12:36:04

Does Bank Lending Intervention Hamper Firm Innovation? Evidence From the Chinese-style Capacity-Reduction Initiative

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,


2021-06-27 12:41:25

Does Private Investment Help Improve Natural Resource Utilization Efficiency?

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


2021-06-27 12:47:11

A Note on the Asian Market Volatility During the COVID-19 Pandemic

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


2021-06-27 12:51:38

Pandemics and the Asia-Pacific Islamic Stocks

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


2021-06-27 12:57:13

Has COVID-19 Changed Exchange Rate Resistance to Shocks?

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


2021-06-27 13:01:15

Tourism and Unemployment in Hong Kong: Is There Any Interaction?

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


2021-06-27 13:51:49

The COVID-19 impact on the Asian Stock Markets

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


2021-06-27 13:55:53

Did Bubble Activity Intensify During COVID-19?

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


2021-06-27 14:01:17

Economic Policy Uncertainty in Times of COVID-19 Pandemic

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


2021-06-27 14:06:23

Product Market Competition and R&D Investment: Evidence From Textual Analysis on Annual Report of China's Listed Firms

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


2021-06-27 14:14:40

Can Oil Prices Predict Japanese Yen?

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


2021-06-27 14:19:55

Dynamics of Foreign Portfolio Investment and Stock Market Returns During the COVID-19 Pandemic: Evidence From India

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


2021-06-27 14:26:06

The Effect of Country-level Factors and Government Intervention on the Incidence of COVID-19

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


2021-08-10 13:32:36

Did Enterprises' Innovation Ability Increase During the COVID-19 Pandemic? Evidence From Chinese Listed Companies

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


2021-08-10 13:38:33

Systemic Risk in China's Financial Industry Due to the COVID-19 Pandemic

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


2021-08-10 13:43:09

The Impact of COVID-19 on the Chinese Stock Market: An Event Study Based on the Consumer Industry

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


2021-08-10 13:51:36

The Impact of COVID-19 and Government Intervention on Stock Markets of OECD Countries

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


2021-08-10 13:56:56

An Analysis of the Dynamic Asymmetric Impact of the COVID-19 Pandemic on the RMB Exchange Rate

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


2021-08-10 14:00:56

Investor Sentiment and Volatility Prediction of Currencies and Commodities During the COVID-19 Pandemic

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


2021-08-10 14:04:46

Does COVID-19 Affect Domestic Credit? Aggregate and Bank Level Evidence From China

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


2021-08-10 14:08:45

How Do Pandemics Affect Government Expenditures?

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


2021-08-10 14:13:08

Growth in China's New Economy

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


2021-08-10 14:17:03

The Impact of COVID-19 on the Relation Between Retail Investors' Trading and Stock Returns in the Chinese Market

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


2021-08-10 14:20:49

Asymmetric Link Between COVID-19 and Fossil Energy Prices

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


2021-08-10 14:24:27

The Impact of COVID-19 on the Status of RMB as an Anchor Currency

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


2021-08-10 14:29:03

How Does Economic Policy Uncertainty Connect With the Volatility Spillovers in Asia-Pacific Markets?

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


2021-08-10 14:32:50

Sectoral Nonlinear Causality Between Stock Market Volatility and the COVID-19 Pandemic: Evidence From India

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


2021-08-10 14:37:38

Can Uncertainty Due to Pandemic Predict Asia-Pacific Energy Stock Markets?

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