• Bangladesh Money Market Scenario and Outlook

    Source: Md. Nazmus Sakib
    Date Submitted: 11 Jan 2018
    Views: 31
    Downloads: 12
    Money market of Bangladesh has gone through some swift changes due to the backlash on the liquidity. Liquidity drag has been mainly occurred due to the extensive private sector credit growth keeping most of the banks’ advance deposit ratio (ADR) close to 85%. At least 12 commercial banks including the public banks have exceeded the existing ADR limit. Private sector credit growth was mainly fuelled by borrowers’ appetite for cheap fund and banks’ opportunity to generate profit. As a drive to squeeze the excessive private sector credit growth, Bangladesh Bank plans to curtail limit on advance-deposit ratio which will persuade banks to seek large deposits in short time. To pursue the objective, deposit rate needs to be attractive for all sorts of potential depositors. The impact is already apparent in the interest rates of banks. According to the industry participants, interest rate has gone up by around 1% already from October, 2017. Upward pressure on USD has also led to a critical scenario for retaining strong liquidity of BDT. Import of consumer goods has surged to a massive level due to shortage of food supply. Furthermore, import of capital machineries has also gone up as construction of large development projects are on the pipeline. Unless strong interference is initiated by Government, USD may escalate further and lead to squeezed liquidity. Interest rate is supposed to go up further in 2018.
  • 金融周期下的政策选择

    Source: 施东辉博士,上海证券交易所资本市场研究所所长
    Date Submitted: 08 Jan 2018
    Views: 0
    Downloads: 0

  • 宏观经济创新驱动新时代

    Source: 邵宇博士,东方证券首席经济学家
    Date Submitted: 08 Jan 2018
    Views: 0
    Downloads: 0

  • Structure of Spot Rates and Duration Hedging

    Source: Bing-Huei Lin, Jr-Yan Wang, Shih-Wen Tai
    Date Submitted: 15 Aug 2011
    Views: 0
    Downloads: 0
    The present study proposes a three-factor model using spot rates as proxies for the state variables of the term structure of interest rates. Empirical analysis is carried out on the in-sample explanatory power and the out-of-sample prediction ability of spot-rate models, and comparison is made between the modified Macaulay duration and spot-rate duration hedging for bond portfolios.
  • The prevalence of global stock market inefficiencies gives rise to ample opportunities for stock picking

    Source: Chan Fook Leong, CFA
    Date Submitted: 19 Dec 2017
    Views: 882
    Downloads: 0
    Media Release

    The prevalence of global stock market inefficiencies gives rise to ample opportunities for stock picking
    • Active management can yield alpha from inefficiencies in global equity markets particularly in the Asia Pacific region and in emerging markets 
    • These opportunities to generate excess risk-adjusted returns are in spite of trading costs 
    • There is a positive relation between transaction costs including the presence of short selling restrictions and alpha
    By Chan Fook Leong, CFA, for Asia-Pacific Research Exchange (ARX)
    Singapore, November 14. Professor Söhnke M. Bartram from University of Warwick highlighted the prevalence of global stock market inefficiencies over a lunch-time talk to a full house of CFA charter holders in the FTSE Room on the 9th floor of Capital Tower, Singapore.

    When there are deviations from fair value, stock picking can yield alpha. The mispricing in equities is prevalent globally, particularly in the Asia Pacific region and in emerging markets as uncovered by Professor’s Bartram research project using point-in-time accounting data from more than 25,000 stocks from 36 countries over a period of more than two decades.

    He and joint researcher, Mark Grinblatt, showed that the risk-adjusted returns are significantly larger in emerging than developed markets, suggesting that emerging markets are less efficient at incorporating material public information.

    Potential profits are also larger in the Asia Pacific region. Equity markets in Asia Pacific, the region with the largest alpha, experiences 26-50 basis point additional alpha compared to the Americas even after factoring in differences in the state of economic development.  

    In their research, fair value is determined using replicating portfolios instead of the more conventional discounted cash flow model or the structural asset pricing model where assumptions such as terminal growth and discount rates need to be determined. The replicating portfolio method is a simplistic non-discretionary approach as it relies on less assumptions to arrive at the fair value of a stock. Using international accounting data which is readily available to investors, firms with the same accounting metrics should have identical fair values.

    The replicating portfolios assign monthly fair values to more than 25,000 firms from 36 countries from 1993 to 2016. Thereafter, ordinary least square regression methods are employed to determine the most under- and over-priced stocks. Professor Bartram found that mispricing is greater in emerging markets and in the Asia Pacific region.

    The proxy of trading costs in this research are costs typically incurred by institutional investors. The study also shows that constructing a long-short portfolio still yields positive alpha in spite of trading costs from fees, commissions, and market impact. Moreover, simple adaptations of strategies that reduce turnover such as buy-and-hold strategy can improve alpha in emerging markets.

    Transaction costs which include trading and compliance costs also predict potential profitability – there is a positive relation between such costs and alpha even after controlling for variables such as the quality of a country’s information environment, its level of economic and financial development, and its regulatory framework. This implies that a hypothetical country with zero transaction costs will be devoid of alpha.  

    The other determinant of the level of alpha is the presence of short selling restrictions and other characteristics that might curb arbitrage activities. Limiting arbitrage activities impede the process of stocks reverting to fair value which in turn gives rise to mis-priced stocks.

    Stock market inefficiencies leads to presence of higher alpha in emerging markets and the Asia Pacific region compared to other parts of the world. The former two market or region represent the amongst highest transaction costs including the presence of the prohibition of short selling relative to others, and thereby leading to higher alphas waiting to be realized from picking these severely mis-priced stocks. Best of luck.
    The full research report can be downloaded from the Asia-Pacific Research Exchange (ARX) website (
  • How Far Will China Go? Charting the Future of RMB Internationalisation  

    Source: Elliot Hentov, State Street Global Advisors
    Date Submitted: 16 Nov 2017
    Views: 512
    Downloads: 7

    China’s capital account opening and RMB internationalisation has paused. Sceptics argue that the process has peaked due to risk of capital outflows as well as the Chinese government’s reluctance to cede more control to market forces. However, this underestimates hidden costs and structural forces at play that make the status quo unsustainable. We believe that further opening is therefore likely to proceed sooner, rather than later.
  • Japanese Banks: BOJ's Take on Financial Stability

    Source: David Marshall
    Date Submitted: 30 Oct 2017
    Views: 51
    Downloads: 0
    • In its latest financial stability report the BOJ highlights the unusually low profitability of Japanese banks and expresses concerns about the soundness of some lenders and risks to the efficiency of credit allocation
    • Too many lenders are fighting for a shrinking market as the population and the number of firms declines
    • Nevertheless, domestic lending has been growing at around 3%, more strongly at the regional banks than the majors, led by real estate lending to SMEs
    • Overseas funding costs have risen which has led Japanese banks to slow their growth in overseas lending and securities investment to focus more on risk and returns
    • Domestically the banks have shed yen bonds as the BOJ has bought JGBs but holdings by the major banks have picked up recently and all the banks have increased holdings of investment trusts in pursuit of higher returns  
    • As domestic loan growth has exceeded GDP growth, Japan's credit/GDP ratio has been rising, but this comes after a declining trend that has lasted more than 20 years. Before its bubble burst, Japan's ratio peaked at something close to the level that China's corporate debt/GDP is now reaching
    • The BOJ sees Japan's banking system as basically stable, but facing profitability challenges from a shrinking customer base, low lending rates, inefficiency and limited income diversification.
  • AFM - Financial Development, Macro Uncertainty and Saving-Cash Flow Sensitivity

    Source: Alexander Vadilyev
    Date Submitted: 26 Oct 2017
    Views: 78
    Downloads: 6
    This paper shows that (1) the sensitivity of corporate saving to cash flow does not systematically decrease with a country’s financial development, and (2) the sensitivity systematically increases with macro uncertainty. The first result occurs because income variability matters more for saving than external finance constraints and because income variability is strongly positively correlated with financial development. The second result occurs because macro uncertainty magnifies the effect of external finance constraints on corporate saving, raises the variability of income flows, and reduces the attractiveness of investment opportunities. Therefore, contrary to previous evidence, saving-cash flow sensitivity cannot be directly used to test for the benefits of financial (and institutional) development, but it can be used to assess the impact of uncertainty on firms’ demand for internal liquidity.
  • Impact analysis of global fuel price slump

    Source: Akramul Alam, CIMA part qualified
    Date Submitted: 17 Oct 2017
    Views: 57
    Downloads: 10
    Impact analysis of global fuel price slump.
  • Panel: Investment Opportunities in APAC

    Source: Andrew Stotz, PhD, CFA
    Date Submitted: 11 Oct 2017
    Views: 18109
    Downloads: 0

    The 2017 Taiwan Investment Conference on 12 October 2017 to celebrate the 10th anniversary of CFA Society Taiwan. Keynote speakers and panel discussions highlight hot investment topics in Taiwan and the region. This post relates to the panel discussion on Investment Opportunities in APAC.

    Moderator: Andrew Stotz, PhD, CFAA. Stotz Investment Research

    Panel: Nguyen Thi Vinh Ha, CFAPartner at Grant Thornton (Vietnam)Ashraf Bava, CFAChief Executive at Nael Capital (Pvt) LimitedApril Lynn Tan, CFAVice President and Head of Research at COL Financial, and Biharilal Deora, CFA, CIPM, FCA, CFP, CIWMPartner at BDVG & Associates.

    Markets discussed: India, Pakistan, the Philippines, Thailand, and Vietnam.

  • Estimating Tenure Choice and Housing Demand in the Philippines

    Source: Nicole Danika Bondad, Queennie Mindanao
    Date Submitted: 07 Oct 2017
    Views: 12
    Downloads: 2
    The study estimates housing demand and the probability of homeownership in the Philippines. Through an empirical analysis of household-level data in 2009, the research examines the price and income elasticities of both homeowners and renter-households in the country. Addressing the difficulty of measuring housing prices accurately, the researchers apply a two-equation model comprised of tenure choice and housing demand functions with price, income, and family size as the main explanatory variables.
    Further, the paper evaluates the effectiveness of housing subsidy programs in the Philippines.
  • Central Bank Balance Sheet Policies and Spillovers to Emerging Markets 

    Date Submitted: 29 Sep 2017
    Views: 597
    Downloads: 17

    We develop a theoretical model that shows that in the near future, the monetary policies of some key central banks in advanced economies (AEs) will have two dimensionschanges in short-term policy rates and balance sheet adjustments. This will affect emerging market economies (EMs), especially those with a pegged exchange rate, as these EMs primarily use a single monetary policy tool, i.e., the short-term policy rate. We show that changes in policy rates and balance sheet adjustments in AEs may differ in their respective financial spillovers to pegged EMs. Thus, it will be difficult for EMs to mitigate different types of spillovers with a single monetary policy tool. In that context, we use the model to show how EMs might use additional toolscapital controls and/or macro-prudential policyto complement their monetary policy and financial stability toolkit. We also discuss how balance sheet adjustments that affect long-term interest rates may percolate to influence short-term interest rates via financial plumbing. 

  • The Anatomy of the Gold Crash of April 12-15, 2013 from a Liquidity Perspective – An Application of Donier and Bouchaud’s Measure of Illiquidity

    Source: Daniel Ceferino D. Camagay
    Date Submitted: 26 Sep 2017
    Views: 92
    Downloads: 5
    Gold crash of April 12-15, 2013 as seen from a liquidity perspective using Donier and Bouchard's measure of illiquidity
  • Global Market Inefficiencies

    Source: Sohnke M. Bartram, Mark Grinblatt
    Date Submitted: 22 Sep 2017
    Views: 750
    Downloads: 55
    Academic Research Paper
  • Demographic Disruption: Why We Need to Save More and Invest Differently

    Source: Amlan Roy, State Street Global Advisors
    Date Submitted: 21 Sep 2017
    Views: 698
    Downloads: 23

    Unprecedented demographic changes are under way across the world, and their speed and magnitude are greater than ever before. Like the technology disruptions overturning conventional wisdom about industries and business models, demographic disruptions will force countries to
    rethink foundational policies around retirement, labor force participation, healthcare and much more. Investors will need to rethink savings and spending objectives over much longer time horizons. We believe the impacts of these demographic shifts have not been adequately assessed
    and accounted for.

  • China: $ Bond - Why Issue and Where Should It Price? 

    Source: Richard Briggs, Matthew Phan, CFA
    Date Submitted: 10 Sep 2017
    Views: 881
    Downloads: 0
    • China is reported to be readying a dollar sovereign issue. We expect it to price at the tightest end of the EM external sovereign index, inside highly rated sovereigns including Korea, Hong Kong and Israel. This is thanks to what we expect will be a strong technical bid from Chinese banks.
    • China doesn't have to issue external debt which raises questions about why the sovereign is issuing at this stage. 
    • Credit growth has slowed but remains well above nominal GDP, and there are long term questions about the viability of the investments toward which credit is going. That has left the Chinese economy very imbalanced, but those imbalances are largely domestic. Foreign currency debt remains low, both at a sovereign and whole economy level.
    • China's still extremely high reserves amount to close to double the stock of external debt, both public and private and close to 19 months of imports of goods and services. Reserve drain has also been halted as outflows have been curbed sharply in 2017.
  • Investment Opportunity in Cash Rich Japanese Equity 3: Stronger Support in Japan for Activist Funds Demanding Increase in Shareholder Returns

    Source: Kei Yamaguchi, MM Capital Investments
    Date Submitted: 03 Sep 2017
    Views: 877
    Downloads: 27
    Japanese regional banks have been suffering from the severe business environment and financial conditions since the 2008 Lehman Crisis. This situation has worsened since the Bank of Japan introduced negative interest rates in 2016.

    On the other hand, Japanese corporations still have not paid sufficient dividends to its shareholders. The dividend payout relative to net profit (Payout Ratio) and capital (DOE) are half or less of leading global markets.

    Shareholder proposals for an increased dividend payout of Japanese corporations are more supportive by large investors including banks in Japan. Another tail wind is the Japanese “Stewardship Code” which seeks for stronger corporate governance and deeper dialogues between corporations and shareholders
  • Harnessing China's Economic Growth

    Source: Vincent Chen
    Date Submitted: 03 Sep 2017
    Views: 158
    Downloads: 0
    ICBC Credit Suisse Vincent Chen, CFA discusses the key growth drivers for China and how the liberalization of China’s capital market impacts global asset allocation.
    Video interview with S&P DJI at the link below:

  • State budget 2018: an appropriate dose of caution

    Source: Kahlil Rowter
    Date Submitted: 31 Aug 2017
    Views: 57
    Downloads: 0
    How can Indonesian fiscal policy cope with global uncertainty and a slowing domestic economy? What are the challenges and policy responses so far to debt management?
  • Banking Bad: The China and India Episode

    Source: Jonathan Rochford
    Date Submitted: 31 Aug 2017
    Views: 124
    Downloads: 14
    China and India are both getting excited about creating bad banks. Yet neither has an answer to the key question “who is going to take the loss”?
  • Mergers and acquisitions: how do you view their underlying substance?

    Source: Hong Kong Institute of Certified Public Accountants
    Date Submitted: 30 Aug 2017
    Views: 2404
    Downloads: 69
    Are you a shareholder or analyst with an interest in mergers and acquisitions? 
    The accounting standard-setters need your expertise. 

    We are aware that M&As are common and can take the form of group restructurings or third party acquisitions. There is usually no question that there is underlying substance to acquisitions with third parties - the transaction price typically represents the fair market value of the acquired business. But M&As within a group might arguably be different.

    The findings of this M&A survey will be published and will help us consider whether all M&As should be accounted and reported in the same way. 

    To participate, click on this link:, or download and email us the attached survey:
  • AAM-CAMRI-CFA Institute Prize - A Protocol for Factor Identification      

    Source: Kuntara Pukthuanthong, Richard Roll, Avanidhar Subrahmanyam
    Date Submitted: 29 Aug 2017
    Views: 92
    Downloads: 0
    Paper Submission for AAM-CAMRI-CFA Institute Prize in Asset Management
  • Japanese Inflation Fails To Take Flight

    Source: Peter Morgan, State Street Global Advisors
    Date Submitted: 24 Aug 2017
    Views: 67
    Downloads: 0
    Despite extraordinary efforts by the Bank of Japan (BOJ), its official inflation target remains elusive, leading to the central bank’s decision to abandon a specific time frame for reaching its target.
  • For China, this Time is Different

    Source: Jonathan Rochford CFA
    Date Submitted: 24 Aug 2017
    Views: 148
    Downloads: 10
    In 2008 China announced a massive stimulus package that helped its economy and the global economy weather the storm. But nearly ten years on, the situation is very different and China could shift from being a big contributor to global growth to an anchor slowing down the global economy.
  • Chinese Demand Growth Lifts Every Commodity

    Source: Jodie Gunzberg, CFA
    Date Submitted: 21 Aug 2017
    Views: 863
    Downloads: 0
    In this article, the impact of Chinese demand growth changes on overall commodities, sectors and individual commodities is examined, using year-over-year data from 1970.
  • EM Weekly: Beta Sell-Off, Asia Least Hard Hit

    Source: Richard Briggs
    Date Submitted: 13 Aug 2017
    Views: 150
    Downloads: 5
    • Risk assets took a bump last week largely due to global, rather than EM, factors. DM underperformed EM in excess return terms. In IG, EM corporates generated excess returns of minus 0.38% versus minus 0.54% on DM. In HY corporates a similar story was true with excess returns of minus 0.44% versus minus 1.12% on DM.  
    • One of the drivers of the risk off tone last week was the war of words between US President Donald Trump and North Korea's leader Kim Jong-un. That hit the Korean won hardest, it fell 1.64% versus the dollar over the week. Asian currencies were generally weaker last week, with the exception of the Chinese renminbi which strengthened by 0.98%. But in hard currency, the opposite was true with Korean names and sovereign debt generally outperforming IG counterparts.  
    • In fact the hardest hit last week in the hard currency corporate and sovereign indices were the LatAm and sub-Saharan African credits which are usually caught up in any beta sell off regardless of the driver. Asian names, which tend to be tighter, higher rated and more defensive were the strongest performing last week in that risk-off environment, including Korea.
    • Notable outliers to those broad moves last week included Teva which continued to sell off for a second week with very high trade volumes persisting after weaker 2Q17 results in the week before last. Teva was down by 1.62% in excess return terms. Venezuela and PDVSA were also among the bottom of the high yield indices' constituents for performance last week and continued to be very volatile, falling on average by 3.32% and 3.69% respectively in price terms last week. Kenya was at the stronger end of the sovereign index last week with excess returns of 0.71%, after relief that last week's elections didn't turn to violence, albeit with the result still being disputed and strikes planned on Monday.
    • Issuance slowed to a trickle last week with $2.5 bn priced, of which $1.7 bn was rated high yield. The only sovereign new issue was Gabon (B3/B+) which priced a $200 mn tap of its 6.95% 2025 notes. There are several other sovereign new issues being rumoured as coming in the second half of August or early Autumn including Bahrain (euros), $2 bn from Oman and $3 bn from Nigeria.
  • Emerging from the shadows - The shadow economy to 2025 

    Source: Boon Yew Ng
    Date Submitted: 08 Aug 2017
    Views: 139
    Downloads: 1
    The shadow economy (SE) is expected to decline globally by 2025, from 23% of global GDP in 2011 to an estimated 21% in 2025, on the basis of a mathematical analysis of the factors behind the SE. But the decline is not uniform, and a number of countries, particularly emerging market economies, are expected to experience an increase in the SE as a percentage of GDP by 2025.

    Emerging from the shadows, the shadow economy to 2025 provides a comprehensive examination of the global SE. The report is divided into four sections: SE forecasts for 28 countries to 2025, key factors shaping the SE, the impact and management of the shadow economy and finally recommendations for the accountancy profession
  • The Inflation Conundrum

    Source: Lori Heinel, CFA, Simona Mocuta
    Date Submitted: 04 Aug 2017
    Views: 179
    Downloads: 1
    Why have tighter labor markets in the US and elsewhere not led to higher inflation? Some say it’s weak demand - Senior Economist Simona Mocuta has another idea.
  • The Business of Ethics

    Source: Dr Raymond Madden, CEO
    Date Submitted: 28 Jul 2017
    Views: 1082
    Downloads: 0
    "Restoring the trustworthiness of global business will be a long-haul and there are no short-cuts when it comes to trying to embed ethical behaviour in business DNA.  But the dialogue in global board rooms is beginning to change with the importance of corporate culture, behaviours and the causal links to incentives and rewards gradually being recognised.  Our international businesses will always have responsibilities that go way beyond compliance - you cannot regulate for good behaviour.  Sustainable improvements in culture and behaviour in banking and right across the business landscape can only be achieved if individual institutions, owners, investors and the people leading and managing them step up to the plate.  As Dr Madden's thought provoking book makes clear, responsibility and accountability have to move to the top of every Board agenda".  Dame Collete Bowe, Chairman, UK Banking Standards Board.
  • Monetary Policy Statement Summary, FY'18 

    Source: Mohammad Rehan Kabor , Md. Nazmus Sakib, Tajkera Rahman
    Date Submitted: 26 Jul 2017
    Views: 185
    Downloads: 20
    Monetary Policy Statement (MPS) reports Bangladesh Bank’s (BB) monetary policy outcome for the fiscal year 2017 (FY17) and the monetary policy stance for FY18. As in the past, the FY18 monetary program and the monetary stance for H1 FY18 have been formulated taking into account actual outcome for FY17, internal and external developments, macroeconomic condition and current period budget. This report is a summary regarding last fiscal's achievement along with target and programmed monetary measures for next HY is presented in a concise form here in this attached file. 
  • Fixed-Income Weekly Report, 10th-14th July

    Source: Thanh Truong; Son Nguyen, Thien Viet Securities JSC
    Date Submitted: 19 Jul 2017
    Views: 174
    Downloads: 11

    The market saw the dramatic decline in bond yield of all tenors following rate cut by State Bank of Vietnam (SBV,the central bank). It is amplified by the abundance of VND and low money market (MM) rate. Although bond yields overall were low level, Vietnam State Treasury (VST), the big player in primary market, reduced amount of bond offering when he did not rush in new issuance, in our view stated in last week report “Weekly Report_03072017_07072017”. 

  • Dynamic Relationship between Gold Prices, Oil Prices, Exchange Rate and Stock Returns: Empirical Evidence from Pakistan

    Source: Farhan Ahmed, Muhammad Kashif, Farjad Feroz
    Date Submitted: 17 Jul 2017
    Views: 217
    Downloads: 13
    This study aims to analyze the dynamic relationship between key macroeconomic indicators of Pakistan including gold prices, stock market returns, and exchange rate and oil prices. Significant variations or shocks have been observed over time especially in the past decade among the stated macroeconomic variables. It is essential to validate the relationship between them periodically and this study will help investors who want to diversify their investment into various assets classes including financial assets and real assets.
  • Investment Opportunity in Cash Rich Japanese Equity: Rising Opportunities in the Land of the Rising Sun

    Source: Masashi Murata, Kei Yamaguchi
    Date Submitted: 13 Jul 2017
    Views: 252
    Downloads: 30
    As a result of the “Abenomics” reform, listed Japanese corporations are steadily
    accumulating wealth in the form of cash and other liquid assets since 2013.

    The share price of these cash rich corporations remains undervalued. Nearly half
    of the listed companies in Japan have a PBR of less than 1.0. These undervalued
    corporations have a large potential for a hike in share price.

    In June 2017, the PBR of JASDAQ Japan listed Solekia (9867) soared from 0.3 to
    1.2 in less than six months. The new “Stewardship Code” introduced in 2014 forces
    stronger corporate governance in Japan. Since 2014, there have been significantly
    stronger shareholder dialogues thus expanding investment opportunities.
  • Interest in ESG Investing Poised to Grow Further in Asia Pacific

    Source: Chan Fook Leong, CFA
    Date Submitted: 10 Jul 2017
    Views: 1978
    Downloads: 0
    • CFA Institute further extends ARX ESG Investing Series to Singapore to discuss motivations for ESG integration in the region.
    • Panelists from S&P Dow Jones Indices, City Developments Ltd., ADL Infra Capital Myanmar, and ESGuru spoke to a full house of CFA Institute members and local practitioners on developments in green finance.
    • Participants concluded that despite challenges, green finance would continue to attract investor interest; supply of green instruments needs to catch-up.
    • Social and governance considerations still in their infancy in the region.
    • The question of alpha potential inconclusive.
    Dr. Tony Tan, CFA, head, global society advocacy engagement at CFA Institute kicked off the May 11, 2017 lunch-time talk entitled ‘Is green finance a fad? Or does it possess alpha potential?’ The event, organized by CFA Institute and CFA Society Singapore follows the first of the ARX ESG Investing Series, hosted in Hong Kong. This series has been developed in response to demand for ESG-related research on research platform, Asia-Pacific Research Exchange (
  • Mid-Year Research Update 2017: Active managers performance, factor-driven, ESG, and fixed income indices

    Source: Craig J. Lazzara, Priscilla Luk, Sunjiv Mainie, Charles Mounts, Aye M. Soe
    Date Submitted: 07 Jul 2017
    Views: 1204
    Downloads: 32
    Published in May 2017, this research reveals most active managers fail most of the time, at least if we define failure as underperformance of an appropriate passive benchmark. Success, when it does occur, tends not to persist.
  • APER - Under Deployed

    Source: CAPER
    Date Submitted: 04 Jul 2017
    Views: 220
    Downloads: 2
    Key Points
    • Private equity capital is under deployed in Asia. The US$127.2 bn in transaction volume in 2016 represents only 0.48% of Asia’s GDP; whereas in the US, it was more than 1%

    • Asia has room to absorb over US$130 bn of capital deployment from private equity

    • In the 10 years from 2007 to 2016, China’s GDP has nearly tripled, but private equity investment, as a percentage of its GDP, on average, accounted for 0.3% of the country’s economic output

    • Australia/New Zealand enjoys the highest percentage of private equity capital deployment, at 2.5% of its GDP in 2016, suggesting that a market with a mature private equity infrastructure is a magnet for capital 
  • Bangladesh National Budget (Update) 

    Source: EBLSL Research Team
    Date Submitted: 02 Jul 2017
    Views: 255
    Downloads: 21
    This report demonstrates latest update on Bangladesh National Budget Review for Finance Bill-2017. Earlier on 1st June, 2017, we provided a budget review based on the budget proposal, placed by finance minister. The Parliament passed the final budget on 29th June, 2017 with some changes from the proposed one and here in this report we presented the changes in the Finance Bill- 2017 along with some observations in a concise manner.
  • Joint Feasibility Study on China-Georgia Free Trade Agreement

    Source: PMC Research Center, University of International Business and Economics (UIBE)
    Date Submitted: 27 Jun 2017
    Views: 145
    Downloads: 4
    China and Georgia are friendly countries. In 1991, China recognized the independence of Georgia -- among the first countries to recognize the independence of Georgia and established diplomatic relations. In 1992, China established diplomatic relations with Georgia. After twenty years of close interactions of leaders and people, fruitful cooperation in various fields is achieved.

    In 1993, relevant government departments of China and Georgia signed several agreements, such as economic and trade agreement, agreement on encouragement and mutual protection of investments, scientific and technical cooperation agreement, agreement on cultural cooperation, health and medical science cooperation agreement, cooperation agreements in agriculture and food industry, tourism cooperation agreements, customs mutual assistance agreement, inter-bank cooperation agreement, and the development of railway transport cooperation agreement and maritime cooperation agreements. In 1994, the two countries signed the "mutual exemption of visas for official travel and group travel visa-free mutual agreement", "China agreement to provide 30 million yuan commodity loans to Georgia." In 1999, the two countries agreeed in Tbilisi Georgia to establish a Commission on Economic and Trade Cooperation, and held the first meeting. China is always a friend of Georgia. In September 2013, during a visit to Kazakhstan, President Xi Jinping proposed the "Silk Road economic belt" strategic vision, enthusiasticly responded by many countries including Georgia. On March 9, 2015, the Chinese Ministry of Commerce and the Ministry of Sustainable Development of Georgia agreed to establish a joint working group on trade to study feasibility of China-Georgia Free Trade Agreement. The two sides also signed a memorandum on strengthening "Silk Road economic belt" to jointly promote economic and trade cooperation, and to enhance trade, investment, economic and technical cooperation and infrastructure interconnection level. To start a free trade agreement feasibility study for the two sides, serves as an important initiative to strengthen "Silk Road economic belt", which will reinvigorate bilateral economic and trade relations for the two countries.

    Georgia and China intend to intensify the trade and economic relations through creating free trade agreement. The goal of the report is to evaluate the potential, ex-ante effects of free trade agreement on existing trade flows and identify the specific areas of interest for further cooperation. The Research component of the report include the methodology and discuss some effects of differences in methodologies used by Georgian and Chinese experts, data description, detailed results of simulations and sensitivity analysis of parameters and discuss the specific sectors for potential augmentation of cooperation.

    This report seeks to analyze the potential benefits and challedges of a potential China-Georgia free trade agreement. It involves the study of foreign economic situation between the two countries, in particular, through analyzing foreign economic policies and bilateral economic and trade relations, investigating issues related to trade in goods, trade in services and investments. Based on that, solid scientific suggestions will be given to guide the potential free trade agreement negotiations.

    The objectives of the study are:
    - To provide background information to commence negotiations on CGFTA.
    - Identify specific products sectors for expansion and diversification of trade between the parties.
    - Identify the benefits and challenges that may derive from the proposed FTA.
    - To make conclusions and recommendations on options for future action including scope, framework and architecture and FTA for furthering bilateral trade investment and economic cooperation to expand and enhance the benefits in these areas.
  • PBOC Monthly: Onshore Corporate Bonds - Dead or Alive?

    Source: Matthew Phan, CFA
    Date Submitted: 22 Jun 2017
    Views: 1803
    Downloads: 26
    • Local government bond issuance has roared back to life but corporate bond financing saw the largest monthly net decline since at least 2011. Other non-bank financing was also weak in May, with outstanding entrusted loans and undiscounted bills falling on a net basis. 
    • Bank lending rose by 12.8% YoY and was the main driver of social financing growth which grew 13.0%. Household loan growth peaked in April and decelerated slightly to 24.3% YoY in May. There are multiple reports of tighter controls on the housing market, though there is not yet specific data on mortgage lending for May. Corporate loan growth picked up further to 8.5%. 
    • The weak corporate bond market is a major risk for economic growth and for corporate credit quality.  The PBOC could inject liquidity to bring down short term rates, which should reopen the bond market, but this means shifting the focus away from 'deleveraging' and might also risk renewed concerns over capital outflows. China has enjoyed relative external stability this year but this could change if the USD strengthens as and when US inflation and rates pick up or as the Fed commences plans to reduce its balance sheet. 
    • Refinancing costs have risen by over 100 bp on short dated commercial paper issued in 2015-16 when yields were low. They have risen by less on longer-dated bonds issued prior to 2015. There is some RMB 1.4 bn of commercial paper due to mature in the remaining months of 2017, with the largest issuance from the manufacturing, utilities and mining sectors.
    • Issuers of longer-dated bonds might not face a big increase in refinancing costs but could instead face the risk of being entirely unable to issue. The real estate sector in particular has a sizable amount of bonds coming due or turning putable in the remaining months of 2017 but gross issuance has been negligible in the last few months due to regulatory restrictions. Other sectors with large amounts of issuance coming due include manufacturing, conglomerates, construction and mining. 
  • 2016: A Quantum Leap for Indian Corporate Bond Market

    Source: Shagun Thukral, CFA
    Date Submitted: 20 Jun 2017
    Views: 3063
    Downloads: 47
    This paper was published in the Research Bulletin, The Institute of Cost Accountants of India, Vol. 43, No.I, April 2017 issue.  The paper seeks to establish 2016 as a turning point in the development of the corporate bond market in India while identifying the factors, using the RBI's 7i Framework, that have contributed to this push and where there remains room for further improvement.
  • Divided we fall, distributed we stand. - The professional accountant’s guide to distributed  ledgers and  blockchain

    Source: Narayanan Vaidyanathan
    Date Submitted: 20 Jun 2017
    Views: 251
    Downloads: 0
    A distributed or shared ledger is a digital database of records. These records contain information relevant to a group of participants within a network.

    In a distributed ledger all participants are looking at a common view of the records. This is in contrast to a typical situation currently where participants (for example, in different organisations) are looking at different databases that are independently managed and updated.

    As Distributed Ledger Technology (DLT) matures, the shared ledger’s common view of records and transparency of transaction history could reduce reconciliation across different databases and drive significant efficiencies. Business processes that are characterised by inefficiencies (eg trade finance), or exist because of a lack of trust (eg Know Your Customer requirements in financial services) or poor supply chain visibility (eg for global garment supply chains) are all key areas for distributed ledger applications.

    This report introduces and explores the concept of distributed ledgers, examines its commercial potential and how this relates to different aspects of professional accountancy.
  • Fintech - Transforming Finance

    Source: Jimmy Greer
    Date Submitted: 20 Jun 2017
    Views: 510
    Downloads: 0

    Financial Technology (FinTech) is here – sweeping through finance and, if some are to be believed, threatening traditional edifices that have stood for centuries.

    This great surge is being fronted by a host of new start-ups taking their lead from the big tech innovators. Their maverick approach is helping to push the FinTech industry into new territory across the financial services landscape, raising billions of dollars and worrying the incumbents.

    So what are the main trends and driving forces shaping FinTech today? Fintech – transforming finance explores the features of this new landscape, highlighting the many ways in which this revolution is taking place.

    For professional accountants, this new terrain will provide many opportunities as it permeates deeper and deeper into the fabric of society. From the promise of blockchain, to the demands of valuation in a digital era, finance more than ever needs an experienced, knowledgeable guide to make the most of the opportunities ahead.

  • Budget Analysis FY 2017-18

    Source: BRAC EPL Research
    Date Submitted: 06 Jun 2017
    Views: 227
    Downloads: 30
    The Finance Minister proposed the budget for FY2017-18 on 1st June, 2017. After stepping back in last two years, the government has finally implemented a single and uniform VAT rate of 15.0% across all sectors (including services) - to be effective from July 01, 2017. Apart from this development, only a few other notable policy changes have been proposed in this budget with limited implications for the private sector players including listed companies and capital market, in general.
  • What next after the S&P ratings upgrade?

    Source: Kahlil Rowter
    Date Submitted: 05 Jun 2017
    Views: 79
    Downloads: 0
    Indonesia was recently upgraded by S&P to investment grade, after a 20-year hiatus. What were the rationales behind the upgrade, and what will follow next as a consequence?
  • Bangladesh National Budget Review FY'18

    Source: EBLSL Research Team
    Date Submitted: 04 Jun 2017
    Views: 763
    Downloads: 130
    The 46th National Budget of Bangladesh and 11th by Finance Minister AMA Muhith has been proposed on 1st June, 2017. Proposed budget size for FY ’18 is BDT 4002.66 bn which is 18.0% of GDP. This is the largest budget in the history of Bangladesh. Target Revenue is BDT 2879.91 bn caused a deficit amounting to BDT 1122.75 bn which will be financed through domestic sources (BDT 603.52 bn) and External Borrowings (BDT 519.24 bn).
  • Oil Price Shocks on the Industry Level Production Using Vector Auto Regression: Empirical Evidence from Pakistan

    Source: Farhan Ahmed, Osama Daudpota, Muhammad Kashif
    Date Submitted: 31 May 2017
    Views: 195
    Downloads: 5
    Industrial production is one of the leading indicators of gross domestic product and economic growth of the country which reflects the overall economic performance of a country. In other words decreases or increases in industrial production point out a contracting or expanding economy. Therefore, changes in prices of oil are the crucial inputs to the overall industrial production. This study examines the effects of oil prices shocks on the industrial production in Pakistan during the period July 2000-June 2015 by using VAR model. This research has shown that oil price shocks had a negative impact on industrial production in Pakistan to some extent. It is recommended to forecast oil prices for future that can help take precautionary steps to be flexible enough to control the impact on industrial production level. 
  • Stock Market Market Crash of 2008: an empirical study of the deviation of share prices from company fundamentals

    Source: Taisei Kaizoji, MIchiko Miyano,
    Date Submitted: 06 May 2017
    Views: 254
    Downloads: 31
    The aim of this study is to investigate quantitatively whether share prices deviated from company fundamentals in the stock market crash of 2008. For this purpose, we use a large database containing the balance sheets and share prices of 7,796 worldwide companies for the period 2004 through 2013. We develop a panel regression model using three financial indicators–dividends per share, cash flow per share, and book value per share–as explanatory variables for share price. We then estimate individual company fundamentals for each year by removing the time fixed effects from the two-way fixed effects model, which we identified as the best of the panel regression models. One merit of our model is that we are able to extract unobservable factors of company fundamentals by using the individual fixed effects. Based on these results, we analyze the market anomaly quantitatively using the 
    divergence rate–the rate of the deviation of share price from a company’s fundamentals. We find that share prices on average were overvalued in the period from 2005 to 2007, and were undervalued significantly in 2008, when the global financial crisis occurred. Share prices were equivalent to the fundamentals on average in the subsequent period. Our empirical results clearly demonstrate that the worldwide stock market fluctuated excessively in the time period before and just after the global financial crisis of 2008. 
  • The Reflation Trade Is Over; Get Set for Defensive Rotation

    Source: Hao Hong, CFA
    Date Submitted: 10 Apr 2017
    Views: 1465
    Downloads: 6
    This research appears on WenXin's blog "Hong Hao China Strategy" on 6 March 2017.
  • Analyst Report - Best World International Ltd

    Source: Charles Phan Zhong Wei, Jeremy Liang Jinrong, Ai Xin
    Date Submitted: 27 Mar 2017
    Views: 263
    Downloads: 35
    Sell-side research report on Best World International Ltd. Initiate a Buy Call with upside of 47.7%. Includes: - detailed report of analysis - slide deck to pitch the stock recommendation - financial model with detailed accounting adjustments, performance analysis, forecasts and valuations
  • 2017 Market Outlook - Charting New Course

    Source: Thien Viet Securities JSC
    Date Submitted: 07 Mar 2017
    Views: 223
    Downloads: 14
    1. Economy Outlook – Charting New Course • We expect 2017 economy delivers 6.41% growth (vs. 6.7% government target) with controlled inflation under 7%. • Although the monetary policy has more room (the Taylor rule rate of 5.43% vs. 9% base rate), the new cabinet is expected not to take use of it. • 3.5% fiscal deficit is stretched target which requires government follow strictly financial discipline. • Uncertain global trade weights on both trade and foreign exchange. 2. Equity Market – Approaching to Next Bar • Given economic stabilization, we expect the VNindex enjoying 10.3% growth to price at 732.23. It does imply 2016 P/E traded at forward 14.45x. • Market movement gains momentum from new large-cap listings expected speeding up in 2017 . The new cabinet takes SOE-equitization plan seriously when public debt approaching to 60% GDP. • Foreign trading expected to be net-selling when selling forces does exist, explained by (i) hiking Fed rate, (ii) closing 10-year investment horizon fund since inception of 2007, and (iii) ETF being less attractive vehicle. 3. Our favorable sector/stock • Consumer goods sector [portfolio’s growth component] - backed by rising tide of private consumption. Our stock picks are VNM, PNJ and MWG. • Oil & Gas [portfolio’s alpha-generation component] – 2017 turnaround year. Our stock coverage are PVD and DCM. • Real Estate – Time to Enter Affordable Housing Segment. Our stock coverage is NLG • New listing - Short-term event-driven strategy. Our stock pick is VJC.
  • Dynamic Transition of the Exchange Rate Regime in the People's Republic of China

    Source: Yoshino, Naoyuki , Kaji, Sahoko, Asonuma, Tamon
    Date Submitted: 27 Feb 2017
    Views: 249
    Downloads: 3
    Yoshino, Naoyuki; Kaji, Sahoko; Asonuma, Tamon | April 2014
  • How Far Can Renminbi Internationalization Go?

    Source: Yongding, Yu
    Date Submitted: 27 Feb 2017
    Views: 298
    Downloads: 3
    Yongding, Yu | February 2014
  • The More Divergent, the Better? Lessons on Trilemma Policies and Crises for Asia

    Source: Aizenman, Joshua, Ito, Hiro
    Date Submitted: 27 Feb 2017
    Views: 86
    Downloads: 1
    Aizenman, Joshua; Ito, Hiro | June 2014
  • Stock Market Co-Movement and Exchange Rate Flexibility: Experience of the Republic of Korea

    Source: Park, Yung Chul, Park, Hail
    Date Submitted: 27 Feb 2017
    Views: 101
    Downloads: 2
    Park, Yung Chul; Park, Hail | May 2014
  • Asian Monetary Integration: A Japanese Perspective

    Source: Kawai, Masahiro
    Date Submitted: 27 Feb 2017
    Views: 71
    Downloads: 0
    Kawai, Masahiro | April 2014
  • Exchange Rate Pass-Through To Domestic Prices: Evidence from Pakistan

    Source: Farhan Ahmed, Syed Muhammad Ahsan Hussain
    Date Submitted: 21 Feb 2017
    Views: 277
    Downloads: 0
    Exchange Rate - Pass Through is the phenomena that explains to what extent the movements in exchange rate affect macroeconomic variables of any country. This paper analyses the movements of exchange rate that has affected on wholesale price index, consumer price index, large scale manufacturing, fuel and lightening and the growth of money supply. The data from June 2005 to June 2011 is analyzed by using the econometric framework. In this study, the results of impulse response have shown that impact of exchange rate pass through is high on WPI and low on CPI. The results of variance decomposition is as much as the 5.48%. For the WPI, the variance decomposition is as much as 10.15% and the other variations are explained by the other independents variables.
  • Purchasing Power Parities and Real Expenditures

    Source: Asian Development Bank
    Date Submitted: 16 Feb 2017
    Views: 104
    Downloads: 2
    Asian Development Bank | June 2014
  • Impact of elections on stock price graph: a case of US elections

    Source: Shreya Sethi, Shreya Sethi
    Date Submitted: 09 Feb 2017
    Views: 213
    Downloads: 5
    This paper focuses on the impact of US presidential elections on stock market. Thus, this paper aims to analyse the impact of the US presidential elections that have taken place from 1980 to 2010, on the stock market performance for eight different industries. The paper puts special emphasis on studying the abnormality of return related to stock prices and evaluating the uncertainty between the firm’s tax policy and stock market, around the time of upcoming presidential elections. This is a comparative study wherein the effects of pre- and post-election have been assessed. The empirical analysis undertaken relies on secondary data collected from various online sources. The results of the papers highlight; industry return data churn out ambiguous results when compared for winning election party. Also, the rate of reaction tends to differ grossly with respect to different industries. Democratic victory impacts the stock return negatively but in case of Republican victory the result is insignificant. A positive correlation exists between abnormal stock price and firms’ marginal tax rate around the day of the election. The paper proves there is a transitional effect of election, felt in the stock market irrespective of the anticipated outcome of the election.
  • Trilemma Challenges for the People’s Republic of China

    Source: Kawai, Masahiro, Liu, Li-Gang
    Date Submitted: 06 Feb 2017
    Views: 114
    Downloads: 0
    Kawai, Masahiro; Liu, Li-Gang | January 2015
  • Dynamic Effect of a Change in the Exchange Rate System: From a Fixed Regime to a Basket-Peg or a Floating Regime

    Source: Yoshino, Naoyuki, Kaji, Sahoko, Asonuma, Tamon
    Date Submitted: 04 Feb 2017
    Views: 129
    Downloads: 1
    Yoshino, Naoyuki; Kaji, Sahoko; Asonuma, Tamon | March 2015
  • Asian Development Bank and Azerbaijan: Fact Sheet

    Source: Asian Development Bank
    Date Submitted: 04 Feb 2017
    Views: 92
    Downloads: 1
    Asian Development Bank | April 2015
  • Financial Development, Financial Openness, and Economic Growth

    Source: Estrada, Gemma, Park, Donghyun, Ramayandi, Arief
    Date Submitted: 03 Feb 2017
    Views: 135
    Downloads: 1
    Estrada, Gemma; Park, Donghyun; Ramayandi, Arief | August 2015
  • Public Debt Sustainability in Developing Asia: An Update

    Source: Ferrarini, Benno, Ramayandi, Arief
    Date Submitted: 03 Feb 2017
    Views: 86
    Downloads: 0
    Ferrarini, Benno; Ramayandi, Arief | December 2015
  • A Darwinian Perspective on “Exchange Rate Undervaluation”

    Source: Du, Qingyuan, Wei, Shang-Jin
    Date Submitted: 03 Feb 2017
    Views: 85
    Downloads: 0
    Du, Qingyuan; Wei, Shang-Jin | October 2015
  • The Impact of Financial Factors on the Output Gap and Estimates of Potential Output Growth

    Source: Felipe, Jesus , Sotocinal, Noli, Bayudan-Dacuycuy, Connie
    Date Submitted: 03 Feb 2017
    Views: 217
    Downloads: 0
    Felipe, Jesus; Sotocinal, Noli; Bayudan-Dacuycuy, Connie | October 2015
  • Commercial Bank Innovations in Small and Medium-Sized Enterprise Finance: Global Models and Implications for Thailand

    Source: Subhanij, Tientip
    Date Submitted: 02 Feb 2017
    Views: 1869
    Downloads: 19
    Subhanij, Tientip | July 2016
  • Capital Inflow Surges and Consequences

    Source: Ghosh, Atish R., Qureshi, Mahvash S.
    Date Submitted: 01 Feb 2017
    Views: 292
    Downloads: 3
    Ghosh, Atish R.; Qureshi, Mahvash S. | July 2016
  • Should the RBA be Worried About the Labour Market

    Source: Jimmy Louca
    Date Submitted: 28 Dec 2016
    Views: 233
    Downloads: 0
    The Reserve Bank of Australia (RBA) will ponder two important releases when its Board meets in November: this week’s employment report and next week’s Q3 Consumer Price Index (CPI). On first blush, the labour market appears in good health. This week showed that the unemployment rate fell to 5.6% in September, a three-year low and down on a recent peak of 6.3% just last July. However, we argue that on broader measures the labour market has lost momentum and that this would be of increasing concern to the RBA.
  • Active Currency: A Vital Diversifier in a Low Yield World Part 1

    Source: QIC
    Date Submitted: 27 Dec 2016
    Views: 240
    Downloads: 0
    There weren’t many winners from the washout of the 2008 financial crisis, but as the efficient market theory floundered, Keynesian economic policy re-emerged to steady the ship. Easy money sloshed through the US economy and before long other countries were following suit.
  • Some Preliminary Evidence on Stock Price Bubbles in an Emerging Market

    Source: Nawazish Mirza, PhD, Ayesha Afzal, PhD
    Date Submitted: 06 Dec 2016
    Views: 467
    Downloads: 0
    This paper analyzes the presence of a speculative component during the extra ordinary upsurge in Karachi Stock Exchange. We implement cointegration tests, between 1997 and 2008, on price and dividends of various market and sectoral indices. The no bubble hypothesis could not be rejected for market level indices establishing the presence of a speculative factor. Among sectoral indices, banking sector depicted a speculative component, however, the price level of Oil and Gas sector did not diverge from the related dividends. These results remained robust with evidence of persistent volatility shocks for the sample period.
  • Interest Rate Spreads in an Emerging Economy: The Case of Pakistan’s Commercial Banking Sector

    Source: Nawazish Mirza, PhD, Ayesha Afzal, PhD
    Date Submitted: 25 Nov 2016
    Views: 352
    Downloads: 0
    This paper explores the determinants of interest rate spreads in Pakistan’s commercial banking sector in post transition period (2004 – 2009) using an exhaustive set of macro and firm level variables to analyze their impact on intermediary efficiency. We introduce two innovative variables of default likelihood indicator (Black Merton and Scholes option pricing framework) and proportion of public sector deposits in total deposits to explain the variation in spreads. The results suggest that intermediary efficiency is affected by bank size, operational efficiency, asset quality, liquidity, risk absorption capacity and GOP growth rate. There is evidence for deposit market share as well as deposit market concentration establishing the presence of an interest sensitive deposit market. We could not find support for impact of interest rate volatility and financial development indicator on banking spreads.
  • Volatility Dynamics in an Emerging Economy: Case of Karachi Stock Exchange

    Source: Mahreen Mahmud, PhD, Nawazish Mirza, PhD
    Date Submitted: 25 Nov 2016
    Views: 274
    Downloads: 0
    The paper aims to model and forecast the volatility in the stocks traded at the Karachi Stock Exchange before and during the recent financial crisis using the GARCH, EGARCH and GJR-GARCH models. We find the stock return volatility to be characterized by clustering and displaying asymmetries. Results point to the capability of the EGARCH(1,1) model at forecasting for both periods lending support to the use of GARCH family of models for emerging markets during crisis. We find evidence for a synthetically constructed index based on trading volume capturing the volatility structure of the market as well as that based on market capitalization which has important implications for investors.
  • Detailed report on Textile sector in Pakistan

    Source: The Pakistan Credit Rating Agency Limited
    Date Submitted: 24 Nov 2016
    Views: 273
    Downloads: 20
    Detailed report on Textile sector in Pakistan
  • Inflation volatility: An Asian Perspective

    Source: Kumail Rizvi, Phd, CFA, FRM, Bushra Naqvi, PhD, FRM, Christian Bordes, PhD, Nawazish Mirza, PhD
    Date Submitted: 24 Nov 2016
    Views: 512
    Downloads: 0
    For the quarterly data of 10 Asian economies, ranging from the first quarter of 1991 to last quarter of 2012, we model inflation volatility as a time varying process through different symmetric and asymmetric GARCH specifications. We also propose to model inflation volatility on the basis of cyclic component of inflation obtained from an Hodrick Prescott (HP) filter instead of actual inflation when the latter does not fulfil the criterion of stationarity. Through news impact curves (NICs) we tried to highlight the behaviour of inflation volatility in response to lagged inflation shocks under different GARCH specifications. In our results the leverage parameter shows the expected sign and is significant for almost all countries suggesting strong asymmetry in inflation volatility. The hyperbolic sign integral shape of NICs based on Glosten-Jagannathan-Runkle GARCH (GJR-GARCH) highlights the importance of inflation stabilisation programmes particularly because of the subsequent evidence obtained in favour of bidirectional causality running between inflation and inflation volatility. There is also evidence in favour of the argument that a cyclic component of inflation obtained through an HP filter could be used as a suitable proxy of inflation for volatility estimation.
  • AFBC - Slack-based directional distance function in the presence of bad outputs: Theory and Application to Vietnamese Banking

    Source: Manh D. Pham, Valentin Zelenyuk
    Date Submitted: 15 Nov 2016
    Views: 246
    Downloads: 5
    Slack-based directional distance function in the presence of bad outputs: Theory and Application to Vietnamese Banking
  • Global Asset Allocation Trends

    Source: Aaron Low, CFA
    Date Submitted: 14 Nov 2016
    Views: 387
    Downloads: 13
    2016 CFA China Conference
  • Influence of Turbulent Macroeconomic Environment on Productivity Change of Banking Sector: Empirical Evidence from India

    Source: Dipasha Sharma
    Date Submitted: 08 Nov 2016
    Views: 2009
    Downloads: 0
    This study aims to assess the direct impact of US subprime crisis and turbulent macroeconomic conditions on the productivity gains of Indian banking sector using non-parametric data envelopment analysis (DEA) based Malmquist productivity index (MPI) and panel data regression model for the period 2000–2010. This study evaluates the trend of productivity change and assesses the influence of turbulent macroeconomic environment and financial crisis along with regulatory/microeconomic factors on the productivity of the Indian banking sector. The results reveal overall productivity increase during the period under study with the technological improvement across the sector. Financial crisis 2008–2009 exhibits positive and significant impact on the productivity Indian banking sector. Empirical findings suggest that the Indian banking industry sustained their productivity growth even during the global crisis. GDP and inflation exhibits negative and significant association with the productivity gains of Indian banking sector. Productivity growth exhibits significant and positive association with the listing in the stock exchange and therefore this study supports the ‘market discipline’ hypothesis in Indian banking sector. Bank size in terms of total assets, bank’s diversification strategy and profitability exhibit insignificant relationship whereas bank’s expense preference behaviour reveals negative relationship. Bank origin exhibits insignificant association and ownership reveal positive association. Therefore, results of the study do not support global advantage hypothesis in Indian banking sector.
  • HKUST Risk Management and Business Intellegence (RMBI) Newsletter Issue 7

    Source: Chow Miu Lam, Hui Sin Hang, Tsang Wing Wah, Lee Kwok Ho, Tam Kiu Fai
    Date Submitted: 07 Nov 2016
    Views: 389
    Downloads: 0
    Risk Management in the Medical Sector. Risk Management can bring a better decision making and reduce the number of errors, so as to ensure a high quality and effective service being provided. In the past 20 years, the hongkong Hospital Authority (HA) showed great support to develop large scale computer-based systems to manage and reduce the risk within the healthcare sector. To have a deeper understadning on how the systems work, we have invited Dr. CP Wong, Chairman of Society of Medical Informatics Ltd to share with us the success and benefits in risk managment in Hong Kong public hospitals. Safety and Risk Managemnt in the Railway Industry. As an industry with over 15,000 employees, the railway industry is inevitably at risk for human mistakes, leading to a need for risk management measures to reduce operational errors in order to achieve its customer pledge. Let's examine this under serveral issues: benmarking, drivers' training and selection, and risk management and risk identification.
  • HKUST Risk Management and Business Intellegence (RMBI) Newsletter Issue 8

    Source: Wong Yuen Man, Wong Cheuk Fun
    Date Submitted: 07 Nov 2016
    Views: 440
    Downloads: 0
    Humans always learn from history and our students should also learn from the past. This is the first time a case study is used as the main topic in the RMBI Newsletter series.London Whale Risk in 2012 is chosen as the topic of this chapter. This issue mainly focuses on the risks involved, including operational risks, analysis of VAR modeling aswell asthe influence of the Basel regulatory stan­ dard.
  • Crises and Central Banks

    Source: Ishwar Chidambaram
    Date Submitted: 02 Nov 2016
    Views: 3422
    Downloads: 286
    A post-crisis look at the increasingly fragmented monetary policies of global Central Banks and the implications for Main Street
  • AFBC - The Effect of Monetary Policy on Bank Wholesale Funding

    Source: Hyun-Soo Choi, Dong Beom Choi
    Date Submitted: 20 Oct 2016
    Views: 252
    Downloads: 4
    AFBC-The Effect of Monetary Policy on Bank Wholesale Funding
  • Review of factors constraining the development of Indian corporate bond markets

    Source: Shagun Thukral, CFA, Sharada Shridhar, Dr. Medha Joshi
    Date Submitted: 12 Oct 2016
    Views: 719
    Downloads: 11
    This paper is a literature review of papers on the development of corporate bond markets in India. It was published by Emerald in the Qualitative Research in Financial Markets journal in November 2015.
  • Analyst Report - Sheng Siong Group - Oct 15

    Source: Sylvester Yeo, Nicholas Han, Darren Toh
    Date Submitted: 11 Oct 2016
    Views: 372
    Downloads: 26
    Research report on Sheng Siong Group Ltd dated Oct 2015 initiating a hold call
  • Analyst Report - Starhub (Oct 15)

    Source: Sylvester Yeo, Cheng Jun Song, Kenny Tay, Lim You Jie, Sarah Leong,
    Date Submitted: 11 Oct 2016
    Views: 339
    Downloads: 15
    Research report on Starhub dated October 2015 with a sell call
  • Frontier Special Report - Why we are not worried about Brexit

    Source: Frontier Research
    Date Submitted: 28 Aug 2016
    Views: 340
    Downloads: 9
    A critical analysis of the impact the result of the Brexit vote would have on Sri Lanka's Economy.
  • China Market Strategy: Consolidation

    Source: Hao Hong, CFA
    Date Submitted: 21 Aug 2016
    Views: 303
    Downloads: 8
    This article appear on WenXin's blog "Hong Hao China Strategy" on 22 August 2016. Chinese Version:
  • 中国市场策略: 市场盘整

    Source: Hao Hong, CFA
    Date Submitted: 21 Aug 2016
    Views: 309
    Downloads: 18
    This article appear on WenXin's blog "洪灝的中国市场策略" on 22 August 2016.
  • Business dynamics, efficiency, asset quality and stability: The case of financial intermediaries in Pakistan

    Source: Nawazish Mirza, PhD, Birjees Rahat, Krishna Reddy, PhD
    Date Submitted: 18 Aug 2016
    Views: 422
    Downloads: 0
    This research is aimed at assessing the possible differences in business dynamics, cost efficiency, asset quality and financial stability of conventional, Shariah compliant banks and non-banking financial institutions (NBFIs) in Pakistan, using an unbalanced panel between 2005 and 2013. Theoretically, these three financial intermediaries should demonstrate differences in various business attributes. However, we observe fewer than expected differences between conventional and Islamic banks. We report that Islamic banks have superior asset quality and financial stability than conventional banks. However, certain similarities are present in their respective business models. On the contrary, NBFIs demonstrate differences in business dynamics, with high fee based income and non-deposit funding, as compared to conventional banks. Due to higher business risk and variance in profitability, we find that NBFIs are financially more fragile, irrespective of their stronger capitalization, as compared to commercial banks
  • Frontier Insights - PE Ratio Vs. Interest Rates

    Source: Frontier Research
    Date Submitted: 24 Jul 2016
    Views: 428
    Downloads: 13
    This report explores the relationship between stock market valuations in Sri Lanka and movements in Interest rates. Key FIndings • PER and interest rates are often inversely related: Low interest rates mean lower returns on fixed income, which often increases demand for equity, leading to higher PER valuations • When comparing PER across countries it is also necessary to consider their respective interest rates • Lower PER valuations could be a result of high interest rates, and vice versa
  • Exploring Harrod Domar & Solow models of economic growth

    Source: Shreenivas Kunte, Om Damani
    Date Submitted: 12 Jul 2016
    Views: 392
    Downloads: 8
    From System Dynamics 2016, Conference Proceedings.
  • 脱欧后,如何交易中国(中文版)

    Source: Hao Hong, CFA
    Date Submitted: 30 Jun 2016
    Views: 481
    Downloads: 12
    This article appear on WenXin's blog "洪灝的中国市场策略" on 28 June 2016.
  • Post Brexit: How to Trade China

    Source: Hao Hong, CFA
    Date Submitted: 30 Jun 2016
    Views: 746
    Downloads: 35
    This article appear on WenXin's blog "Hong Hao China Strategy" on 27 June 2016.
  • Domestic Debt Market in India

    Source: Dr. Vighneswara Swamy, Professor of Finance, IBS-Hyderabad, India
    Date Submitted: 23 Jun 2016
    Views: 591
    Downloads: 21
    As India is projected to be the world’s most populous country by 2025, the growing needs of the economy, with expanding population, in the recent years have placed intense stress on physical infrastructure. In order to meet the deficit in the provision of infrastructure, mid-term appraisal of the twelfth plan suggests that to attain 9 percent real Gross Domestic Product (GDP) growth rate, infrastructure investment should be on average almost 10 percent of GDP during the Twelfth Plan which translates into INR 65795 billion (about One trillion dollar). Though there has been a progressive involvement of the private sector in infrastructure investments, the government has to play a proactive role in developing a well-structured platform for raising the required investments in Indian infrastructure. Given the huge demand of US$ 1 trillion for infrastructure investments during the 12th plan period, there is a greater emphasis on creating a domestic debt market with special focus on bond market as an alternate source of funding for bank finance, which is faced with myriad problems of stress assets, asset restructuring, etc.
  • The Respond of Sovereign CDS Market to Macroeconomics Indicators in Crisis and Non-Crisis

    Source: Chanoknun Wutthinitikornkij
    Date Submitted: 21 Jun 2016
    Views: 242
    Downloads: 3
    The respond of domestic and the spillover effect of macroeconomics indicators from the major economies, U.S., Eurozone and China, on sovereign credit default swap (CDS) spread and volatility have been examined on seventeen countries over both financial instability and normal period from January 2008 to December 2015. The paper found that the better than expected announcement tends to reduce the CDS spreads, while the worse than expected one exhibits the opposite effect over both normal and crisis period. The announcement from three major economies has stronger spillover effect on other sovereign CDS market in the financial turmoil comparing to the normal period. The reaction on the volatility from both domestic and major countries is consistent with the expectation that better than expected announcement is likely to reduce the level of volatility, while the worse than expected one show the opposite effect over both normal and crisis period. Similar to CDS spread respond, the volatility tends to be more sensitive from both good and bad news in crisis.
  • Elephant vs. Dragon: The Political and Economic Prospects of India and China

    Source: Gregg S. Fisher, CFA
    Date Submitted: 21 Jun 2016
    Views: 368
    Downloads: 3
    This is a blog posted on CFA Institute's website on 9 July 2014.
  • “India Does Not Need to Learn Capitalism from the West,” Says Lord Desai Share on Facebook Share on Twitter Share on LinkedIn Share via E-Mail

    Source: CK Lee, CFA
    Date Submitted: 20 Jun 2016
    Views: 245
    Downloads: 2
    This is a blog posted on CFA Institute's website on 26 January 2012.
  • Inflation, the Oldest and Most Powerful Force in the Galaxy

    Source: A. Michael Lipper, CFA
    Date Submitted: 20 Jun 2016
    Views: 369
    Downloads: 3
    This is a blog posted on CFA Institute's website on 10 April 2014.
  • 迈伦·斯科尔斯的全球经济展望

    Source: 迈伦·斯科尔斯
    Date Submitted: 16 Jun 2016
    Views: 292
    Downloads: 2
    This article appears on CFA Institute hedge fund journal 2015 issue, season 1.
  • 我们面对的是一场货币战争

    Source: 梁慧芝, CFA
    Date Submitted: 15 Jun 2016
    Views: 328
    Downloads: 5
    This article appears on CFA Institute hedge fund journal 2013 issue, season 2. The original article appears on Investment Risk and Performance Feature Articles.
  • KYLE BASS: 各中央银行建造波特金村庄 欺骗大众

    Source: Ron Rimkus, CFA
    Date Submitted: 15 Jun 2016
    Views: 266
    Downloads: 3
    This article appears on CFA Institute hedge fund journal 2013 issue, season 2. The original article appears on CFA Institute's official website:
  • 2013年 中国宏观经济市场剖析

    Source: 祝宝良
    Date Submitted: 14 Jun 2016
    Views: 271
    Downloads: 3
    This article appears on CFA Institute hedge fund journal 2013 issue, season 2.
  • 书评: 美联储与金融危机

    Source: Marc L. Ross, CFA
    Date Submitted: 14 Jun 2016
    Views: 300
    Downloads: 0
    This article appears on CFA Institute hedge fund journal 2013 issue, season 1.
  • 金融部门的系统风险 能否预测未来的经济衰退?

    Source: Linda Allen, Turan G.Bali, Yi Tang
    Date Submitted: 14 Jun 2016
    Views: 308
    Downloads: 1
    This article appears on CFA Institute hedge fund journal 2013 issue, season 1.
  • 大格局判断与宏观投资

    Source: 刘海影,CFA
    Date Submitted: 14 Jun 2016
    Views: 297
    Downloads: 2
    This article appears on CFA Institute hedge fund journal 2013 issue, season 1.
  • Creating Value through Governance - Towards a New Accountability - A consultation

    Source: Moxey, P., Berendt, A.
    Date Submitted: 10 Jun 2016
    Views: 364
    Downloads: 5
    This consultation paper forms part of ACCA’s investigation to examine whether existing governance and risk management frameworks are ‘fit for purpose’. It asks whether corporate governance in practice, is helping business to create value or whether something has gone wrong. This paper argues that corporate governance is about creating value and that governance codes should be evaluated on how well they facilitate the creation of value. It sets out how a framework of ‘performing, informing and holding to account’ can work.
  • Culture and Channeling Corporate Behaviour: Summary of findings

    Source: Moxey, P., Schu, P.
    Date Submitted: 10 Jun 2016
    Views: 390
    Downloads: 8
    Part of a series of four reports that aims to assist boards in preparing to assess their corporate culture and in understanding how it can influence either functional or dysfunctional behaviour.
  • SoMoClo Technologies: Transforming how and where business takes place

    Source: ACCA, IMA
    Date Submitted: 10 Jun 2016
    Views: 319
    Downloads: 6
    While social, mobile and cloud technologies (‘SoMoClo’) offer great opportunities to continue the automation of processes, SoMoClo should not be seen simply as more automation. Nor is it merely about ‘mobilising’ or ‘socialising’ existing processes and putting them in the cloud. Instead, SoMoClo provokes a revisiting and questioning of all processes, which may have evolved in response to constraints that no longer exist. SoMoClo will be a crucial driver to evolving the role of the finance professional.
  • Ending Late Payment: Part 3 - Reflection on the evidence

    Source: Schizas, M.
    Date Submitted: 10 Jun 2016
    Views: 316
    Downloads: 3
    This is the third of a series of three reports on the problem of late payment and how businesses and governments can work together to alleviate it. It summarises the ACCA’s findings on this important issue and is a call to action for governments, financial services firms, large corporates and small businesses.
  • Ending Late Payment: Part 2 - What works?

    Source: Schizas, M.
    Date Submitted: 10 Jun 2016
    Views: 310
    Downloads: 4
    This is the second of a series of three reports on the problem of late payment and how businesses and governments can work together to alleviate it. It brings together evidence from a wealth of ACCA-commissioned publications and other research as well as 36 case studies involving ACCA members around the world to help define good practice in both business and policy.
  • Ending Late Payment: Part 1 - Taking stock

    Source: Schizas, M.
    Date Submitted: 10 Jun 2016
    Views: 306
    Downloads: 2
    This is the first of a series of three reports on the problem of late payment and how businesses and governments can work together to alleviate it. It combines an extensive literature review with quantitative data from ACCA’s member surveys to correctly define late payment, trace its precise origins and document its impact on the global economy.
  • Tomorrow’s finance enterprise

    Source: ACCA, IMA
    Date Submitted: 10 Jun 2016
    Views: 420
    Downloads: 3
    In this report we ask a simple question: what are the key influences shaping the future role of the CFO and tomorrow’s finance enterprise? The report draws on all of our ongoing CFO-focused research and includes highlights of a 2014 survey of 1631 ACCA and IMA members around the world
  • China's Next 100 Global Giants

    Source: Hunag Q.H., Atherton, A., Zhan, G.
    Date Submitted: 09 Jun 2016
    Views: 446
    Downloads: 7
    A growing number of Chinese businesses are moving from dominance of domestic markets to global growth. This report identifies 100 emerging businesses that are not yet well known outside China but will be competing globally over the next three to five years.
  • Low Prices, High Expectations: Oil and Gas CFOs in Demand

    Source: ACCA
    Date Submitted: 09 Jun 2016
    Views: 1590
    Downloads: 17
    This report takes a closer look at how CFOs are tackling the big investment decisions: how they are adapting their funding strategies, how they balance short- and long-term priorities, and how they factor into their planning a range of shifting regulatory and market demands.
  • Innovation, Intangibles and Integrated Reporting: A pilot study of Malaysian SMEs

    Source: Brassell, M, Reid, B.
    Date Submitted: 09 Jun 2016
    Views: 477
    Downloads: 5
    This report presents the results of a pilot project, which tests the relevance of the Malaysian National Corporate Innovation Index to small and medium-sized enterprises.
  • Harnessing Potential: The Asia-Pacific alternative finance bench-marking report

    Source: Zhang, B., Deer, L., Wardrop, R., Grant, A., Garvey, K., Thorp, S., Ziegler, T., Kong, Y., Zheng, X.W., Huang, E., Burton, J., Chen, H.Y., Lui, A., Gray, Y.
    Date Submitted: 09 Jun 2016
    Views: 456
    Downloads: 10
    Online alternative finance is developing rapidly in the Asia-Pacific region. It is characterised by innovative financial instruments and channels that fall outside the traditional avenues of capital raising and financial intermediation. From reward-based crowdfunding to peer-to-peer consumer and business lending (i.e. marketplace lending), to invoice trading and equity-based crowdfunding, these online alternative finance activities are directly connecting lenders to consumer and small business borrowers, raising venture capital for start-ups, funding the creative industries and creating new ways for individuals and institutions to choose how and to whom money is distributed, lent and invested and invested.
  • Global Economic Conditions Survey Report: Q1, 2016

    Source: ACCA, IMA
    Date Submitted: 09 Jun 2016
    Views: 482
    Downloads: 8
    The Global Economic Conditions Survey (GECS) is one of the largest regular economic survey in the world in respect to respondents and the range of economic variables monitored. Its main indices are good predictors of such factors as GDP growth and daily trend deviations correlating with VIX (or ‘fear’ index), which measures expected stock price volatility. Fieldwork for the Q1 2016 GECS took place between 26 February and 15 March 2015, and attracted over 1,200 responses.
  • Global Economic Conditions Survey Report: Q4, 2015

    Source: ACCA, IMA
    Date Submitted: 09 Jun 2016
    Views: 391
    Downloads: 5
    The Global Economic Conditions Survey (GECS) is one of the largest regular economic survey in the world in respect to respondents and the range of economic variables monitored. Its main indices are good predictors of such factors as GDP growth and daily trend deviations correlating with VIX (or ‘fear’ index), which measures expected stock price volatility. Fieldwork for the Q1 2015 GECS took place between 27 November and 25 December 2015, and attracted over 2,500 responses.
  • Global Economic Conditions Survey Report: Q3, 2015

    Source: ACCA, IMA
    Date Submitted: 09 Jun 2016
    Views: 484
    Downloads: 4
    The Global Economic Conditions Survey (GECS) is one of the largest regular economic survey in the world in respect to respondents and the range of economic variables monitored. Its main indices are good predictors of such factors as GDP growth and daily trend deviations correlating with VIX (or ‘fear’ index), which measures expected stock price volatility. Fieldwork for the Q1 2015 GECS took place between 11 September and 22 September 2015, and attracted over 950 responses.
  • Global Economic Conditions Survey Report: Q2, 2015

    Source: ACCA, IMA
    Date Submitted: 09 Jun 2016
    Views: 283
    Downloads: 3
    The Global Economic Conditions Survey (GECS) is one of the largest regular economic survey in the world in respect to respondents and the range of economic variables monitored. Its main indices are good predictors of such factors as GDP growth and daily trend deviations correlating with VIX (or ‘fear’ index), which measures expected stock price volatility. Fieldwork for the Q2 2015 GECS took place between 29 May and 16 June 2015, and attracted over 950 responses.
  • Global Economic Conditions Survey Report: Q1, 2015

    Source: ACCA, IMA
    Date Submitted: 09 Jun 2016
    Views: 281
    Downloads: 3
    The Global Economic Conditions Survey (GECS) is one of the largest regular economic survey in the world in respect to respondents and the range of economic variables monitored. Its main indices are good predictors of such factors as GDP growth and daily trend deviations correlating with VIX (or ‘fear’ index), which measures expected stock price volatility. Fieldwork for the Q1 2015 GECS took place between 27 February and 17 March 2015, and attracted over 900 responses.
  • 2014年中国经济希望与阵痛

    Source: 徐彪
    Date Submitted: 06 Jun 2016
    Views: 292
    Downloads: 1
    This article appears on CFA Institute hedge fund journal 2014 issue, season 1.
  • The Impact of Population Dynamics on the Chinese Capital Markets

    Source: Alan Lok
    Date Submitted: 05 Jun 2016
    Views: 292
    Downloads: 2
    This is a blog posted on CFA Institute's website on 11 January 2015.