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Emerging Markets
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Emerging Markets

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Financial Markets".

Deadline for manuscript submissions: closed (31 January 2022) | Viewed by 14925

Special Issue Editor

Dr. Rakesh Gupta

E-Mail Website
Guest Editor
Associate Professor, Accounting & Finance, Faculty of Arts and Society, Charles Darwin University, Darwin 0800, Australia
Interests: emerging markets; portfolio construction; asset allocation; market integration; volatility transmission
Special Issues, Collections and Topics in MDPI journals

Special Issue Information

Dear Colleagues,

This Special Issue focuses on the broad topic of “Emerging Markets” and includes novel research and the analysis of asset prices, returns, volatility, and on pricing, hedging, economic issues, and risk management in emerging markets. Theoretical and empirical articles on broad economics and finance in emerging markets are welcome.

Contributions focusing on multivariate or high-dimensional applications in today’s complex world, novel measures of financial risk, and other types of risks implied from derivative markets, and on the use of high-frequency data of all sorts, are encouraged. We also encourage topics that look at areas within the context of emerging markets that have not yet been explored in mainstream journals in finance and economics.

Dr. Rakesh Gupta
Guest Editor

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Published Papers (5 papers)

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Research

19 pages, 548 KiB  
Article
Development of Risk Index and Risk Governance Index: Application in Indian Public Sector Undertakings
by Suneel Maheshwari, Vasudha Gupta and Deepak Raghava Naik
J. Risk Financial Manag. 2022, 15(5), 225; https://doi.org/10.3390/jrfm15050225 - 20 May 2022
Cited by 1 | Viewed by 2548
Abstract
The purpose of the paper is to develop a risk measure in the form of a risk index and a governance index as an indicator of the quality of governance structure. Using the Delphi technique, two indices are developed (risk index and corporate [...] Read more.
The purpose of the paper is to develop a risk measure in the form of a risk index and a governance index as an indicator of the quality of governance structure. Using the Delphi technique, two indices are developed (risk index and corporate governance index (CGI)); subsequently, using the 10-year (2005–2015) data of top Indian Public Sector Undertakings (PSUs) and diff-GMM regression (to deal with endogeneity), indices have been validated. Though the data set may appear old, it has only been used to test the risk index and analyze the results. Empirical evidence on indices indicates that Indian PSUs have ‘moderate’ risk levels and ample scope for improvement in their governance structure. Further, a positive relation between governance index and returns and negative relation between risk index and returns lend credence to the indices developed in the study. Notably, the governance index appears to be a moderating variable in the relationship between risk and return. It is perhaps the first study to put forth a comprehensive measure of risk to measure risk levels of PSUs and prescribe a measure of the quality of governance structure. While constructing the CGI, certain non-compliances were observed, even in terms of mandatory requirements, such as the proportion of PSUs may take independent directors. The new datasets may further check for compliance and its effect on the results. Such infringements call for stringent penal provisions and better monitoring of PSUs. Further, if the normative frameworks are adhered to as per the study by the Securities and Exchange Board of India (SEBI) and Ministry of Corporate Affairs (MCA), more effective and efficient decisions with lower risks, and hassle-free management resulting in better return on assets and return on equity. Full article
(This article belongs to the Special Issue Emerging Markets)
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25 pages, 2672 KiB  
Article
A Survey of the Accounting Industry on Holdings of Cryptocurrencies in Xiamen City, China
by Huqin Yan, Kejia Yan and Rakesh Gupta
J. Risk Financial Manag. 2022, 15(4), 175; https://doi.org/10.3390/jrfm15040175 - 11 Apr 2022
Cited by 3 | Viewed by 3762
Abstract
This is the first survey conducted in China on the holding of cryptocurrencies. Although cryptocurrencies have existed in the world for more than a decade, because the exchange of cryptocurrencies is banned in China, there is no guidance on the holding of cryptocurrencies [...] Read more.
This is the first survey conducted in China on the holding of cryptocurrencies. Although cryptocurrencies have existed in the world for more than a decade, because the exchange of cryptocurrencies is banned in China, there is no guidance on the holding of cryptocurrencies in China’s accounting standards. Moreover, although the exchange of cryptocurrencies is prohibited by the Chinese government, holdings of cryptocurrencies by Chinese entities and individuals cannot be prevented. Thus, we conducted a survey in investors’ attitudes towards cryptocurrencies in Xiamen City, a special economic zone (SEZ) and a pilot free trade zone (FTZ) in China. The survey respondents commonly defined cryptocurrencies as investments (45%), inventories (19%), and intangible assets (36%). A total of 84% of respondents stated that the value of a cryptocurrency should be represented by a fair value. These results are similar to those obtained in a survey by The Digital Assets Accounting Consortium (DAAC), but different to the tentative agenda decision of the International Financial Reporting Standards Interpretations Committee (IFRSIC). Additionally, 65% of respondents stated that they prefer to accept cryptocurrencies as cash equivalent currencies, and these cash equivalent currencies were considered to have two main functions: a medium of exchange (56%) and a monetary unit for pricing goods and services (52%). Full article
(This article belongs to the Special Issue Emerging Markets)
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25 pages, 1802 KiB  
Article
Are GARCH and DCC Values of 10 Cryptocurrencies Affected by COVID-19?
by Kejia Yan, Huqin Yan and Rakesh Gupta
J. Risk Financial Manag. 2022, 15(3), 113; https://doi.org/10.3390/jrfm15030113 - 1 Mar 2022
Cited by 6 | Viewed by 3014
Abstract
This paper examines the dynamic conditional correlations among 10 cryptocurrencies and the possibility of hedging investment strategies among multiple cryptocurrencies over the period affected by COVID-19 from 2017 to 2022. After studying the relationship between Bitcoin, Ethereum, and the other eight cryptocurrencies, four [...] Read more.
This paper examines the dynamic conditional correlations among 10 cryptocurrencies and the possibility of hedging investment strategies among multiple cryptocurrencies over the period affected by COVID-19 from 2017 to 2022. After studying the relationship between Bitcoin, Ethereum, and the other eight cryptocurrencies, four main results were obtained in this paper: first, from the pre-COVID-19 period to the COVID-19 period, almost all of the cryptocurrencies’ return growth rates increased, and COVID-19 had a positive effect on the returns of cryptocurrencies. Second, all of the cryptocurrencies’ return indices had features of volatility clustering and memory persistence in the long run; from pre-COVID-19 to COVID-19, these cryptocurrencies’ GARCH values decreased, but the correlations among the varying GARCH values increased. Third, the varying correlations between the return indices of Bitcoin, Ethereum, and the other cryptocurrencies were very strong; from pre-COVID-19 to COVID-19, the average dynamic correlations between Bitcoin and the others increased. Fourth, Tether can be used as a hedge cryptocurrency against the other cryptocurrencies as COVID-19 enhanced its hedging feature. Full article
(This article belongs to the Special Issue Emerging Markets)
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44 pages, 8488 KiB  
Article
Statistical Analysis Dow Jones Stock Index—Cumulative Return Gap and Finite Difference Method
by Kejia Yan, Rakesh Gupta and Sama Haddad
J. Risk Financial Manag. 2022, 15(2), 89; https://doi.org/10.3390/jrfm15020089 - 19 Feb 2022
Viewed by 2193
Abstract
This study was motivated by the poor performance of the current models used in stock return forecasting and aimed to improve the accuracy of the existing models in forecasting future stock returns. The current literature largely assumes that the residual term used in [...] Read more.
This study was motivated by the poor performance of the current models used in stock return forecasting and aimed to improve the accuracy of the existing models in forecasting future stock returns. The current literature largely assumes that the residual term used in the existing model is white noise and, as such, has no valuable information. We exploit the valuable information contained in the residuals of the models in the context of cumulative return and construct a new cumulative return gap (CRG) model to overcome the weaknesses of the traditional cumulative abnormal returns (CAR) and buy-and-hold abnormal returns (BHAR) models. To deal with the residual items of the prediction model and improving the prediction accuracy, we also lead the finite difference (FD) method into the autoregressive (AR) model and autoregressive distributed lag (ARDL) model. The empirical results of the study show that the cumulative return (CR) model is better than the simple return model for stock return prediction. We found that the CRG model can improve prediction accuracy, the term of the residuals from the autoregressive analysis is very important in stock return prediction, and the FD model can improve prediction accuracy. Full article
(This article belongs to the Special Issue Emerging Markets)
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15 pages, 1367 KiB  
Article
Storming the Beachhead: An Examination of Developed and Emerging Market Multinational Strategic Location Decisions in the U.S.
by Denise R. Dunlap and Roberto S. Santos
J. Risk Financial Manag. 2021, 14(7), 325; https://doi.org/10.3390/jrfm14070325 - 14 Jul 2021
Cited by 2 | Viewed by 2508
Abstract
Entering a foreign market is challenging given the fierce competition posed by local incumbents. The literature suggests that when entering a foreign market, it is advantageous to locate where there are agglomeration benefits. Given the dynamic nature of regional development, foreign firms have [...] Read more.
Entering a foreign market is challenging given the fierce competition posed by local incumbents. The literature suggests that when entering a foreign market, it is advantageous to locate where there are agglomeration benefits. Given the dynamic nature of regional development, foreign firms have multiple location options. While the literature has primarily focused on developed country multinationals’ (DMNEs) location decisions, emerging market multinationals (EMNEs) are increasingly becoming influential in high-tech industries. Due to differences in DMNE and EMNE resource endowments, they may consider alternative options when locating abroad and, thus, we examine these nuances. Using multinomial logistic regression, we investigate domestic and foreign location patterns of firms within the U.S. biopharmaceutical industry as of 2018. We constructed a unique dataset of 19,962 U.S. locations and examined the location patterns of DMNEs and EMNEs from 61 countries and territories. Given the heterogeneity of regional development in the U.S., we developed a typology that stratifies regions into four categories (developed, growth, transitioning, and nascent). Counterintuitively, we find that foreign multinationals are more likely to be attracted to less developed regions than domestic firms and have different location patterns, not only compared to domestic firms, but also with respect to each other. Full article
(This article belongs to the Special Issue Emerging Markets)
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