Browsing by Author "Li X-M"

Now showing 1 - 5 of 5
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    A revisit of price discovery dynamics across Australia and New Zealand
    (ePress, Unitec, Institute of Technology, NZ, 2015) Dassanayake W; Li X-M; Buhr K
    This study re-investigates the price discovery dynamics of selected stocks cross-listed on the Australian Stock Exchange (ASX) and the New Zealand Stock Exchange (NZX) during a bear trading phase from January 2008 to December 2011. A differing price discovery dynamic in a bear market versus a bull market may occur because of variations in investor sentiments and disparities in the role of the stock prices. Using intraday data, we employ the vector error correction mechanism, Hasbrouck’s (1995) information share and Grammig e t al. ’s (2005) conditional information share methods. Consistent with previous research, we find that price discovery takes place mostly on the home market for the Australian firms and for all but one of the New Zealand firms. However, not seen in existing studies, we show that the NZX has grown in importance for both the Australian and New Zealand firms. This suggests that the NZX is deviating from being a pure satellite market.
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    A Study of the Abnormal Dividend Decisions of New Zealand Firms during COVID-19
    (MDPI (Basel, Switzerland), 2023-10-01) Qiu M; Li X-M
    We investigated the stock return risk associated with the various types of dividend decisions announced by New Zealand firms during the COVID-19 pandemic in 2020. The sample includes a group of firms that initially announced cash dividends but a number of days later made announcements cancelling their payments. Using multinomial logistic regression analysis, we found that higher pre-pandemic payout policy significantly increased the likelihood of a cancellation, an omission or an increase decision. Higher growth and higher profitability reduced the probability of an omission and a reduction decision, respectively. Moreover, higher stock return volatility increased the likelihood of an omission, a reduction or an increase decision. Further event study analysis revealed that investors reacted more feverishly to the announcements of cancellation decisions than any other types of dividend decisions. Moreover, we report strong evidence of negative abnormal returns around the cancellation announcements followed by positive post-announcement price reversals, a pattern that is not observed for the omission announcements. This paper contributes to the literature by studying a cancellation sample and reveals, for the first time, significant shareholder risk associated with cancellation decisions, which was not observed for omission decisions. We alert managers to carefully weigh the costs and benefits of breaking a promise of dividend payout.
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    Does the U.S. export inflation? Evidence from the dynamic inflation spillover between the U.S. and EAGLEs
    (Elsevier Inc, 2024-07-02) Nguyen TTT; Pham SD; Li X-M; Do HX
    Given the crucial role of inflation as a key economic barometer, our paper investigates the dynamic inflation spillover between the U.S. and the nine emerging and growth-leading economies (EAGLEs) between 1991M1 and 2020M2. Employing the recently developed time-varying parameter vector autoregressions (TVP-VAR)-based connectedness approach, we find evidence of a moderate inflation spillover across the sample countries at normal condition. We further point out that inflation spillover effects with the U.S. are more pronounced for the emerging markets with higher openness, the net oil-importing emerging markets, and the emerging markets following free-float exchange rate regimes. More importantly, the inflation spillover index among the system rises dramatically to over 70% under extremely inflationary conditions, implying that the transmission of spiral inflation is very high. Additionally, the time-varying analysis shows that the role of the U.S. in the inflation shock transmission with emerging countries varies between being a net inflation-exporter and inflation-importer over times. Finally, an investigation of the drivers of the inflation spillovers reveals that the U.S. dollar, emerging markets' economic policy uncertainty, and bilateral trade are key determinants of the inflation shock transmission among the system. Our findings justify central banks’ actions in decreasing U.S. dollar reserves to safeguard their domestic currencies.
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    Shortability and Asset Pricing Model: Evidence from The Hong Kong Stock Market
    (Elsevier BV, 2017-12) Bai M; Li X-M; Qin Y; Alexander, C
    This study explores how the violation of free short selling assumption affects the performance of CAPM and the Fama-French three-factor model, as existing studies show that short-sales constraints affect asset pricing of the stocks. Using data from the Hong Kong Stock Market which has unique regulations on short selling, we conduct both time-series and cross-sectional regression analyses to evaluate the performance of the two models under the short-sales-constraints and the no-constraints market environment. The two models perform much worse in the former environment than in the latter, indicating a significant impact of the short sales constraints on the explanatory power of the models. We then augment the two models with a shortability-mimicking factor. Our results show that the factor has a significant power in explaining both time-series and cross-sectional variation in the size-B/M portfolio returns. The addition of the factor to the two models considerably increases their overall performance.
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    The diverse effects of non-tariff measures on free trade agreements: Global empirical evidence from binary response models
    (John Wiley and Sons Ltd on behalf of Scottish Economic Society, 2024-05-17) Li X-M
    We examine how non-tariff measures (NTMs) affect the formation of free trade agreements (FTAs), using data from 114 countries over the period 1986–2019 and applying binary response models. Splitting NTMs into eight categories, some tend to be restrictive, some promotive and some neutral, in terms of their effects on FTA formation. Technical measures tend to encourage, while non-technical measures tend to discourage, country-pairs to join FTAs. Aggregating all NTMs into one variable would give rise to weak conclusions. Our results for the 12 control variables are largely in line with those of previous studies on international trade flows or on FTAs but without considering NTMs.