Fan Fah Cheng

Macroeconomic dataset for generating macroeconomic volatility among selected countries in the Asia Pacific region

This data article provides macroeconomic data that can be used to generate macroeconomic volatility. The data cover a sample of seven selected countries in the Asia Pacific region for the period 2004–2014, including both developing and developed countries. This dataset was generated to enhance our understanding of the sources of macroeconomic volatility affecting the countries in this region. Although the Asia Pacific region continues to remain as the most dynamic part of the worlds economy, it is not spared from various sources of macroeconomic volatility through the decades. The reported data cover 15 types of macroeconomic data series, representing three broad categories of indicators that can be used to proxy macroeconomic volatility. They are indicators that account for macroeconomic volatility (i.e. volatility as a macroeconomic outcome), domestic sources of macroeconomic volatility and external sources of macroeconomic volatility. In particular, the selected countries are Malaysia, Thailand, Indonesia and Philippines, which are regarded as developing countries, while Singapore, Japan and Australia are developed countries. Despite the differences in level of economic development, these countries were affected by similar sources of macroeconomic volatility such as the Asian Financial Crisis and the Global Financial Crisis. These countries were also affected by other similar external turbulence arising from factors such as the global economic slowdown, geopolitical risks in the Middle East and volatile commodity prices. Nonetheless, there were also sources of macroeconomic volatility which were peculiar to certain countries only. These were generally domestic sources of volatility such as political instability (for Thailand, Indonesia and Philippines), natural disasters and anomalous weather conditions (for Thailand, Indonesia, Philippines, Japan and Australia) and over-dependence on the electronic sector (for Singapore).

Macroeconomic uncertainty, corporate governance and corporate capital structure

Purpose The purpose of this paper is to examine how corporate governance moderates the relationship between macroeconomic uncertainty and corporate capital structure. Design/methodology/approach This paper employs the two-step system generalized method of moments regression, considering a sample of 907 listed non-financial firms from seven Asia Pacific countries during the period 2004-2014. Findings This study finds that macroeconomic uncertainty has a significant negative impact on the capital structure decisions of firms. The results also reveal that the overall effect of macroeconomic uncertainty on capital structure among firms with better governance quality is significantly negative. The evidence suggests that corporate governance acts as an effective mechanism to curb the usage of leverage during times of high volatility. Further analysis shows that board independence, the separation between the roles of CEO and chairman of the board and blockholders’ ownership are effective governance mechanisms, whereas similar observations do not hold for board size and institutional ownership. Research limitations/implications The findings of this study may be useful to policy makers to formulate appropriate policies to mitigate the adverse effects caused by macroeconomic uncertainty. This is important because macroeconomic uncertainty may have potential destabilizing effects on a country’s or region’s development by jeopardizing the firms’ ability to formulate sound investment, production and financing decisions. Additionally, the results suggest that good governance quality can act as a check and balance to ensure that firms use less leverage when they are facing volatility in the macroeconomic environment. These findings could help to reinforce the importance of good governance among policy makers of a country as well as managers of firms. Originality/value The authors make the first attempt to examine the moderating effect of corporate governance on the relationship between macroeconomic uncertainty and corporate capital structure.

Test of Intertemporal Variability of APT in a Volatile Economy

The main objective of this study provides test of APT for Tehran stock market and also attempt to find the relevant factors that price the stock returns over time. Tests conducted using the principal component analysis and canonical correlation model showed that at least one to three factors can explain the cross-section of expected returns in this market. In full sample test, the evidence identifies 22 factors in sample and only 13 are priced. Again, in second sub period, there are 24 common factors from the smallest to largest samples and only 15 are priced. This study discovers that the sources of systematic risk are dissimilar due to the different periods in TSE. In full period the sources of risk are export of crude oil and interest rate proxy. In second sub periods money supply (M2), money supply (M1), consumer price index and GDP are sources of risk. So, the so urces of systematic risks in TSE are dissimilar and not quantified. The important macroeconomic variables could be affected by stock returns changes during times. Therefore, it is hard to identify exactly which is the source of risk in TSE.