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Risk-averse behaviour in emerging markets: the role of economic indicators, bank characteristics and developed markets

This study aims to examine the impact of economic indicators and bank characteristics on investors' risk-averse behaviour in emerging countries. It further analyses the influence of the developed markets on the risk-averse behaviour of the emerging markets. This study specifically explores the...

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Main Author: Ooi, Kok Loang,
Format: Article
Language:English
Published: Penerbit Universiti Kebangsaan Malaysia 2023
Online Access:http://journalarticle.ukm.my/22001/1/JeM_4.pdf
http://journalarticle.ukm.my/22001/
https://www.ukm.my/jem/view-articles/
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spelling my-ukm.journal.220012023-08-07T03:16:19Z http://journalarticle.ukm.my/22001/ Risk-averse behaviour in emerging markets: the role of economic indicators, bank characteristics and developed markets Ooi, Kok Loang, This study aims to examine the impact of economic indicators and bank characteristics on investors' risk-averse behaviour in emerging countries. It further analyses the influence of the developed markets on the risk-averse behaviour of the emerging markets. This study specifically explores the tendency of risk-averse behaviour among investors, as described in the Prospect theory. Using India, Indonesia, Malaysia and China as the sample countries over the 2010-2021 period, this study employs panel data regression with excess return, three-factor alpha, five-factor alpha and six-factor alpha models for robustness testing. The results showed that the economic indicators, namely IMF growth forecast, GDP growth rate, and real interest rate significantly impact risk-averse behaviour. Bank characteristic of non-performing loans also explains risk-averse behaviour. In addition, the US as a developed market is significantly correlated with investors' behaviours in emerging markets. The results of the quantile regression showed that Malaysian investors have the highest tendency towards risk-averse behaviour, followed by Indonesia, China and India. This study may assist regulators, policymakers and practitioners in determining the tendency of risk-averse behaviour. The respective parties should regularly monitor, control and regulate investors' risk aversion as the contagion effect of extreme irrational behaviour can lead to market crash and financial crisis. Penerbit Universiti Kebangsaan Malaysia 2023 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/22001/1/JeM_4.pdf Ooi, Kok Loang, (2023) Risk-averse behaviour in emerging markets: the role of economic indicators, bank characteristics and developed markets. Jurnal Ekonomi Malaysia, 57 (1). pp. 1-16. ISSN 0127-1962 https://www.ukm.my/jem/view-articles/
institution Universiti Kebangsaan Malaysia
building Tun Sri Lanang Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Kebangsaan Malaysia
content_source UKM Journal Article Repository
url_provider http://journalarticle.ukm.my/
language English
description This study aims to examine the impact of economic indicators and bank characteristics on investors' risk-averse behaviour in emerging countries. It further analyses the influence of the developed markets on the risk-averse behaviour of the emerging markets. This study specifically explores the tendency of risk-averse behaviour among investors, as described in the Prospect theory. Using India, Indonesia, Malaysia and China as the sample countries over the 2010-2021 period, this study employs panel data regression with excess return, three-factor alpha, five-factor alpha and six-factor alpha models for robustness testing. The results showed that the economic indicators, namely IMF growth forecast, GDP growth rate, and real interest rate significantly impact risk-averse behaviour. Bank characteristic of non-performing loans also explains risk-averse behaviour. In addition, the US as a developed market is significantly correlated with investors' behaviours in emerging markets. The results of the quantile regression showed that Malaysian investors have the highest tendency towards risk-averse behaviour, followed by Indonesia, China and India. This study may assist regulators, policymakers and practitioners in determining the tendency of risk-averse behaviour. The respective parties should regularly monitor, control and regulate investors' risk aversion as the contagion effect of extreme irrational behaviour can lead to market crash and financial crisis.
format Article
author Ooi, Kok Loang,
spellingShingle Ooi, Kok Loang,
Risk-averse behaviour in emerging markets: the role of economic indicators, bank characteristics and developed markets
author_facet Ooi, Kok Loang,
author_sort Ooi, Kok Loang,
title Risk-averse behaviour in emerging markets: the role of economic indicators, bank characteristics and developed markets
title_short Risk-averse behaviour in emerging markets: the role of economic indicators, bank characteristics and developed markets
title_full Risk-averse behaviour in emerging markets: the role of economic indicators, bank characteristics and developed markets
title_fullStr Risk-averse behaviour in emerging markets: the role of economic indicators, bank characteristics and developed markets
title_full_unstemmed Risk-averse behaviour in emerging markets: the role of economic indicators, bank characteristics and developed markets
title_sort risk-averse behaviour in emerging markets: the role of economic indicators, bank characteristics and developed markets
publisher Penerbit Universiti Kebangsaan Malaysia
publishDate 2023
url http://journalarticle.ukm.my/22001/1/JeM_4.pdf
http://journalarticle.ukm.my/22001/
https://www.ukm.my/jem/view-articles/
_version_ 1773544662723723264
score 13.211869

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