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(2007) Parwada, Jerry; Oh, NatalieJournal ArticleThis paper analyses relations between stock market returns and mutual fund flows in Korea. A positive relationship exists between stock market returns and mutual fund flows, measured as stock purchases and sales and net trading volumes. In aggregate, mutual funds are negative feedback traders. Standard causality tests suggest that it is predominantly returns that drive flows, while stock sales may contain information about returns. After controlling for declining markets, the results suggest Korean equity fund managers tend to increase stock purchases in times of rising market volatility, possibly disregarding fundamental information, and to sell in times of wide dispersion in investor beliefs.
What Drives Yen Interventions in Tokyo?: Do Off-Shore Foreign Exchange Markets Matter More than Tokyo Market?(2009) Hall, Yosuke Sandy; Kim, Suk-JoongJournal ArticleWe investigate the Bank of Japan's (BOJ) Yen interventions for the period 13 May 1991 to 16 March 2004. The previous literature has been hampered by the coarse daily data and has been unable to identify intervention determinants beyond some embodiment of the first moment of Yen returns. We consider both lagged overnight off-shore (London and New York) and intradaily on-shore (Tokyo) market developments for their heterogeneous influences on the BOJ's intervention decisions. Using a friction model to estimate the reaction function, we find that the interventions were leaning against the wind during the Tokyo hours, in general. Prior to June 1995, there were significant responses to previous day's intradaily Yen returns and volatility. Post 1995, we report a broadening in the BOJ's monitoring to include overnight off-shore Yen returns until Dec 2002 and a broader measure of market disorderliness measured as a transactions cost band in one-month covered interest rate parity condition since Jan 2003. Moreover, there is some evidence that the BOJ secretly leaned into the wind in response to Yen depreciations during the recent period of 2003-2004.
(2010) Cole, Fletcher; Cox, Shane; Frances, MaudeConference PaperAn opportunity to explore the topic of data usages is presented by the collaborative research being undertaken by a federation of applied science research units affiliated with a number of different Australian research organizations (the Cluster). The research aims to investigate how members of the collaboration understand and work with data in their day-to-day practice.
(2021) Cai, LinThesisThis thesis consists of three chapters that investigate the linkage between uncertainty and corporate investment decisions on an international basis. In first chapter, I investigate the extent of U.S. policy-related spillovers into 22 other real economies. I find that, after accounting for factors previously used to explain corporate investment, US Economic Policy Uncertainty (US EPU, hereafter) fluctuations affect foreign corporate investments through two channels. First, the single effect of US EPU on international corporate investment shows an unequivocal negative relation (the direct channel). Second, an increase in US EPU also attenuates the negative sensitivity of corporate investment towards the cost of capital (the indirect channel). Further, I find that while the direct channel of US EPU on corporate investment persists across several subsamples, its indirect channel relates to a high degree of dependence on the U.S. economy and opacity exhibited by local economies. The second chapter reconciles the contrary views on the foreign investors using local disaster shocks from 46 countries over the period 1998-2018. I find that local disaster shocks cause significant disruptions to corporate investments, but foreign institutional investors attenuate the costs of disaster risks. The benefits associated with foreign institutional investors are not uniformly held across all economies, where the role of foreign institutional investors is particularly measurable in countries with well-developed institutional environment. The third chapter focuses on the uncertainty at domestic level using national elections across 23 different countries. I find that the corporate investment cycle corresponds with the timing of national elections, but there is a cross-sectional difference in the firm-level investment sensitivity to elections. During election periods, while firms temporarily reduce investment expenditures relative to nonelection years, the decline is mainly sourced from firms with greater political exposures. Further, I find that the investment cycles are more volatile when the election outcomes are uncertain, and the institutional environments are weaker.
(2023) Wu, YuThesisThe aim of this thesis is to review and statistically synthesize the state of research on the relationship between customer mistreatment and service employees’ affective and behavioral outcomes and to examine the spillover and spiraling mechanisms of resource losses. In study 1, I included 93 effect sizes of 80 independent samples from 70 primary studies (N = 24,708). I used a meta-analytic approach to conduct a quantitative review of the relationship between customer mistreatment and service employees’ affective and behavioral outcomes. Meta-regression was applied to explore the impact of contextual- level moderators (i.e., service provider type, mean sample age, percentage of female employees) on these relationships. Furthermore, I compared the effects of customer mistreatment with the effects of other work-related stressors (i.e., challenge-related stressors and hindrance-related stressors). The results show that customer mistreatment has a significant negative impact on service employees’ affective outcomes (i.e., reduced job satisfaction, reduced organizational commitment, and increased stress) and behavioral outcomes (i.e., increased emotional labor, increased surface acting, increased turnover intention, and increased work withdrawal). Additionally, the relationship between customer mistreatment and service employees’ organizational commitment is influenced by a contextual-level moderator (i.e., service provider type). Furthermore, the meta-analysis results show that the effect sizes between customer mistreatment and employee outcomes ranged from moderately small to moderately large. In study 2, adopting a dynamic perspective of resource loss, I examined the spillover mechanism between employees’ emotional exhaustion in the evening and their negative emotions the next morning. Moreover, I tested the spiraling mechanism from service employees’ emotional exhaustion the previous evening to their emotional exhaustion the next evening. The results show that the impact of customer mistreatment on employees’ evening emotional exhaustion spills over to the next day, which leads them to feel negative emotions in the morning. Furthermore, the impact of customer mistreatment on employees’ evening emotional exhaustion triggers their emotional exhaustion spirals, and their evening emotional exhaustion leads to more emotional exhaustion the next evening. The theoretical and practical implications of these findings are discussed.