RESEARCH
PUBLICATIONS
Uncertainty and international fund flows: A cross-country analysis with French, J., and Gurdgiev, C., and Naka, A. (International Review of Financial Analysis, 2024)
This paper investigates the impacts of uncertainty on international portfolio allocation decisions and returns across 27 countries. Using panel structural vector autoregressive analysis, a positive link between both country-level and global uncertainty with equity fund flows is uncovered, highlighting the role of investor sentiment in capital allocation decisions. Findings also support the portfolio rebalancing theory, revealing the negative influence of past returns on fund flows. Results show that the VIX demonstrates a positive association with fund flows, particularly during periods of elevated global uncertainty. Moreover, this research analyzes differences between developed and emerging markets in their sensitivity to uncertainty shocks.
Trade agreements and financial market integration in Latin America and the US with Izaguirre, O., and Zirek, D. (Journal of Risk and Financial Management, 2024)
The primary objective of this study is to examine the extent of financial integration between Latin American and US financial markets, particularly in light of recent efforts to foster integration through trade agreements. Spanning from 1 January 1990 to 31 December 2019, the sample focuses on major market indices and key sectors. Financial integration is quantified using a DCC multivariate GARCH model, incorporating a smooth transition model, structural breaks, and regression-based approaches. Results indicate increased comovement with the US for main market indices in Argentina, Chile, Colombia, Mexico, and Peru, while Brazil shows a decrease. Similar trends are observed in sectoral analyses. This study also reveals heightened correlation post-trade agreements. Structural break analysis highlights significant shifts in dynamic correlations for countries with US free trade agreements. These findings support the argument of increased financial integration, bearing significance for portfolio diversification and international policy formulation.
Policy uncertainty and idiosyncratic volatility on Nikkei 225 stocks with Naka, A., and Wang, L. (Applied Economics Letters, 2024)
The main purpose of this study is to empirically examine the relationship between policy uncertainty and idiosyncratic volatility in Nikkei 225 stocks. We conclude that there is a positive relationship between economic policy uncertainty and idiosyncratic volatility. After examining additional uncertainty measures, we find similar positive relationships between monetary, fiscal, and trade policy uncertainty measures and idiosyncratic volatility except exchange rate policy. Industry analysis reveals much detailed information about how each Japanese industry responds to uncertainty, and the results emphasize the critical roles of government officers and policymakers in the stock markets.
When doing the right thing doesn’t pay: Impact of corporate decisions on Russian market participation in the wake of the Ukraine-Russia war with French, J., and Gurdgiev, C. (Finance Research Letters, 2023)
This study investigates how the stock returns of firms that took corporate action against Russia following the onset of Ukraine-Russian war were impacted. We use traditional event-study methodologies to analyze the data. The findings indicate that the firms that opted to act against Russia in the wake of the onset of Ukraine-Russian war experienced a downward trend in cumulative abnormal returns (CARs) on average. Furthermore, we find that the stronger the action taken against Russia the more negative the average CARs. These findings are contrary to the idea that investors reward strong firm-level ESG actions and are robust to the choice of firms and event windows.
Dynamics of mining markets: Equilibrium implications for professional and casual miners with Pezzo, L., Wang, L., and Zirek, D. (Global Finance Journal, 2023)
We design a simple equilibrium model to analyze the dynamics of the mining market in the presence of professional and casual miners. The model endogenously recovers two major unobservable drivers: the supply of computing power, and the dynamics of the fixed costs of mining. We calibrate the model to the market of Bitcoin and Ethereum and find that positive shocks to the supply of computing power (technological enhancements) translate into positive price shocks, and the benefits of these hikes are creamed off by professional miners. We also find that fixed costs are inversely related to technological enhancements, decrease at an exponential rate (which is twice as big for Bitcoin), and are the smallest during periods when professional miners have a monopoly.
Idiosyncratic volatility and interruption mechanisms in South Korean stock markets with Naka, A., and Alsunbul, A. (International Journal of Emerging Markets, 2023)
The purpose of this study is to examine how the volatility interruption (VI) mechanisms affect idiosyncratic volatilities in Korean stock markets. Collecting the South Korea Stock Market (KOSPI) data from June 15, 2015 to March 31, 2019, we collect each residual from three different estimated models: CAPM, FF3, and FF5. To estimate the conditional idiosyncratic volatility, we employ two conditional time-varying measurements: GARCH and TGARCH. Our results show that the conditional idiosyncratic volatility increases when stock prices reach the upper and lower static limits, indicating the implementation of adopting static VI mechanism neither stabilize market conditions nor reduce excess volatility along with the existence of price limits. Although market regulators and policymakers improve market conditions with the advanced volatility interruption mechanism, our empirical results show the adverse effect of the mechanism. Not allowing investors to earn above average returns without accepting above average risks makes Korean stock markets inefficient along with advanced volatility interruption mechanisms.
What drives cryptocurrency adoption? Exploring the role of psychological traits and environmental orientation with Choi, S. (Journal of Applied Marketing Theory, 2023)
Cryptocurrency is gaining worldwide recognition. This research examines the psychological determining factors of consumers’ cryptocurrency adoption behavior based on the theory of planned behavior. 452 samples are collected from U.S consumers and the data are analyzed by PLS-SEM. The findings reveal that consumer innovativeness has positive influences on the attitude and perceived behavioral control for cryptocurrency and in turn affects the intention to use cryptocurrency. Subjective norm is a significant predictor of cryptocurrency intention and the LOHAS lifestyle moderates the influence of attitude on the intention. This research offers theoretical and practical implications for the cryptocurrency market.
WORKING PAPERS
Volatility guards: exploring idiosyncratic risk with Alsunbul, S., and Naka, A.
Uncertainty and international fund flows: A cross-country analysis with French, J., Gurdgiev, C., and Naka, A.
Is cryptocurrency a safe haven against equity market investment in emerging economies?, Single-authored.
Equity ETFs flows and volatility of net assets value: Evidence from Chinese markets with Tian, J., and Naka, A.
Investor intention and behavior in cryptocurrency market with Wang, L., McGovern, E., and Choi, S.
WORK IN PROGRESS
How does the change in types of investors affect asset bubbles? with Pezzo, L., and Wang, L.
Financial market integration between Latin America and the US with Izaguirre, O.
RESEARCH AWARDS
Loras College
Ahlgren Summer Research Award, 2022
RESEARCH PROJECTS
AD-HOC JOURNAL REVIEWS
Finance Research Letters
International Review of Financial Analysis
International Review of Economics and Finance
International Journal of Emerging Markets
Research in International Business and Finance
Eurasian Business Review