UC Research Profile - University of Canterbury

Associate Professor Gilbert Nartea

Contact

Department: Department of Economics and Finance

Email: gilbert.nartea@canterbury.ac.nz

Direct Dial: +64 3 3690804

Office: Meremere 431

Languages: English, Filipino

About

Research / Creative works

Fields of Research

Emprical asset pricing
Behavioural finance
Microfinance

Researcher Summary

My research focuses on empirical asset pricing with special emphasis on stock market anomalies. These are patterns in stock markets such as momentum, volatility effects, and extreme return effects that do not conform with that predicted by the traditional asset pricing models. I also work in the area of microfinance especially in emerging and developing markets.

Subject Area: Disciplines

Accounting and Finance: Finance

Research/Scholarly/Creative Works

Ramli NA., Nartea G., Rasedee AFN. and Baharum A. (2022) The Mediation Effects of Capital Structure: Evidence from Malaysian and Indonesian Economic Sectors. Mathematical Statistician and Engineering Applications 71(2): 234-256. http://dx.doi.org/10.17762/msea.v71i2.82. (Journal Articles)

Li L., Hwang NCR. and Nartea GV. (2021) Earnings management and earnings predictability: A quantile regression approach. Australian Journal of Management 46(3): 389-408. http://dx.doi.org/10.1177/0312896220945759. (Journal Articles)

Nartea GV., Valera HGA. and Valera MLG. (2021) Mean reversion in Asia-Pacific stock prices: New evidence from quantile unit root tests. International Review of Economics and Finance 73: 214-230. http://dx.doi.org/10.1016/j.iref.2020.12.038. (Journal Articles)

Cheema MA., Nartea GV. and Man Y. (2020) Maxing Out in China: Optimism or Attention? International Review of Finance 20(4): 961-971. http://dx.doi.org/10.1111/irfi.12241. (Journal Articles)

Nartea GV., Bai H. and Wu J. (2020) Investor sentiment and the economic policy uncertainty premium. Pacific Basin Finance Journal 64 http://dx.doi.org/10.1016/j.pacfin.2020.101438. (Journal Articles)

Wu J., Chimezie EP., Nartea GV. and Zhang J. (2019) Extreme returns and the idiosyncratic volatility puzzle: African evidence. Applied Economics 51(58): 6264-6279. http://dx.doi.org/10.1080/00036846.2019.1631442. (Journal Articles)

Cheema M. and Nartea GV. (2018) Cross-sectional and time-series momentum returns: are Islamic stocks different? Applied Economics 50(54): 5830-5845. http://dx.doi.org/10.1080/00036846.2018.1488068. (Journal Articles)

Cheema MA., Nartea GV. and Szulczyk KR. (2018) Cross-sectional and time-series momentum returns and market dynamics: evidence from Japan. Applied Economics 50(23): 2600-2612. http://dx.doi.org/10.1080/00036846.2017.1403560. (Journal Articles)

Liu Z., Nartea GV. and Wu J. (2018) Patterns and Pricing of Idiosyncratic Volatility in the French Stock Market. Theoretical Economics Letters 08(01): 79-97. http://dx.doi.org/10.4236/tel.2018.81005. (Journal Articles)

Ramli NA., Latan H. and Nartea GV. (2018) Why should PLS-SEM be used rather than regression? evidence from the capital structure perspective. International Series in Operations Research and Management Science: 171-209. http://dx.doi.org/10.1007/978-3-319-71691-6_6. (Chapters)

Cheema M. and Nartea GV. (2017) Momentum returns, market states and financial crises. Evidence from China and Hong Kong. Information Efficiency and Anomalies in Asian Equity Markets: Theories and Evidence: 138-157.Routledge. (Chapters)

Cheema MA. and Nartea GV. (2017) Momentum returns, market states, and market dynamics: Is China different? International Review of Economics and Finance 50: 85-97. http://dx.doi.org/10.1016/j.iref.2017.04.003. (Journal Articles)

Cheema MA. and Nartea GV. (2017) Momentum, idiosyncratic volatility and market dynamics: Evidence from China. 46(PA): 109-123. (Journal Articles)

Cheema MA. and Nartea GV. (2017) Momentum, idiosyncratic volatility and market dynamics: Evidence from China. Pacific Basin Finance Journal 46(Part A): 109-123. http://dx.doi.org/10.1016/j.pacfin.2017.09.001. (Journal Articles)

Cheema MA., Nartea GV. and Man Y. (2017) Cross-Sectional and Time Series Momentum Returns and Market States. International Review of Finance : 11. http://dx.doi.org/10.1111/irfi.12148. (Journal Articles)

Gan C., Nartea GV. and Wu W. (2017) Predictive ability of low-frequency volatility measures: Evidence from the Hong Kong stock markets. Finance Research Letters Article in Press http://dx.doi.org/10.1016/j.frl.2017.11.007. (Journal Articles)

Gan C., Nartea GV. and Xia JL. (2017) An overview of microfinance. Microfinance In Asia: 1-22. http://dx.doi.org/10.1142/9789813147959_0001. (Chapters)

Gan C., Nartea GV. and Xia JL. (2017) An Overview of Microfinance. Microfinance in Asia: 1-22. Singapore: World Scientific. http://dx.doi.org/10.1142/97898113147959_0001. (Chapters)

Gan C., Nartea GV. and Xia JL. (2017) Conclusions. Microfinance In Asia: 307-318. http://dx.doi.org/10.1142/9789813147959_0009. (Chapters)

Gan C., Nartea GV. and Xia JL. (2017) Conclusions. Microfinance in Asia: 307-318. Singapore: World Scientific. http://dx.doi.org/10.1142/9789813147959_009. (Chapters)

Nartea GV., Cheema MA. and Szulczyk KR. (2017) Searching for rational bubble footprints in the Singaporean and Indonesian stock markets. Journal of Economics and Finance 41(3): 529-552. http://dx.doi.org/10.1007/s12197-016-9369-3. (Journal Articles)

Nartea GV., Kong D. and Wu J. (2017) Do extreme returns matter in emerging markets? Evidence from the Chinese stock market. Journal of Banking and Finance 76: 189-197. http://dx.doi.org/10.1016/j.jbankfin.2016.12.008. (Journal Articles)

Aditto S., Gan C. and Nartea G. (2014) Economic risk analysis of alternative farming systems for smallholder farmers in central and north-east Thailand. International Journal of Social Economics 41(4): 294-320. http://dx.doi.org/10.1108/IJSE-11-2012-0223. (Journal Articles)

Cheema MA. and Nartea GV. (2014) Momentum returns and information uncertainty: Evidence from China. Pacific Basin Finance Journal 30: 173-188. http://dx.doi.org/10.1016/j.pacfin.2014.10.002. (Journal Articles)

Nartea GV. and Cheema MA. (2014) Bubble footprints in the Malaysian stock market: Are they rational? International Journal of Accounting and Information Management 22(3): 223-236. http://dx.doi.org/10.1108/IJAIM-11-2013-0063. (Journal Articles)

Nartea GV., Wu J. and Liu HT. (2014) Extreme returns in emerging stock markets: Evidence of a MAX effect in South Korea. Applied Financial Economics 24(6): 425-435. http://dx.doi.org/10.1080/09603107.2014.884696. (Journal Articles)

Phan DK., Gan C., Nartea GV. and Cohen DA. (2014) The impact of microcredit on rural households in the Mekong River Delta of Vietnam. Journal of the Asia Pacific Economy 19(4): 558-578. http://dx.doi.org/10.1080/13547860.2014.920591. (Journal Articles)

Khoi PD., Gan C., Nartea GV. and Cohen DA. (2013) Formal and informal rural credit in the mekong river delta of vietnam: Interaction and accessibility. Journal of Asian Economics 26: 1-13. http://dx.doi.org/10.1016/j.asieco.2013.02.003. (Journal Articles)

Nartea GV. and Wu J. (2013) Is there a volatility effect in the Hong Kong stock market? Pacific Basin Finance Journal 25: 119-135. http://dx.doi.org/10.1016/j.pacfin.2013.07.004. (Journal Articles)

Nartea GV., Hu B. and Hu B. (2013) Are there speculative bubbles in the Philippine stock market. The Philippine review of economics 50(1): 45-56. (Journal Articles)

Nartea GV., Wu J. and Liu Z. (2013) Does idiosyncratic volatility matter in emerging markets? Evidence from China. 27(C): 137-160. (Journal Articles)

Nartea GV., Wu J. and Liu Z. (2013) Does idiosyncratic volatility matter in emerging markets? Evidence from China. Journal of International Financial Markets, Institutions and Money 27(1): 137-160. http://dx.doi.org/10.1016/j.intfin.2013.09.002. (Journal Articles)

Yu H., Nartea GV., Gan C. and Yao LJ. (2013) Predictive ability and profitability of simple technical trading rules: Recent evidence from Southeast Asian stock markets. International Review of Economics and Finance 25: 356-371. http://dx.doi.org/10.1016/j.iref.2012.07.016. (Journal Articles)

Aditto S., Gan C. and Nartea GV. (2012) Sources of risk and risk management strategies: The case of smallholder farmers in a developing economy. In Banaitiene N (Ed.), Risk Management: 449-474.Intech. (Chapters)

Gan C., Nartea GV., Ling DL. and Hu B. (2012) Duration dependence test of rational speculative bubbles: A case study of the Hong Kong stock market. Investment Management and Financial Innovations 9(2): 37-48. (Journal Articles)

Nartea GV. and Ward BD. (2012) Do rational speculative bubbles exist in the australian stock market? JASSA 3(4): 24-29. (Journal Articles)

Nartea GV., Ward BD. and Yao LJ. (2011) Idiosyncratic volatility and cross-sectional stock returns in Southeast Asian stock markets. Accounting and Finance 51(4): 1031-1054. http://dx.doi.org/10.1111/j.1467-629X.2010.00384.x. (Journal Articles)

Mauro J., Lyne M. and Nartea GV. (2010) Constraints to small-grower investment in coffee production in the Eastern Highlands of Papua New Guinea. Pacific Economic Bulletin 25(3): 106-120. (Journal Articles)

Nartea G. and Eves C. (2010) Role of farm real estate in a globally diversified asset portfolio. Journal of Property Investment & Finance 28(3): 198-220. http://dx.doi.org/10.1108/14635781011048858. (Journal Articles)

Nartea GV. and Ward BD. (2009) Does idiosyncratic risk matter? evidence from the Philippine stock market. Asian Journal of Business and Accounting 2(1-2): 47-67. (Journal Articles)

Nartea GV., Ward BD. and Djajadikerta HG. (2009) Size, BM, and momentum effects and the robustness of the Fama-French three-factor model: Evidence from New Zealand. International Journal of Managerial Finance 5(2): 179-200. (Journal Articles)

Nartea GV., Ward BD. and Djajadikerta HG. (2009) Size, BM, and momentum effects and the robustness of the Fama-French three-factor model: Evidence from New Zealand. International Journal of Managerial Finance 5(2): 179-200. http://dx.doi.org/10.1108/17439130910947895. (Journal Articles)

Nartea G. and Webster P. (2008) Should farmers invest in financial assets as a risk management strategy? Some evidence from New Zealand. Australian Journal of Agricultural and Resource Economics 52(2): 183-202. http://dx.doi.org/10.1111/j.1467-8489.2008.00413.x. (Journal Articles)

Nartea GV. and Eves C. (2008) Diversification benefits from New Zealand real estate. Pacific Rim Real Property Research Journal 14(1): 27-43. (Journal Articles)

Nartea GV., Gan C. and Wu J. (2008) Persistence of size and value premia and the robustness of the Fama-French three-factor model in the Hong Kong stock market. Investment Management and Financial Innovations 5(4): 39-49. (Journal Articles)

Xu HY., Ward BD. and Nartea GV. (2007) An Empirical Study of the Chinese Short-Term Interest Rate: A Comparison of the Predictive Power of Rival One-Factor Models. 3(1-2). (Journal Articles)

Gardner J., Nartea G. and Shadbolt N. (2005) New opportunities: Investments in farming. Farm management in New Zealand: 221-266.Oxford University Press. (Chapters)

Dhungana BR., Nuthall PL. and Nartea GV. (2004) Measuring the economic inefficiency of Nepalese rice farms using data envelopment analysis. 48(2). (Journal Articles)

Dhungana BR., Nuthall PL. and Nartea GV. (2004) Measuring the economic inefficiency of Nepalese rice farms using data envelopment analysis. Australian Journal of Agricultural and Resource Economics 48(2): 347-369. http://dx.doi.org/10.1111/j.1467-8489.2004.00243.x. (Journal Articles)

Barry PJ., Robison LJ. and Nartea GV. (1996) Changing time attitudes in intertemporal analysis. American Journal of Agricultural Economics 78(4): 972-981. http://dx.doi.org/10.2307/1243853. (Journal Articles)

Nartea GV. and Barry PJ. (1994) Risk Efficiency and Cost Effects of Geographic Diversification. Review of Agricultural Economics 16(3): 341-351. (Journal Articles)