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Multinational corporations and share pledging of the controlling shareholder International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-15 Chufu Wen, Fenghua Wen, Diyue Lin, Lili Zhao
We identify the difference in share pledging of the controlling shareholders between multinational corporations (MNCs) and domestic corporations (DCs). Specifically, we find that the controlling shareholders' share pledge rate of MNCs are significantly lower compared with that of DCs. Moreover, we draw the conclusion that the alleviation of financial constraints prompts controlling shareholders in
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An investigation of sentiment analysis of information disclosure during Initial Coin Offering (ICO) on the token return International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-10 Pornpanit Rasivisuth, Maurizio Fiaschetti, Francesca Medda
Initial Coin Offerings (ICOs) have emerged as vital sources of equity funding, yet there is mixed evidence so far about the relationship between ICO returns and non-financial information (e.g., ICO ratings, whitepapers, and sentiment). Our study, based on data from 391 tokens, reveals a mismatch between ICO ratings and actual token returns. We find that raw ICO characteristics and sentiment analysis
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Why does uncovered interest parity fail empirically? International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-08 Nusrate Aziz
The Uncovered Interest Parity theory, predicated on perfect capital mobility and a floating exchange rate regime, faces challenges in real-world contexts marked by capital restrictions and diverse exchange rate regimes. This research investigates the validity of the UIP hypothesis in selected OECD countries, considering the role of capital control and exchange rate regimes. By analyzing annual and
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Testing rational expectations in a cointegrated VAR with structural change International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-05 Emerson Fernandes Marçal
The rational expectation hypothesis is widely used in finance and macroeconomics. A research question investigates whether models using this hypothesis can fit the data well. Researchers have been developing econometric procedures to test rational expectation models. Sargent and Hansen (1991) proposed how to test exact rational expectation restrictions. This study aims to achieve three objectives.
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Trading strategies and Financial Performances: A simulation approach International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-05 Alessio Emanuele Biondo, Laura Mazzarino, Alessandro Pluchino
This paper presents a comparative analysis of three major approaches to portfolio strategies: the maximization of the Sharpe ratio, the minimization of the Expected Shortfall and “zero–intelligence” trading. Data from financial time series and from a simulated order-book are used to analyse how various strategies affect investors’ portfolio performance and volatility. Results show, firstly, that the
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The impact of sustainable development goals in lending-based prosocial crowdfunding: A topic modeling analysis on the kiva platform International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-04 Riccardo Maiolini, Francesco Cappa, Stefano Franco, Giovanni Raimondo Quaratino
In lending-based prosocial crowdfunding, where campaigns are specifically focused on entrepreneurial proposals that address significant social and environmental challenges, it is still not clear what factors are more likely to favor a campaign's success. The literature recognizes that project descriptions constitute a major source of information for funders and can influence their choice of whether
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The impact of cryptocurrency-related cyberattacks on return, volatility, and trading volume of cryptocurrencies and traditional financial assets International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-04 Hamid Cheraghali, Peter Molnár, Mattis Storsveen, Florent Veliqi
We investigate the impact of cryptocurrency-related cyberattacks on the cryptocurrency market and traditional financial markets. The dataset consists of historical cyberattack data and trading data for twenty cryptocurrencies, three cryptocurrency uncertainty indices, five payment companies, four stock indices, a commodity index, and gold. We find that cyberattacks are associated with negative returns
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Bank sustainability, climate change initiatives and financial performance: The role of corporate governance International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-04 Douglas A. Adu, Mohammad Zoynul Abedin, Vida Y. Saa, Frank Boateng
This study elucidates the interrelationships among corporate governance disclosure index (CORPGOVDISCIN), bank sustainability characteristics (BSCs), bank-based climate change initiatives (BCCIs) and financial performance (FP) through the lens of multi-theoretical framework. Based on a panel dataset of 2785 observations (220 banks) from 16 Sub-Saharan Africa countries between 2007 and 2022, we observe
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Does it matter who owns firms? Evidence on the impact of supermajority control on private firms in Europe International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-04 Saul Estrin, Jan Hanousek, Anastasiya Shamshur
We explore how the type of owner affects private enterprise investment decisions in Europe. In contrast to the literature, we analyze firms with concentrated (>95%) ownership stakes to reduce the potential that agency problems contaminate our results. We consider four types of supermajority owners – family, institutional, corporate, and state and use detailed ownership and financial information from
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Sources of funding and performance of microfinance institutions over the life cycle International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-04 Anthony Annan, Conrad S. Ciccotello, Felix Rioja
Microfinance institutions (MFIs) typically rely on both commercial sources of funding like equity, debt, and deposits, and non-commercial sources, such as donations and grants. Profit incentive theory predicts that commercial sources of funding positively impact performance regardless of the life-cycle stage of an MFI. Life cycle theory proposes that the sources of funding and the performance outcomes
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Betting on mean reversion in the VIX? Evidence from ETP flows International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-03 Ole Linnemann Nielsen, Anders Merrild Posselt
We investigate how investors apply VIX ETPs with long VIX exposure by analyzing the relation between the flows of these products and the VIX. We find that increases in the VIX are followed by outflows meaning that VIX ETP investors, in aggregate reduce their VIX ETP positions immediately after there is an increase in market risk. Since the returns of VIX ETPs are closely linked to the VIX, our results
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Can compensation disclosure cause CEO pay escalation? International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-02 Andrea Carosi, José Guedes
This paper develops a simple equilibrium model where compensation disclosure causes an escalation in CEO pay. Disclosed information about the pay conditions of peer CEOs reduces the uncertainty in outside options, thus giving CEOs more bargaining power in the negotiation process of their pay package. Specifically, the disclosure of executive compensation triggers a ratchet effect in the mean executive
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The influence of regional sentiment on online borrowing International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-02 William Bazley, Sima Jannati
Innovations in financial technology have broadened individuals’ access to unsecured personal loans. Drawing on insights from consumer behavior research linking negative emotions to credit-financed consumption, we demonstrate that transitory emotions impact the aggregate use of online loans in a region. Specifically, an increase in households’ lack of positive emotion in a Metropolitan Statistical Area
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Macroeconomic environment and the future performance of loans: Evidence from three peer-to-peer platforms International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-02 Eduard Baumöhl, Štefan Lyócsa, Petra Vašaničová
The literature on peer-to-peer loan market performance focuses predominantly on the microlevel variables connected to individual borrower or loan characteristics. We hypothesize that the economic environment, reflected by macroeconomic variables at the time of loan origination, should play a role in explaining loans’ future performance. Our dataset comprises two US-based platforms and one UK-based
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From macro to micro: Sparse macroeconomic risks and the cross-section of stock returns International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-01 Lin Zhu, Fuwei Jiang, Guohao Tang, Fujing Jin
Our study presents novel evidence on the pricing effectiveness of macroeconomic risks at the firm level. We employ a sparse PCA approach to aggregate macroeconomic variables from the FRED-MD database and obtain the first eight components, namely inflation, housing, spreads, production, employment, personal income, yields, and credit. We then construct the corresponding firm-level macroeconomic risk
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Connectedness at extremes between real estate tokens and real estate stocks International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-01 David Y. Aharon, Shoaib Ali, Mariem Brahim
We test the interconnectedness between returns on real estate (RE) crypto tokens and on RE stocks using a quantile vector autoregression (QVAR) methodology. Our main findings show that there is a strong dependence between RE tokens and RE stocks in the distributions of returns in the top and bottom quantiles, and a rather weaker correlation in the median quantile. From an investment perspective, the
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Tail connectedness of DeFi and CeFi with accessible banking pillars: Unveiling novel insights through wavelet and quantile cross-spectral coherence analyses International Review of Financial Analysis (IF 7.5) Pub Date : 2024-06-30 Mahdi Ghaemi Asl, Sami Ben Jabeur
This study evaluates the interplay between decentralized finance (DeFi) and centralized finance (CeFi) within the realm of inclusive banking by examining their foundational components, namely, alternative finance industry, distributed ledger platforms, and future payment technologies. The alternative finance industry leverages innovative technologies, such as direct lending, crowdfunding, automated
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Political uncertainty and stock price crash risk: Insights from state-elections in an emerging market International Review of Financial Analysis (IF 7.5) Pub Date : 2024-06-30 Kavita Wadhwa, John W. Goodell
Exploiting staggered state elections across Indian states as exogenous political events which amplify political uncertainty, we evidence that political uncertainty increases stock price crash risk. Results, aligning with an information asymmetry channel, suggest that political uncertainty around the time of state elections induces managers to hoard bad news, fearing that uncertainty regarding election
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Towards an era of multi-source uncertainty: A systematic and bibliometric analysis International Review of Financial Analysis (IF 7.5) Pub Date : 2024-06-30 Xueping Tan, Yiran Zhong, Andrew Vivian, Yong Geng, Ziyi Wang, Difei Zhao
The frequent occurrence and diverse nature of black swan events in recent years, has stimulated explosive growth in studies on different types of uncertainties. We propose the concept of multi-source uncertainty (MU) and systematically synthesize 2230 high-quality articles (2000−2023) extracted from Web of Science via bibliometric analysis. With the help of performance analysis and science mapping
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Retail traders and co-movement: Evidence from Robinhood trading activity International Review of Financial Analysis (IF 7.5) Pub Date : 2024-06-29 Afshin Haghighi, Robert Faff, Barry Oliver
We find evidence that retail trading activity by Robinhood traders is associated with lower levels of return co-movement and liquidity co-movement. We demonstrate the significance of these relationships primarily employing a two-way fixed effects panel data regression model covering cross-sectional and time-series observations of US stock trades from May 2018 to July 2020. The findings hold true across
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Political investing of mutual funds International Review of Financial Analysis (IF 7.5) Pub Date : 2024-06-29 Dongmin Kong, Zhao Zhao
We study whether and how political investing influences the performance of mutual funds. We provide robust evidence of the positive relation between mutual funds' political connection intensity exposure and future performance. The gross return gap between the top and bottom quintiles of mutual funds ranked by exposure to political connection intensity reaches 4.38% on an annualized basis. The performance
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Foundation-controlled firms and CEO compensation International Review of Financial Analysis (IF 7.5) Pub Date : 2024-06-29 Van Diem Nguyen, M. Reda Moursli
We explore the effects of foundation control on CEO incentive contracts. Unlike other blockholders, foundations do not consume the entirety of their cash flow rights, which attenuates the incentives of the controlling foundations to directly monitor the management. We present a simple model of moral hazard which predicts that foundation-controlled (FC) firms will resort to executive compensation as
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Convertible bond maturity and debt overhang International Review of Financial Analysis (IF 7.5) Pub Date : 2024-06-29 Liu Gan, Xin Xia, Wenyang Xu, Hai Zhang
We develop a dynamic corporate investment model to investigate the determinants of the optimal maturity structure of convertible bonds and its debt overhang effect. Our model predicts that relative to the issuance of straight bonds, companies opting for short-term (long-term) convertible bonds tend to expedite (delay) their investment activities, thereby alleviating (exacerbating) issues related to
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Implied volatility is (almost) past-dependent: Linear vs non-linear models International Review of Financial Analysis (IF 7.5) Pub Date : 2024-06-29 Conghua Wen, Jia Zhai, Yinuo Wang, Yi Cao
We explore and demonstrate a clear pattern of past-dependence in predicting implied volatility, which extends up to twenty days and is present in both linear and nonlinear models. Empirically, we find that linear models utilizing precedent values up to 20 days explain up to 80% of the variance in the S&P 500 index, while nonlinear models explain 78%. Furthermore, we observe that L2 regularization,
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A universal exponent governing foreign exchange rate risks International Review of Financial Analysis (IF 7.5) Pub Date : 2024-06-29 Klaus Grobys
Departing from previous studies, this paper uses power laws to model foreign exchange rate risks in terms of realized foreign exchange rate (FX) variances for daily and weekly data. Empirical tests based on daily data provide strong evidence for emergent market risk behavior manifested in a common power-law exponent governing the cross section of realized FX variances. We show that this emergent market
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Complements or substitutes? The effect of ETFs on other managed funds International Review of Financial Analysis (IF 7.5) Pub Date : 2024-06-28 Lu Tang, Eric K.M. Tan, Rand Low
We examine the complementary and substitute effects of exchange-traded funds (ETFs) and two other investment vehicles: mutual funds (MFs) and closed-end funds (CEFs). Focusing on the capital flow into investment vehicles, we find a complementary effect between ETFs and MFs, and substitution effect between ETFs and CEFs. The complementarity and substitution effect remains robust when focusing on subsamples
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Bank loan renegotiation and financial institutions' network International Review of Financial Analysis (IF 7.5) Pub Date : 2024-06-28 Christophe J. Godlewski, Bulat Sanditov
We investigate how lender's capacity of sourcing information about a borrower, proxied by its centrality in the networks of syndicated lending, influences the process of bank loan renegotiation. Using a large sample of more than 6000 loans issued in 25 European countries we find that the presence of network-central and better-informed lenders in a syndicate has a significant impact on the renegotiation
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State-dependent intra-day volatility pattern and its impact on price jump detection - Evidence from international equity indices International Review of Financial Analysis (IF 7.5) Pub Date : 2024-06-28 Ping Chen Tsai, Cheoljun Eom, Chou Wen Wang
Current price jump tests assume a constant intra-day volatility pattern (IVP) over sample period. We test this assumption by allowing IVP to depend on some state variables such as the sign of previous returns or the relative levels of volatility. Estimation results from 5-min GARCH model for four equity indices show that squared-return-based IVP weights increase in early morning hours when previous
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Bilateral conflicts and corporate investment International Review of Financial Analysis (IF 7.5) Pub Date : 2024-06-26 Mengxu Xiong, Jiajia Lu joy_0610@126.com, Dongmin Kong
Based on the real time conflict data and the bilateral trade records, we construct an index that captures the risks of bilateral tensions perceived by firms. Using the novel index, we document that bilateral conflicts exert a significantly negative influence on corporate investment, which is conceivably due to reduced prospective investment earnings, tougher financing condition, and increased cash
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Competitive imitation and corporate innovation in private enterprises International Review of Financial Analysis (IF 7.5) Pub Date : 2024-06-24 Feng He, Longxuan Chen, Haomin Wu
The private economy has always been an important force in promoting the development of China's national economy. The unfair competition faced by private enterprises (PEs) compared to that faced by state-owned enterprises (SOEs) in many areas will induce the competitive imitation of PEs. We find that PEs' competitive imitation strategy significantly inhibits innovation, while increased agency costs
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Energy finance research: What happens beneath the literature? International Review of Financial Analysis (IF 7.5) Pub Date : 2024-06-20 Mingting Kou, Menglin Zhang, Yuanqi Yang, Hanqing Shao
Energy finance has grown rapidly and attracted considerable attention for the increasing interactions between energy and financial industries. However, the scope and boundary of energy finance are still unclear due to the diversity of emerging research topics. Therefore, this paper provides a profile of energy finance conducting bibliometric analysis from four dimensions: the intellectual base, research
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The effect of shale gas booms on environmental CSR activity International Review of Financial Analysis (IF 7.5) Pub Date : 2024-06-18 Changhwan Choi, Chune Young Chung
Using shale gas developments that are staggered across counties and time, we examine whether uncertain environmental risks affect firms' environmental CSR (corporate social responsibility). We find that firms headquartered in shale gas boom counties significantly increase environmental CSR compared with firms located in nonboom counties. Furthermore, we demonstrate that the impacts of shale gas booms
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Does digital literacy reduce intergenerational income dependency? International Review of Financial Analysis (IF 7.5) Pub Date : 2024-06-11 Haijun Wang, Chen Ge, Xiance Du, Yiqiang Feng, Weicheng Wang
Smoothing upward mobility channels and reducing intergenerational income dependence are important prerequisites for realizing the sustainable development of all humankind. Starting from the impact of digital economy on micro individuals, this paper explores the mechanisms of digital literacy on families' dependence on intergenerational income. The paper revealed the following findings: First, the improvement
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Biodiversity and stock returns International Review of Financial Analysis (IF 7.5) Pub Date : 2024-06-03 Feng Ma, Hanlin Wu, Qing Zeng
This study constructs the Biodiversity Risk (BR) index to investigate the impact of biodiversity risk challenges on financial markets. In this study, biodiversity risk is defined as the concern for risks to biodiversity and the associated negative impacts. The findings indicate that, both in- and out-of-sample, the BR index demonstrates robust predictive ability for the market risk premium. Moreover
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Ecological money and finance.Introducing sustainable monetary diversity International Review of Financial Analysis (IF 7.5) Pub Date : 2024-05-29 Raphaël Didier, Thomas Lagoarde-Ségot
This paper introduces a sustainability policy prototype introducing sustainable monetary diversity to attain the Sustainable Development Goals. It first presents a new monetary policy framework to endogenize the creation, circulation, and destruction of complementary currencies. It then analyzes the implications of this new policy setting on a battery of eco-systemic, economic, monetary, and financial
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Chief executive officer marital status and corporate credit ratings International Review of Financial Analysis (IF 7.5) Pub Date : 2024-05-29 Xiangshang Cai, Yang Gao, Zhiting Wu, Jiayi Yuan
In this study, we investigate the effects of CEO marital status on credit risk assessments. We find that firms with married CEOs receive more favorable credit ratings. We also find that firms with married CEOs have a lower bankruptcy risk, less exposure to business uncertainty shocks, and better institutional corporate social responsibility (CSR) performance, giving richer insights into potential mechanisms
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Firm leverage and employee pay: The moderating role of CEO leadership style International Review of Financial Analysis (IF 7.5) Pub Date : 2024-05-29 Balbinder Singh Gill, Jongmoo Jay Choi, Kose John
We investigate how a CEO's leadership style moderates the relationship between leverage and average employee pay. We first show that the relationship between leverage and average employee pay is negative, consistent with the leverage disciplinary hypothesis. Next, we examine how CEO leadership style moderates this negative effect. We find that CEOs with more charisma reduce the disciplinary effect
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Navigating ESG complexity: An in-depth analysis of sustainability criteria, frameworks, and impact assessment International Review of Financial Analysis (IF 7.5) Pub Date : 2024-05-24 Marianna Eskantar, Constantin Zopounidis, Michalis Doumpos, Emilios Galariotis, Khaled Guesmi
Environmental, social, and governance (ESG) criteria serve to gauge a company's sustainability and societal impact. The evaluation of a firm's performance on these ESG criteria involves a thorough examination of its practices and policies across various domains, encompassing environmental responsibility, labor standards, human rights, corporate governance, and community engagement. Despite the considerable
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Fund flow diversification: Implications for asset stability, fee-setting and performance International Review of Financial Analysis (IF 7.5) Pub Date : 2024-05-23 Lorenzo Casavecchia, Ashish Tiwari
We provide new evidence on the economic benefits to mutual fund families from having a portfolio of funds with diversified investor fund flows. We show that diversified fund families enjoy greater stability of assets under management, and experience significantly lower net cash outflows during an economic downturn. Given concave advisory fee schedules, the dominant industry fee structure, a reduction
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State ownership, probability of informed trading, and profitability potential: Evidence from the Warsaw Stock Exchange International Review of Financial Analysis (IF 7.5) Pub Date : 2024-05-21 Paweł Kropiński, Bartłomiej Bosek, Mikołaj Pudo
This study examines the probability of informed trading (PIN) for state-owned enterprises (SOEs) and how the market information asymmetry is affected during the COVID-19 crisis. The research challenges the assumption that state ownership is associated with poor governance structures and information transparency by investigating empirical evidence of information asymmetry in SOEs. The study uses the
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VIX-managed portfolios International Review of Financial Analysis (IF 7.5) Pub Date : 2024-05-21 Miloš Božović
We propose a simple portfolio management strategy that gauges the leverage based on the observed implied volatility index (VIX). The strategy involves taking less risk when the cumulative previous-month VIX is high and more when it is low. We show that the strategy yields more stable weights and thus requires less rebalancing than comparable strategies based on realized volatility. As a result, it
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Testing out-of-sample portfolio performance using second-order stochastic dominance constrained optimization approach International Review of Financial Analysis (IF 7.5) Pub Date : 2024-05-20 Peng Xu
Second-order Stochastic Dominance (SSD) criterion can be used to support portfolio decision making under risk and uncertainty. In this paper, we develop novel robust SSD criteria to capture the strength of dominance and portfolio optimization models utilizing these criteria to identify portfolios whose in-sample SSD dominance over a given benchmark is likely to hold also out-of-sample. The developed
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Institutional consensus after earnings announcements: Information or crowding? International Review of Financial Analysis (IF 7.5) Pub Date : 2024-05-20 Olga Klein, Daniel Klein
This paper examines information processing skills of institutional investors after earnings releases. If institutions correctly process earnings signals, their trades should push the price towards the new fundamental value. However, if they mechanically follow a positive-feedback strategy, Stein (2009) predicts that their crowding can lead to price overreaction. Splitting institutions by their investment
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Transmission mechanisms of the effects of geopolitical risk on energy returns and volatility International Review of Financial Analysis (IF 7.5) Pub Date : 2024-05-19 Yun Qin, Zitao Zhang
In this paper, we investigate the transmission mechanisms of the impacts of geopolitical risk on energy (crude oil, natural gas, heating oil) returns and volatility from June 28, 1990, to January 6, 2020, by using a quantile regression model. The results show that under the supply and demand channel, geopolitical risk increases energy returns and decreases energy volatility in different market conditions
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The price discovery in the renminbi/USD market: Two spot, two swap, and three forward FX rates International Review of Financial Analysis (IF 7.5) Pub Date : 2024-05-18 Yoshihiro Kitamura
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Empirical research on banks' risk disclosure: Systematic literature review, bibliometric analysis and future research agenda International Review of Financial Analysis (IF 7.5) Pub Date : 2024-05-18 Michael Mies
The purpose of this paper is to outline the current state of empirical research on banks' risk reporting. In addition to the development of the research field over time, regulatory trends and drivers for academic research on risk reporting will be derived. The review follows a triangulated approach: In addition to a qualitative content analysis based on the SLR, a quantitative bibliometric analysis
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Carbon emissions and liquidity management International Review of Financial Analysis (IF 7.5) Pub Date : 2024-05-17 John W. Goodell, Constantin Gurdgiev, Sitara Karim, Alessia Palma
Do higher carbon-emitting firms increase liquidity out of reluctance to invest in an era of rapidly changing climate policy concerns? Are rapidly escalating climate concerns placing higher carbon-emitting firms in a position where they are liquidity stressed? Liquidity management has long informed scholarly research in corporate finance. However, despite nearly universal interest in environmental aspects
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CEO power, internal control quality, and entrepreneurial innovation spirit in family enterprises International Review of Financial Analysis (IF 7.5) Pub Date : 2024-05-17 Weibin Li, Yingling Huang, Hongyong Zhou, Xin Liu
Using listed manufacturing enterprises in China from 2013 to 2020 as a sample, we find that CEO formal power, CEO integrated power, and internal control quality are positively and significantly related to the entrepreneurial innovation spirit of family businesses. CEO informal power, although not directly correlated, can enhance entrepreneurial innovation spirit by strengthening CEO formal power. In
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The impact of ESG profile on Firm's valuation in emerging markets International Review of Financial Analysis (IF 7.5) Pub Date : 2024-05-17 Birjees Rahat, Pascal Nguyen
Environmental, Social and Governance (ESG) factors are a critical input in emerging markets for managing risks, attracting capital, being competitive, and complying with evolving regulations. The firms prioritizing ESG are likely to drive innovation and enhance long-term value creation, making them more resilient in these dynamic markets. Therefore, a plausible link should exist between ESG and firm
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The higher the better? Hedging and investment strategies in cryptocurrency markets: Insights from higher moment spillovers International Review of Financial Analysis (IF 7.5) Pub Date : 2024-05-17 Xie He, Shigeyuki Hamori
This study aims to investigate whether conditional higher moments offer additional and distinct information compared to lower moments in spillover effect analysis, and to examine their relevance for portfolio construction and hedging strategies. We use the autoregressive conditional density (ACD) model to estimate the conditional skewness and kurtosis of nine major cryptocurrency markets. We explore
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Do bitcoin shocks truly Cointegrate with financial and commodity markets? International Review of Financial Analysis (IF 7.5) Pub Date : 2024-05-16 Mustafa Özer, Michael Frömmel, Melik Kamişli, Darko B. Vuković
This study examines the long-run relationships between Bitcoin and various financial and commodity markets. Utilizing a novel methodology termed the Implicit Asymmetric Combined Cointegration Test (IACC), an augmented variant of the Bayer Hanck combined cointegration method (BH), this research applies ten-minute frequency time series data to test asymmetric shocks associated with Bitcoin, stock markets
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Evolving energies: Analyzing stability amidst recent challenges in the natural gas market International Review of Financial Analysis (IF 7.5) Pub Date : 2024-05-13 Tarek Bouazizi, Ilyes Abid, Khaled Guesmi, Panagiota Makrychoriti
The study explores the heightened volatility in the natural gas market resulting from the recent health crisis. Utilizing ARMA-Spline-GARCH, ARMA-Spline-GJR models, and PLS regression, an analysis of daily data from January 7, 1997, to December 31, 2021, reveals an accentuated volatility during the crisis, primarily driven by extreme weather conditions and natural gas storage dynamics. The PLS regression
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The interplay among corporate bonds, geopolitical risks, equity market, and economic uncertainties International Review of Financial Analysis (IF 7.5) Pub Date : 2024-05-09 Saad Alshammari, Kostas Andriosopoulos, Olfa Kaabia, Kamel Si Mohamed, Christian Urom
This study examines the dynamic interconnectedness and dependence between the USA’s corporate bond market (CMD) and economic and equity market uncertainties, as well as geopolitical risk. Using quantile Vector Autoregressive (QVAR) and Wavelet Local Multiple Correlation (WLMC) techniques, we place particular emphasis on the periods corresponding to the Russian–Ukrainian war and the COVID-19 pandemic
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Realized normal volatility and maximum outlying jumps in high frequency returns for Korean won–US Dollar International Review of Financial Analysis (IF 7.5) Pub Date : 2024-05-07 Yi Chae-Deug
This paper analyzes the realized volatility and jumps of five-minute returns for the Korean won–US dollar exchange rate from June 2010 to April 2021. If standard normal distributed jump statistics are used, the jump probabilities of Korean won–US dollar are lower when jump occurrences are frequent, and the jump returns for Korean won–US dollar will be considerably underestimated. However, if we utilize
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Gold market volatility and REITs' returns during tranquil and turbulent episodes International Review of Financial Analysis (IF 7.5) Pub Date : 2024-05-06 Afees A. Salisu, Omokolade Akinsomi, Frank Kwakutse Ametefe, Yinka S. Hammed
We analyze the predictability of REIT returns based on gold market volatility for 11 sectors and five regions. Our findings show higher gains during volatile gold market conditions, but results vary in tranquil and turbulent periods. We observe sector-specific investment behavior in the REITs market during the pre-GFC, but the post-GFC and COVID periods show otherwise. REITs offer a safe haven ability
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New evidence of interdependence in forex markets: A connection of connection analysis International Review of Financial Analysis (IF 7.5) Pub Date : 2024-05-05 Tao Wu, Xiaotong Sun, Xin Xu, Nanfei Jia, Siyuan Xuan
Uncovering the complex connections among components is a fundamental approach to understand underlying mechanisms and then guide decision-making in forex markets. Previous works mainly focused on the connections between currency themselves, this work extends this issue by proposing a novel framework to investigate the connections between currency connections. Selecting ten major traded currencies as
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FinTech, systemic risk and bank market power – Australian perspective International Review of Financial Analysis (IF 7.5) Pub Date : 2024-05-04 Md Sohel Saklain
This study investigates idiosyncratic/firm-specific risk and systemic risk of FinTech firms and traditional financial institutions (FIs) in Australia. It also examines the impact of FinTech growth on bank market power. I find that stock return and idiosyncratic risk are higher in FinTech firms than in traditional FIs. Regarding systemic risk, FinTech firms are more exposed/vulnerable to systemic shocks
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Sector-specific calendar anomalies in the US equity market International Review of Financial Analysis (IF 7.5) Pub Date : 2024-05-03 Abbas Valadkhani, Barry O'Mahony
While previous studies have predominantly examined market-wide calendar anomalies, they have overlooked the seasonal patterns in each sector. This study bridges this gap by identifying sector-specific calendar anomalies within the US equity market. Using the longest available data (January 1999–December 2023) on sectoral exchange-traded funds (ETFs) without overlapping constituents, we statistically
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Financial fusion: Bridging Islamic and Green investments in the European stock market International Review of Financial Analysis (IF 7.5) Pub Date : 2024-04-28 Afzol Husain, Sitara Karim, Ahmet Sensoy
Given the historic decoupling nature of Islamic and green financial instruments with conventional financial markets this study investigated the interconnectedness of the European financial market with green and Islamic financial instruments amidst the unprecedented global dynamics and mounting uncertainties. Considering data from January 02, 2015, to October 03, 2023 and using TVP-VAR and Wavelet Coherence