Assessing dynamic co-movement of news based uncertainty indices and distance-to -default of global FinTech firms

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2024-07-06 DOI:10.1016/j.ribaf.2024.102476

Zaheer Anwer , Muhammad Arif Khan , M. Kabir Hassan , Manjeet Kaur Harnek Singh

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Abstract

Contemporary literature does not offer evidence on the causal relationship of default risk and investor sentiments for FinTech sector. We bridge this gap by assessing the dynamic co-movement between Distance-to-Default of leading global FinTech firms and three uncertainty indices namely Twitter Market Uncertainty Index-ENG, Twitter Economic Uncertainty Index-ENG, and US daily news-based Economic Policy. The sample period is from 07 April 2016–30 June 2021. The estimations are performed using Wavelet based analytical framework. The results reveal high dynamic co-movement of Twitter based uncertainty indices with Distance-to-Default of FinTech firms. However, there is very little co-movement between economic policy uncertainty and FinTech firms’ stability. The novelty of this work lies in the utilization of National University of Singapore’s Distance-to-Default measure, which is available in daily frequency and capable of performing dynamic data analysis. Our results offer maiden evidence of linkage of default risk and news based uncertainty indices.

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评估基于新闻的不确定性指数与全球金融科技公司违约距离的动态共动关系

当代文献没有提供证据证明金融科技行业违约风险与投资者情绪之间的因果关系。我们通过评估全球领先金融科技公司的违约距离（Distance-to-Default）与三个不确定性指数（即推特市场不确定性指数（Twitter Market Uncertainty Index-ENG）、推特经济不确定性指数（Twitter Economic Uncertainty Index-ENG）和基于美国每日新闻的经济政策（US daily news-based Economic Policy）之间的动态共同运动，弥补了这一空白。样本期为 2016 年 4 月 7 日至 2021 年 6 月 30 日。使用基于小波的分析框架进行估计。结果显示，基于 Twitter 的不确定性指数与金融科技公司的 "违约距离"（Distance-to-Default）之间存在较高的动态共线性。然而，经济政策的不确定性与金融科技公司的稳定性之间的共同运动却非常小。这项工作的新颖之处在于利用了新加坡国立大学的 "违约距离 "指标，该指标每天都有，而且能够进行动态数据分析。我们的研究结果首次证明了违约风险与基于新闻的不确定性指数之间的联系。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance