Financial Markets, Institutions and Instruments最新文献

{"title":"Dissecting Foreign Bank Lending Behavior During the 2008–2009 Crisis","authors":"Moon Jung Choi,&nbsp;Eva Gutierrez,&nbsp;Maria Soledad Martinez Peria","doi":"10.1111/fmii.12076","DOIUrl":"https://doi.org/10.1111/fmii.12076","url":null,"abstract":"<p>This paper analyzes the lending behavior of foreign-owned banks during the recent global crisis. Using bank-level panel data for 51 countries, the paper explores the role of affiliate and parent financial characteristics, host location, as well as the impact of parent geographic origin and reach on foreign banks’ credit growth. Overall, the analysis finds robust evidence that foreign banks curtailed the growth of credit relative to other banks, independent of the host region in which they operate. Banks from the United States reduced loan growth less than other parent banks. Neither the global nor regional reach of parent banks influenced the lending growth of foreign affiliates. Parent capitalization and not parent funding explained the behavior of foreign bank credit growth during the global crisis. However, funding did affect the lending behavior of domestic and foreign banks in host countries, with those relying more heavily on deposits suffering a smaller decline in bank lending. Although not the focus of the paper, we also find that government-owned banks played a countercyclical role in all regions.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"25 5","pages":"361-398"},"PeriodicalIF":0.0,"publicationDate":"2016-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12076","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91889079","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Islamic and Conventional Equity Market Movements During and After the Financial Crisis: Evidence from the Newly Launched MSCI Indices","authors":"Hafiz Hoque,&nbsp;Sarkar Humayun Kabir,&nbsp;El Khamlichi Abdelbari,&nbsp;Viktor Manahov","doi":"10.1111/fmii.12075","DOIUrl":"https://doi.org/10.1111/fmii.12075","url":null,"abstract":"<p>This paper examines the relationship between the Islamic and conventional equity indices by employing the newly launched MSCI Global Islamic Indices which began in 2008. We argue for the case of cointegration supported by fundamental, category and habitat theories, and against cointegration due to the fundamental difference between Islamic and conventional stocks in terms of debt ratio, accounts receivable and interest bearing securities. We find Islamic and conventional equity markets move together despite fundamental differences and given that market microstructure, dividends, capital gains, taxation and governance systems are different across the markets. Almost simultaneous movement of the permanent and cycle components of Islamic and mainstream equity indices has been supported by the application of the Beveridge Nelson (BN) time series decomposition technique. Theoretically, the volatility of Islamic equities should be lower due to their low leverage ratio. Surprisingly, permanent parts of the Islamic indices appear to be more volatile during the crisis period and less volatile during the post-crisis period.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"25 4","pages":"217-252"},"PeriodicalIF":0.0,"publicationDate":"2016-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12075","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"109168023","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A Comparison of the Efficacy of Liquidity, Momentum, Size and Book-to-Market Value Factors in Equity Pricing on a Heterogeneous Sample: Evidence from Asia","authors":"Bruce Hearn","doi":"10.1111/fmii.12078","DOIUrl":"https://doi.org/10.1111/fmii.12078","url":null,"abstract":"<p>This paper compares the size and book-to-market value factors of Fama and French (1993) alongside Momentum of Jagadeesh and Titman (<span>1993</span>) with two Liu (<span>2006</span>) liquidity factors formed from 1 year rebalancing and 1 month rebalancing respectively. A heterogeneous and comprehensive sample of the top blue chip stocks of all national Asian equity markets with further differentiation undertaken between sub samples formed for Japan only and Asia excluding Japan for period January 2000 to August 2014. Our empirical results suggest that multifactor time invariant pricing models based on augmented capital asset pricing model (CAPM) framework are ineffective in explaining the cross section of stock returns in the presence of significant inter and intra-market segmentation. However an alternative model specification based on a time varying parameter specification and using same sets of factors yields significant enhancements in explaining cross section of stock returns across universe. We find that momentum factor largely lacks significance while a time varying two factor model, based on CAPM plus liquidity factor, is optimal. The liquidity factor being that of Liu (2006) and annually rebalanced. Our findings are important for investment managers seeking appropriate factors and modelling techniques to hedge against risks as well as firm's financial managers seeking to reduce costs of equity capital.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"25 4","pages":"253-330"},"PeriodicalIF":0.0,"publicationDate":"2016-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12078","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"109231441","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Bank Diversification and Overall Financial Strength: International Evidence","authors":"Michael Doumpos,&nbsp;Chrysovalantis Gaganis,&nbsp;Fotios Pasiouras","doi":"10.1111/fmii.12069","DOIUrl":"10.1111/fmii.12069","url":null,"abstract":"<p>There are many studies in the finance and management literature that examine the impact of diversification on performance. Yet, the literature remains inconclusive as for the potential benefits in terms of risk and return. The present study aims to re-examine this issue, while proposing a methodological framework that integrates various bank performance and risk indicators into a single measure of financial strength. Using an international sample of commercial banks, we find that diversification in terms of income, earning assets, and on- and off-balance sheet activities influences positively their financial strength. We also find that income diversification can be more beneficial for banks operating in less developed countries compared to banks in advanced and major advanced economies. However, we observe the opposite in the case of diversification between off-balance sheet and on-balance sheet activities. Furthermore, the results reveal that income and earning assets diversification can mitigate the adverse effect of the financial crisis on bank financial strength. We continue to find a positive relationship between diversification and financial strength when we account for nesting effects, endogeneity, as well as when using an alternative approach for the construction of the financial strength indicator.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"25 3","pages":"169-213"},"PeriodicalIF":0.0,"publicationDate":"2016-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12069","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89833910","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Subscription page","authors":"","doi":"10.1111/fmii.12040","DOIUrl":"https://doi.org/10.1111/fmii.12040","url":null,"abstract":"","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"25 2","pages":"106"},"PeriodicalIF":0.0,"publicationDate":"2016-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12040","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91856366","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"High Frequency Trading and US Stock Market Microstructure: A Study of Interactions between\u0000Complexities, Risks and Strategies Residing in U.S. Equity Market Microstructure","authors":"Samir Abrol,&nbsp;Benjamin Chesir,&nbsp;Nikhil Mehta,&nbsp;Ron Ziegler","doi":"10.1111/fmii.12068","DOIUrl":"https://doi.org/10.1111/fmii.12068","url":null,"abstract":"<p>We examine the conditions, complexities and risks of a fragmented market microstructure to contextualize the role of algorithmic and high frequency trading in the US equity markets. The establishment of a national market system and Regulation NMS was meant to promote competition, recognizing the evolution and changing dynamics introduced by technological innovation. This evolution and governing rule set has had many positive effects in terms of competition, fee compression, tighter spread potential and volumes. Our paper identifies certain unintended consequences and complexities of the national market system including fragmentation, sub second quoting and trading, complex order types, data asymmetry, technological innovation, unique strategies and the algorithms that power them. When acting in concert, these complexities give rise to opportunities as well as emerging risks.</p><p>This high-speed system can be unstable and susceptible to inherent conflicts of interest, market abuse and price shocks. These shocks can be amplified by positive feedback loops accelerating single stock declines and also posing systemic risks in time scales beyond real-time physical human comprehension and reaction times. Furthermore they can produce contagion, which we refer to as ‘Flash Splashes’ caused by rapid withdrawals and injections of liquidity in increasingly linked asset classes, indices, sectors and global liquidity pools. High frequency trading strategies can be both passive and aggressive and usually display risk averse and low inventory characteristics. These strategies leverage fragmentation as they create or capture informational asymmetries. They interact directly with sell side algorithms that can hide intentions, hunt liquidity and sweep the order book. These interactions create market dynamics that can benefit and challenge anyone exposed to US equity markets.</p><p>Every market participant has a risk profile unique to their strategy and objective and while regulations will be enriched or revised and certain unfair practices eliminated great attention should be paid to understanding modern high speed trading risks and both the positive and negative impacts on all stakeholders. We have examined the regulations, complexities and risks to bring clarity and understanding to the current trading ecosystem for its users.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"25 2","pages":"107-165"},"PeriodicalIF":0.0,"publicationDate":"2016-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12068","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91856365","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Subscription page","authors":"","doi":"10.1111/fmii.12038","DOIUrl":"https://doi.org/10.1111/fmii.12038","url":null,"abstract":"","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"25 1","pages":"2"},"PeriodicalIF":0.0,"publicationDate":"2016-01-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12038","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91849748","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Special Issue in Honor of Professors Edward I. Altman and Ingo Walter","authors":"","doi":"10.1111/fmii.12047","DOIUrl":"https://doi.org/10.1111/fmii.12047","url":null,"abstract":"","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"25 1","pages":"3"},"PeriodicalIF":0.0,"publicationDate":"2016-01-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12047","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91849749","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Were U.S. Banks Exposed to the Greek Debt Crisis? Evidence from Greek CDS Spreads","authors":"Marcia Millon Cornett,&nbsp;Otgontsetseg Erhemjamts,&nbsp;Jim Musumeci","doi":"10.1111/fmii.12036","DOIUrl":"https://doi.org/10.1111/fmii.12036","url":null,"abstract":"<p>This study provides an empirical analysis of the impact of the Greek debt crisis on stock returns of U.S. commercial banks. We find that good (bad) news events pertaining to the Greek debt crisis, identified by large changes in the Greek CDS spread, produce insignificant positive (negative) abnormal stock returns. While banks were exposed to Greek debt, their exposure was such that it did not result in any abnormal fluctuations in bank values at the height of the crisis. When we measure the sensitivity of bank returns to changes in the Greek CDS spread in an effort to measure banks’ exposure to the crisis, we find that changes in the Greek CDS spread provide no additional explanatory power for bank returns beyond what a U.S. market index does. Finally, we find no bank characteristic that allows us to consistently predict the effect of the Greek crisis on specific banks.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"25 1","pages":"75-104"},"PeriodicalIF":0.0,"publicationDate":"2016-01-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12036","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91849709","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Role of Sovereign Ratings in M&A Markets: Empirical Evidence from Latin America and South East Asia","authors":"Janna Mai Nguyen,&nbsp;Dodo zu Knyphausen-Aufseß","doi":"10.1111/fmii.12034","DOIUrl":"https://doi.org/10.1111/fmii.12034","url":null,"abstract":"<p>Sovereign ratings have not only been regarded as an indicator of country risk for foreign investors, but also as a determining factor for capital market conditions of domestic firms. Although they have attracted growing interest in academic research, the extant literature has so far rendered only minor attention to their role in corporate strategic investment decisions. This paper focuses on the influence of sovereign ratings on domestic and cross-border M&amp;A decisions in a sample of Latin American and South East Asian countries. The empirical results lend support to the proposition that sovereign ratings condition the level of activity in domestic M&amp;A markets as well as the attractiveness of domestic M&amp;A targets for foreign acquirers. Moreover, the foreign bidders’ choice of ownership stakes in acquisitions appears to be affected. The paper thus highlights the relevance of sovereign ratings as a country-level factor to be considered in studies of corporate investment behavior.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"25 1","pages":"5-48"},"PeriodicalIF":0.0,"publicationDate":"2016-01-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12034","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91849746","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}