Annals of Financial Economics最新文献

How Do Remittance Inflows Cause the Dutch Disease in the Financial Sector? The Role of Financial Risk and Human Capital 汇款流入如何导致金融业的荷兰病？金融风险和人力资本的作用

IF 2

Annals of Financial Economics Pub Date : 2023-11-20 DOI: 10.1142/s2010495223400018

Zeeshan Khan, Syed Muhammad Faraz Raza, Kangyin Dong, Ilham Haouas

引用次数: 0

Factors Affecting the Crude Oil Prices Volatility: A Case Study of the USA, China, Japan, Germany and India 原油价格波动的影响因素——以美国、中国、日本、德国和印度为例

Annals of Financial Economics Pub Date : 2023-09-30 DOI: 10.1142/s2010495223500094

Alia Ajmal, Chaudhry Abdullah Imran Sahi, Wing-Keung -Wong, Ramzan Ali, Abid Rasheed

{"title":"Factors Affecting the Crude Oil Prices Volatility: A Case Study of the USA, China, Japan, Germany and India","authors":"Alia Ajmal, Chaudhry Abdullah Imran Sahi, Wing-Keung -Wong, Ramzan Ali, Abid Rasheed","doi":"10.1142/s2010495223500094","DOIUrl":"https://doi.org/10.1142/s2010495223500094","url":null,"abstract":"This paper investigates the determinants of crude oil in the world’s top five economies, including the USA, China, Germany, Japan and India. To examine the impact of the exchange rate, oil imports, oil demand by the commercial sector, oil demand by the transport sector, oil demand by the power sector, industrial production and oil inventory on crude oil prices of the top five economies have been studied from 1990 to 2020. We applied the Autoregressive Distributed Lag (ARDL) model for the analysis of the research. Panel results showed a significant impact of the exchange rate in the long and short run on crude oil prices. On the other hand, in case of Germany’s Industrial production, exchange rate, oil imports, and demand for oil by the power sectors have a significant effect on the prices of crude oil. In the case of India, industrial production, exchange rate, oil consumption, investment in oil, import of oil and demand for oil by the transport sectors have a significant effect on the prices of crude oil. In the case of the USA, crude oil inventories have a significant impact on crude oil prices in the long run. In the case of Japan’s exchange rate, oil consumption has a substantial effect on crude oil prices in both the long run and short run. We found that the exchange rate is the most significant factor which influences crude oil prices in all five countries.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136342312","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}

引用次数: 0

The Emerging Stock Markets and Their Asymmetric Response to Infectious Disease Equity Market Volatility (ID-EMV) Index 新兴市场及其对传染病股票市场波动指数的不对称反应

Annals of Financial Economics Pub Date : 2023-09-28 DOI: 10.1142/s2010495223500082

Asma Salman, Bisharat Hussain Chang, Muthanna G. Abdul Razzaq, Wing-Keung Wong, Mohammed Ahmar Uddin

{"title":"The Emerging Stock Markets and Their Asymmetric Response to Infectious Disease Equity Market Volatility (ID-EMV) Index","authors":"Asma Salman, Bisharat Hussain Chang, Muthanna G. Abdul Razzaq, Wing-Keung Wong, Mohammed Ahmar Uddin","doi":"10.1142/s2010495223500082","DOIUrl":"https://doi.org/10.1142/s2010495223500082","url":null,"abstract":"The infectious disease equity market volatility (ID-EMV) index, projected by Baker et al. (Baker, SR, N Bloom, SJ Davis, KJ Kost, MC Sammon and T Viratyosin (2020). The unprecedented stock market impact of COVID-19. Review of Asset Pricing Studies, 10(4), 742–758), relates infectious disease to equity market variability during the COVID-19 disease. The ID-EVM index examines the asymmetric influence on the stock market returns of seven developing countries: Mexico, Turkey, Brazil, China, Mexico, India and Indonesia. The investigation applies various statistical estimations, for instance, unit root, quantile cointegration and quantile-on-quantile regression (QQR) approaches. The relation between the stock returns of seven emerging economies and infectious disease EMV index is revealed by the quantile cointegration approach. Additionally, the QQR procedure shows that amid bullish market situation, stock returns are positively influenced by the infectious disease index. While, amid the bearish market situations, stock returns are negatively influenced by infectious disease index, the findings of this research have important policy implications. A piece of valuable information on the nexus between the variability in the equity market and the infectious disease index is provided by this investigation during the COVID-19 pandemic. Policymakers and investors can benefit from this newly introduced ID-EMV index to understand the influence on emerging market countries of this infectious disease.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":"94 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135343750","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}

引用次数: 0

Greenhouse Gas Emissions and the Rising Effects of Renewable Energy Consumption and Climate Risk Development Finance: Evidence from BRICS Countries 温室气体排放、可再生能源消费和气候风险发展融资的上升效应:来自金砖国家的证据

IF 2

Annals of Financial Economics Pub Date : 2023-07-25 DOI: 10.1142/s2010495223500070

B. Chang, P. A. M. Auxilia, Akash Kalra, Wing-Keung Wong, Mohammed Ahmar Uddin

{"title":"Greenhouse Gas Emissions and the Rising Effects of Renewable Energy Consumption and Climate Risk Development Finance: Evidence from BRICS Countries","authors":"B. Chang, P. A. M. Auxilia, Akash Kalra, Wing-Keung Wong, Mohammed Ahmar Uddin","doi":"10.1142/s2010495223500070","DOIUrl":"https://doi.org/10.1142/s2010495223500070","url":null,"abstract":"In recent decades, the surge in greenhouse gas emissions has given rise to an increase in climate risk-related development finance. This research delves into the effect of renewable energy and climate risk-related development finance on greenhouse gas emissions in the BRICS region. Panel regression estimates were employed to uncover several noteworthy findings. Firstly, a slight yet significant surge in greenhouse gas emissions resulted from increased climate risk-related development finance. Secondly, augmented climate risk-related mitigation finance corresponded with a noteworthy upsurge in renewable energy usage. Thirdly, greater renewable energy consumption resulted in a considerable reduction in greenhouse gas emissions. Lastly, amplified renewable energy consumption alleviated the impact of climate risk-related mitigation finance on greenhouse gas emissions. These findings emphasize the necessity of efficiently utilizing climate finance in generating renewable energies like wind, biomass, geothermal, hydroelectric and solar energies. Additionally, it is recommended that benefactor nations and officials ensure a regular and uninterrupted flow of climate risk-related development mitigation finance to emerging nations.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2023-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46922530","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}

引用次数: 0

Potential Welfare Gains from Optimal Macro Hedging for Oil Exporters 石油出口国最优宏观对冲带来的潜在福利收益

IF 2

Annals of Financial Economics Pub Date : 2023-07-12 DOI: 10.1142/s2010495223500069

Ricardo Lalloo

{"title":"Potential Welfare Gains from Optimal Macro Hedging for Oil Exporters","authors":"Ricardo Lalloo","doi":"10.1142/s2010495223500069","DOIUrl":"https://doi.org/10.1142/s2010495223500069","url":null,"abstract":"This paper computes the welfare gains from optimal hedging with futures contracts for an oil-exporting country. Unlike previous studies, this paper derives the welfare gains under a more realistic futures hedging model. This is accomplished by considering basis risk and by relaxing the full-hedging assumption. Furthermore, this is the first paper to derive the welfare gains under optimal hedging strategies. We also incorporate the empirical relationship between spot and futures prices within our models, rather than the theoretical relationship which most studies employ. The models were developed under a dynamic stochastic optimization framework and the optimal consumption and value functions were found using the method of Endogenous Gridpoints. The results showed that the choice of the optimal hedging strategy employed led to a slight improvement in the country’s welfare gains relative to full hedging. We also found that the strategies with the highest welfare gains were the most effective at volatility reduction. Finally, this paper provides compelling evidence for the use of optimal macro futures hedging as an effective risk management tool for oil-exporting developing countries.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2023-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45823038","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}

引用次数: 0

Dynamics of a Newly Established Agricultural Commodities Market: Financialization, Hedging and Portfolio Diversification in Turkey 新建立的农产品市场动态:土耳其的金融化、对冲和投资组合多样化

IF 2

Annals of Financial Economics Pub Date : 2023-06-28 DOI: 10.1142/s2010495223500057

Turker Acikgoz, Ozge Sezgin Alp, Nazlan Belemir Alkan

{"title":"Dynamics of a Newly Established Agricultural Commodities Market: Financialization, Hedging and Portfolio Diversification in Turkey","authors":"Turker Acikgoz, Ozge Sezgin Alp, Nazlan Belemir Alkan","doi":"10.1142/s2010495223500057","DOIUrl":"https://doi.org/10.1142/s2010495223500057","url":null,"abstract":"The purpose of this study is to investigate the dynamic relationship between financial assets and agricultural commodities market in Turkey. For this purpose, first, this study investigates financialization of agricultural commodities with a newly established agricultural commodities market of Turkey. Second, this paper analyzes hedging and portfolio diversification performances of agricultural commodities. By employing the DCC-GARCH approach of Engle (2002) and spillover index approach of Diebold and Yilmaz (2014), we analyze the financialization of agricultural commodities and calculate optimal hedge ratios and portfolio weights between two classes of assets. The results show the financialization of agricultural commodities at a very early age in Turkey. There exists a low degree of comovements and volatility spillovers between financial assets and agricultural commodities. Second, we show that agricultural commodities do not hedge financial investments sufficiently but they perform very well in terms of diversification and boost portfolio performances. Considering the previous limited literature on the topic, this study contributes to the literature by displaying the dynamics of a newly established agricultural commodities market in an emerging market. The findings of this study have many important implications for farmers and producers of agricultural commodities, and financial market actors such as individual investors, hedge funds and investment banks in terms of risk management and hedging.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2023-06-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46652284","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}

引用次数: 1

Market Capitalized Scale and Corporate Capital Structure — Evidence from CSI300’s Listed Firms 市值规模与企业资本结构——来自沪深300指数上市公司的证据

IF 2

Annals of Financial Economics Pub Date : 2023-05-17 DOI: 10.1142/s2010495223500021

Huu Manh Nguyen, Wing-Keung Wong, Thi Huong Giang Vuong

{"title":"Market Capitalized Scale and Corporate Capital Structure — Evidence from CSI300’s Listed Firms","authors":"Huu Manh Nguyen, Wing-Keung Wong, Thi Huong Giang Vuong","doi":"10.1142/s2010495223500021","DOIUrl":"https://doi.org/10.1142/s2010495223500021","url":null,"abstract":"The firm’s market capitalization is an ideal proxy of the size of listed firms. Hence, this paper uses the firm’s market capitalization to capture the firm size instead of using other prior proxies to investigate the relationship between the market capitalized scale and corporate capital structure by employing the Generalized Method of Moments (GMM) method to conduct analysis based on a sample of the 300 largest listed firms in China from 2010 to 2017. The CSI300 list consists of two subsample (CSI100 and CSI200), divided upon the firm’s market capitalized scales to represent both large-cap and small-cap firms. Our paper contributes to the literature on corporate finance by obtaining some new empirical results to assess the effect of market capitalized scale on corporate capital structure. We find that the market capitalized size has a significantly negative association with corporate leverage. We also find that both the Trade-Off Theory (TOT) and Pecking-Order Theory (POT) can partially explain the capital structure of the listed firms of the CSI300 Index such that the negative relationship between the market capitalized scales and corporate leverage is firmly identified in small-cap firms. Third, we observe that the greater validity of the POT’s predictions is enhanced in small-cap firms such that the greater inverse impact of profitability and the more significant positive effect of growth opportunities on corporate leverage are clearly shown in small-cap firms. Inversely, the more significant adverse effects of non-debt tax shields on corporate leverage are found in large-cap firms and there is no difference in the impact of tangible assets on debt ratios between CSI100’s listed companies and CSI200’s listed enterprises. Academics and practitioners could use our findings to draw better implications while policymakers could use our results to obtain better policies to improve the banking system with small listed companies.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2023-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46456810","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}

引用次数: 2

From Humble Beginnings to a Global Economic Powerhouse: A Comprehensive Study of India’s Economic Development Through the Lens of Selected Macroeconomic Indicators (1990–2020) 从卑微的开端到全球经济强国：从选定的宏观经济指标视角对印度经济发展的综合研究（1990-2020）

IF 2

Annals of Financial Economics Pub Date : 2023-05-17 DOI: 10.1142/s2010495223500033

Rachana Jaiswal

{"title":"From Humble Beginnings to a Global Economic Powerhouse: A Comprehensive Study of India’s Economic Development Through the Lens of Selected Macroeconomic Indicators (1990–2020)","authors":"Rachana Jaiswal","doi":"10.1142/s2010495223500033","DOIUrl":"https://doi.org/10.1142/s2010495223500033","url":null,"abstract":"Amidst the tumultuous COVID-19 pandemic and the Russia–Ukraine conflict, India has defied the odds and exhibited remarkable consistency in its macroeconomic performance, surpassing other top 10 global economies. This laudable progress was made even in the aftermath of significant prior disruptions. Therefore, the objective of this research paper is to meticulously scrutinize the macroeconomic determinants that impacted India’s economic growth from 1990 to 2020. The data utilized was sourced from the Reserve Bank of India, and a time series econometric technique was employed to identify stationary and its co-integration using an auto-regressive distributed lag (ARDL) model. This study exhaustively investigates the impact of five macroeconomic indicators, exports, imports, gross capital formation, gross savings, and gross inflow, which propel economic growth. Our findings unequivocally demonstrate that exports, gross capital formation, gross savings, and gross inflows have an indisputably positive and significant effect on India’s economic growth in the short and long run. However, imports negatively impact both the short and long runs. Other macroeconomic variables could not be comprehensively covered due to the absence of relevant data. Nevertheless, this study confers novel insights to policymakers and researchers alike by examining both the short-run and long-run dynamics and employing the Wald test to provide a profound understanding of the macroeconomic determinants indispensable for realizing sustainable economic growth. To the best of the author’s knowledge, this study constitutes a pioneering and original endeavor that undertakes a comprehensive and nuanced examination of economic growth by analyzing multiple macroeconomic indicators simultaneously, thereby providing a holistic and multifaceted understanding of the complex phenomenon of economic growth.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":"1 1","pages":""},"PeriodicalIF":2.0,"publicationDate":"2023-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41460047","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}

引用次数: 1

Innovation, Economic Growth, and Inequalities: A Panel Dynamic Threshold Analysis for Dynamic Economies 创新、经济增长和不平等：动态经济的面板动态阈值分析

IF 2

Annals of Financial Economics Pub Date : 2023-05-10 DOI: 10.1142/s2010495223500045

Sabreen Khan, Dil Pazir

引用次数: 0

Does Trade Openness Affect Global Entrepreneurship Development? Evidence from BRICS Countries 贸易开放是否影响全球创业发展?来自金砖国家的证据

IF 2

Annals of Financial Economics Pub Date : 2023-04-29 DOI: 10.1142/s201049522350001x

Md. Mominur Rahman, Bishawjit Chandra Deb, Muhammad Shajib Rahman, M. Uddin, Muhammad Ramzan, Mohammad Jubair Hossain, Gias Uddin

{"title":"Does Trade Openness Affect Global Entrepreneurship Development? Evidence from BRICS Countries","authors":"Md. Mominur Rahman, Bishawjit Chandra Deb, Muhammad Shajib Rahman, M. Uddin, Muhammad Ramzan, Mohammad Jubair Hossain, Gias Uddin","doi":"10.1142/s201049522350001x","DOIUrl":"https://doi.org/10.1142/s201049522350001x","url":null,"abstract":"Emerging nations focus more on new and innovative business activities across national borders for economic advancement. Further, trade openness has recently emerged in BRICS countries. Thus, global entrepreneurship development can be a great opportunity for the traded open countries. In line with this, the study aims to examine the impact of trade openness on global entrepreneurship development in BRICS countries. The study collected balanced-panel data from BRICS countries for 2001–2020 and applied random-effects estimation to analyze the data. The study drives a cross-sectional dependence test, unit root test, and model specification test before applying the estimated model. The study further checked the robustness of the findings by alternative estimation methods like FMOLS and DOLS and found similar results. The results revealed that trade openness positively influences global entrepreneurship development, but average tariffs can discourage entrepreneurs. Specifically, trade openness through trade spread, trade freedom, and average tariffs increase the total early-stage entrepreneurial activities and entrepreneurial intentions rate in BRICS countries. Through cross-country analysis, the study found that trade openness significantly enhances global entrepreneurship development in Brazil, India, China, and South Africa rather than in Russia. The study found similar results after checking the robustness of the findings by alternative estimation methods like FMOLS and DOLS. Thus, the findings could be a great insight for the policymakers of BRICS countries. Governments, academics, international entrepreneurs, etc., can use the findings in future decisions as a policy dialogue.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2023-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42964068","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}

引用次数: 2