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Funding Liquidity and Risk-Taking Behavior of Banks in India 印度银行的资金流动性和风险承担行为
IF 1.5
Journal of Emerging Market Finance Pub Date : 2024-09-01 DOI: 10.1177/09726527241257351
Silu Muduli, Shridhar Kumar Dash
{"title":"Funding Liquidity and Risk-Taking Behavior of Banks in India","authors":"Silu Muduli, Shridhar Kumar Dash","doi":"10.1177/09726527241257351","DOIUrl":"https://doi.org/10.1177/09726527241257351","url":null,"abstract":"This study, utilizing bank-level data for India, investigates the relationship between funding liquidity and banks’ risk-taking behavior. The study uses two risk measures: risk-weighted assets (encompassing credit, market, and operational risk) and liquidity creation (encompassing intermediacy risk). Findings reveal that banks with higher funding liquidity exhibit higher risk-taking behavior. This risk-taking behavior is more pronounced during economic recuperation and expansionary monetary policy phases. Notably, during economic recuperation, banks display heightened intermediacy risk, contrasting with the absence of such evidence during expansionary monetary policy phases. Larger banks with higher deposit shares demonstrate lower risk-taking behavior. Additionally, banks with a return on equity (ROE) below the average ROE exhibit a proclivity for increased risk-taking. This study advocates for liquidity regulation as a crucial complement to bank capital regulation, offering empirical support for moderate risk-taking among highly liquid banks and fortify their balance sheets for a stable banking system in India.JEL Codes: E32, E52, G21, G28","PeriodicalId":44100,"journal":{"name":"Journal of Emerging Market Finance","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142182203","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
Monetary Policy Reaction to COVID-19 and Their Economic Impact in Central America and the Dominican Republic 货币政策对 COVID-19 的反应及其对中美洲和多米尼加共和国经济的影响
IF 1.5
Journal of Emerging Market Finance Pub Date : 2024-08-13 DOI: 10.1177/09726527241257755
Jesús Antonio López Cabrera, Enrique González Mata, Juan Quiñonez Wu
{"title":"Monetary Policy Reaction to COVID-19 and Their Economic Impact in Central America and the Dominican Republic","authors":"Jesús Antonio López Cabrera, Enrique González Mata, Juan Quiñonez Wu","doi":"10.1177/09726527241257755","DOIUrl":"https://doi.org/10.1177/09726527241257755","url":null,"abstract":"This study aims to recognize and succinctly evaluate the monetary policy implemented during the COVID-19 pandemic, as well as in the immediate recovery period, and their economic impact in Central America and the Dominican Republic (CARD). To this end, the study carries out a qualitative and quantitative analysis of the monetary policy implemented to reduce the negative economic impact on CARD, during the period 2020–2022. VAR and panel econometric techniques were used for the analysis. The results show that even though the central banks of CARD countries did indeed seek to stimulate economic activity, the effects on aggregate economic activity are very small. Other types of policies, such as fiscal, financial, and regulatory policies, may have contributed to reducing to a greater extent the negative impact of the COVID-19 pandemic on economic activity.JEL Codes: E52, G01, C54","PeriodicalId":44100,"journal":{"name":"Journal of Emerging Market Finance","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2024-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142182205","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
A Study on the Hedging and Safe-Haven Features of Non-fungible Tokens Segments 关于不可流通代币区块的套期保值和避险功能的研究
IF 1.5
Journal of Emerging Market Finance Pub Date : 2024-07-25 DOI: 10.1177/09726527241257359
Emiliya James, Parthajit Kayal, Moinak Maiti, G. Balasubramanian
{"title":"A Study on the Hedging and Safe-Haven Features of Non-fungible Tokens Segments","authors":"Emiliya James, Parthajit Kayal, Moinak Maiti, G. Balasubramanian","doi":"10.1177/09726527241257359","DOIUrl":"https://doi.org/10.1177/09726527241257359","url":null,"abstract":"This study examines the hedging and safe-haven characteristics across the various segments of non-fungible tokens (NFTs). It adopts the case study approach to blend the key study findings on the risk and return aspects of different NFT segments. The study finds that various segments of NFTs have mixed levels of correlations with traditional financial assets. Online games and metaverse segments of NFTs display a link to the crypto assets. Similarly, only the metaverse segment shows an association with the market sentiment. Art, online games, and collectibles segments within the NFTs space show mixed levels of hedging. However, all NFT segments under consideration show ambiguous safe-haven facets. Overall, the present study highlights some of the important aspects to consider while investing in the different segments of NFTs with respect to portfolio optimization, market dynamics, and risk management.JEL Codes: C12, C13, J64","PeriodicalId":44100,"journal":{"name":"Journal of Emerging Market Finance","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2024-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141778030","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 Story of De- dollarization and Internationalization of the Chinese Renminbi 人民币去美元化和国际化的故事
IF 1.5
Journal of Emerging Market Finance Pub Date : 2024-06-05 DOI: 10.1177/09726527241248888
Nilanjan Banik, K. Das
{"title":"The Story of De- dollarization and Internationalization of the Chinese Renminbi","authors":"Nilanjan Banik, K. Das","doi":"10.1177/09726527241248888","DOIUrl":"https://doi.org/10.1177/09726527241248888","url":null,"abstract":"In recent times, numerous commentaries have written about de- dollarization. We analyse the factors which are contributing to de- dollarization. On the economic front, there is reduced fiscal and financial capacity of the US economy that can strain economic trust in the dollar. The internationalization of the Chinese currency is another factor. Additionally, a lower forecast for the world economic growth outlook, a higher debt financing in the United States, and a war in Europe are also leading to central banks around the world buying more gold and reducing investment in the US treasury bonds. While these factors may lead to reduced demand for dollars and increase the use of alternate international currencies, including digital currencies, we argue that dislodging the dollar as a global anchor currency is at best going to be restricted by economic and geopolitical reasons. JEL Codes: E42, F33, F34","PeriodicalId":44100,"journal":{"name":"Journal of Emerging Market Finance","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2024-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141386416","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
Carbon Emissions Pricing: Linkages Between EU ETS Spot and Future Prices and Completeness of EU ETS Market 碳排放定价：欧盟排放交易计划现货价格与未来价格之间的联系以及欧盟排放交易计划市场的完整性
IF 1.5
Journal of Emerging Market Finance Pub Date : 2024-06-02 DOI: 10.1177/09726527241248003
Saikat Mondal, Rudra P. Pradhan, Vinodh Madhavan, Debaleena Chatterjee, Ann Mary Varghese
{"title":"Carbon Emissions Pricing: Linkages Between EU ETS Spot and Future Prices and Completeness of EU ETS Market","authors":"Saikat Mondal, Rudra P. Pradhan, Vinodh Madhavan, Debaleena Chatterjee, Ann Mary Varghese","doi":"10.1177/09726527241248003","DOIUrl":"https://doi.org/10.1177/09726527241248003","url":null,"abstract":"The study examines the relationship and linkages between spot and future prices of European Union Emission Trading Systems (EU-ETS) during 2019–2021. Dynamic conditional correlation specification of multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model was employed to examine the time-varying correlation between spot and future prices. Also, vector autoregression mean model and MGARCH-Baba-Engle-Kroner-Kraft volatility model was jointly estimated to model the spillover between EU ETS spot and future prices in the first and second moments. Lastly, we utilize the variance-covariance matrix of joint mean-variance model estimation to derive the optimal conditional hedge ratio as well as the hedge effectiveness of EU ETS future contracts. Our findings reveal a high conditional correlation and significant spillover between carbon spot and future markets in EU. Further, our study uncovers a high degree of hedge effectiveness for EU ETS future contracts. This is possibly the first study that examines the linkages between EU ETS spot and future prices pertaining to the recent transition stage of phase III and the initial stage of ongoing phase IV of the ETS market. Our findings pinpoint to ETS markets becoming more complete and in turn offering optimal hedging avenues.JEL Codes: G15, C58, Q38","PeriodicalId":44100,"journal":{"name":"Journal of Emerging Market Finance","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2024-06-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141259944","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
Did Precious Metals Serve as Hedge and Safe-haven Alternatives to Equity During the COVID-19 Pandemic: New Insights Using a Copula-based Approach 贵金属是否在 COVID-19 大流行期间充当了股票的对冲和避险替代品：使用基于 Copula 的方法的新见解
IF 1.5
Journal of Emerging Market Finance Pub Date : 2024-05-28 DOI: 10.1177/09726527241251515
Ameet Kumar Banerjee, Hemanta Kumar Pradhan
{"title":"Did Precious Metals Serve as Hedge and Safe-haven Alternatives to Equity During the COVID-19 Pandemic: New Insights Using a Copula-based Approach","authors":"Ameet Kumar Banerjee, Hemanta Kumar Pradhan","doi":"10.1177/09726527241251515","DOIUrl":"https://doi.org/10.1177/09726527241251515","url":null,"abstract":"We examine the hedging and safe-haven characteristics of gold, silver, platinum, and palladium and three major indices in the US market. The metal markets are known for their hedging characteristics during financial distress. This article sheds new insights using high-frequency data into precious metals’ hedging and safe-haven abilities under extreme market volatility conditions attributed to the COVID-19 crisis using the copula method. The results show that gold outperforms all other precious metals in hedging and as a safe haven under extreme stock market conditions, in both the pre-crisis and crisis periods, with silver as the next best alternative.JEL codes: G01, G11, G15, G19","PeriodicalId":44100,"journal":{"name":"Journal of Emerging Market Finance","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2024-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141173074","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
Managerial Compensation, R&D Investment, and Operating Efficiency in Taiwanese Listed Companies: The Moderating Effects of Firm Size and Corporate Risk 台湾上市公司的管理者报酬、研发投资与运营效率：公司规模和公司风险的调节作用
IF 1.5
Journal of Emerging Market Finance Pub Date : 2024-04-04 DOI: 10.1177/09726527241232203
Hui-Tzu Lee, Lieh-Ming Luo, Chia-Chou Chiu
{"title":"Managerial Compensation, R&D Investment, and Operating Efficiency in Taiwanese Listed Companies: The Moderating Effects of Firm Size and Corporate Risk","authors":"Hui-Tzu Lee, Lieh-Ming Luo, Chia-Chou Chiu","doi":"10.1177/09726527241232203","DOIUrl":"https://doi.org/10.1177/09726527241232203","url":null,"abstract":"Our study explores how managerial compensations are associated with both R&D investment and operating efficiency, which are pillars of competitive advantage for Taiwanese listed companies. Additionally, it investigates how firm size and corporate risk moderate this relationship. Our study’s findings validate these two hypotheses, revealing a positive correlation between managerial compensation and both R&D investment and operating efficiency. Moreover, we observe that firm size enhances this connection, while corporate risk acts as a weakening factor. These results indicate that managerial compensation in Taiwanese companies is crafted with consideration for both immediate financial performance and enduring contributions to company development. The study contributes contemporary evidence on the interplay between factors fostering long-term competitive advantages and the structures of managerial compensation. JEL Codes: G32, M12","PeriodicalId":44100,"journal":{"name":"Journal of Emerging Market Finance","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2024-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140742366","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
Time-varying Connectedness Between ESG Stocks and BRVM Traditional Stocks ESG 股票与 BRVM 传统股票之间的时变关联性
IF 1.5
Journal of Emerging Market Finance Pub Date : 2024-03-15 DOI: 10.1177/09726527241233920
Zynobia Barson, Kwame Simpe Ofori, Peterson Owusu Junior, Kwabena G. Boakye, George Oppong Appiagyei Ampong
{"title":"Time-varying Connectedness Between ESG Stocks and BRVM Traditional Stocks","authors":"Zynobia Barson, Kwame Simpe Ofori, Peterson Owusu Junior, Kwabena G. Boakye, George Oppong Appiagyei Ampong","doi":"10.1177/09726527241233920","DOIUrl":"https://doi.org/10.1177/09726527241233920","url":null,"abstract":"Periods of crisis prompt investors to look out for means of making returns even in uncertain market conditions. Investors are using stocks selected on an environmental, social, and governance (ESG) basis to mitigate the unavoidable risks of investing in assets during these times of pandemic and war. In an integrated global financial system, we sought to explore the connectedness, if any, between the returns on the Bourse Régionale des Valeurs Mobilières (BRVM) and ESG-based stocks. Using a time-varying parameter vector autoregression (TVP-VAR) to analyze daily returns from 12 March 2013 to 4 April 2022, we find categorically that ESG-based stocks and BRVM stocks are connected, with ESG-based stocks dominating the network connectedness. Furthermore, using dynamic connectedness correlations from dynamic conditional correlation generalized autoregressive conditional heteroscedasticity (DCC-GARCH), we show that ESG stocks could be used as a safe haven or weak hedge for BRVM stocks in times of crisis. We test for the robustness of our findings using quantile causality. The causality test further shows that ESG-based stocks cause movements in BRVM stocks mostly at the lower quantiles—enhancing the findings of dominancy from the TVP-VAR estimates and offer diversification and safe haven benefits from the DCC-GARCH in extreme conditions. The implication of these findings for investors is that they could benefit from using ESG-based stocks in their portfolios, particularly in times of crisis.JEL Codes: G01, G11","PeriodicalId":44100,"journal":{"name":"Journal of Emerging Market Finance","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2024-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140156492","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 Increasing Trend in Effective Tax Rates in India: Role of Macroeconomic Factors, Tax Policy Changes and Firm Characteristics 印度实际税率的增长趋势：宏观经济因素、税收政策变化和企业特征的作用
IF 1.5
Journal of Emerging Market Finance Pub Date : 2024-02-24 DOI: 10.1177/09726527231214075
A. Athira, P. J. Jijo Lukose
{"title":"The Increasing Trend in Effective Tax Rates in India: Role of Macroeconomic Factors, Tax Policy Changes and Firm Characteristics","authors":"A. Athira, P. J. Jijo Lukose","doi":"10.1177/09726527231214075","DOIUrl":"https://doi.org/10.1177/09726527231214075","url":null,"abstract":"We show that over the last two decades, India’s effective tax rates (ETRs) have increased by 7.8 percent, which contrasts with the downward trend in ETRs for US firms documented by Dyreng et al. (2017). After controlling for changes in firm characteristics, macroeconomic factors, and tax policy changes, our findings show that ETRs increased by 0.37 percent per year during the sample period. Further, we examine the proposition that public firms are more likely to engage in non-conforming tax management than private firms. We observe a stronger upward trend in ETRs among private firms than public firms, consistent with the capital market pressure hypothesis. The permanent book-tax difference is the primary driver of the ETR trend for both private and public firms. Our findings contribute to the recent debate about the trend in ETRs by undermining concerns regarding rising corporate tax avoidance and reinforcing the argument that improved tax efficiency and economies of agglomeration in countries with large domestic markets contribute to higher ETRs.JEL Codes: G38, H25, H26, H32","PeriodicalId":44100,"journal":{"name":"Journal of Emerging Market Finance","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2024-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139953893","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
Feedback Trading and Its Implications for Return Autocorrelations in India During COVID COVID 期间印度的反馈交易及其对回报自相关性的影响
IF 1.5
Journal of Emerging Market Finance Pub Date : 2024-02-06 DOI: 10.1177/09726527231215541
Paramita Mukherjee, Rajashri Chatterjee
{"title":"Feedback Trading and Its Implications for Return Autocorrelations in India During COVID","authors":"Paramita Mukherjee, Rajashri Chatterjee","doi":"10.1177/09726527231215541","DOIUrl":"https://doi.org/10.1177/09726527231215541","url":null,"abstract":"In emerging capital markets, feedback trading is a widely pursued strategy by investors. Such behavior may potentially lead to volatility and cause negative autocorrelation in market returns, especially during high volatility. In India, such a linkage has not been explored so far, though institutional investors have pursued feedback trading for the last two decades. Also, COVID-19 has led to higher volatility in the markets and might have altered investors’ behavior. This article focuses on finding whether feedback trading is still pursued by institutional investors in Indian equity markets post-COVID and also whether the presence of feedback traders exerts any influence on autocorrelations in market returns. Asymmetric GARCH models are employed to explore the linkage. Findings suggest that while foreign institutional investors continue to pursue positive feedback trading, as in the pre-pandemic period, domestic investors pursue negative feedback trading. However, in the post-pandemic period, as other types of trading became weak or perished, positive feedback traders have started dominating, leading to negative autocorrelation in market returns during heightened volatility. Evidence of negative autocorrelation was not present in the pre-pandemic period. Further, negative news leads to more volatility in returns. JEL Codes: F21, F32, G11","PeriodicalId":44100,"journal":{"name":"Journal of Emerging Market Finance","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2024-02-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139859610","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
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