Journal of Risk Finance最新文献

{"title":"Market discipline and bank risk through new regulations: evidence from Asia–Pacific","authors":"A. Le","doi":"10.1108/jrf-02-2022-0034","DOIUrl":"https://doi.org/10.1108/jrf-02-2022-0034","url":null,"abstract":"PurposeThe purpose of this study is to show the presence of market discipline and provide an explanation for bank risk nondisclosure behavior, specifically market risk (MR), credit risk (CR), operational risk (OR) and counterparty credit risk (CCR). The response of market discipline when banks comply with Basel III capital and liquidity restrictions is also investigated in this study.Design/methodology/approachThe study used the Lasso regression method to give accurate results with the lowest error when using small observational data with a large number of features.FindingsFirst, theoretically, the study points to the presence of market discipline and its sensitivity to the risks disclosed by the bank, especially when applying capital regulations under Basel III. In addition, the study also shows differences between the developed and emerging countries in the sensitivity of market discipline to factors when considering banking regulations. Finally, an interesting result that the study shows is that the higher the index of economic freedom, the weaker the market discipline is, especially for emerging countries.Practical implicationsThe study’s findings have several important implications: (1) help regulators devise policies to manage banks' risk and meet liquidity and capital requirements according to the Basel III framework. The effectiveness of market discipline is reduced, and banking regulators need to compensate by strengthening their supervisory functions. (2) Showed the reasons why banks ignore the disclosure of bank risks according to the provisions of the third pillar of the Basel III framework. Because when following the Basel III framework, depositors demand higher interest rates or increase market discipline towards riskier banks.Originality/valueThis study is the first attempt to assess market discipline under the new capital and liquidity regulations using the Lasso regression model as suggested by Tibshirani (1996, 2011), Hastie et al. (2009, 2015). This is also the first study to look at the impact of four different forms of risk on market discipline (as required by the Basel regulatory framework to improve disclosure).","PeriodicalId":46579,"journal":{"name":"Journal of Risk Finance","volume":" ","pages":""},"PeriodicalIF":3.0,"publicationDate":"2022-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45167147","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":"Is financial distress risk important for manufacturing SMEs to rebalance the short-term debt ratio?","authors":"Filipe Sardo, Z. Serrasqueiro, Elisabete S. Vieira, M. R. Armada","doi":"10.1108/jrf-12-2021-0207","DOIUrl":"https://doi.org/10.1108/jrf-12-2021-0207","url":null,"abstract":"PurposeThis study seeks to analyse if the adjustment towards the target short-term debt ratio of small and medium-sized firms (SMEs) is related to financial distress risk.Design/methodology/approachData obtained for a sample of Portuguese manufacturing SMEs from 2010 to 2017 were analysed using the system-generalised method of moments (GMM-sys). Using the modified Z-Altman score, the authors classify SMEs according to their exposure to financial distress risk.FindingsManufacturing SMEs exposed to a high risk of financial distress rebalance their short-term debt ratio quicker. However, regardless of the financial distress risk level, SMEs distant from the target short-term debt ratio adjust more slowly, suggesting that transaction costs are greater than financial distress costs.Practical implicationsPolicymakers should promote the access to external sources of finance with low transaction costs for SMEs, exposed to low levels of financial distress risk, to rebalance their short-term debt ratios quicker. Distressed SMEs far from their target short-term debt ratios, but with capacity to rebalance, need government programmes to access finance with low transaction costs to rebalance their short-term debt ratios.Originality/valueThis paper contributes to deepening our understanding of how SMEs, facing financial risk, rebalance their short-term debt ratios. SMEs, facing high financial distress risk, adjust towards their target short-term debt ratios more rapidly. However, SMEs, distant from the target short-term debt ratio face higher transaction costs than financial distress costs. These firms adjust towards their target short-term debt ratios more slowly, which may aggravate the refinancing risk and, ultimately, announce bankruptcy.","PeriodicalId":46579,"journal":{"name":"Journal of Risk Finance","volume":" ","pages":""},"PeriodicalIF":3.0,"publicationDate":"2022-10-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48452691","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":"Cryptocurrency liquidity during the Russia–Ukraine war: the case of Bitcoin and Ethereum","authors":"Saliha Theiri, R. Nekhili, Jahangir Sultan","doi":"10.1108/jrf-05-2022-0103","DOIUrl":"https://doi.org/10.1108/jrf-05-2022-0103","url":null,"abstract":"PurposeThis study examine the response of liquidity of Bitcoin and Ethereum to the Russia-Ukraine war in an event study context and investigate whether the war had a transitory or a permanent effect on cryptocurrency liquidity.Design/methodology/approachA event study was applied to hourly transactions on Bitcoin and Ethereum cryptocurrencies from 1/02/2022 to 31/03/2022. This is period is subdivided in two sample periods to capture transitory and permanent effects. The transitory effect is investigated over a window spanning -20 and +20 days. For a more extended post-event period, a linear regression model was applied to analyze the effects of other factors on the liquidity risk of BTC and ETH.FindingsThe findings reveal a significant but temporary impact of the Russia–Ukraine war on the liquidity of Bitcoin and Ethereum. Liquidity levels have increased within the first two days around the event day and then returned to the pre-event level after that. However, the response of BTC and ETH cryptocurrencies' liquidities to the Russian invasion of Ukraine is not uniform.Originality/valueThis is the first paper that assesses the liquidity level of two major cryptocurrencies (Bitcoin and Ethereum) in response to an extreme event: the Russia–Ukraine war. The hypothesis is that trading in the cryptocurrency market will increase due to market participants' goal of evading regulatory sanctions. Furthermore, market participants may also take advantage of cryptocurrencies' popularity as safe-haven assets.","PeriodicalId":46579,"journal":{"name":"Journal of Risk Finance","volume":" ","pages":""},"PeriodicalIF":3.0,"publicationDate":"2022-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44024058","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":"Technology-push and market-pull strategies: the influence of the innovation ecosystem on companies' involvement in the Industry 4.0 paradigm","authors":"J. Boyer, Annemarie Kokosy","doi":"10.1108/jrf-12-2021-0193","DOIUrl":"https://doi.org/10.1108/jrf-12-2021-0193","url":null,"abstract":"PurposeThis study analyzes how the innovation ecosystem helps integrate technology-push and market-pull strategies in the Industry 4.0 paradigm.Design/methodology/approachThis study investigates companies' involvement in the Industry 4.0 paradigm through technology-push strategies, and through both technology-push and market-pull strategies. The authors perform two econometric logit models to test the influence of collaborations with heterogeneous actors, research and university relationships, and relations with business incubator (the pivot actor) on companies' involvement in Industry 4.0.FindingsThe study empirically shows that developing relationships with a greater diversity of actors, collaborating with university and research laboratories, and developing intense relationships with business incubator increase the likelihood for companies to integrate both technology-push and market-pull strategies in companies' involvement in the Industry 4.0 paradigm.Practical implicationsThis study provides insights to practitioners who are interested or involved in the new Industry 4.0 paradigm. The authors' study explains how specific features of an innovation ecosystem, such as complex interactions among actors, can stimulate creative ideas and successfully implement innovations to address Industry 4.0 challenges.Originality/valueFirst, the authors confirm the role of the innovation ecosystem on companies' involvement in the Industry 4.0 paradigm. Second, the authors study highlights that the innovation ecosystem is a new relevant framework that enables companies to integrate both technology-push and market-pull strategies. Third, we provide empirical evidence about the role of business incubator on firms' strategies to get involved in the Industry 4.0 paradigm.","PeriodicalId":46579,"journal":{"name":"Journal of Risk Finance","volume":" ","pages":""},"PeriodicalIF":3.0,"publicationDate":"2022-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46906897","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":"You sneeze, and the markets are paranoid: the fear, uncertainty and distress sentiments impact of the COVID-19 pandemic on the stock–bond correlation","authors":"A. Banerjee","doi":"10.1108/jrf-04-2022-0095","DOIUrl":"https://doi.org/10.1108/jrf-04-2022-0095","url":null,"abstract":"PurposeThis paper investigates the influence of three different sentiment indicators on the time-varying stock–bond correlation of 15 countries during the global crisis period of the coronavirus disease 2019 (COVID-19) pandemic.Design/methodology/approachThe author uses the time-varying correlation estimated using the autoregressive moving average -dynamic conditional correlation - generalised autoregressive conditional heteroskedasticity (ARMA-DCC-GARCH) model to achieve this aim. The impact of investor sentiment on the stock–bond correlation was analysed using the Markov regime-switching regression.FindingsThe study results show that the sentiment indicators of fear, uncertainty and distress have a pronounced negative impact on the stock–bond correlation. They further provide evidence of a strong regime effect on the stock–bond correlation with sentiment indicators.Practical implicationsThe paper has a relevant impact on policymakers and fund managers. First, the policymakers now have more insightful evidence of how the stock and bond markets react during crises. Second, the fund managers need to focus on behavioural variables as they may be driving factors in crisis periods that may impair portfolio management.Originality/valueTo the best of my knowledge, the paper is the first to throw light on the behaviour of the stock–bond correlation for 15 countries during the COVID-19 period.","PeriodicalId":46579,"journal":{"name":"Journal of Risk Finance","volume":" ","pages":""},"PeriodicalIF":3.0,"publicationDate":"2022-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49481963","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 price reaction and investment exposure of equity funds: evidence from the Russia–Ukraine military conflict","authors":"L. Yarovaya, Nawazish Mirza","doi":"10.1108/jrf-07-2022-0174","DOIUrl":"https://doi.org/10.1108/jrf-07-2022-0174","url":null,"abstract":"PurposeThe purpose of this paper is to assess the impact of the Ukraine–Russia military conflict on the returns and investment flows of equity funds across multiple countries.Design/methodology/approachUsing a comprehensive sample of 1,281 equity funds in 40 countries. The countries were segregated into conflict states, members of NATO, and those which abstained from voting on the UN resolution on March 2, 2022. The authors employ a GARCH-based event study and estimate CARs for t−5, t−3, t, t + 3, and t + 5 event windows. Further, the authors use panel estimation to assess the link between the CARs and the investment exposure of the sample funds.FindingsThe findings highlight an adverse reaction of mutual funds in Russia, Ukraine, and the NATO States. On the contrary, the mutual funds in the countries that abstained during the voting on the UN resolution on March 2nd posted positive abnormal returns. Similarly, the investment exposure towards the conflicted countries and NATO states is unfavorable except for the abstained countries.Originality/valueThis is the primary study to evaluate the impact of the recent geopolitical tensions on mutual funds domiciled across various geographical locations.","PeriodicalId":46579,"journal":{"name":"Journal of Risk Finance","volume":" ","pages":""},"PeriodicalIF":3.0,"publicationDate":"2022-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44490132","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":"How does human capital efficiency impact credit risk?: the case of commercial banks in the GCC","authors":"J. Hasnaoui, Amir Hasnaoui","doi":"10.1108/jrf-04-2022-0083","DOIUrl":"https://doi.org/10.1108/jrf-04-2022-0083","url":null,"abstract":"PurposeThis paper aims to assess human capital efficiency's impact on commercial banks' credit risk in six GCC member countries.Design/methodology/approachThe study employs quarterly balanced panel data of banks between 2014 and 2019. The authors use three different constructs of credit risk, namely the probability of default which is a forward-looking quantification, a book value-based infection ratio and independent opinion of credit ratings, to assess the relationship with human capital efficiency. Different macro and firm-specific control variables are introduced, including a dummy for technological innovation and a GARCH-based measure of oil price volatility.FindingsThe findings of this study reveal that human capital efficiency is negatively related to the credit risk profile and banks with higher human capital efficiency tend to have lower credit risk. These results remained robust across the three definitions of credit risk used in this study.Originality/valueThis study is unique in exploring the impact of human capital efficiency on credit risk because credit risk is not only a central determinant of bank performance but also can trigger a systemic panic. Therefore, it is vital to assess its relationship with human capital efficiency. The different constructs of credit risk are innovative with reference to human capital. Lastly, using EVA as a measure of value addition in the context of human capital efficiency is a methodological contribution.","PeriodicalId":46579,"journal":{"name":"Journal of Risk Finance","volume":" ","pages":""},"PeriodicalIF":3.0,"publicationDate":"2022-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45943014","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":"Consequences of Russian invasion on Ukraine: evidence from foreign exchange rates","authors":"Florin Aliu, Simona Hašková, Ujkan Q. Bajra","doi":"10.1108/jrf-05-2022-0127","DOIUrl":"https://doi.org/10.1108/jrf-05-2022-0127","url":null,"abstract":"PurposeThe stability of exchange rates facilitates international trade, diminishes portfolio risk, and ensures that economic policies are effective. The war in Ukraine is showing that the European financial system is still fragile to external shocks. This paper examines the consequences of the Russian invasion of Ukraine on five Euro exchange rates. The final goal is to empirically test whether the ruble caused the euro to depreciate with the Russian invasion of Ukraine.Design/methodology/approachThe exchange rates analyzed are Euro/Russian Ruble, Euro/US Dollar, Euro/Japanese Yen, Euro/British Pound, and Euro/Chinese Yuan. The data collected are daily and cover the period from November 1, 2021, to May 1, 2022. In this context, the changes in the FX rates reflect two months of the ongoing war in Ukraine. The FX rates used in the study contain 137 observations indicating five months of daily series.FindingsThe results from impulse response function, variance decomposition, SVAR, and VECM indicate that the EUR/RUB significantly influenced the Euro devaluation. On the other side, the FX rates used in our work altogether hold long-run cointegration. The situation is different in the short run, where only EUR/RUB, EUR/USD, and EUR/CNY possess significant relations with other parities.Originality/valueThe Ruble is not among hard currencies, but its position strengthened during this period due to the importance of Russian gas to the Eurozone. The results indicate that even weak currencies can be influential depending on the geopolitical and economic situation. To this end, diversification remains a valid concept not only in portfolio construction but also for the preservation of the national economy.","PeriodicalId":46579,"journal":{"name":"Journal of Risk Finance","volume":" ","pages":""},"PeriodicalIF":3.0,"publicationDate":"2022-08-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48647380","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":"Bitcoin's hedging attributes against equity market volatility: empirical evidence during the COVID-19 pandemic","authors":"Jocelyn Grira, Sana Guizani, I. Kahloul","doi":"10.1108/jrf-01-2022-0003","DOIUrl":"https://doi.org/10.1108/jrf-01-2022-0003","url":null,"abstract":"PurposeThe purpose of this paper is to analyze the hedging capacity of Bitcoin in relation to the S&P 500 index during the COVID-19 pandemic.Design/methodology/approachIn order to investigate the hedging features of Bitcoin in relation to the S&P 500 index during the COVID-19 pandemic, the authors use the Granger causality applied on a daily sample of observations ranging from January 1st, 2019 to December 31st, 2020. As robustness checks, the authors use autoregressive models to test the validity of the findings.FindingsUsing time series of daily data from 1st January 2019 to 31st December 2020, the results show that Bitcoin is not considered as a safe haven because it moves at the same pace as the S&P 500. As a robustness check, the authors use the exponential GARCH model and confirm our previous findings. Overall, the study contributes to the debate on both COVID-19's impact on financial systems and the hypothesis of Bitcoin being a safe haven during extreme global crises.Originality/valueThe study contributes to the debate on both COVID-19's impact on financial systems and the hypothesis of Bitcoin being a safe haven during extreme global crises.","PeriodicalId":46579,"journal":{"name":"Journal of Risk Finance","volume":" ","pages":""},"PeriodicalIF":3.0,"publicationDate":"2022-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44327259","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":"Is the Financial Market ready for Cryptocurrency ETFs? - A critical evaluation","authors":"Pooja Singh","doi":"10.1108/jrf-08-2022-241","DOIUrl":"https://doi.org/10.1108/jrf-08-2022-241","url":null,"abstract":"","PeriodicalId":46579,"journal":{"name":"Journal of Risk Finance","volume":" ","pages":""},"PeriodicalIF":3.0,"publicationDate":"2022-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43743479","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}