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Stock, foreign exchange and commodity markets linkages: Implications for risk diversification and portfolio management 股票、外汇和商品市场的联系：对风险分散和投资组合管理的影响
IF 5.5 2区 经济学
Global Finance Journal Pub Date : 2024-11-02 DOI: 10.1016/j.gfj.2024.101053
{"title":"Stock, foreign exchange and commodity markets linkages: Implications for risk diversification and portfolio management","authors":"","doi":"10.1016/j.gfj.2024.101053","DOIUrl":"10.1016/j.gfj.2024.101053","url":null,"abstract":"<div><div>We analyze connectedness for a system composed of 111 financial markets from January 3, 2011, to December 29, 2023. Stock, foreign exchange, and commodity markets are included in the sample. Using a two-stage approach based on Principal Component Analysis to remove common global factors affecting financial market returns, we employ a LASSO-VAR model to estimate the global network of financial markets. Our results reveal that financial markets are closely linked. Common global factors intensify spillovers between financial markets. After being removed, financial markets transmit significant idiosyncratic shocks that are not explained by systemic variations. Our results also allow us to accurately identify the markets that are idiosyncratically less vulnerable to liquidity shocks, and those that are most relevant transmitting this kind of disturbances. These findings are relevant for investment decisions, risk management, and financial regulators.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":null,"pages":null},"PeriodicalIF":5.5,"publicationDate":"2024-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142593403","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Firms' gender composition, loan collateral, and sustainable finance 企业的性别构成、贷款抵押和可持续融资
IF 5.5 2区 经济学
Global Finance Journal Pub Date : 2024-10-18 DOI: 10.1016/j.gfj.2024.101051
{"title":"Firms' gender composition, loan collateral, and sustainable finance","authors":"","doi":"10.1016/j.gfj.2024.101051","DOIUrl":"10.1016/j.gfj.2024.101051","url":null,"abstract":"<div><div>This study evaluates gender gaps in the collateral requirements of bank loans using a sample of firms in Latin America. We measure firm-level gender composition through ownership and workforce, both of which are directly related to women's economic empowerment. Additionally, we evaluate the differences in the impacts of firms' gender composition on collateral borrowing between banks that adopt sustainable finance codes of conduct and those that do not. Our empirical findings indicate that female-dominant firms are less likely to be required to provide collateral for their bank loans, and when collateral is required, its value is relatively lower. However, banks adopting sustainable finance codes are not less likely to grant collateral loans to female-dominant firms; in fact, these banks even require greater collateral values from these firms. The implications derived from our empirical findings concern gender inequality in accessing financial credit in developing countries and underscore the need for designing sustainable finance codes that specifically consider and rectify the challenges faced by female-owned firms, especially by firms with a majority female workforce.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":null,"pages":null},"PeriodicalIF":5.5,"publicationDate":"2024-10-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142525983","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Cognitive, affective, and normative factors affecting digital insurance adoption among persons with disabilities: A two-stage SEM-ANN analysis 影响残疾人采用数字保险的认知、情感和规范因素：两阶段 SEM-ANN 分析
IF 5.5 2区 经济学
Global Finance Journal Pub Date : 2024-10-15 DOI: 10.1016/j.gfj.2024.101048
{"title":"Cognitive, affective, and normative factors affecting digital insurance adoption among persons with disabilities: A two-stage SEM-ANN analysis","authors":"","doi":"10.1016/j.gfj.2024.101048","DOIUrl":"10.1016/j.gfj.2024.101048","url":null,"abstract":"<div><div>This study evaluates the determinants of digital insurance adoption among persons with disabilities (PWDs) using the cognitive, affective, and normative (CAN) model. The study considers (i) cognitive factors such as perceived credibility, perceived knowledge, perceived usefulness, perceived complexity, and facilitating conditions; (ii) affective factors including technology anxiety and technology pleasure; and (iii) normative factors encompassing social influence. Moreover, it explores the relationship between perceived complexity and behavioral intention (BI) to adopt digital insurance among PWDs, as mediated by perceived knowledge. This study employs a two-stage hybrid structural equation modeling–artificial neural network (SEM-ANN) approach to test the hypothesis, and data from 323 physically challenged participants were collected. Empirical results show that all factors, except for perceived complexity and technological anxiety, significantly predict BI adoption of digital insurance among PWDs, whereas perceived usefulness was found to have the highest impact on BI. Although perceived complexity affects perceived knowledge, it does not significantly mediate the relationship between complexity and BI. This study expands on the CAN model and provides practical insights for PWDs in adopting digital insurance.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":null,"pages":null},"PeriodicalIF":5.5,"publicationDate":"2024-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142525982","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Riding the geopolitical storm or dodging bullets: Geopolitical risk timing of mutual funds 驾驭地缘政治风暴还是躲避子弹？共同基金的地缘政治风险时机选择
IF 5.5 2区 经济学
Global Finance Journal Pub Date : 2024-10-15 DOI: 10.1016/j.gfj.2024.101047
{"title":"Riding the geopolitical storm or dodging bullets: Geopolitical risk timing of mutual funds","authors":"","doi":"10.1016/j.gfj.2024.101047","DOIUrl":"10.1016/j.gfj.2024.101047","url":null,"abstract":"<div><div>This study investigates the mutual fund timing of geopolitical risk and corresponding economic consequences based on open-end active stock funds data in China from January 2005 to June 2023. Mutual funds are effective at timing geopolitical risks, evidenced by their tendency to reduce market risk exposure before periods of heightened geopolitical risk. We find that geopolitical risk timing is significantly positively associated with fund performance with persistence in mutual funds' geopolitical risk timing abilities. This effect remains robust even after controlling for market, volatility, and liquidity timing of mutual funds. The results suggest that mutual funds with superior geopolitical risk timing attract greater fund inflows, highlighting their positive market value. Fund managers with experience as macro analysts and political connections are more sophisticated in timing geopolitical risk than their counterparts.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":null,"pages":null},"PeriodicalIF":5.5,"publicationDate":"2024-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142525985","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Estimating probability of default via delinquencies? Evidence from European P2P lending market 通过拖欠估算违约概率？欧洲 P2P 借贷市场的证据
IF 5.5 2区 经济学
Global Finance Journal Pub Date : 2024-10-11 DOI: 10.1016/j.gfj.2024.101050
{"title":"Estimating probability of default via delinquencies? Evidence from European P2P lending market","authors":"","doi":"10.1016/j.gfj.2024.101050","DOIUrl":"10.1016/j.gfj.2024.101050","url":null,"abstract":"<div><div>The unprecedented growth of the financial sector's digital transformation opens wide areas to the scaling up of finance in innovative and knowledge-based projects. Improving risk management takes centre stage in the acceleration of this process. This study uses loan-book data from the peer-to-peer (P2P) lending market to empirically investigate the determinants of default risk. Using the loan-book database covering the period from 2014 to 2020, we examine multiple factors related to the default risk of loans issued by P2P lending platforms. The results indicate that a higher interest rate and higher stock market returns increase the probability of default in the P2P lending market. Results are robust to additional tests based on endogeneity correction, the LASSO method and sampling bias. The severity of the impact of market returns and interest rates is found to be significantly different based on the levels of financial technology (FinTech) adoption and banking sector distress. Increases in the market interest rate are found to boost the sensitivity of P2P loan defaults to stock market volatility. This study contributes to existing literature on risk management models with its consideration of country-specific factors, paving the way to future best practices in the market.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":null,"pages":null},"PeriodicalIF":5.5,"publicationDate":"2024-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142441386","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Corporate risk disclosure in response to heightened entry threat: Evidence from a quasi-natural experiment in China 企业风险披露以应对加剧的进入威胁：来自中国准自然实验的证据
IF 5.5 2区 经济学
Global Finance Journal Pub Date : 2024-10-11 DOI: 10.1016/j.gfj.2024.101049
{"title":"Corporate risk disclosure in response to heightened entry threat: Evidence from a quasi-natural experiment in China","authors":"","doi":"10.1016/j.gfj.2024.101049","DOIUrl":"10.1016/j.gfj.2024.101049","url":null,"abstract":"<div><div>Using the deregulation of market entry barriers in China as a quasi-natural experiment, this study examines how increased entry threats affect incumbent firms' risk disclosure. We find that firms respond by increasing their market-related risk disclosures. This effect is stronger among firms facing higher economic uncertainty, lower financial constraints, greater product market competition, and higher information transparency. Mechanism analysis shows that increased risk disclosure weakens the link between deregulation of market entry barriers and new firm entry, suggesting that such disclosures can effectively deter potential competitors. Moreover, while market reactions to market risk disclosures are neutral, they are negative for operational and financial risk disclosures. Our findings suggest that firms strategically disclose market risks to mitigate entry threats, thus enhancing their resilience and adaptability in dynamic markets.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":null,"pages":null},"PeriodicalIF":5.5,"publicationDate":"2024-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142525984","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Executive compensation disclosure in emerging markets with weak shareholder enforcement: A multi-level analysis 股东执行力薄弱的新兴市场的高管薪酬披露：多层次分析
IF 5.5 2区 经济学
Global Finance Journal Pub Date : 2024-10-05 DOI: 10.1016/j.gfj.2024.101045
{"title":"Executive compensation disclosure in emerging markets with weak shareholder enforcement: A multi-level analysis","authors":"","doi":"10.1016/j.gfj.2024.101045","DOIUrl":"10.1016/j.gfj.2024.101045","url":null,"abstract":"<div><div>Using a quasi-experimental approach, this study examines the effect of the mandatory disclosure of executive compensation on the performance and liquidity of firms in emerging markets with weak legal protection such as Argentina, Belgium, Brazil, Italy, and Spain. The results of the multi-level generalized linear models suggest that executive compensation disclosure positively impacts the accounting performance of firms in countries with weak legal protection. The findings also indicate that regulating such disclosure can help reduce agency problems. However, stricter executive compensation disclosure requirements do not impact market performance, as measured by the market-to-book ratio and Tobin's Q. In addition, there is a negative relationship between the regulation of executive compensation disclosure and the amount of cash retained by firms in countries with legal origins in French civil law.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":null,"pages":null},"PeriodicalIF":5.5,"publicationDate":"2024-10-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142525981","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Asymmetric dependency among US national financial conditions and clean energy markets 美国国家财政状况与清洁能源市场之间的不对称依赖关系
IF 5.5 2区 经济学
Global Finance Journal Pub Date : 2024-10-03 DOI: 10.1016/j.gfj.2024.101046
{"title":"Asymmetric dependency among US national financial conditions and clean energy markets","authors":"","doi":"10.1016/j.gfj.2024.101046","DOIUrl":"10.1016/j.gfj.2024.101046","url":null,"abstract":"<div><div>This paper examines the relationship between the US National Financial Conditions Index (NFCI) and the clean energy industry using quantile and frequency connectedness, cross-quantile, and wavelet quantile correlation (WQC) techniques. Results reveal (a) a stronger dependence between the NFCI and clean energy under bullish market states. Moreover, the total connectedness between the NFCI and clean energy mostly exhibits time-varying characteristics. In particular, clean energy has a greater spillover effect than the NFCI. (b) Dynamic frequency total connectedness at extreme quantiles provided a more comprehensive view of structural shocks in financial markets, and major crises, such as COVID-19, significantly amplified this connectedness. Overall, the WilderHill Clean Energy Index and the NASDAQ OMX Renewable Energy Index demonstrate substantial potential for hedging financial conditions. (c) The cross-quantile correlation results revealed an asymmetric dependency, demonstrating a sustained significant positive relationship between the NFCI and clean energy index (CEI) across the relative higher quantiles and middle quantiles. The WQC showed that the NFCI and specific CEIs tended to exhibit the strongest positive correlations in nonextreme quantiles and lower frequencies. These results can be of considerable interest to various financial market participants.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":null,"pages":null},"PeriodicalIF":5.5,"publicationDate":"2024-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142422740","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Bank scandal contagion: Evidence from the Wells Fargo cross-selling scandal 银行丑闻传染：富国银行交叉销售丑闻的证据
IF 5.5 2区 经济学
Global Finance Journal Pub Date : 2024-09-28 DOI: 10.1016/j.gfj.2024.101044
{"title":"Bank scandal contagion: Evidence from the Wells Fargo cross-selling scandal","authors":"","doi":"10.1016/j.gfj.2024.101044","DOIUrl":"10.1016/j.gfj.2024.101044","url":null,"abstract":"<div><div>In the event of a negative reputation shock or scandal, do consumers' anger and mistrust in the scandal-affected products spill over to seemingly unrelated lines of business that the scandal did not directly reach? Our paper looks into Wells Fargo's 2016 “cross-selling” scandal to test the negative sentiment contagion effect on its mortgage business. The study finds significant negative contagion effects, but also shows that Wells Fargo was more accommodating in handling complaints, paying compensation more frequently, and successfully lowering disputes towards zero. These actions are interpreted as Wells Fargo's damage control efforts to ‘Contain the Contagion’.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":null,"pages":null},"PeriodicalIF":5.5,"publicationDate":"2024-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142422739","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Are Mondays different? Evidence from initial public offerings 周一与众不同吗？首次公开募股的证据
IF 5.5 2区 经济学
Global Finance Journal Pub Date : 2024-09-26 DOI: 10.1016/j.gfj.2024.101043
{"title":"Are Mondays different? Evidence from initial public offerings","authors":"","doi":"10.1016/j.gfj.2024.101043","DOIUrl":"10.1016/j.gfj.2024.101043","url":null,"abstract":"<div><div>This paper investigates how and why initial public offerings (IPOs) issued on Mondays differ from those on other days. We provide evidence that Monday IPOs make a significantly larger number of filing price amendments during the road show and set offer prices that exceed the filing price range, resulting in higher positive offer price revisions. We also find that Monday IPOs receive less analyst coverage than other-day IPOs, despite their underwriting fees being the same and their total underwriter compensation being higher. Therefore, Monday IPOs are more likely to change lead underwriters in subsequent equity offerings and have a higher risk of delisting as aftermarket support and maintaining good relations with investment banks are critical for their long run survival. We also investigate why underwriters issue IPOs on Mondays. We suggest four possible explanations for Monday IPOs and find indirect evidence that supports the deliberate road show extension explanation.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":null,"pages":null},"PeriodicalIF":5.5,"publicationDate":"2024-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142357065","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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