International Journal of Finance & Economics最新文献_第4页

Noncausal AR-ARCH Model and Its Applications to Financial Time Series 非因果AR-ARCH模型及其在金融时间序列中的应用

IF 2.8 3区经济学

International Journal of Finance & Economics Pub Date : 2025-05-06 DOI: 10.1002/ijfe.3171

Yaosong Zhan, Shiqing Ling, Zhenya Liu, Shixuan Wang

{"title":"Noncausal AR-ARCH Model and Its Applications to Financial Time Series","authors":"Yaosong Zhan, Shiqing Ling, Zhenya Liu, Shixuan Wang","doi":"10.1002/ijfe.3171","DOIUrl":"https://doi.org/10.1002/ijfe.3171","url":null,"abstract":"<p>We extend the noncausal autoregressive models by introducing noncausality into the variance component, allowing the volatility to depend on future prices as well. We refer to this model as the noncausal AR-ARCH model, and it enables us to account for shocks arising from market agents who possess more information and engage in forward-looking trading behaviours, leading to a better fit for financial time series. In terms of parameter estimation, we develop a quasi-maximum likelihood estimation method and establish its asymptotic properties. Building on this, we propose three hypothesis testing statistics to determine whether the data exhibits a noncausal AR structure and whether the innovation term follows a noncausal ARCH model. The simulation results demonstrate the consistency of the parameter estimation as well as the good size control and high power of the hypothesis tests in detecting noncausal structures. In our empirical applications, we employ the proposed model in both stock markets and crude oil futures markets. Our empirical findings indicate that the variance is causal in the US stock market but noncausal in the Chinese stock market. Furthermore, we observe a noticeable distinction between Brent and WTI crude oil futures, as Brent exhibits noncausality in both its mean and variance, whereas WTI follows a purely causal process.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"31 1","pages":"1424-1443"},"PeriodicalIF":2.8,"publicationDate":"2025-05-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/ijfe.3171","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146007371","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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

Fiscal Adjustments and Structural Reforms in OECD Countries 经合组织国家的财政调整和结构改革

IF 2.8 3区经济学

International Journal of Finance & Economics Pub Date : 2025-05-02 DOI: 10.1002/ijfe.3176

Christos Chrysanthakopoulos, Christos Mavrogiannis, Athanasios Tagkalakis

引用次数: 0

Cross-Agency Spillover Effects of Bank Internal Regulation on Systemic Risk: The Moderating Role of FinTech 银行内部监管对系统性风险的跨机构溢出效应：金融科技的调节作用

IF 2.8 3区经济学

International Journal of Finance & Economics Pub Date : 2025-05-02 DOI: 10.1002/ijfe.3173

Yinghua Ren, Chuanyin Wang, Wanhai You, Yuzhou Liu

引用次数: 0

Structural Impact of the US Financial Stress on the Connectedness Between Asian Economies: Evidence From the Quantile Connectedness Approach 美国金融压力对亚洲经济体之间连通性的结构性影响：来自分位数连通性方法的证据

IF 2.8 3区经济学

International Journal of Finance & Economics Pub Date : 2025-05-01 DOI: 10.1002/ijfe.3161

Ashutosh Dash, Sangram Keshari Jena, Anirban Sengupta, Aviral Kumar Tiwari

{"title":"Structural Impact of the US Financial Stress on the Connectedness Between Asian Economies: Evidence From the Quantile Connectedness Approach","authors":"Ashutosh Dash, Sangram Keshari Jena, Anirban Sengupta, Aviral Kumar Tiwari","doi":"10.1002/ijfe.3161","DOIUrl":"https://doi.org/10.1002/ijfe.3161","url":null,"abstract":"<div>\u0000 \u0000 <p>This study investigates financial stress connectedness across diverse levels of stress using the novel quantile connectedness methodology between 10 Asian economies and the United States considering 15 years of data. We find that the size of connectedness increases due to the spillover of financial stress shock at both higher (right tail) and lower (left tail) quantiles than at the median. However, the impact of US financial stress on the regional connectedness of Asian countries is relatively larger at the median quantile than at the 5th and 95th quantiles. This impact is very marginal for European countries across the quantiles. Hong Kong and Singapore emerged as the major economies across the quantiles of financial stress shock spillover both in the regional and global systems. In the rolling window framework, while the total financial stress spillover indices vary in a small range, the net directional position of each country changes from transmitter to receiver of financial stress and vice versa throughout the study period in both regional and global systems. The major policy implication for the Asian countries is to bring regional orientation to their policies related to trade and capital flows.</p>\u0000 </div>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"31 1","pages":"674-704"},"PeriodicalIF":2.8,"publicationDate":"2025-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146002175","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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

Effects of Financial Development on Investments: New Evidence Considering Different Aspects of Financial Development 金融发展对投资的影响：考虑金融发展不同方面的新证据

IF 2.8 3区经济学

International Journal of Finance & Economics Pub Date : 2025-05-01 DOI: 10.1002/ijfe.3175

Gabriel Caldas Montes, Vinícius Oliveira

{"title":"Effects of Financial Development on Investments: New Evidence Considering Different Aspects of Financial Development","authors":"Gabriel Caldas Montes, Vinícius Oliveira","doi":"10.1002/ijfe.3175","DOIUrl":"https://doi.org/10.1002/ijfe.3175","url":null,"abstract":"<p>This paper provides new evidence and insights about the finance-investment nexus by assessing and comparing the impacts of different aspects of financial development on investment. The study uses data for 88 countries from 1996 to 2019, and the estimates are based on dynamic panel data methodology. Once the global financial crisis changed several structures, we also run regressions for the periods before and after the crisis to check whether the relationships change. Furthermore, to verify whether the results are not distorted by developed countries, the models are estimated for the full sample and for a sample of developing countries. The results reveal that higher levels of financial development are associated with higher levels of investment. In particular, the development of financial institutions depth and access to financial markets appears as the most important financial development variables for investments. The results also indicate that, after the global financial crisis, there was a change in the importance of the effects, increasing the impacts of financial development in terms of access to institutions and depth of institutions.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"31 1","pages":"905-935"},"PeriodicalIF":2.8,"publicationDate":"2025-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/ijfe.3175","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146007505","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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

Is Globalisation all Good? Asymmetric Analysis of the Roles of Globalisation on Poverty in Africa 全球化是好事吗？全球化对非洲贫困作用的不对称分析

IF 2.8 3区经济学

International Journal of Finance & Economics Pub Date : 2025-04-29 DOI: 10.1002/ijfe.3156

Segun Thompson Bolarinwa, Ibrahim Ayoade Adekunle, Mamdouh Abdulaziz Saleh Al-Faryan

{"title":"Is Globalisation all Good? Asymmetric Analysis of the Roles of Globalisation on Poverty in Africa","authors":"Segun Thompson Bolarinwa, Ibrahim Ayoade Adekunle, Mamdouh Abdulaziz Saleh Al-Faryan","doi":"10.1002/ijfe.3156","DOIUrl":"https://doi.org/10.1002/ijfe.3156","url":null,"abstract":"<div>\u0000 \u0000 <p>This study examines the asymmetric effect in the globalisation–poverty relationship in Africa from 1980 to 2020, focusing on low-income and middle-income countries. It investigates the roles of institutional quality and economic growth in this context. The research employs the Generalised Method of Moments (GMM), dynamic panel threshold analysis, and Method of Moments Quantile Regression (MM-QR). Findings indicate that in low-income African countries, globalisation is associated with poverty reduction, as shown by linear regression analysis. However, in middle-income countries, a threshold at 60% suggests that beyond this point, globalisation does not significantly reduce poverty. The MM-QR further confirms that globalisation's poverty-reducing effects are primarily seen around the median income level, rather than across the entire income spectrum. These results underscore the importance of considering income levels when evaluating globalisation's impact on poverty. Policymakers should note that the benefits of globalisation for poverty reduction vary with a country's income level. To maximise globalisation's poverty-reducing potential, economic growth should be promoted alongside it. This study highlights the need for context-specific approaches and policies to effectively harness globalisation's benefits for poverty reduction in Africa.</p>\u0000 </div>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"31 1","pages":"530-552"},"PeriodicalIF":2.8,"publicationDate":"2025-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146007629","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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

Directional Extreme Risk Spillovers Between Onshore and Offshore Renminbi Markets: Evidence From Financial Events 在岸和离岸人民币市场之间的定向极端风险溢出：来自金融事件的证据

IF 2.8 3区经济学

International Journal of Finance & Economics Pub Date : 2025-04-27 DOI: 10.1002/ijfe.3172

Yong Ma, Xiaojian Su, Chao Deng

{"title":"Directional Extreme Risk Spillovers Between Onshore and Offshore Renminbi Markets: Evidence From Financial Events","authors":"Yong Ma, Xiaojian Su, Chao Deng","doi":"10.1002/ijfe.3172","DOIUrl":"https://doi.org/10.1002/ijfe.3172","url":null,"abstract":"<div>\u0000 \u0000 <p>The frequent shocks arising from policy reforms, trade tensions and black swan events have significantly contributed to fluctuations in the foreign exchange (FX) markets. By employing the method of Granger causality in risk with multiple quantiles, this paper examines extreme risk spillovers between onshore and offshore Renminbi (RMB) FX markets from a directional perspective. The results indicate asymmetric spillover effects, with particular emphasis on the direction of appreciation risks. Additionally, we highlight that major financial events influence the direction of risk spillovers through information transmission mechanisms. For instance, the ‘811 reform’ amplifies offshore market spillovers, Sino–U.S. trade tensions enhance depreciation spillovers from the onshore market and the COVID-19 pandemic underscores the heightened significance of the extreme risk spillovers. Further mechanism and portfolio analyses confirm that both policy-driven and market-driven factors significantly impact extreme risk spillovers. Specifically, lower interest rates or an expanded money supply may trigger offshore appreciation risks, potentially serving as a hedge against onshore depreciation risks.</p>\u0000 </div>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"31 1","pages":"869-887"},"PeriodicalIF":2.8,"publicationDate":"2025-04-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146007712","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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

FinTech Advancement in the Banking Industry: Is It Driving Efficiency? 金融科技在银行业的进步：是否提高了效率？

IF 2.8 3区经济学

International Journal of Finance & Economics Pub Date : 2025-04-26 DOI: 10.1002/ijfe.3170

Radhika Goel, Smita Kashiramka

{"title":"FinTech Advancement in the Banking Industry: Is It Driving Efficiency?","authors":"Radhika Goel, Smita Kashiramka","doi":"10.1002/ijfe.3170","DOIUrl":"https://doi.org/10.1002/ijfe.3170","url":null,"abstract":"<div>\u0000 \u0000 <p>India's financial technology (FinTech) industry has experienced rapid growth in recent years. This has led to a greater emphasis on the connection between FinTech and cost efficiency. This research paper aims to investigate if banks with greater FinTech adoption exhibit greater cost efficiency and compare this Fintech influence on cost efficiency across various banks. To accomplish the research objectives, a novel Fintech index to measure FinTech innovation from both supply and demand perspectives is developed using data mining techniques and web crawler technology for Indian commercial banks. Further, to evaluate the relationship between Fintech and cost efficiency, efficiency scores are calculated using DEA (Data Envelopment Analysis) and the empirical analysis is conducted using a two-step system GMM (Generalised Method of Moments). The study reveals a positive association between Fintech development and cost efficiency. The higher the level of Fintech adoption, the greater the cost efficiency observed in banks. Additionally, the impact of FinTech on cost efficiency varies based on bank characteristics, with private sector banks experiencing a more substantial effect than Public Sector Banks (PSBs) and small banks benefiting more than large banks. This study pioneers the development of a Fintech index for scheduled commercial banks in India, offering valuable insights into the impact of FinTech on cost efficiency within emerging economies.</p>\u0000 </div>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"31 1","pages":"842-868"},"PeriodicalIF":2.8,"publicationDate":"2025-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146002557","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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

Relationship Between Pillars of Sustainability and Foreign Direct Investment Inflows: Evidence From Emerging Economies 可持续性支柱与外国直接投资流入的关系：来自新兴经济体的证据

IF 2.8 3区经济学

International Journal of Finance & Economics Pub Date : 2025-04-23 DOI: 10.1002/ijfe.3057

Tusharika Mahna, Sonali Jain, Surendra Singh Yadav

{"title":"Relationship Between Pillars of Sustainability and Foreign Direct Investment Inflows: Evidence From Emerging Economies","authors":"Tusharika Mahna, Sonali Jain, Surendra Singh Yadav","doi":"10.1002/ijfe.3057","DOIUrl":"https://doi.org/10.1002/ijfe.3057","url":null,"abstract":"<div>\u0000 \u0000 <p>The study highlights the sustainable determinants of Foreign Direct Investment (FDI) inflows that the host nations entail by boosting foreign trade with the rest of the world. We cumulate four pillars of sustainability (environmental, economic, governance, and social) and identify the influence each pillar has on FDI inflows. The study uses a two-step system and difference Generalised Method of Moments (GMM) to assess the dynamic panel data for the top 20 emerging nations specified by IMF from 2005 to 2019. The results exhibit that past year values of FDI inflows influence the current year values, and a significant relationship exists between sustainable determinants and FDI inflows arriving in emerging economies. The pollution haven hypothesis has also been observed by deploying linear and non-linear associations of carbon emissions. Through the findings, we conclude that the quality of FDI must improve for host nations to prosper along the other dimensions of sustainability. The results also suggest that host countries' MNEs and businesses adopt sustainable practices and innovative strategies to automate FDI towards the attainment of sustainable development goals (SDGs) by 2030. The implications will aid host economies' policymakers in reiterating the sustainable determinants of FDI and foreign investors in acknowledging the choice of the economy to invest in.</p>\u0000 </div>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 3","pages":"3044-3063"},"PeriodicalIF":2.8,"publicationDate":"2025-04-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144514877","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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 Good and Bad Volatility Transmission Mechanism: Moderating Role of Global Uncertainties 非对称好坏波动传导机制：全球不确定性的调节作用

IF 2.8 3区经济学

International Journal of Finance & Economics Pub Date : 2025-04-20 DOI: 10.1002/ijfe.3158

Umaid A. Sheikh, Mosab I. Tabash, David Roubaud, Emilios Galariotis, Khaled Guesmi

{"title":"Asymmetric Good and Bad Volatility Transmission Mechanism: Moderating Role of Global Uncertainties","authors":"Umaid A. Sheikh, Mosab I. Tabash, David Roubaud, Emilios Galariotis, Khaled Guesmi","doi":"10.1002/ijfe.3158","DOIUrl":"https://doi.org/10.1002/ijfe.3158","url":null,"abstract":"<div>\u0000 \u0000 <p>This research article represents the first attempt to quantify good and bad volatility interconnections among the top nine Islamic financial markets, which are classified based on their global share in Islamic finance banking assets by the World Economic Forum. The study employs a time- and frequency-based generalised VAR framework. Additionally, we explore the moderating effects of global financial stress, geopolitical risk, and commodity market shocks on both short-term and long-term good and bad volatility interconnections. The findings suggest that, on average, forecast error variances are more greatly influenced by bad volatility spillovers rather than good ones. In the short term, the equity markets in the UAE, Indonesia, Kuwait, and Qatar exhibit a higher propensity to transmit bad volatility shocks compared to good ones. In the long run, the financial markets in Indonesia, Malaysia, and Kuwait, both conventional and Islamic, contribute more to bad volatility spillovers than to good ones when forecasting volatility over a 10-period horizon for all other markets. Furthermore, in the short term, the financial markets in the UAE, Qatar, and Bahrain receive higher bad volatility shocks compared to good ones. However, in the long term, the financial markets in Pakistan, Indonesia, Malaysia, and Kuwait, both conventional and Islamic, are more susceptible to bad volatility spillovers. The findings also indicate that geopolitical risk has a negative moderating effect on overall, short-term, and long-term good volatility interconnections. Conversely, oil price uncertainty and financial stress have a positive moderating impact on overall, short-term, and long-term bad volatility interconnections.</p>\u0000 </div>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"31 1","pages":"584-619"},"PeriodicalIF":2.8,"publicationDate":"2025-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146007778","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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