International Journal of Finance & Economics最新文献

{"title":"The influence of non-financial enterprises' financialization on total factor productivity of enterprises: Promotion or inhibition?","authors":"Yanwei Lyu,&nbsp;Jinning Zhang,&nbsp;Xinnian Qing,&nbsp;Yangyang Bai","doi":"10.1002/ijfe.2912","DOIUrl":"10.1002/ijfe.2912","url":null,"abstract":"<p>In recent years, the increasing trend of financialization of non-financial enterprises and the improvement of total factor productivity (TFP) have attracted extensive attention. The research sample for this study covers non-financial firms listed on the Shanghai and Shenzhen stock exchanges from 2008 to 2020. Then an econometric regression model is built to examine the impact of financialization of non-financial enterprises on enterprises' TFP. The mediation effect model is used to investigate the mechanisms of non-financial enterprises' financialization (NFEF) on TFP. The heterogeneity in investment efficiency, property rights and political affiliation is further discussed. The findings show that the NFEF has a considerable negative influence on enterprises' TFP, which still stands after endogenous treatment and a series of robustness tests. Moreover, NFEF significantly inhibits TFP by crowding out R&amp;D investment and significantly promotes TFP by alleviating financing restrictions. Both the ‘crowding-out effect’ and ‘reservoir effect’ of financialization of non-financial enterprises are verified, and the former is greater. The influence of NFEF on TFP has the heterogeneity in investment efficiency and political affiliation, but the heterogeneity in property rights is insignificant.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 1","pages":"172-189"},"PeriodicalIF":2.8,"publicationDate":"2023-11-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138511344","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}

{"title":"Language and private debt renegotiation","authors":"Christophe J. Godlewski","doi":"10.1002/ijfe.2907","DOIUrl":"10.1002/ijfe.2907","url":null,"abstract":"<p>We study how language affects private debt renegotiation. We predict that stronger future time reference (FTR) languages alter the importance of renegotiation risk by lowering the perceived value of loan renegotiation. We test this hypothesis on a sample of 6500 loans issued to European firms between 1999 and 2017. We find that the use of a stronger FTR language decreases the likelihood of renegotiation and the number of renegotiation rounds. These findings are robust to several FTR proxies, various specifications including loan, borrower, and country-level variables, and potential mitigation effects from specific loan, country, or time effects. They suggest that linguistic structure influences the renegotiation process of private debt contracts.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 1","pages":"134-171"},"PeriodicalIF":2.8,"publicationDate":"2023-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/ijfe.2907","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138511343","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}

{"title":"Banks, financial markets, and income inequality","authors":"Yousef Makhlouf,&nbsp;Neil M. Kellard,&nbsp;Dmitri V. Vinogradov","doi":"10.1002/ijfe.2910","DOIUrl":"10.1002/ijfe.2910","url":null,"abstract":"<p>While financial development is often found to raise income inequality, it remains unclear whether the composition of the financial system makes a difference. In our sample of 99 countries over the period 1975–2020, increased activity of banks relative to markets in the provision of financial services is robustly associated with less inequality in the developing world yet with more inequality in developed economies. Accounting for redistribution systems does not alter this finding; banking sector concentration amplifies the effects. Results suggest that banks work at the extensive margin at earlier stages of economic development yet shift to the intensive margin at higher levels of development, where they increasingly serve the interests of the rich. Higher market power enables banks to better pursue their objectives at each of the margins.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 1","pages":"117-133"},"PeriodicalIF":2.8,"publicationDate":"2023-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/ijfe.2910","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136351593","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}

{"title":"Does democracy matter in banking performance? Exploring the linkage between democracy, economic freedom and banking performance in the European Union member states","authors":"Adela Socol,&nbsp;Iulia Cristina Iuga","doi":"10.1002/ijfe.2911","DOIUrl":"10.1002/ijfe.2911","url":null,"abstract":"<p>Literature on the effects of socio-political factors and the quality of political-economic institutions on banking performance is scarce and mixed. To contribute to this literature, this study analyzes whether democracy and economic freedom affect the banking sector in European Union member countries. We provide empirical evidence of the influence of democracy and economic freedom on banking performance using a sample of 27 countries from 2001 to 2020, and accounting-based return on assets (ROA) and return on equity (ROE) as performance measures. A dynamic model (system GMM) was used to address issues such as heteroscedasticity, serial correlation, and endogeneity. These findings indicate that democracy is positively associated with banking performance, whereas economic freedom negatively affects it in the sample countries. Additionally, this study adds to the growing literature on the relationship between control variables (macroeconomic determinants, bank-specific factors, or a country's legislative regime) and banking performance. This study is practically valuable for managers, investors, stakeholders, policymakers, and academicians.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 1","pages":"86-116"},"PeriodicalIF":2.8,"publicationDate":"2023-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/ijfe.2911","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135186073","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}

{"title":"Mandatory CSR disclosure, institutional ownership and firm value: Evidence from China","authors":"Syed Zulfiqar Ali Shah,&nbsp;Saeed Akbar,&nbsp;Xiaoyun Zhu","doi":"10.1002/ijfe.2908","DOIUrl":"10.1002/ijfe.2908","url":null,"abstract":"<p>This study aims to contribute to the relevant accounting, corporate governance, and corporate social responsibility (CSR) literature by examining the value relevance of mandatory CSR disclosures in China. Using a difference-in-differences (DID) research design and a sample based on propensity score matching (PSM) over the period from 2003 to 2020, our findings suggest that mandatory CSR disclosures are negatively associated with firm' values. We also find that firms with a high level of institutional ownership and leverage experience a relatively lower drop in firms' values as a result of the mandatory CSR disclosures. These findings remain robust to alternative sampling design, use of market to book value as an alternative measure of firms' market-based performance, and a parallel test to validate our DID analysis. Our findings have useful implications for managers, regulators, policy makers and other stakeholders.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 1","pages":"71-85"},"PeriodicalIF":2.8,"publicationDate":"2023-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/ijfe.2908","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135392755","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}

{"title":"Do institutional quality and its threshold matter in the sensitivity of the renewable energy transition to financial development? New empirical perspectives","authors":"Clement Olalekan Olaniyi,&nbsp;Mamdouh Abdulaziz Saleh Al-Faryan,&nbsp;Eyitayo Oyewunmi Ogbaro","doi":"10.1002/ijfe.2900","DOIUrl":"10.1002/ijfe.2900","url":null,"abstract":"<p>The transition to renewable energy is critical for environmental sustainability, consistent with sustainable development goals (SDGs) 7, 8, 11, 12, and 13 of the United Nations Development Programme (UNDP). Scholars have identified financial development and institutional quality as significant factors determining the renewable energy transition in developing countries. This study opines that the efficiency of the financial system in supporting and providing the substantial financial implications that a switch to renewable energy necessitates depends on the quality of the institutional framework. Weak institutions in developing countries produce loopholes and inherent flaws in the financial system that facilitate corruption and opportunism, ultimately promoting dirty energy usage and technology at the expense of renewable energy. This process suggests that the interaction between financial development and institutions can either accelerate or impede the transition to renewable energy, depending on an economy's institutional architecture. Considering Africa's enormous renewable energy resources, previous research has overlooked the implications of the interplay between institutional quality and financial development in spurring Africa's transition to renewable energy. Thus, this study looks at the role of institutions in moderating the relationship between financial development and renewable energy in Africa from 1990 to 2019, using first- and second-generation estimators to capture econometrics' pitfalls such as endogeneity, cross-sectional dependence, and heterogeneity inherent in the panel dataset. This study departs from previous research in that it uses a dynamic panel threshold to determine the threshold of institutions beyond which financial development is stimulated to spur Africa's transition to renewable energy. The findings show that institutions create loopholes that allow rent-seeking, opportunism, and sharp practices in the African financial system. These inherent flaws divert financial resources to support dirty energy and undermine the financial sector's ability to support a renewable energy transition on the continent. Also, the findings from the threshold of institutions affirm that African countries operate predominantly below the threshold of institutions, over which institutions enable financial development to expedite the continent's transition to renewable energy. The study suggests that institutional quality is essential in the relationship between financial development and Africa's shift to renewable energy. The findings' policy implications are discussed and outlined.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 1","pages":"5-43"},"PeriodicalIF":2.8,"publicationDate":"2023-11-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135636674","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}

{"title":"Behavioural explanations of Expectile VaR forecasting and dynamic hedging strategies for downside risk during the COVID-19 pandemic: Insights from financial markets","authors":"Yousra Trichilli,&nbsp;Sahbi Gaadane,&nbsp;Mouna Boujelbène Abbes,&nbsp;Afif Masmoudi","doi":"10.1002/ijfe.2902","DOIUrl":"10.1002/ijfe.2902","url":null,"abstract":"<p>In this paper, we investigate the influence of confirmation bias on Expectile Value at Risk (EVaR) forecasting among fundamentalist, optimistic, and pessimistic investors in cryptocurrency, commodity, and stock markets before and during the COVID-19 pandemic. Utilizing the DCC-range GARCH model, we also explore the conditional minimum downside risk hedge ratios. Our findings demonstrate that confirmation bias leads to excessive EVaR for financial market returns, regardless of the period being before or during COVID-19. Moreover, fundamentalists' expectations in all markets remain constant, while without confirmation bias, optimists' and pessimists' expectations tend to converge to zero over time but diverge significantly during turbulent periods. When confirmation bias is present, the average distance between these expectations widens. Analysing the hedge ratio results, with or without confirmation bias, also unveils the conditional minimum downside risk hedge ratios. These ratios indicate the optimal proportions for hedging downside risk in each financial market during different periods. We find that the conditional minimum downside risk hedge ratios are generally lower (higher) during the pre-COVID-19 (COVID-19) period, implying that hedging costs are higher during the COVID-19 period. These insightful findings offer valuable insights for traders and regulators in identifying and understanding the risk conditions of cryptocurrency, commodity, and stock markets. Additionally, the analysis of conditional minimum downside risk hedge ratios provides investors with essential information on how to strategically position their portfolios to mitigate and manage risk during both tranquil and turbulent market conditions, with and without confirmation bias.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 1","pages":"44-70"},"PeriodicalIF":2.8,"publicationDate":"2023-11-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135634400","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}

{"title":"Attracting institutional investments to emerging markets: The case of Turkiye","authors":"S. Burcu Avci","doi":"10.1002/ijfe.2909","DOIUrl":"10.1002/ijfe.2909","url":null,"abstract":"<p>Understanding institutional investors' investment criteria in emerging markets is essential because they typically make large investments without control rights or protection of the rule of law. This study undertakes an investment criteria investigation of institutional investors in Turkiye. The sample covers real and financial sector companies to investigate sectoral differences in Borsa Istanbul-listed firms for 2010–2021. Using a panel data approach, we show that the presence of growth options, generous payout policy, attractive firm valuation, and quality of the external governance mechanisms are important factors in attracting institutional investors by real sector firms. Only a large firm size and the quality of the external governance mechanisms arise as important factors for financial sector firms. Moreover, institutional holdings positively impact the percentage shares of institutional investors during crisis periods among real sector firms, whereas they do not affect financial sector firms. Real-sector and financial-sector firms can use our findings to increase institutional ownership. Our results have important implications for institutional investors, individual investors, and market regulators to demand critical corporate governance practices.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"29 4","pages":"4902-4931"},"PeriodicalIF":2.8,"publicationDate":"2023-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/ijfe.2909","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135973848","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}

{"title":"Dependency and causal relationship between ‘Bitcoin’ and financial asset classes: A Bayesian network approach","authors":"Mourad Mroua,&nbsp;Nada Souissi,&nbsp;Mrabet Donia","doi":"10.1002/ijfe.2895","DOIUrl":"10.1002/ijfe.2895","url":null,"abstract":"<p>This study employs the Bayesian Networks (BN) and the wavelet coherence approaches to invest the relationship between Bitcoin volatility and financial asset classes (MSCI world equity index, S&amp;P Goldman Sachs Commodity Index [GSCI], US index and Investment Grade Corporate Bond Index ETF [PIMCO]) using daily data for the period from August 2011 to October 2021. The results show that the causal relationship between Bitcoin and other financial assets varies depending on the market states. During the low volatility periods, Bitcoin has a stronger impact on the GSCI, while during the stability periods, it has a direct effect on the US index and the MSCI world index. In contrast, during high volatility periods, Bitcoin has a direct impact on both the GSCI and PIMCO indices. The key findings enabled us to provide implications for US investors to promote asset allocation and risk management covering both Bitcoin and traditional financial markets. The results suggest that policymakers should watch Botcoin closely to preserve financial stability.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"29 4","pages":"4888-4901"},"PeriodicalIF":2.8,"publicationDate":"2023-10-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136068387","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}

{"title":"Foreign exchange hedging using regime-switching models: The case of pound sterling","authors":"Taehyun Lee,&nbsp;Ioannis C. Moutzouris,&nbsp;Nikos C. Papapostolou,&nbsp;Mahmoud Fatouh","doi":"10.1002/ijfe.2893","DOIUrl":"10.1002/ijfe.2893","url":null,"abstract":"<p>We develop a four-state regime-switching model for optimal foreign exchange (FX) hedging using forward contracts. The states correspond to four distinct market conditions, each defined by the direction and magnitude of deviation of the prevailing FX spot rate from its long-term trends. The model's performance is evaluated for five currencies against the pound sterling for various horizons. Our examination compares the hedging outcomes of the proposed model to those of other commonly employed hedging methods. The empirical results suggest that our model demonstrates the highest level of risk reduction for the US dollar, euro, Japanese yen and Turkish lira and the second-best performance for the Indian rupee. The risk reduction is significantly higher for lira compared with the other approaches, implying that the proposed model might be able to provide much more effective hedging for highly volatile currencies. The improved performance of the model can be attributed to the adjustability of the estimation horizon for the optimal hedge ratio based on the prevailing market conditions. This, in turn, allows it to better capture fat-tail properties that are frequently observed in FX returns. Our findings suggest that FX investors tend to use short-term memory during low market conditions (relative to trend) and long-term memory in high ones.   The results would be also useful to build a better understanding of how investor behaviour depends on market conditions and mitigate the adverse behavioural implications of short-term memory, such as panic.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"29 4","pages":"4813-4835"},"PeriodicalIF":2.8,"publicationDate":"2023-10-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/ijfe.2893","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134907004","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}