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Russia-Ukraine war and G7 debt markets: Evidence from public sentiment towards economic sanctions during the conflict 俄罗斯-乌克兰战争与 G7 债务市场：冲突期间公众对经济制裁的情绪证据
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2023-09-19 DOI: 10.1002/ijfe.2887
Zunaidah Sulong, Mohammad Abdullah, Emmanuel Joel Aikins Abakah, David Adeabah, Simplice Asongu
{"title":"Russia-Ukraine war and G7 debt markets: Evidence from public sentiment towards economic sanctions during the conflict","authors":"Zunaidah Sulong,&nbsp;Mohammad Abdullah,&nbsp;Emmanuel Joel Aikins Abakah,&nbsp;David Adeabah,&nbsp;Simplice Asongu","doi":"10.1002/ijfe.2887","DOIUrl":"10.1002/ijfe.2887","url":null,"abstract":"<p>War-related expectations cause changes to investors' risks and returns preferences. In this study, we examine the implications of war and sanctions sentiment for the G7 countries' debt markets during the Russia-Ukraine war. We use behavioural indicators across social media, news media, and internet attention to reflect the public sentiment from 1st January 2022 to 20th April 2023. We apply the quantile-on-quantile regression (QQR) and rolling window wavelet correlation (RWWC) methods. The quantile-on-quantile regression results show heterogenous impact on fixed income securities. Specifically, extreme public sentiment has a negative impact on G7 fixed income securities return. The wavelets correlation result shows dynamic correlation pattern among public sentiment and fixed income securities. There is a negative relationship between public sentiment and G7 fixed income securities. The correlation is time-varying and highly event dependent. Our additional analysis using corporate bond data indicates the robustness of our findings. Furthermore, the contagion analysis shows public sentiment significantly influence G7 fixed income securities spillover. Our findings can be of great significance while framing strategies for asset allocation, portfolio performance and risk hedging.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"29 4","pages":"4569-4589"},"PeriodicalIF":2.8,"publicationDate":"2023-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/ijfe.2887","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135014596","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
Bank competition and corporate risk: Firm-level evidence from BRIC economies 银行竞争与企业风险：来自 "金砖四国 "经济体的公司层面证据
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2023-09-14 DOI: 10.1002/ijfe.2889
Habib Hussain Khan
{"title":"Bank competition and corporate risk: Firm-level evidence from BRIC economies","authors":"Habib Hussain Khan","doi":"10.1002/ijfe.2889","DOIUrl":"10.1002/ijfe.2889","url":null,"abstract":"<p>The study analyzes the potential influence of bank competition on corporate risk-taking. The study also analyzes the interactive role of firms' dependence on external finance in this framework. We gauge corporate risk through idiosyncratic risk (market-based measure) and earnings volatility (accounting-based measure). Analysing firm-level data for Brazil, Russia, India, and China (BRIC) from 1999 to 2018 through a ‘two-step dynamic panel system GMM,’ we discover that more (less) competitive (concentrated) banking sectors assist in reducing corporate risk taking. The risk-reduction effect is specifically stronger for financially dependent and small-sized firms. The findings remain unchanged when different proxies of financial dependency, banking sector competitiveness, and risk are employed. Further analysis of the ‘transmission mechanism’—the channel by which the extent of banking sector competitiveness influences corporate risk—uncovers that the competitive banking sectors increase firms' access to finance and allow them to operate with lesser financing obstacles.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"29 4","pages":"4540-4568"},"PeriodicalIF":2.8,"publicationDate":"2023-09-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134970856","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
Cultural proximity and cross-border banking flows 文化接近与跨境银行流动
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2023-09-14 DOI: 10.1002/ijfe.2886
Doan Ngoc Thang
{"title":"Cultural proximity and cross-border banking flows","authors":"Doan Ngoc Thang","doi":"10.1002/ijfe.2886","DOIUrl":"10.1002/ijfe.2886","url":null,"abstract":"<p>This paper disentangles the impacts of cultural proximity on cross-border banking flows, using large country-pair data from 1996 to 2019. On applying the gravity model with the Poisson Pseudo Maximum Likelihood estimator, our main findings show that cultural proximity is both a push and pull factor, which robustly anticipates increased outflows (cross-border lending) and inflows (cross-border borrowing). The impacts of cultural proximity are transmitted throughout the information asymmetry and cost reduction channels. These impacts become pronounced for geographically proximate country pairs and hold for a different measure of cultural goods taxonomy and for controlling the endogeneity problem.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"29 4","pages":"4520-4539"},"PeriodicalIF":2.8,"publicationDate":"2023-09-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134971013","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
Behavioural implications of risk–return associations based on the adjusted thermal optimal path method: Large versus small banks 基于调整热最优路径法的风险收益关联的行为影响：大型银行与小型银行
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2023-09-13 DOI: 10.1002/ijfe.2890
Yousra Trichilli, Hana Kharrat, Mouna Boujelbène
{"title":"Behavioural implications of risk–return associations based on the adjusted thermal optimal path method: Large versus small banks","authors":"Yousra Trichilli,&nbsp;Hana Kharrat,&nbsp;Mouna Boujelbène","doi":"10.1002/ijfe.2890","DOIUrl":"10.1002/ijfe.2890","url":null,"abstract":"<p>This article investigates the impact of bank size and business model on bank risk-taking within the framework of the prospect theory. To fulfil this objective, we use the adjusted thermal optimal path model. The results suggest that conventional banks adopt the same risk-taking behaviour for performance measures, regardless of their size. However, the size mainly influences the attitudes of managers towards Islamic banks. On the other hand, small Islamic banks, whether under- or over-performing, take excessive risks. This behaviour is mainly explained by loss aversion. However, large Islamic banks that situated above the target are risk-averse, since they adopt defensive behaviour. The results reveal that for risk measures and for both small and large banks, a bank's business model does not affect managers' attitude to risk. Therefore, small (large) banks adopt excessive risk-taking (risk-averse) behaviour and an offensive (defensive) strategy. The study has important implications for GCC banking regulators, supervisors, and market participants. Thus, our findings imply that understanding the impact of the bank size and business model on the risk-taking behaviour of Islamic and conventional banks can help them reduce their risk and mitigate moral hazard and regulatory arbitrage behaviour.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"29 4","pages":"4499-4519"},"PeriodicalIF":2.8,"publicationDate":"2023-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135783524","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
Alternative measures for the global financial cycle: Do they make a difference? 全球金融周期的替代措施：它们有区别吗？
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2023-09-13 DOI: 10.1002/ijfe.2884
Xin Tian, Jan P. A. M. Jacobs, Jakob de Haan
{"title":"Alternative measures for the global financial cycle: Do they make a difference?","authors":"Xin Tian,&nbsp;Jan P. A. M. Jacobs,&nbsp;Jakob de Haan","doi":"10.1002/ijfe.2884","DOIUrl":"10.1002/ijfe.2884","url":null,"abstract":"<p>We developed several measures to analyze the global financial cycle employing dynamic factor models and data for 25 advanced and emerging countries spanning 1980 to 2019. These measures were assessed using the similarity and synchronicity metrics proposed by Mink et al. (<i>Oxford Economic Papers 64, 217–236, 2012</i>). The findings indicate a strong similarity and synchronization of global cycles in asset prices and capital flows, particularly evident during crisis episodes. Furthermore, we observe significant co-movement between our financial cycle measures and two literature-based measures that utilize top-down and bottom-up approaches. However, the VIX index shows a lower level of co-movement with our global financial cycle measures.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"29 4","pages":"4483-4498"},"PeriodicalIF":2.8,"publicationDate":"2023-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/ijfe.2884","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135783517","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
Does D&O insurance mislead creditors' lending decisions? Evidence from corporate debt maturity structure D&O 保险会误导债权人的借贷决策吗？来自公司债务期限结构的证据
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2023-09-12 DOI: 10.1002/ijfe.2885
Qingsong Ruan, Yuetian Jin, Dayong Lv, Xiaokun Wei
{"title":"Does D&O insurance mislead creditors' lending decisions? Evidence from corporate debt maturity structure","authors":"Qingsong Ruan,&nbsp;Yuetian Jin,&nbsp;Dayong Lv,&nbsp;Xiaokun Wei","doi":"10.1002/ijfe.2885","DOIUrl":"10.1002/ijfe.2885","url":null,"abstract":"<p>This study investigates whether directors' and officers' liability insurance (D&amp;O insurance) misleads creditors' lending decisions by examining its effect on corporate debt maturity structure. We find that purchasing D&amp;O insurance leads to increased corporate debt maturity, and this effect is more pronounced for firms with weaker corporate governance. These results suggest that creditors may view D&amp;O insurance as an external monitoring tool that helps improve corporate governance. However, D&amp;O insurance induces higher firm risk, but cannot help decrease agency costs or improve firm performance, that is, it results in more severe managerial opportunism. Our findings suggest that D&amp;O insurance, to some extent, misguides creditors' lending decisions.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"29 4","pages":"4462-4482"},"PeriodicalIF":2.8,"publicationDate":"2023-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135830963","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
Assessing Macroeconomic Determinants of Banks’ Efficiency in the West African Monetary Zone 评估西非货币区银行效率的宏观经济决定因素
IF 2.9 3区 经济学
International Journal of Finance & Economics Pub Date : 2023-09-08 DOI: 10.47941/ijf.1426
Awosusi Charles Temitope, Damola Ayemidotun
{"title":"Assessing Macroeconomic Determinants of Banks’ Efficiency in the West African Monetary Zone","authors":"Awosusi Charles Temitope, Damola Ayemidotun","doi":"10.47941/ijf.1426","DOIUrl":"https://doi.org/10.47941/ijf.1426","url":null,"abstract":"Purpose: This study assesses how six selected macroeconomic variables, namely, size of the banking system, liquid liability of the system, interest rate, inflation, gross domestic product and exchange rate affect banking system efficiency in the West African Monetary Zone countries group. Spanning a twenty-nine-year period (1992 – 2020). \u0000Methodology: the study used fixed and random effect models of panel least squares to analyze the relationship between these macroeconomic variables and bank efficiency of the countries as a group. Further, the study analyzed the country-by-country net effect of the selected macroeconomic variables on bank efficiency. \u0000Findings: We find that when examined as a group, only the positive effect of exchange rate on bank efficiency is significant. We also find reveal that the macroeconomic variables have negative effect on bank efficiency in Gambia, Ghana and Sierra Leone while they positively affected bank efficiency in Guinea, Liberia and Nigeria. Finally, we find that interest rate and inflation have causal relationship with bank efficiency in the countries as a group. \u0000Unique Contribution to Theory, Practice and Policy (Recommendations: We advocate that bankers in the WAMZ critically appraise their size, liquidity and interest rates vis-à-vis their efficiency goal. We also recommend that the governments of Gambia, Ghana and Sierra Leone formulate bank friendly policies especially with respect to interest rates and inflation variables that have causal relationship with bank","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"28 1","pages":""},"PeriodicalIF":2.9,"publicationDate":"2023-09-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76031008","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
Oil price shocks and financial stress: Who is the influencer? 石油价格冲击和金融压力：谁是影响因素？
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2023-09-07 DOI: 10.1002/ijfe.2883
Aktham Maghyereh, Salem Adel Ziadat
{"title":"Oil price shocks and financial stress: Who is the influencer?","authors":"Aktham Maghyereh,&nbsp;Salem Adel Ziadat","doi":"10.1002/ijfe.2883","DOIUrl":"10.1002/ijfe.2883","url":null,"abstract":"<p>We contribute to the literature by being the first to examine the direction of causality between the different sources of oil price shocks and financial stress in the global financial markets (OFR), US, other advanced economies (OAE), and emerging markets (EM). Specifically, we aim to empirically answer a key question: Do global oil market shocks drive financial stress, or does financial stress spur oil market shocks? Using a two-stage methodology based on the structural VAR (SVAR) and entropy-based analysis over the period January 2000–October 2022, the results show that the links between financial stress and oil shocks are contingent on the type of shock. Within this, oil supply shock is mildly connected to financial stress; oil demand shock is vulnerable to innovation from financial stress; and oil-specific demand shock has a noticeable time-variable element wherein the shock prevails at the beginning of the sample and financial stress dominates the transmission at the end of the sample.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"29 4","pages":"4443-4461"},"PeriodicalIF":2.8,"publicationDate":"2023-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129805842","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
The myth of business cycle sector rotation 商业周期部门轮换的神话
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2023-09-06 DOI: 10.1002/ijfe.2882
Alexander Molchanov, Jeffrey Stangl
{"title":"The myth of business cycle sector rotation","authors":"Alexander Molchanov,&nbsp;Jeffrey Stangl","doi":"10.1002/ijfe.2882","DOIUrl":"10.1002/ijfe.2882","url":null,"abstract":"<p>Conventional wisdom suggests that sectors/industries provide systematic performance and that business cycle rotation strategies generate excess market performance. However, we find no evidence of systematic sector performance where popular belief anticipates it will occur. At best, conventional sector rotation generates modest outperformance, which quickly diminishes after allowing for transaction costs and incorrectly timing the business cycle. The results are robust to alternative sector and business cycle definitions. We find that relaxing sector rotation assumptions and letting any industry excess return predict future returns of other industries results in predictability not significantly different than what would be expected by random chance.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"29 4","pages":"4419-4442"},"PeriodicalIF":2.8,"publicationDate":"2023-09-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/ijfe.2882","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130726764","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
Implications of bank competition, financial stability, and gender gap on access to finance: Evidence from Sub-Saharan Africa 银行竞争、金融稳定性和性别差距对获得融资的影响：撒哈拉以南非洲的证据
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2023-09-05 DOI: 10.1002/ijfe.2869
Bijoy Rakshit, Samaresh Bardhan
{"title":"Implications of bank competition, financial stability, and gender gap on access to finance: Evidence from Sub-Saharan Africa","authors":"Bijoy Rakshit,&nbsp;Samaresh Bardhan","doi":"10.1002/ijfe.2869","DOIUrl":"10.1002/ijfe.2869","url":null,"abstract":"<p>Whether bank competition promotes access to finance is highly debated in economic literature and policy circles. Amidst this debate, this paper investigates the implications of bank competition, financial stability, and gender gap on access to finance for 40 Sub-Saharan African countries using 12,504 firm-level observations from the World Bank Enterprise Survey. In addition to structural measures, competition has been measured by three non-structural measures (Lerner index, Boone indicator, and Panzar-Rosse H-statistic). Results obtained through the probit model and probit model with sample selection (PSS) suggest that a higher degree of bank competition positively affects firm's credit availability in the Sub-Saharan African region. Results also indicate that firms owned by female entrepreneurs are more likely to report greater difficulties in obtaining formal finance. The findings suggest that policymakers and other stakeholders should direct policy actions that promote competition in the credit market by reducing the cost of credit.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"29 4","pages":"4394-4418"},"PeriodicalIF":2.8,"publicationDate":"2023-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123959036","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
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