发布求助
文献互助 智能选刊 最新文献

International Journal of Finance & Economics最新文献

筛选
英文 中文
Can green bonds be a safe haven for equity investors? 绿色债券能否成为股票投资者的避风港？
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2024-06-25 DOI: 10.1002/ijfe.3015
Thomas Flavin, Lisa Sheenan
{"title":"Can green bonds be a safe haven for equity investors?","authors":"Thomas Flavin,&nbsp;Lisa Sheenan","doi":"10.1002/ijfe.3015","DOIUrl":"10.1002/ijfe.3015","url":null,"abstract":"<p>We investigate if green bonds can act as a safe-haven asset for equity investors by analysing their relationship with stocks and other alternative safe havens, namely sovereign bonds and gold. Safe havens are defined as assets that exhibit zero or negative comovement with equity during a stock market downturn. We analyse the interrelationships between the asset classes using the Marginal Expected Shortfall of Acharya et al. (<i>The Review of Financial Studies</i>, 30(1), pp. 2–47, 2017) and by comparing the regime-dependent GIRFs from a Markov-switching VAR model. Our results suggest that green bonds are not safe haven assets for equity investors but rather show positive comovement during periods of market stress. The sovereign bond is the most consistent in delivering diversification benefits across market conditions, while gold acts as a safe-haven asset during all regimes except during rare periods of extreme turbulence.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 3","pages":"2270-2283"},"PeriodicalIF":2.8,"publicationDate":"2024-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141506367","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
Banking market consolidation in Asia: Evidence from acquirers, targets, and rivals 亚洲银行业市场整合：来自收购方、目标和竞争对手的证据
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2024-06-23 DOI: 10.1002/ijfe.3012
Sascha Kolaric, Florian Kiesel, Dirk Schiereck
{"title":"Banking market consolidation in Asia: Evidence from acquirers, targets, and rivals","authors":"Sascha Kolaric,&nbsp;Florian Kiesel,&nbsp;Dirk Schiereck","doi":"10.1002/ijfe.3012","DOIUrl":"10.1002/ijfe.3012","url":null,"abstract":"<p>We analyse the financial sector consolidation in Asia by using a comprehensive sample of bank M&amp;As from 1995 to 2021. Our results show that M&amp;A announcements by Asian domestic acquirers are associated with significant positive stock price returns to both acquirers and their rivals. In contrast, cross-border acquirers and their rivals experience negative but insignificant returns, while targets and their rivals record gains, regardless whether it is a domestic or cross-border transaction. Further analyses reveal that domestic acquirers obtaining larger relative increases in their market share benefit the most, indicating that market power considerations are the primary driver behind acquirers' positive returns. For cross-border acquirers, neither cultural differences nor regulatory arbitrage considerations can explain return patterns surrounding M&amp;A announcements.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 3","pages":"2215-2239"},"PeriodicalIF":2.8,"publicationDate":"2024-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/ijfe.3012","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141506368","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
COVID-19 and insurance industry: Initial impact of the pandemic based on time-frequency methods COVID-19与保险业：基于时频方法的大流行初步影响
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2024-06-18 DOI: 10.1002/ijfe.3013
Zeeshan Fareed, Najaf Iqbal, Shaoyong Zhang, Livia Madureira
{"title":"COVID-19 and insurance industry: Initial impact of the pandemic based on time-frequency methods","authors":"Zeeshan Fareed,&nbsp;Najaf Iqbal,&nbsp;Shaoyong Zhang,&nbsp;Livia Madureira","doi":"10.1002/ijfe.3013","DOIUrl":"https://doi.org/10.1002/ijfe.3013","url":null,"abstract":"<p>This study uses a wavelet-based framework to investigate the co-movement nexus between COVID-19 and insurance industry returns in emerging and developed markets. Analysis of the daily observations from 22 January 2020 to 14 September 2020 reveals that insurance returns responded strongly and negatively right after the onset of the global COVID-19 outbreak but asymmetrically later. Additionally, the devastation brought to the insurance industry is comparatively more severe but short-lived for emerging markets. The wavelet-based Granger causality and correlation confirm the robustness of our results. Important implications for investors, industry managers, and policymakers are provided in light of the findings in the aftermath of COVID-19.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 3","pages":"2240-2253"},"PeriodicalIF":2.8,"publicationDate":"2024-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144514787","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 scientific tale of the nexus between oil prices, macroeconomic uncertainty and Pakistan's exports to its major trading partners: Insights from advanced methods 石油价格、宏观经济不确定性和巴基斯坦对其主要贸易伙伴出口之间关系的科学故事：先进方法的启示
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2024-06-04 DOI: 10.1002/ijfe.3009
Muhammad Zubair Chishti
{"title":"The scientific tale of the nexus between oil prices, macroeconomic uncertainty and Pakistan's exports to its major trading partners: Insights from advanced methods","authors":"Muhammad Zubair Chishti","doi":"10.1002/ijfe.3009","DOIUrl":"10.1002/ijfe.3009","url":null,"abstract":"<p>The recent study aims to analyze the nonlinear dynamic effects of oil price shocks and macroeconomic uncertainty on exports. To achieve this, the study utilizes monthly data from July 2003 to December 2020 on oil prices and macroeconomic uncertainty, examining their impact on Pakistan's exports to its major trading partners. To ensure detailed and robust findings, the study employs various advanced econometric tools, including quantile unit root, cointegration, Granger causality tests, and quantile-on-quantile regression (QQR) and wavelet quantile correlation (WQC) techniques. The QQR and WQC estimates reveal diverse and nonlinear effects of oil price shocks and macroeconomic uncertainty on exports, reflecting the complexity of the relationship. While oil price shocks (OP) predominantly hinder exports in most cases, a significant and positive association between OP and exports is also observed. Similarly, macroeconomic uncertainty generally exhibits a significantly adverse influence on exports, but positive impacts are also evident. Furthermore, the quantile Granger causality test confirms the presence of a bidirectional causal relationship between the selected series. Based on the results mentioned above, the study argues that the effects of oil price shocks and economic uncertainty are nonlinear, diverse, and complex. As a result, the study suggests implementing phase-wise policy recommendations to address these complexities.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 3","pages":"2130-2162"},"PeriodicalIF":2.8,"publicationDate":"2024-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141388095","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
Do responsible practices lead to higher firm productivity? Evidence from Europe 负责任的做法会提高企业生产力吗？欧洲的证据
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2024-06-03 DOI: 10.1002/ijfe.3011
Stefano Piserà, Luca Gandullia, Claudia Girardone
{"title":"Do responsible practices lead to higher firm productivity? Evidence from Europe","authors":"Stefano Piserà,&nbsp;Luca Gandullia,&nbsp;Claudia Girardone","doi":"10.1002/ijfe.3011","DOIUrl":"10.1002/ijfe.3011","url":null,"abstract":"<p>This study examines the impact of corporate social responsibility (CSR) in its environmental, social and governance (ESG) dimensions on firm productivity. We analyze a data set comprising 448 non-financial firms operating in 15 European countries during the period 2002–2018 and find compelling evidence indicating that both the overall ESG scores and their individual sub-pillars, are positively associated with total factor productivity (TFP). To ensure the robustness of our findings, we employ multiple analytical approaches to address potential endogeneity and selection biases. Our evidence demonstrates that the link between ESG and TFP link becomes more pronounced during economic slowdowns, particularly in the aftermath of the financial crisis. Furthermore, our investigation reveals that firms' environmental performance plays a pivotal role in driving this relationship. To validate this outcome, we employ a quasi-natural experiment, focused on the adoption of the international climate change treaty, the 2015 ‘Paris Agreement’. Overall, our results offer valuable insights for policymakers and regulators and confirm that involvement in sustainability practices within the non-financial sector not only yields societal benefits but also bolsters firm-level productivity.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 3","pages":"2186-2214"},"PeriodicalIF":2.8,"publicationDate":"2024-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141388844","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
Sovereign bonds' risk-based heterogeneity 主权债券的风险异质性
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2024-05-30 DOI: 10.1002/ijfe.3007
Dimitris A. Georgoutsos, Petros M. Migiakis
{"title":"Sovereign bonds' risk-based heterogeneity","authors":"Dimitris A. Georgoutsos,&nbsp;Petros M. Migiakis","doi":"10.1002/ijfe.3007","DOIUrl":"10.1002/ijfe.3007","url":null,"abstract":"<p>Are sovereign risk premia subject to heterogeneous effects from their drivers, associated with the risk class each sovereign bond belongs to? In the paper at hand, effects on sovereign bond risk premia stemming from macroeconomic, fiscal, and volatility factors, are examined by considering the classification of sovereign riskiness. Panel data estimation techniques are used, for 30 countries, with data in quarterly frequency for the period 2001Q1 to 2019Q4. Sovereign spreads are found to be subject to heterogeneous effects associated with their credit ratings; spreads on sovereign bonds considered low-risk increase with higher growth rates and inflation, while spreads on highly risky bonds decrease with higher growth rates and are more sensitive to idiosyncratic and global volatility. Primary fiscal surpluses indeed lower spreads but cannot counterbalance the effects of volatility episodes and the prospects for low growth. Our results provide support for countercyclical fiscal policies, suggesting that spreads can be expected to be reduced by primary surpluses, under the condition that the economy expands and market volatility is low. Our main findings are robust to various alternative setups, samples, and control variables such as central banks' asset purchases.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 3","pages":"2108-2129"},"PeriodicalIF":2.8,"publicationDate":"2024-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141189809","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
Growth potential of machine learning in credit risk predicting of farmers in the industry 4.0 era 工业 4.0 时代机器学习在农户信用风险预测中的发展潜力
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2024-05-30 DOI: 10.1002/ijfe.3010
Nana Chai, Mohammad Zoynul Abedin, Xiaoling Wang, Baofeng Shi
{"title":"Growth potential of machine learning in credit risk predicting of farmers in the industry 4.0 era","authors":"Nana Chai,&nbsp;Mohammad Zoynul Abedin,&nbsp;Xiaoling Wang,&nbsp;Baofeng Shi","doi":"10.1002/ijfe.3010","DOIUrl":"10.1002/ijfe.3010","url":null,"abstract":"<p>This paper aims to design a model framework for farmer credit risk assessment based on machine learning. It reduces the degree of credit risk misjudgement caused by the weak correlation between evaluation indicators and default status and imbalanced data. Based on the empirical analysis of 8624 farmers' data from a commercial bank in China, the average rank of the OPSO-GINI-FS model designed from the feature dimension is 1.29, which is higher than that of the OPSO-GINI-IS model designed from the indicator dimension (1.57). This means that our model has a higher default risk identification ability than the traditional one. And the META-SAMPLER method of processing imbalanced data is also promising. Moreover, we found the machine learning designed in this paper has a higher ability to identify farmers' loan default than the traditional econometric methods. These findings establish the potential of machine learning in credit risk identification from a micro perspective.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 3","pages":"2163-2185"},"PeriodicalIF":2.8,"publicationDate":"2024-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141189992","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
A note on the determinants of non-fungible tokens returns 关于不可流通代币收益决定因素的说明
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2024-05-30 DOI: 10.1002/ijfe.3008
Theodore Panagiotidis, Georgios Papapanagiotou
{"title":"A note on the determinants of non-fungible tokens returns","authors":"Theodore Panagiotidis,&nbsp;Georgios Papapanagiotou","doi":"10.1002/ijfe.3008","DOIUrl":"10.1002/ijfe.3008","url":null,"abstract":"<p>We aim to identify the determinants of non-fungible tokens (NFTs) returns. The 10 most popular NFTs based on their price, trading volume, and market capitalisation are examined. Twenty-three potential drivers of the returns of each NFT are considered. We employ a Bayesian LASSO model which takes into account stochastic volatility and leverage effect. The results indicate that NFTs returns are primarily driven by volatility and ethereum returns. We find a weak connection between NFTs returns and conventional assets, such as stock, oil, and gold markets.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 3","pages":"3201-3211"},"PeriodicalIF":2.8,"publicationDate":"2024-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/ijfe.3008","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141189811","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
Sustainable investing in emerging markets: Evidence from the Sustainable Stock Exchanges initiative 新兴市场的可持续投资：可持续证券交易所倡议的证据
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2024-05-27 DOI: 10.1002/ijfe.3004
Yuwen Dai
{"title":"Sustainable investing in emerging markets: Evidence from the Sustainable Stock Exchanges initiative","authors":"Yuwen Dai","doi":"10.1002/ijfe.3004","DOIUrl":"10.1002/ijfe.3004","url":null,"abstract":"<p>In the rapidly growing world of sustainable finance, emerging markets saw a recent surge in their market share, which underscored the increasing investor appetite for environmental, social, and governance (ESG) products. In the literature on sustainable investing, most studies have focused on developed markets, and there are relatively few studies that have concentrated on emerging markets. To fill this research gap, we study sustainable investing in emerging markets, by examining the comparative performance of the sustainability indices in the partner exchanges of the Sustainable Stock Exchanges (SSE) initiative from emerging markets. In particular, we investigate three key issues that are of concern to most investors: (i) can the investment strategy of investing together in the themes of sustainability and emerging markets outperform the global sustainability benchmark? (ii) can this strategy outperform the global benchmark for emerging markets? (iii) can it improve portfolio diversification? Overall, our time series analysis and Monte Carlo simulation reveal the heterogeneity in sustainable investment performance across the world, and suggest the potential of obtaining superior risk-adjusted returns in certain regions while benefiting from portfolio diversification.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 2","pages":"2001-2015"},"PeriodicalIF":2.8,"publicationDate":"2024-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141172763","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 role of market discipline and macroprudential policies in achieving bank stability 市场纪律和宏观审慎政策在实现银行稳定方面的作用
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2024-05-27 DOI: 10.1002/ijfe.3005
Tiago F. A. Matos, João C. A. Teixeira, Tiago M. Dutra
{"title":"The role of market discipline and macroprudential policies in achieving bank stability","authors":"Tiago F. A. Matos,&nbsp;João C. A. Teixeira,&nbsp;Tiago M. Dutra","doi":"10.1002/ijfe.3005","DOIUrl":"10.1002/ijfe.3005","url":null,"abstract":"<p>This study examines whether forcing banks to hold subordinated debt and enforcing market discipline could enhance the effectiveness of capital macroprudential policies in reducing banks' risk and contribute to bank stability. Using the system generalised method of moments and based on a sample of 322 banks across 18 countries during the period 2006–2020, we find that a higher level of subordinated debt leads banks to avoid moral-hazard behaviours and engage in risk shifting when adapting to a tighter macroprudential framework, which in turn leads to a greater effectiveness of these policies. Furthermore, as robustness tests, we show that this effect is stronger in advanced economies and in the United States of America. These results also stand using a different proxy for banks' risk.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 3","pages":"2085-2107"},"PeriodicalIF":2.8,"publicationDate":"2024-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141189991","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
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：604180095
Book学术官方微信