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On modelling non-performing loans in bank efficiency analysis 论银行效率分析中的不良贷款建模
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2024-05-01 DOI: 10.1002/ijfe.2986
Giannis Karagiannis, Stavros Kourtzidis
{"title":"On modelling non-performing loans in bank efficiency analysis","authors":"Giannis Karagiannis,&nbsp;Stavros Kourtzidis","doi":"10.1002/ijfe.2986","DOIUrl":"10.1002/ijfe.2986","url":null,"abstract":"<p>This paper introduces a methodological framework for the examination of non-performing loans (NPLs) as reverse outputs under the extended strong disposability assumption, which does not require NPLs to be jointly produced with net loans, as it is implied when they are modelled as undesirable outputs. A directional distance function model with reverse outputs is used and is compared with the models that treat NPLs as an undesirable output under the weak disposability and the constrained weak disposability assumptions with uniform and non-uniform abatement factors. The model is applied at the case of European banks and for the sample to be representative the banks are chosen based on the European Banking Authority (EBA) stress test of 2021. The results indicate that the reverse output model have greater discriminatory power relative to all other models.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 2","pages":"1742-1757"},"PeriodicalIF":2.8,"publicationDate":"2024-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/ijfe.2986","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140827222","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
The S&P 500 sectoral indices responses to economic news sentiment 标准普尔 500 行业指数对经济新闻情绪的反应
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2024-05-01 DOI: 10.1002/ijfe.2989
Mohamed Arbi Madani
{"title":"The S&P 500 sectoral indices responses to economic news sentiment","authors":"Mohamed Arbi Madani","doi":"10.1002/ijfe.2989","DOIUrl":"10.1002/ijfe.2989","url":null,"abstract":"<p>This study explores the dynamic relationship between economic news sentiment and the US stock market using a non-linear empirical framework. The analysis focuses on both sectoral indices and the aggregate stock market index from November 2011 to November 2021. Using causality tests and a rolling window detrended cross-correlation coefficient, the study reveals several key findings. First, the causal effect of investor sentiment on sectoral returns varies over time, with each sector responding differently. Second, while no evidence of dependence exists for time scales less than 2 months, a positive relationship emerges for time scales greater than 6 months, except for the utilities sector, which is found to be negative. Third, the study shows that the relationships between all pairs of variables are time-dependent. Finally, economic news sentiment might have a varying impact on market inefficiency over different periods, making it challenging to predict market behaviour based on sentiment data.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 2","pages":"2042-2060"},"PeriodicalIF":2.8,"publicationDate":"2024-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140827259","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
Does e-commerce infrastructure increase enterprise productivity? Evidence from China's e-commerce demonstration city 电子商务基础设施能提高企业生产力吗？来自中国电子商务示范城市的证据
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2024-05-01 DOI: 10.1002/ijfe.2994
Xiong Zhou, Pengcheng Jiang
{"title":"Does e-commerce infrastructure increase enterprise productivity? Evidence from China's e-commerce demonstration city","authors":"Xiong Zhou,&nbsp;Pengcheng Jiang","doi":"10.1002/ijfe.2994","DOIUrl":"10.1002/ijfe.2994","url":null,"abstract":"<p>This study leverages the National E-commerce Demonstration City Pilot (NEDC) as a quasi-natural experiment in e-commerce infrastructure development. Utilising panel data from non-financial firms listed on China's A-share market from 2005 to 2022, we pioneered employ a multi-period difference-in-differences (DID) approach to explore the direct and indirect effects of e-commerce infrastructure on total factor productivity (TFP). Our findings reveal that: (1) The NEDC initiative significantly enhances firm-level TFP. This result remains robust after addressing endogeneity issues through IV-2SLS and propensity score matching and difference in differences methods and undergoing a series of robustness tests. (2) Channels tests indicate that the NEDC policy indirectly boosts firm TFP primarily by fostering technological innovation and augmenting human capital. (3) Heterogeneity analysis demonstrates that the NEDC policy effectively stimulates TFP growth in state-owned enterprises, firms with high equity concentration, manufacturing and low-tech industry firms. The policy's impact is more pronounced in cities with high administrative levels, in the eastern and central cities, and in cities with superior traditional infrastructure. The empirical evidence provided by this study not only supports the role of e-commerce infrastructure in driving economic growth but also offers valuable insights for bridging the income disparity between developing and developed nations, and mitigating income inequality.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 2","pages":"1758-1784"},"PeriodicalIF":2.8,"publicationDate":"2024-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141058307","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
Are financial sanctions truly “smart”? Evidence from the perspective of cross-border capital flows 金融制裁真的 "聪明 "吗？从跨境资本流动角度看证据
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2024-04-29 DOI: 10.1002/ijfe.2982
Yang Liu, Wei Lang, Aihua Wang
{"title":"Are financial sanctions truly “smart”? Evidence from the perspective of cross-border capital flows","authors":"Yang Liu,&nbsp;Wei Lang,&nbsp;Aihua Wang","doi":"10.1002/ijfe.2982","DOIUrl":"10.1002/ijfe.2982","url":null,"abstract":"<p>Few studies are found to examine the impact of financial sanctions on cross-border capital flows. Using a panel data from 48 countries from 2000 to 2019, this paper aims to examine the impact of financial sanctions on the volatility of cross-border capital flows. We employ difference-in-differences (DID) and spatial DID (SDID) models, showing the result that financial sanctions lead to an exacerbation of the volatility of cross-border capital inflows and outflows in the targeted country, with the channel of negative impact on the financial sector in the targeted country. The subsample regressions indicate heterogeneous impacts of financial sanctions depending on economic structure and capital account openness. Additionally, the result of the SDID model shows that financial sanctions cause cross-border transmission of financial risks, and that the spatial spillover effect of financial sanctions will also have negative economic impacts on other countries in addition to the target country. The significance of this study lies in emphasizing that international financial sanctions affect the economy of target countries through cross-border capital flows. Meanwhile, we confirm that financial sanctions pose a certain threat to global financial stability.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 2","pages":"1671-1688"},"PeriodicalIF":2.8,"publicationDate":"2024-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140827215","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
How underinvestment reduces underpricing 投资不足如何减少定价不足
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2024-04-29 DOI: 10.1002/ijfe.2987
Marco Bade, Hans Hirth
{"title":"How underinvestment reduces underpricing","authors":"Marco Bade,&nbsp;Hans Hirth","doi":"10.1002/ijfe.2987","DOIUrl":"10.1002/ijfe.2987","url":null,"abstract":"<p>We develop an economic model demonstrating that firms can benefit from committing to underinvestment. The model considers a firm's IPO, secondary-market trading and subsequent investment decision. We analyse the conditions under which underinvestment can paradoxically be advantageous despite reducing the fundamental value of the firm. The benefit of committing to underinvest post-IPO is expressed in reduced underpricing and thus a higher valuation during the IPO. We furthermore show that the firm may commit to an inefficient investment policy by appointing a manager with biased expectations or risk aversion. Our findings imply that, under certain conditions, firms are better off relying on biased managers when their initial outlook is poor, but risk-averse managers when their initial outlook is good.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 2","pages":"1689-1706"},"PeriodicalIF":2.8,"publicationDate":"2024-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140827302","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
Inequality and poverty in Spain: Insights from a regional convergence analysis 西班牙的不平等与贫困：地区趋同分析的启示
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2024-04-29 DOI: 10.1002/ijfe.2992
Nicholas Apergis, Francisco J. Delgado, Claudia Suárez-Arbesú
{"title":"Inequality and poverty in Spain: Insights from a regional convergence analysis","authors":"Nicholas Apergis,&nbsp;Francisco J. Delgado,&nbsp;Claudia Suárez-Arbesú","doi":"10.1002/ijfe.2992","DOIUrl":"10.1002/ijfe.2992","url":null,"abstract":"<p>We study the dynamics of inequality and poverty across 17 Spanish regions during 2008–2021. Through a club convergence approach, the results show noticeable differences in both indicators, income inequality (S80/S20) and poverty rate: two clubs are endogenously derived from inequality, while the analysis of the poverty was conducted in four clubs. In addition, the results are complemented with the outcomes for the GDP per capita, where more heterogeneity is detected, with three clubs, but with six divergent regions. The ordered logit model allows to identify the driving factors of such clubs. Finally, policy implications are discussed: the findings recommend the need for specific public policies to address regional differences in terms of economic and social growth also considering the trajectories—convergence or divergence—in inequality and poverty and their determining factors.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 2","pages":"1707-1723"},"PeriodicalIF":2.8,"publicationDate":"2024-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/ijfe.2992","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140827216","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
Climate risks and the REITs market 气候风险与房地产投资信托市场
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2024-04-28 DOI: 10.1002/ijfe.2983
Afees A. Salisu, Ahamuefula E. Ogbonna, Xuan Vinh Vo
{"title":"Climate risks and the REITs market","authors":"Afees A. Salisu,&nbsp;Ahamuefula E. Ogbonna,&nbsp;Xuan Vinh Vo","doi":"10.1002/ijfe.2983","DOIUrl":"10.1002/ijfe.2983","url":null,"abstract":"<p>This study presents results supporting the need to price climate risks in real estate investment trusts. We approach this objective by conducting some empirical analyses for global, regional, and [US] sectoral REITs for want of wider coverage while we also consider variants of climate risks involving physical and transition risks. We first establish that climate concerns amplify the volatility of REIT returns. While our results are split for sectoral REITs, we find that both physical and transition risks magnify the volatility in the regional and global REITs market. However, when we consider the US sectoral REITs, we find contrasting evidence between the two variants of climate risks. While the transition risks seem to raise the REITs market volatility, perhaps owing to improved trading in the market as signalled by some level commitments towards addressing climate change, the physical risks associated with damages due to climate change tend to lower the REITs market volatility due to lower trading. Consequently, we formulate a framework that enables a profit-maximizing investor to observe climate risks when making investment decisions in the REITs market, and we further show that doing so provides higher economic gains than ignoring it. This outcome has implications for investors looking for the best hedging strategy against climate-related risks, especially as the world intensifies efforts towards de-carbonization.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 2","pages":"1632-1648"},"PeriodicalIF":2.8,"publicationDate":"2024-04-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140810790","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
Trade and flow of value in global value chains 全球价值链中的贸易和价值流动
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2024-04-25 DOI: 10.1002/ijfe.2980
Peijie Wang, Zhiyuan Liu
{"title":"Trade and flow of value in global value chains","authors":"Peijie Wang,&nbsp;Zhiyuan Liu","doi":"10.1002/ijfe.2980","DOIUrl":"10.1002/ijfe.2980","url":null,"abstract":"<p>This paper examines flow of value that goes with trade flows in global value chains (GVCs) by a residence-based domestic value-added trade measure. Accordingly, the paper puts forward a concept of residence-based domestic value-added exports from activity domains and develops a corresponding trade measure. Export activities of G20 economies are scrutinized empirically, with which sizeable differences are observed between figures in the proposed residence-based domestic value-added trade measure and the conventional domestic value-added trade measure. This calls for new measures, to which the present study responds. It has been demonstrated that the developed G20 gains persistently in residence-based domestic value-added exports, increasing from the conventional domestic value-added exports measure. Whereas trade performance of the developing G20 deteriorates with considerably reduced surpluses in the new measure. Considerable additional value flows out from developing to developed economies in GVCs. Developed economies continue to gain from international trade as a matter of fact.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 2","pages":"1610-1631"},"PeriodicalIF":2.8,"publicationDate":"2024-04-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/ijfe.2980","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140806358","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
Do creditors care about greening in corporations? Do contingencies matter? 债权人关心企业的绿化吗？突发事件重要吗？
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2024-04-24 DOI: 10.1002/ijfe.2985
Abdullah S. Karaman, Ali Meftah Gerged, Ali Uyar
{"title":"Do creditors care about greening in corporations? Do contingencies matter?","authors":"Abdullah S. Karaman,&nbsp;Ali Meftah Gerged,&nbsp;Ali Uyar","doi":"10.1002/ijfe.2985","DOIUrl":"10.1002/ijfe.2985","url":null,"abstract":"<p>This study assesses whether creditors consider ecological practices (i.e., resource usage, emissions, and eco-innovation) when setting interest rates during loan decisions and whether firm-level contingencies play a role in this relationship. Based on a sample of 38,127 firm-year observations of non-financial firms operating worldwide between 2004 and 2019, our evidence indicates that eco-friendly practices have no significant direct effect on the cost of debt. Thus, we consider other theoretically expected channels that moderate this link. Notably, profitability and board gender diversity significantly moderate the relationship between eco-friendly practices and the cost of debt. Further investigation reveals interesting associations between low and high governance systems, low and high financial development environments, code law versus common law systems, and polluting versus non-polluting sectors. We suggest theoretical and practical implications by which firms can reap greater benefits from environmental engagement.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 2","pages":"1583-1609"},"PeriodicalIF":2.8,"publicationDate":"2024-04-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/ijfe.2985","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140662955","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
Margin buying activity and stock market trading in China: Is there a connection? 中国的保证金购买活动与股市交易：两者之间有联系吗？
IF 2.8 3区 经济学
International Journal of Finance & Economics Pub Date : 2024-04-17 DOI: 10.1002/ijfe.2971
Hui Hong, Shitong Wu, Cheng Zhang
{"title":"Margin buying activity and stock market trading in China: Is there a connection?","authors":"Hui Hong,&nbsp;Shitong Wu,&nbsp;Cheng Zhang","doi":"10.1002/ijfe.2971","DOIUrl":"10.1002/ijfe.2971","url":null,"abstract":"<p>This paper examines the dynamic linkage between margin buying activity and stock market trading in China. Built upon a multivariate DCC-GJRGARCH model and the spillover index method, the results highlight a high dynamic conditional correlation between margin buying activity and stock market trading which shows apparent time-varying features. Furthermore, there is a two-way risk-spillover relationship, with stock market trading playing a dominant role in risk transmission. More importantly, the level of risk contagion actually varies over time due to certain large external shocks. Margin buying activity tends to be a mean risk-spillover receiver most time, whereas it acts as both a volatility risk-spillover transmitter and a receiver over the entire sample period. The analysis thus implies that margin buying activity does have a close interrelationship with stock market trading in China, which has important implications for both regulators and investors.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":"30 2","pages":"1564-1582"},"PeriodicalIF":2.8,"publicationDate":"2024-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140692909","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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