Quarterly Review of Economics and Finance最新文献_第10页

Sukuk liquidity and creditworthiness during COVID-19 COVID-19 期间伊斯兰债券的流动性和信用度

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-01-10 DOI: 10.1016/j.qref.2024.01.001

Mariya Gubareva , Tatiana Sokolova , Zaghum Umar , Xuan Vinh Vo

引用次数: 0

Systemic risk and financial networks 系统风险和金融网络

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-01-03 DOI: 10.1016/j.qref.2023.12.012

Bingqing Li , Xiaoyuan Zhang

引用次数: 0

Pricing and mispricing of accounting fundamentals: Global evidence 会计基础知识的定价和错误定价：全球证据

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2023-12-28 DOI: 10.1016/j.qref.2023.12.011

Siegfried Köstlmeier

{"title":"Pricing and mispricing of accounting fundamentals: Global evidence","authors":"Siegfried Köstlmeier","doi":"10.1016/j.qref.2023.12.011","DOIUrl":"10.1016/j.qref.2023.12.011","url":null,"abstract":"<div><p><span>This paper extends the fundamentals-based valuation model in Nichols et al. (2017) to global, developed equity markets. The model is able to explain, on average, 81% of the cross-sectional share price variation among global stocks. To be applicable among international markets, actual cash-flow streams instead of clean surplus accounting figures are used to reflect the different importance of dividends and share repurchases around the world. Firms identified as undervalued outperform overvalued firms by 0.62% p.m. after controlling for size, book-to-market, operating profitability, investment, and momentum. This premium is further not explained by lottery-like stock preferences (MAX, idiosyncratic volatility, skewness), mispricing related variables (FSCORE, </span><span><math><mi>Δ</mi></math></span>XFIN), or stock issuances. In support of a mispricing related explanation, we detect a significant post publication return decline in the easily exploitable long portfolio leg comprising undervalued stocks. Together with our analysis on investor sentiment, portfolio transitions, and arbitrage asymmetry, we provide evidence that deviations of the share price from the model’s estimated value indicate actual mispricing and according returns are unlikely to be a compensation for risk exposure.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.4,"publicationDate":"2023-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139067728","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 dynamics of bonds, commodities and bitcoin based on NARDL approach 基于 NARDL 方法的债券、商品和比特币的动态变化

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2023-12-23 DOI: 10.1016/j.qref.2023.12.013

Ahmed Bouteska , M. Kabir Hassan , Mamunur Rashid , Mehmet Hüseyin Bilgin

{"title":"The dynamics of bonds, commodities and bitcoin based on NARDL approach","authors":"Ahmed Bouteska , M. Kabir Hassan , Mamunur Rashid , Mehmet Hüseyin Bilgin","doi":"10.1016/j.qref.2023.12.013","DOIUrl":"10.1016/j.qref.2023.12.013","url":null,"abstract":"<div><p>Asset market dynamic interconnectedness poses significant challenges to investors, fund managers, and policymakers, particularly in periods of prolonged uncertainty and economic crisis. This study investigates the asymmetric connection between the Bitcoin, gold, and oil markets and the bond markets in the United States, Australia, China, and the European Union. The study employed nonlinear autoregressive distributed lag (NARDL) on data ranging from January 1, 2017, to January 26, 2023, that accounted for the COVID-19 pandemic period and the Russian-Ukraine war. The results indicate that a fall in the Bitcoin price leads to a rise in bond prices, most profoundly in the European Union, where a 1% rise in the Bitcoin price leads to a 0.032% fall in bond prices. Similarly, the oil price index indicated a negative asymmetric shock in bond prices, with the most profound rise in the US bond market. The gold market index exhibited a positive connection to the bond market (US bond market falls by 0.476%) as the market overreacts to a fall in prices rather than a rise, and often in the long run rather than the short run, except for Bitcoin. The Bitcoin and oil markets act as strong safe-havens, while gold plays the role of a weak hedge during the pandemic and the Russia-Ukraine war. While our results are consistent over multiplier impact and stability tests, fund managers may find these significant due to the involvement of Russia and Ukraine as the two largest producers and exporters of several important commodities and energy. We discuss practical implications of our findings.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.4,"publicationDate":"2023-12-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139188661","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

Commodity futures markets under stress and stress-free periods: Further insights from a quantile connectedness approach 压力和无压力时期的商品期货市场：量子关联方法的进一步启示

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2023-12-21 DOI: 10.1016/j.qref.2023.12.005

Amal Abricha , Amine Ben Amar , Makram Bellalah

{"title":"Commodity futures markets under stress and stress-free periods: Further insights from a quantile connectedness approach","authors":"Amal Abricha , Amine Ben Amar , Makram Bellalah","doi":"10.1016/j.qref.2023.12.005","DOIUrl":"10.1016/j.qref.2023.12.005","url":null,"abstract":"<div><p>Most of the academic literature on connectedness focuses on stock markets and commodity spot markets. However, there is still much to say about the connectedness among commodity futures markets at different expiration dates, as this part of the literature is as yet small and inconclusive. This paper builds on the existing literature by focusing on connectedness among a set of ten commodity futures markets (including energy, agriculture, and metal sectors) at different maturities, the global equity market and three different sources of uncertainty (financial, economic, and geopolitical) over the period 2000–2022. In doing so, we estimate a combination of complementary connectedness metrics based on the work of Diebold and Yilmaz (2012), which enables measuring average, and the works of Chatziantoniou et al. (2021) and Ando et al. (2022) which enable measuring connectedness under different market circumstances (i.e., low, median and high quantiles). The analysis provides evidence of the variable aspect of connectedness across commodities and uncertainty measures assessed across different quantiles. The average directional connectedness network suggests that commodity futures markets within the same category are significantly sensitive to each-other. However, interdependencies between commodities belonging to different categories are relatively lower. The average total connectedness across quantiles provides evidence of (i) a clear symmetric pattern at the extreme lower and upper quantiles, and (ii) an increase in connectedness with the magnitude of extreme negative and positive shocks. The time-varying analysis indicates that connectedness increases at all quantiles during periods of high market stress, but with relatively higher intensity at the lower quantiles. Additionally, the structure and magnitude of connectedness at the extremes – upper and lower quantiles – differs from the pattern of connectedness at the median quantiles.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.4,"publicationDate":"2023-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138824318","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 international currency spillovers in shaping exchange rate dynamics in Latin America 国际货币溢出效应在影响拉丁美洲汇率动态中的作用

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2023-12-21 DOI: 10.1016/j.qref.2023.12.003

Nikolaos Kyriazis , Shaen Corbet

引用次数: 0

Does Islamic investing modify portfolio performance? Time-varying optimization strategies for conventional and Shariah energy-ESG-utilities portfolio 伊斯兰投资是否会改变投资组合的绩效？传统和伊斯兰能源-环境、社会和能源-公用事业投资组合的时变优化策略

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2023-12-19 DOI: 10.1016/j.qref.2023.12.010

Mahdi Ghaemi Asl , Muhammad Mahdi Rashidi , Hamid Raza Tavakkoli , Hichem Rezgui

{"title":"Does Islamic investing modify portfolio performance? Time-varying optimization strategies for conventional and Shariah energy-ESG-utilities portfolio","authors":"Mahdi Ghaemi Asl , Muhammad Mahdi Rashidi , Hamid Raza Tavakkoli , Hichem Rezgui","doi":"10.1016/j.qref.2023.12.010","DOIUrl":"10.1016/j.qref.2023.12.010","url":null,"abstract":"<div><p>This paper aims to assess the performance of Islamic portfolios vis-à-vis their conventional counterparts across two distinct periods: the pre-COVID-19 era and the COVID-19 era. Departing from prior studies, this study makes a novel contribution by employing an extensive array of 18 portfolio optimization techniques to construct optimal portfolios for conventional stock indices encompassing energy, utilities, and environmental, social, and governance (ESG) dimensions, as well as their Islamic equivalents. Performance comparisons are made utilizing three risk-adjusted performance measures, namely the Sharpe ratio, the Omega ratio, and the Sortino ratio. Our findings reveal that Shariah portfolios outperform conventional portfolios across all performance measures and risk-aversion levels when the most effective optimization methods are employed, both during pre-crisis and crisis periods. Additionally, our analysis highlights certain methods, namely EWMA, GM, DCC, and SHC, which produce portfolios exhibiting superior performance relative to alternative methods, as assessed by risk-adjusted metrics. Furthermore, Islamic portfolios demonstrate higher average returns compared to their conventional counterparts. Notably, incorporating ESG-related stocks into energy and utilities assets significantly enhances average returns, underscoring the potential of ESG investments. Collectively, our findings have noteworthy implications for investors, as they emphasize the role of Islamic stocks as effective diversifiers, yielding favorable resource allocation opportunities during times of crisis as well as stability. However, investors should exercise caution in selecting the optimal portfolio optimization method, as substantial performance disparities exist among different approaches.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.4,"publicationDate":"2023-12-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138715200","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

Centralization of trade agreements network and global value chain participation 贸易协定网络的集中化和全球价值链的参与

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2023-12-19 DOI: 10.1016/j.qref.2023.12.008

Zhaobin Fan , Ying Zhou , Sajid Anwar

{"title":"Centralization of trade agreements network and global value chain participation","authors":"Zhaobin Fan , Ying Zhou , Sajid Anwar","doi":"10.1016/j.qref.2023.12.008","DOIUrl":"10.1016/j.qref.2023.12.008","url":null,"abstract":"<div><p>We argue that a country’s position in preferential trade agreements (PTAs) network affects its global value chain (GVC) participation level through two opposite effects: the resource allocation effect, which promotes the GVC participation level, and the market substitution effect, which decreases it. Using data from 43 countries over the 2000–2014 period, we find that the overall centrality of a country's position in the ego-centered PTAs network is positively associated with its GVC participation with other member countries, suggesting that the resource allocation affect dominates the market substitution effect. However, upon decomposing the PTAs network into private and common networks, we find that the centralization of a country's position in the private PTAs network has a negative effect on its GVC participation. In contrast, the centralization of a country's position in the common PTAs network has a positive effect on its GVC participation. Furthermore, the centralization of the private network weakens the effect of individual deep PTAs on bilateral GVC participation, while the centralization of the common network strengthens the effect of individual deep PTAs on bilateral GVC participation. A series of tests confirms the robustness of our main findings.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.4,"publicationDate":"2023-12-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138821154","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

Dynamic spillovers in higher moments and jumps across ETFs and economic and financial uncertainty factors in the context of successive shocks 连续冲击背景下 ETF 和经济及金融不确定性因素的高时刻和跳跃的动态溢出效应

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2023-12-18 DOI: 10.1016/j.qref.2023.12.009

Mohammed Alomari , Refk Selmi , Walid Mensi , Hee-Un Ko , Sang Hoon Kang

{"title":"Dynamic spillovers in higher moments and jumps across ETFs and economic and financial uncertainty factors in the context of successive shocks","authors":"Mohammed Alomari , Refk Selmi , Walid Mensi , Hee-Un Ko , Sang Hoon Kang","doi":"10.1016/j.qref.2023.12.009","DOIUrl":"10.1016/j.qref.2023.12.009","url":null,"abstract":"<div><p><span>Hedging is a particularly important tool in the Exchange Traded Fund (ETF) markets where market makers seek the best ways to mitigate the uncertainty of their exposures. This study relies on high frequency data to assess the spillover effects<span> among ten US sector ETFs and various economic and financial uncertainty indexes based on realized volatility, realized higher moments as well as jumps under a relatively new spillover framework. Next, a time-varying parameter vector autoregression (TVP-VAR) model is used to examine the dynamic connectedness among ETFs and uncertainty factors volatilities while avoiding the sensitivity of spillover results to the choice of the rolling window. Our results showcase higher total connectedness between the different uncertainty indexes and ETFs, though with varying sensitivities. Notably, skewness and </span></span>kurtosis<span> can spread from one market to another, especially during times of market turbulence, reflecting the significant spillovers in higher-order moments. Interestingly, the market’s 30-day forward looking expectations of US stock market volatility (VIX) has stronger effect on the US sector equity ETFs than the expected 30-day volatility of returns on oil and gold. This analysis emphasizes the implications and contributions of assessing the spillover in higher-order moments covering volatility, skewness, and kurtosis to portfolio hedging and financial risk management. Overall, the results are of considerable practical interest for economic and market agents who are keen to understand market integration and systemic risk propagation to infer asymmetric or fat tail risk related to extreme or downside/upside risks.</span></p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.4,"publicationDate":"2023-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138715185","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 credit unions affect the profitability of Brazilian commercial banks? 信用社如何影响巴西商业银行的盈利能力？

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2023-12-16 DOI: 10.1016/j.qref.2023.12.006

Alexandre Schwinden Garcia , André Lucas Moreira Gonzaga

引用次数: 0