Quarterly Review of Economics and Finance最新文献_第7页

The forward premium anomaly and the currency carry trade hypothesis 远期溢价异常与货币套利交易假说

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-04-02 DOI: 10.1016/j.qref.2024.03.013

Nikolaos Elias, Dimitris Smyrnakis, Elias Tzavalis

引用次数: 0

Does soft shareholder activism hold hard consequences? 软股东激进主义会带来硬后果吗？

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-03-23 DOI: 10.1016/j.qref.2024.03.009

Linda Kallis , Shaen Corbet

{"title":"Does soft shareholder activism hold hard consequences?","authors":"Linda Kallis , Shaen Corbet","doi":"10.1016/j.qref.2024.03.009","DOIUrl":"10.1016/j.qref.2024.03.009","url":null,"abstract":"<div><p>This study investigates the impact of soft shareholder activism, as reported in media narratives, on stock market performance using an EGARCH methodology. Focusing on US-listed firms, we analyse how news articles discussing shareholder activism, ranging from formal proposals to informal expressions of investor concern, affect stock market returns and volatility. Our findings reveal that approximately one-fourth of the companies highlighted in these reports experience significant stock market fluctuations coinciding with media coverage. These effects are notably pronounced in firms with higher market capitalisation and robust financial metrics (ROE and ROA) but lower ESG scores and negative leverage. The study also establishes a strong correlation between firm performance metrics, particularly ROE and ROA, and market reactions around news publication dates. This pattern suggests that the market responds more intensely to companies with higher performance levels. The research contributes to understanding shareholder activism’s indirect influence on market dynamics through media, offering insights for companies, investors, and policymakers in the evolving landscape of shareholder activism and the media’s role therein.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.4,"publicationDate":"2024-03-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1062976924000486/pdfft?md5=047a378ac49d8dad2880c4a662c0ce85&pid=1-s2.0-S1062976924000486-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140283048","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 relationship between Chinese and FOB prices of rare earth elements – Evidence in the time and frequency domain 稀土元素中国价格与离岸价格之间的关系--时域和频域证据

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-03-22 DOI: 10.1016/j.qref.2024.03.007

Volker Seiler

{"title":"The relationship between Chinese and FOB prices of rare earth elements – Evidence in the time and frequency domain","authors":"Volker Seiler","doi":"10.1016/j.qref.2024.03.007","DOIUrl":"https://doi.org/10.1016/j.qref.2024.03.007","url":null,"abstract":"<div><p>This paper investigates the relationship between domestic and export prices of rare earth elements (REEs) taking into account both, the time and the frequency domain using Granger causality tests and cross wavelet analysis. We find areas of significant comovement between both, returns and volatility of domestic and export prices, with the degree of connection being low at higher frequencies, increasing over medium frequencies and lower frequencies. Moreover, the lead-lag effects between the Chinese and the export market are time-varying and heterogenous, with no particular market as the leader. The analysis of volatility transmission shows that own-market volatility rather than spillover from the Chinese to the export market or vice versa accounts for the biggest share of volatility. While volatility transmission shows substantial variation over time, the Chinese market is generally a net giver of volatility to the export market, especially at the medium frequency band. Accordingly, market participants buying REEs in the export market might want to track Chinese prices as leading indicators of price fluctutations due to spillovers.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.4,"publicationDate":"2024-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140309305","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

Financial literacy and financial advice seeking: Does product specificity matter? 金融扫盲与寻求金融建议：产品的特殊性重要吗？

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-03-20 DOI: 10.1016/j.qref.2024.03.012

Camilla Mazzoli , Riccardo Ferretti , Umberto Filotto

引用次数: 0

Does ESG disclosure really influence the firm performance? Evidence from India 环境、社会和治理信息披露真的会影响公司业绩吗？印度的证据

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-03-19 DOI: 10.1016/j.qref.2024.03.008

V Veeravel , Vijaya Prabhagar Murugesan , Vijayakumar Narayanamurthy

引用次数: 0

Dynamic connectedness of inflation around the world: A time-varying approach from G7 and E7 countries 全球通货膨胀的动态关联性：七国集团和七国集团国家的时变方法

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-03-19 DOI: 10.1016/j.qref.2024.03.006

Yanhui Jiang , Bo Qu , Yun Hong , Xiyue Xiao

{"title":"Dynamic connectedness of inflation around the world: A time-varying approach from G7 and E7 countries","authors":"Yanhui Jiang , Bo Qu , Yun Hong , Xiyue Xiao","doi":"10.1016/j.qref.2024.03.006","DOIUrl":"https://doi.org/10.1016/j.qref.2024.03.006","url":null,"abstract":"<div><p>Using advanced econometric techniques of the Time-Varying Parameters Vector Autoregression model with stochastic volatility (TVP-SV-VAR) and the Quantile Vector Autoregression (QVAR) model, this research investigates the dynamics of the Consumer Price Index (CPI) across G7 and E7 countries from January 1993 to January 2023, aiming to comprehensively analyze the international transmission of inflation. The study yields several key findings. Firstly, we ascertain that approximately 64% of inflation volatility can be attributed to international transmission. Secondly, our analysis consistently identifies Turkey and Russia as net exporters of inflation over the study period, while G7 countries and Mexico emerge as persistent net importers. Thirdly, we note a gradual increase in China's inflation connectivity with developing countries following the Asian financial crisis, coupled with a diminishing impact of Chinese inflation transmission to developed nations. Fourthly, we observe a heightened complexity in the inflation transmission network during periods marked by high Total Connectivity Index (TCI) values, compared to those with low TCI values. Lastly, our study underscores that the transmission of international inflation intensifies during periods characterized by extremely high or low international inflation rates.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.4,"publicationDate":"2024-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140195613","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

Information shock, market reaction, and stock message board information diffusion 信息冲击、市场反应和股票留言板信息扩散

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-03-19 DOI: 10.1016/j.qref.2024.03.010

Xiuqi Huang, Yongqiang Meng

引用次数: 0

Estimating financial integration in Europe: How to separate structural trends from cyclical fluctuations 估算欧洲金融一体化：如何将结构性趋势与周期性波动区分开来

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-03-15 DOI: 10.1016/j.qref.2024.03.005

Laurent Maurin , Enrico Minnella , Alfred Lake

引用次数: 0

How does credit information sharing shape bank loans? 信用信息共享如何影响银行贷款？

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-03-11 DOI: 10.1016/j.qref.2024.03.004

Celia Álvarez-Botas, Víctor M. González

引用次数: 0

Oil, gold and international stock markets: Extreme spillovers, connectedness and its determinants 石油、黄金和国际股票市场：极端溢出效应、关联性及其决定因素

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-03-07 DOI: 10.1016/j.qref.2024.03.002

Walid Mensi , Salem Adel Ziadat , Abdel Razzaq Al Rababa'a , Xuan Vinh Vo , Sang Hoon Kang

{"title":"Oil, gold and international stock markets: Extreme spillovers, connectedness and its determinants","authors":"Walid Mensi , Salem Adel Ziadat , Abdel Razzaq Al Rababa'a , Xuan Vinh Vo , Sang Hoon Kang","doi":"10.1016/j.qref.2024.03.002","DOIUrl":"https://doi.org/10.1016/j.qref.2024.03.002","url":null,"abstract":"<div><p>This study examines the lower and upper return spillovers and connectedness between important commodity (crude oil and gold) and main international stock markets using the quantile connectedness approach by Ando et al. (2018). The results show stronger return spillovers during bearish and bullish market conditions. Crude oil and gold are net receivers of return spillovers irrespective of quantiles. Furthermore, an intense spillover is observed during high stress periods including COVID-19 in March 2020, and global economic slowdown and the Brexit referendum of 2016, oil price crash in 2014–2016, Tapering Tantrum in 2013, and the subprime crisis of 2008. Moreover, the spillovers in lower quantiles are stronger than in upper quantiles. The volatility uncertainty index (VIX) has a negative impact on the connectedness index at low and median quantiles. Gold and economic policy uncertainty indexes have a positive impact on lower quantile spillovers. In contrast, oil uncertainty index has a negative impact on quantile spillovers. COVID-19 crisis has a positive impact on lower, medium, and upper spillovers.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.4,"publicationDate":"2024-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140121925","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