Quarterly Review of Economics and Finance最新文献_第9页

Analyzing the nature of fund selection measures: Stock picking or trading skill? 分析基金选择措施的本质：选股还是交易技巧？

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-07-02 DOI: 10.1016/j.qref.2024.101883

Ping-Wen Sun, Wen-Ju Liao, Wanling Lin

引用次数: 0

Banking efficiency, ownership types, and operations: A quasi-natural experiment of conventional and Islamic banks 银行效率、所有权类型和运营：传统银行和伊斯兰银行的准自然实验

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-06-29 DOI: 10.1016/j.qref.2024.101882

Mohan Fonseka , Omar Al Farooque

{"title":"Banking efficiency, ownership types, and operations: A quasi-natural experiment of conventional and Islamic banks","authors":"Mohan Fonseka , Omar Al Farooque","doi":"10.1016/j.qref.2024.101882","DOIUrl":"https://doi.org/10.1016/j.qref.2024.101882","url":null,"abstract":"<div><p>This study examines the banking efficiency of different ownership types and operations in an emerging market in South Asia. It further explores the moderating effect of Islamic banking operations on such relationships. The effects of banking regulatory developments on banking efficiency are also examined through a quasi-natural experiment approach. Using 533 banking unit observations of banks for FY 2002/2003 to 2017/2018 period, and applying the data envelopment analysis (DEA) method for banking efficiency and Tobit regression, the findings document that the banking efficiency of the state-owned conventional banks outperforms privately-owned domestic banks, as well as conventional domestically owned banks (state-owned and privately-owned banks) outperforms the foreign-owned banks. Again, the banking efficiency outperformance of the conventional banking operation over the Islamic banking operation is found. However, the outperformance of conventional state-owned banks diminishes with the moderation of Islamic banking operations. Additionally, the quasi-natural experiment with difference-in-difference (DID) regression result reveals that the banking efficiency of Islamic banks and conventional state-owned banks has improved during the post-regulatory period and reduced the efficiency gap between them (in favor of conventional banks). However, the banking efficiency of conventional state-owned banks offering Islamic banking services has diminished in the post-regulatory period. These findings remain robust during the global financial crisis (GFC) and non-GFC periods. Overall, the results add a new dimension to the banking efficiency and regulatory development research for the policymakers and regulators in the financial services sector.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"97 ","pages":"Article 101882"},"PeriodicalIF":2.9,"publicationDate":"2024-06-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141594947","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

Pandemic, inequality and public health: A quantitative analysis 流行病、不平等和公共卫生：定量分析

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-06-25 DOI: 10.1016/j.qref.2024.101879

Marcelo Arbex , Luiz A. Barros , Márcio V. Corrêa

引用次数: 0

Fiscal consolidations and income inequality: Evaluating the evidence 财政整顿与收入不平等：评估证据

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-06-25 DOI: 10.1016/j.qref.2024.101880

Panagiotis Th. Konstantinou

引用次数: 0

Money, output, and prices: 1967-2022 货币、产出和价格：1967-2022

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-06-11 DOI: 10.1016/j.qref.2024.101870

Patrick J. Horan

引用次数: 0

Term structure of equity risk premia in rough terrain: 150 years of the French stock market 崎岖地形下股票风险溢价的期限结构：法国股市的 150 年历程

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-06-10 DOI: 10.1016/j.qref.2024.101878

Georges Prat , David Le Bris

引用次数: 0

Tail risk connectedness among GCC banks episodes from the Global Financial Crisis to COVID-19 pandemic 从全球金融危机到 COVID-19 大流行的海湾合作委员会银行尾部风险关联性事件

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-06-02 DOI: 10.1016/j.qref.2024.101869

Aktham Maghyereh , Hussein Abdoh

{"title":"Tail risk connectedness among GCC banks episodes from the Global Financial Crisis to COVID-19 pandemic","authors":"Aktham Maghyereh , Hussein Abdoh","doi":"10.1016/j.qref.2024.101869","DOIUrl":"https://doi.org/10.1016/j.qref.2024.101869","url":null,"abstract":"<div><p>This paper aims to analyze the impact of the COVID-19 pandemic on market-based systemic risk and the connectedness of commercial banks in Gulf Cooperation Council countries. The results suggest that systemic risk has increased significantly after the pandemic by employing two very well-known systemic risk measures, the Delta conditional value-at-risk (ΔCoVaR) and the marginal expected shortfall (MES), but heterogeneously across GCC nations. Using the Granger-Causality network method, the results reveal a remarkable rise in the percentage and number of significant connectedness between banks for Kuwait and KSA during the pandemic. Oman and Qatar experienced an unnoticeable increase in bank return connectedness. Furthermore, the study identifies the bank characteristics that provide shelter from the systemic shocks of the pandemic. The study findings indicate that income diversification is the most crucial variable for enhancing bank stability amid the pandemic. Our findings provide policy-related implications for understanding and mitigating risk shock transmission and the containment of systemic financial risk, in addition to multiple future lines of research.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"96 ","pages":"Article 101869"},"PeriodicalIF":3.4,"publicationDate":"2024-06-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141250932","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

Beyond financial wealth: The experienced utility of collectibles 超越金融财富：收藏品的经验效用

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-05-31 DOI: 10.1016/j.qref.2024.101865

Jens Kleine , Thomas Peschke , Niklas Wagner

{"title":"Beyond financial wealth: The experienced utility of collectibles","authors":"Jens Kleine , Thomas Peschke , Niklas Wagner","doi":"10.1016/j.qref.2024.101865","DOIUrl":"https://doi.org/10.1016/j.qref.2024.101865","url":null,"abstract":"<div><p>We argue that the utility of specific assets, in our case collectibles, is not only derived from the financial outcome, but also from the conditions that prevail until a financial outcome may be realized. Therefore, we derive a multi-attribute utility function that measures financial returns — using a mean-variance utility function — on the one hand, and non-financial returns — using an experienced utility function — on the other. We then reveal the trade-off between financial and non-financial utility by analyzing 363 owners of collectibles. We divide the owners into the group of collectors and the group of investors, based on their self-reported motivation. Our results suggest that collectors receive almost no utility from financial returns, but rather from experience. The opposite is the case for investors. Our findings help to explain the reported financial underperformance of collectibles and suggest to adjust existing models of utility.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"97 ","pages":"Article 101865"},"PeriodicalIF":3.4,"publicationDate":"2024-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1062976924000711/pdfft?md5=5b1a339341cbeb083ffc693948980ea4&pid=1-s2.0-S1062976924000711-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141314182","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

Time-varying expected returns, conditional skewness and Bitcoin return predictability 时变预期收益、条件偏度和比特币收益可预测性

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-05-28 DOI: 10.1016/j.qref.2024.101868

David Atance, Gregorio Serna

{"title":"Time-varying expected returns, conditional skewness and Bitcoin return predictability","authors":"David Atance, Gregorio Serna","doi":"10.1016/j.qref.2024.101868","DOIUrl":"https://doi.org/10.1016/j.qref.2024.101868","url":null,"abstract":"<div><p>We employ a GARCH-type model to jointly estimate returns, conditional variance and skewness and show that conditional skewness outperforms sample skewness and conditional and sample variance in predicting future Bitcoin returns. Interestingly, the results show that the relationship between conditional skewness and future Bitcoin returns is different depending on the sample period. In the first subsample (2018–2020), a period of relative calm in the Bitcoin market, the relationship is negative, which is in line with that found in the literature. However, in the second subsample (2021–2022), a period of major turmoil in the Bitcoin market, the relationship is positive, which is consistent with that found in previous papers on the relationship between conditional market skewness and future index returns during crisis periods. Based on these results, a dynamic buy and sell strategy of buying or selling Bitcoin based on the estimated conditional skewness is proposed. This dynamic strategy outperforms a static buy-and-hold strategy. The profitability of this strategy can be viewed as the reward that investors demand for bearing the risk associated with the changing conditions in the cryptocurrency market that generate time-varying expected returns.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"96 ","pages":"Article 101868"},"PeriodicalIF":3.4,"publicationDate":"2024-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1062976924000747/pdfft?md5=0c971d107b8910d022a0e168d46df86b&pid=1-s2.0-S1062976924000747-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141240058","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

Strategic interactions and the sensitivity of cash savings to stock price 战略互动与现金储蓄对股票价格的敏感性

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-05-24 DOI: 10.1016/j.qref.2024.101867

Rongrong Zhang

引用次数: 0