Journal of International Financial Markets Institutions & Money最新文献

Do U.S. Institutional investors react to international politics?

IF 5.4 2区经济学

Journal of International Financial Markets Institutions & Money Pub Date : 2025-04-06 DOI: 10.1016/j.intfin.2025.102160

Jun Myung Song , Woochan Kim

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引用次数: 0

Diversification and firm risk: New evidence on exchange rate exposure

IF 5.4 2区经济学

Journal of International Financial Markets Institutions & Money Pub Date : 2025-04-04 DOI: 10.1016/j.intfin.2025.102158

Taek Ho Kwon , Sung C. Bae , Chenyang Liu

引用次数: 0

Financial connectivity in cross-border lending and crises: Role of financial and legislative integration

IF 5.4 2区经济学

Journal of International Financial Markets Institutions & Money Pub Date : 2025-03-29 DOI: 10.1016/j.intfin.2025.102137

Müge Demir , Zeynep Önder

引用次数: 0

Can bilateral RMB swap reduce monetary policy spillovers from the United States to China?

IF 5.4 2区经济学

Journal of International Financial Markets Institutions & Money Pub Date : 2025-03-21 DOI: 10.1016/j.intfin.2025.102157

Mi Zhang , Ahmet Sensoy , Duc Khuong Nguyen , Feiyang Cheng

引用次数: 0

Predicting the conditional distribution of US stock market systemic Stress: The role of climate risks

IF 5.4 2区经济学

Journal of International Financial Markets Institutions & Money Pub Date : 2025-03-21 DOI: 10.1016/j.intfin.2025.102156

Massimiliano Caporin , Petre Caraiani , Oguzhan Cepni , Rangan Gupta

{"title":"Predicting the conditional distribution of US stock market systemic Stress: The role of climate risks","authors":"Massimiliano Caporin , Petre Caraiani , Oguzhan Cepni , Rangan Gupta","doi":"10.1016/j.intfin.2025.102156","DOIUrl":"10.1016/j.intfin.2025.102156","url":null,"abstract":"<div><div>This paper explores how climate risks impact the overall systemic stress levels in the United States (US). We initially apply the TrAffic Light System for Systemic Stress (<em>TALIS<sup>3</sup></em>) approach that classifies the stock markets across all 50 states based on their stress levels, to create an aggregate stress measure called <em>ATALIS<sup>3</sup></em>. Then, we utilize a nonparametric causality-in-quantiles approach to thoroughly assess the predictive power of climate risks across the entire conditional distribution of <em>ATALIS<sup>3</sup></em>, accounting for any data nonlinearity and structural changes. Our analysis covers daily data from July 1996 to March 2023, reveals that various climate risk indicators can predict the entire conditional distribution of <em>ATALIS<sup>3</sup></em>, particularly around its median. The full-sample result also carries over time, when the nonparametric causality-in-quantiles test is conducted based on a rolling-window. Our findings showing that climate risks are positively associated with <em>ATALIS<sup>3</sup></em> over its entire conditional distribution, provide crucial insights for investors and policymakers regarding the economic impact of environmental changes, especially since we confirm that the results continue to be robust in an international-setting involving 11 important stock markets of the European Union.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"101 ","pages":"Article 102156"},"PeriodicalIF":5.4,"publicationDate":"2025-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143686881","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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

Securing passive liquidity: The impact of Europe’s first asymmetric speed bump on market liquidity

IF 5.4 2区经济学

Journal of International Financial Markets Institutions & Money Pub Date : 2025-03-19 DOI: 10.1016/j.intfin.2025.102145

Caroline Le Moign

引用次数: 0

News and intraday retail investor order flow in foreign exchange markets

IF 5.4 2区经济学

Journal of International Financial Markets Institutions & Money Pub Date : 2025-03-19 DOI: 10.1016/j.intfin.2025.102146

Theofilia Kaourma , Andreas Milidonis , George Nishiotis , Marios Panayides

{"title":"News and intraday retail investor order flow in foreign exchange markets","authors":"Theofilia Kaourma , Andreas Milidonis , George Nishiotis , Marios Panayides","doi":"10.1016/j.intfin.2025.102146","DOIUrl":"10.1016/j.intfin.2025.102146","url":null,"abstract":"<div><div>This paper examines the trading behavior of individual investors using a proprietary intraday dataset of a large pool of retail investor aggregate (minute by minute) long and short positions in EUR/USD. Standard event study analysis shows no significant adjustment in trading ahead of scheduled macro news announcements and trading contrary to the announcement surprise after the event. A panel regression analysis shows that such contrarian trading behavior is mainly driven by lagged returns rather than fundamental macro news. Further, intraday time series analysis shows that the lagged overall news sentiment also significantly affects retail investor trading. Finally, to verify the uninformed nature of retail trading, we show that simple cross-over trading strategies that exploit retail investors’ order flow could be profitable. Overall, our results suggest that retail investors in currency markets are influenced by news sentiment and past returns, but do not appear able to extract fundamental information from public news. Our findings support the differential abilities of market participants to interpret public information as reflected through the intraday trading activity of retail currency traders.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"101 ","pages":"Article 102146"},"PeriodicalIF":5.4,"publicationDate":"2025-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143686345","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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 credit rating provision and financial development

IF 5.4 2区经济学

Journal of International Financial Markets Institutions & Money Pub Date : 2025-03-18 DOI: 10.1016/j.intfin.2025.102153

Oskar Kowalewski , Prabesh Luitel , Rosanne Vanpée

引用次数: 0

Could an economy get stuck on a rational pessimism sunspot path? The case of Japan

IF 5.4 2区经济学

Journal of International Financial Markets Institutions & Money Pub Date : 2025-03-17 DOI: 10.1016/j.intfin.2025.102142

Vo Phuong Mai Le , David Meenagh , Patrick Minford

引用次数: 0

Does inflation targeting track record matter for asset prices? Evidence from stock, bond, and foreign exchange markets

IF 5.4 2区经济学

Journal of International Financial Markets Institutions & Money Pub Date : 2025-03-11 DOI: 10.1016/j.intfin.2025.102141

Zhongxia Zhang

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引用次数: 0