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The short-run impact of investor expectations’ past volatility on current predictions: The case of VIX
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-11-29 DOI: 10.1016/j.intfin.2024.102084
Bogdan Dima , Ştefana Maria Dima , Roxana Ioan
{"title":"The short-run impact of investor expectations’ past volatility on current predictions: The case of VIX","authors":"Bogdan Dima ,&nbsp;Ştefana Maria Dima ,&nbsp;Roxana Ioan","doi":"10.1016/j.intfin.2024.102084","DOIUrl":"10.1016/j.intfin.2024.102084","url":null,"abstract":"<div><div>Understanding the risk premium and its impact on current and expected returns is a critical research problem. The present study contributes to the investigation of risk premium decomposition over short-run periods via two key advancements. First, it presents a model that incorporates past uncertainties regarding investors’ trade outcome expectations into current predictions. This model enables a short-run decomposition of the risk premium. Second, the study examines the relationship between past volatility and current expected trading results for the Chicago Board Options Exchange Volatility Index (VIX) using daily data from January 5, 2016, to January 20, 2023. The findings indicate that current expected losses are influenced by the volatility of previously predicted unfavourable trade outcomes, underscoring the relevance of this study to portfolio management decisions. The parameter that captures this impact exhibits significant time variation. This result remains robust across various specifications of a time-varying parameter model with shrinkage. We further validate this robustness by testing different time frequencies, analysing various types of instruments and markets, and employing an alternative risk estimation method. Ultimately, the findings suggest that proactive stabilisation policies must be implemented to enhance the quality, relevance, and availability of information disseminated by financial asset issuers throughout the market.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"98 ","pages":"Article 102084"},"PeriodicalIF":5.4,"publicationDate":"2024-11-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142745320","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
Carbon emission trading scheme, investors’ attention, and earnings response coefficients 碳排放交易计划、投资者关注度和收益反应系数
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-11-27 DOI: 10.1016/j.intfin.2024.102085
Jun Hu , Siyu Zhang , Liang Wang , Daifei Yao
{"title":"Carbon emission trading scheme, investors’ attention, and earnings response coefficients","authors":"Jun Hu ,&nbsp;Siyu Zhang ,&nbsp;Liang Wang ,&nbsp;Daifei Yao","doi":"10.1016/j.intfin.2024.102085","DOIUrl":"10.1016/j.intfin.2024.102085","url":null,"abstract":"<div><div>This study explores how the introduction of the carbon emissions trading scheme (ETS) affects investors’ reactions to corporate earnings surprises. We propose two non-exclusive explanations, namely, the preference-based view and the uncertainty-based view, and suggest that the implementation of ETS may influence the magnitude of investor responses to corporate unexpected earnings. Consistent with the preference-based view, by utilizing China’s introduction of ETS as a quasi-natural experiment, we observe a reduction in the earnings response coefficients (ERCs) following the implementation of ETS. We validate this result by showing that the introduction of ETS prompts investors to focus on corporate carbon risk. Cross-sectional tests find that the effect of ETS on ERCs is more pronounced in firms with higher corporate carbon risk exposure, in firms whose investors exhibit greater environmental awareness, in better-developed carbon pilot markets, and in firms with greater exposure to international capital markets, while this impact is mitigated by firms’ non-financial performance. These findings highlight the importance of environmental regulation and market liberalization in influencing investors’ resource allocation.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"97 ","pages":"Article 102085"},"PeriodicalIF":5.4,"publicationDate":"2024-11-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142719882","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
Global banks and the picking order in internal capital markets: Do locational activity patterns matter? 全球银行与内部资本市场的选择秩序：地点活动模式重要吗？
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-11-25 DOI: 10.1016/j.intfin.2024.102083
Carmela D’Avino
{"title":"Global banks and the picking order in internal capital markets: Do locational activity patterns matter?","authors":"Carmela D’Avino","doi":"10.1016/j.intfin.2024.102083","DOIUrl":"10.1016/j.intfin.2024.102083","url":null,"abstract":"<div><div>This paper examines whether global banks’ liquidity reallocations via internal capital markets are driven by the locational activity patterns of their foreign branches. Using aggregated data of foreign branches of US global banks located in 52 countries, we advance evidence of a picking order that favors locations where branches are more heavily engaged in lending activities. Specifically, we find that internal liquidity support to branches in host countries with prominent local lending activities is especially significant during a contraction in local deposits.</div><div>In jurisdictions where branches have higher shares of market-based activities and off-balance sheet exposures, we do not observe a significant increase in internal liquidity support following local funding contractions.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"97 ","pages":"Article 102083"},"PeriodicalIF":5.4,"publicationDate":"2024-11-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142700683","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
HACKED: Understanding the stock market response to cyberattacks 黑客攻击：了解股市对网络攻击的反应
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-11-22 DOI: 10.1016/j.intfin.2024.102082
Erdinc Akyildirim , Thomas Conlon , Shaen Corbet , Yang (Greg) Hou
{"title":"HACKED: Understanding the stock market response to cyberattacks","authors":"Erdinc Akyildirim ,&nbsp;Thomas Conlon ,&nbsp;Shaen Corbet ,&nbsp;Yang (Greg) Hou","doi":"10.1016/j.intfin.2024.102082","DOIUrl":"10.1016/j.intfin.2024.102082","url":null,"abstract":"<div><div>Increasing levels of digitisation make firms more susceptible to cyberattacks and privacy violations. In this paper, we quantify the impact of cybercrime on company stock returns using a large international sample. On the day after the cyber event, stock returns are found to decrease by -0.24%, but the effect reverses in about two weeks. The magnitude of the decrease in the stock market is greatest for companies that have experienced reoccurring events and for breaches deemed to be most severe. We show that the extent of the stock market decline cannot be explained by national institutional and macroeconomic factors, and is related to company-specific characteristics, including size, volatility, credit ranking and asset volatility. The empirical results highlight important policy and regulatory issues, not least the need for cyber risk disclosure requirements.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"97 ","pages":"Article 102082"},"PeriodicalIF":5.4,"publicationDate":"2024-11-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142700682","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
Does climate risk shape firms’ accounting conservatism? 气候风险是否影响公司的会计保守主义？
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-11-19 DOI: 10.1016/j.intfin.2024.102081
Rong Ding , Gady Jacoby , Mingzhi Liu , Tingting Wang , Zhenyu Wu
{"title":"Does climate risk shape firms’ accounting conservatism?","authors":"Rong Ding ,&nbsp;Gady Jacoby ,&nbsp;Mingzhi Liu ,&nbsp;Tingting Wang ,&nbsp;Zhenyu Wu","doi":"10.1016/j.intfin.2024.102081","DOIUrl":"10.1016/j.intfin.2024.102081","url":null,"abstract":"<div><div>We study how climate risk shapes accounting conservatism with data collected from 47 countries. The results suggest that firms that are exposed to higher climate risk use more conditional conservatism, but less unconditional conservatism in their financial reporting. Furthermore, the effect of climate risk on both unconditional conservatism and conditional conservatism is significantly strengthened, both statistically and economically, in well-governed countries. We also find that in countries with higher uncertainty avoidance, the effect of climate risk on unconditional conservatism is significantly enhanced but the effect on conditional conservatism is significantly weakened. Our findings, which are robustly supported by a number of sensitivity checks, enrich the emerging literature on the socio-economic impact of climate risk.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"97 ","pages":"Article 102081"},"PeriodicalIF":5.4,"publicationDate":"2024-11-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142700596","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
Real earnings management and debt choice 实际收益管理和债务选择
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-11-15 DOI: 10.1016/j.intfin.2024.102080
Mostafa Monzur Hasan , Nurul Alam , Mohammad Riaz Uddin , Stewart Jones
{"title":"Real earnings management and debt choice","authors":"Mostafa Monzur Hasan ,&nbsp;Nurul Alam ,&nbsp;Mohammad Riaz Uddin ,&nbsp;Stewart Jones","doi":"10.1016/j.intfin.2024.102080","DOIUrl":"10.1016/j.intfin.2024.102080","url":null,"abstract":"<div><div>This study investigates whether real earnings management (RealEM) affects firms’ debt choice. We find that firms with higher RealEM rely more on bank debt than public debt as a source of financing. Our cross-sectional analysis reveals that the RealEM–debt choice association is more significant in the presence of poor corporate governance and heightened financing constraints. We also observe that the connection between RealEM and bank debt is more significant for suspect firms (i.e., firms with a genuine motive for opportunistic earnings management) than their non-suspect counterparts. Additionally, we find that RealEM increases the use of trade credit and short-term debt. Our findings are robust to endogeneity concerns and other issues. Overall, our findings suggest that the impact of information asymmetry issues arising from RealEM is less for bank than for public debtholders.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"97 ","pages":"Article 102080"},"PeriodicalIF":5.4,"publicationDate":"2024-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142653424","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
Self-regulation for responsible banking and ESG disclosure scores: Is there a link? 负责任的银行业自律与环境、社会和公司治理披露得分：两者之间有联系吗？
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-11-09 DOI: 10.1016/j.intfin.2024.102079
Ronny Manos, Maya Finger, Haim Boukai
{"title":"Self-regulation for responsible banking and ESG disclosure scores: Is there a link?","authors":"Ronny Manos,&nbsp;Maya Finger,&nbsp;Haim Boukai","doi":"10.1016/j.intfin.2024.102079","DOIUrl":"10.1016/j.intfin.2024.102079","url":null,"abstract":"<div><div>Banks play a crucial role in sustainable development, an area increasingly governed by self-regulation. This study examines whether banks that commit to self-regulation by adopting the Principles for Responsible Banking (PRB) exhibit enhanced Environment, Social, and Governance (ESG) performance. Utilizing Bloomberg ratings, we find that PRB adopters consistently show higher ESG scores than non-adopters, both before and after adoption. This suggests that a commitment to self-regulation serves as a reliable signal of responsible banking practices. Notably, the superior performance of PRB adopters relative to non-adopters is primarily driven by a strong pre-adoption commitment to transparency on ESG issues. We discuss possible explanations for this trend, including the role of early adopters in advancing industry-wide standards. Additionally, our findings reveal a negative association between regulatory quality and ESG scores, implying that banks may leverage ESG disclosures to mitigate information asymmetries in weaker institutional environments.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"97 ","pages":"Article 102079"},"PeriodicalIF":5.4,"publicationDate":"2024-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142653423","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
Impact of using derivatives on stock market liquidity 使用衍生工具对股市流动性的影响
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-11-08 DOI: 10.1016/j.intfin.2024.102077
Neeru Chaudhry , Aastha Gupta
{"title":"Impact of using derivatives on stock market liquidity","authors":"Neeru Chaudhry ,&nbsp;Aastha Gupta","doi":"10.1016/j.intfin.2024.102077","DOIUrl":"10.1016/j.intfin.2024.102077","url":null,"abstract":"<div><div>This study demonstrates that using derivatives can significantly improve stock liquidity. We conduct several tests to check for robustness of our findings and control for potential endogeneity in our results. We observe that the decrease in stock illiquidity due to derivative usage is more pronounced for firms with high information asymmetry, high firm-specific risk, and negative investor sentiment. Ownership stakes held by foreign institutional investors and domestic promoters do not influence how derivative usage affects stock liquidity. This relationship is significant in the presence of large and independent boards. Our results emphasize the liquidity creation role of derivative usage, which complements other functions of derivatives markets, such as price discovery and risk management. Our findings are relevant for companies operating in foreign capital markets and for international investors who include Indian stocks into their portfolios.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"97 ","pages":"Article 102077"},"PeriodicalIF":5.4,"publicationDate":"2024-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142653422","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
Asymmetric Higher-Moment spillovers between sustainable and traditional investments 可持续投资与传统投资之间不对称的高时刻溢出效应
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-11-04 DOI: 10.1016/j.intfin.2024.102078
Xie He , Shigeyuki Hamori
{"title":"Asymmetric Higher-Moment spillovers between sustainable and traditional investments","authors":"Xie He ,&nbsp;Shigeyuki Hamori","doi":"10.1016/j.intfin.2024.102078","DOIUrl":"10.1016/j.intfin.2024.102078","url":null,"abstract":"<div><div>This study proposes a novel framework that decomposes volatility and higher-moment kurtosis into good and bad volatility/kurtosis—related to positive and negative shocks, respectively. Accordingly, we analyze the spillover effects of good and bad volatility/kurtosis between sustainable and traditional investments separately. During most periods, bad volatility spillovers dominate good volatility spillovers, whereas good kurtosis spillovers dominate bad kurtosis spillovers. However, during specific extreme events, such as Brexit and COVID-19, bad kurtosis spillovers dominate. This study’s findings can help investors in developing extreme risk management strategies and policymakers in preventing harmful shock transmissions across markets and fostering financial stability.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"97 ","pages":"Article 102078"},"PeriodicalIF":5.4,"publicationDate":"2024-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142578295","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
Forecasting exchange rate volatility: An amalgamation approach 预测汇率波动：综合方法
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-11-04 DOI: 10.1016/j.intfin.2024.102067
Antonios K. Alexandridis , Ekaterini Panopoulou , Ioannis Souropanis
{"title":"Forecasting exchange rate volatility: An amalgamation approach","authors":"Antonios K. Alexandridis ,&nbsp;Ekaterini Panopoulou ,&nbsp;Ioannis Souropanis","doi":"10.1016/j.intfin.2024.102067","DOIUrl":"10.1016/j.intfin.2024.102067","url":null,"abstract":"<div><div>The importance of exchange rate volatility forecasting has both practical and academic merit. Our aim is to provide a comprehensive analysis of the forecasting ability of financial and macroeconomics variables for future exchange rate volatility. We employ seven widely traded currencies against the US dollar and examine linear models and a variety of machine learning, dimensionality reduction and forecast combination approaches, along with creating a grand forecast (amalgamation approach) from these approaches. Our findings highlight the predictive power of the amalgamation approach, as well as the positive contribution of macroeconomic and financial variables in the forecasting experiment. Furthermore, we generate forecasts on the separate frequencies of volatility using wavelet analysis, in order to extract frequency-related information and examine timing effects in the performance of the methods.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"97 ","pages":"Article 102067"},"PeriodicalIF":5.4,"publicationDate":"2024-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142578293","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
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