Journal of International Financial Markets Institutions & Money最新文献_第10页

The efficiency of the Estr overnight index swap market Estr隔夜指数掉期市场的效率

IF 4 2区经济学

Journal of International Financial Markets Institutions & Money Pub Date : 2024-01-26 DOI: 10.1016/j.intfin.2024.101943

Marco Realdon

{"title":"The efficiency of the Estr overnight index swap market","authors":"Marco Realdon","doi":"10.1016/j.intfin.2024.101943","DOIUrl":"10.1016/j.intfin.2024.101943","url":null,"abstract":"<div><p>This paper studies the profitability of market-neutral delta-hedged strategies trading the mispricing of Euro Short Term Rate Overnight Index Swaps (Estr OIS) signalled by standard affine term structure models. Calibrating these models produces pricing errors that signal mispricing and the deltas to hedge market risk. The paper presents simple-to-compute portfolio weights that maximise the OIS arbitrage portfolio information ratio subject to market-neutral delta-hedge constraints and subject to bid–ask spreads. The empirical evidence shows that only investors who can “split” the bid–ask spread can profitably exploit the pricings errors signalled by these models. Investors who can only ever trade at the bid or at the ask cannot profit. Pricing errors are strongly positively auto-correlated, which hampers the profitability of trades that expect the correction of such errors. These results imply that the Estr OIS market is quite efficient and are robust to a number of models and strategies. Four and five factor models are more profitable than three factor ones. Assuming that some OIS rates are observed without error reduces the profitability of models and strategies.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"91 ","pages":"Article 101943"},"PeriodicalIF":4.0,"publicationDate":"2024-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139638176","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

Digital finance era: Will individual investors become better players? 数字金融时代：个人投资者能否成为更好的参与者？

IF 4 2区经济学

Journal of International Financial Markets Institutions & Money Pub Date : 2024-01-26 DOI: 10.1016/j.intfin.2024.101935

Xiaomeng Lu , Xianjun Zhang , Jiaojiao Guo , Pengpeng Yue

{"title":"Digital finance era: Will individual investors become better players?","authors":"Xiaomeng Lu , Xianjun Zhang , Jiaojiao Guo , Pengpeng Yue","doi":"10.1016/j.intfin.2024.101935","DOIUrl":"10.1016/j.intfin.2024.101935","url":null,"abstract":"<div><p>Exploring the intersection of new technologies and financial services, this study probes the role of digital inclusive finance in enhancing the performance of individual investors. Utilizing a unique dataset, we examine the influence of digital inclusive finance in diverse financial environments, particularly focusing on areas with varying levels of traditional financial development and investor protection. Our panel-data statistical model addresses endogeneity concerns, revealing that digital inclusive finance notably boosts investor performance, primarily through enhanced investment diversification and reduced disposition effect. These improvements are more pronounced in regions with underdeveloped traditional finance or robust investor protection. This study not only contributes to understanding the nexus between digital inclusive finance and investor behavior but also suggests policy implications. We recommend leveraging digital financial strategies to empower investors, particularly in less developed financial regions, to maximize the benefits of digital inclusive finance inclusivity.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"91 ","pages":"Article 101935"},"PeriodicalIF":4.0,"publicationDate":"2024-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139631766","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

Infrastructure financing in Africa 非洲基础设施融资

IF 4 2区经济学

Journal of International Financial Markets Institutions & Money Pub Date : 2024-01-24 DOI: 10.1016/j.intfin.2024.101954

Qiongfang Lu, Craig Wilson

引用次数: 0

Examining the impact of liquidity creation on bank stability in the Asia Pacific region: Do ESG disclosures play a moderating role? 研究亚太地区流动性创造对银行稳定性的影响：环境、社会和治理信息披露是否起到调节作用？

IF 4 2区经济学

Journal of International Financial Markets Institutions & Money Pub Date : 2024-01-24 DOI: 10.1016/j.intfin.2024.101955

Juhi Gupta , Smita Kashiramka

{"title":"Examining the impact of liquidity creation on bank stability in the Asia Pacific region: Do ESG disclosures play a moderating role?","authors":"Juhi Gupta , Smita Kashiramka","doi":"10.1016/j.intfin.2024.101955","DOIUrl":"10.1016/j.intfin.2024.101955","url":null,"abstract":"<div><p>The global financial crisis reignited concerns regarding the stability and sustainability of banks. Since liquidity creation (LC) is a core output of banks, we examine if the nexus between LC and bank stability is conditional on ESG (environmental, social, and governance) disclosure by banks. Our sample comprises 178 commercial banks (1568 observations) during the period 2010–2019 in the Asia-Pacific region. Using a two-step system GMM estimation, our results document a positive impact of LC on bank stability. Additionally, ESG disclosures positively moderate the stability effect of LC, i.e., higher LC is associated with significantly more enhancement in bank stability for banks that have a higher disclosure of ESG scores compared to banks that have a moderate disclosure. Furthermore, we also provide evidence of variation in the moderating role of ESG disclosures in advanced and emerging economies. Overall, our results recommend that integrating ESG practices into banks' internal processes improves their financial soundness. Additionally, blanket implementation of liquidity regulations might be detrimental to banks’ stability.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"91 ","pages":"Article 101955"},"PeriodicalIF":4.0,"publicationDate":"2024-01-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139589268","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

Migration fear and stock price crash risk 移民恐惧与股价暴跌风险

IF 4 2区经济学

Journal of International Financial Markets Institutions & Money Pub Date : 2024-01-24 DOI: 10.1016/j.intfin.2024.101945

Kuntal K. Das, Mona Yaghoubi

引用次数: 0

Greenhouse gas emissions and the stability of equity markets 温室气体排放与股票市场的稳定性

IF 4 2区经济学

Journal of International Financial Markets Institutions & Money Pub Date : 2024-01-22 DOI: 10.1016/j.intfin.2024.101952

David Y. Aharon , Ahmed S. Baig , Gady Jacoby , Zhenyu Wu

引用次数: 0

A novel integration of the Fama–French and Black–Litterman models to enhance portfolio management 法马-弗伦奇模型和布莱克-利特曼模型的新整合，以加强投资组合管理

IF 4 2区经济学

Journal of International Financial Markets Institutions & Money Pub Date : 2024-01-22 DOI: 10.1016/j.intfin.2024.101949

Hyungjin Ko , Bumho Son , Jaewook Lee

引用次数: 0

State-owned banks and international shock transmission 国有银行与国际冲击传导

IF 4 2区经济学

Journal of International Financial Markets Institutions & Money Pub Date : 2024-01-22 DOI: 10.1016/j.intfin.2024.101947

Marcin Borsuk , Oskar Kowalewski , Paweł Pisany

引用次数: 0

Dynamic spillovers among global oil shocks, economic policy uncertainty, and inflation expectation uncertainty under extreme shocks 极端冲击下全球石油冲击、经济政策不确定性和通胀预期不确定性之间的动态溢出效应

IF 4 2区经济学

Journal of International Financial Markets Institutions & Money Pub Date : 2024-01-20 DOI: 10.1016/j.intfin.2024.101951

Yi-Shuai Ren , Tony Klein , Yong Jiang , Chao-Qun Ma , Xiao-Guang Yang

{"title":"Dynamic spillovers among global oil shocks, economic policy uncertainty, and inflation expectation uncertainty under extreme shocks","authors":"Yi-Shuai Ren , Tony Klein , Yong Jiang , Chao-Qun Ma , Xiao-Guang Yang","doi":"10.1016/j.intfin.2024.101951","DOIUrl":"10.1016/j.intfin.2024.101951","url":null,"abstract":"<div><p>This study explores the quantile connectedness between United States (U.S.) economic policy uncertainty (EPU), global structural oil shocks, and U.S. inflation expectations uncertainty (IEU) under extreme shocks using a connectedness method based on the quantile VAR model. We find that the total connectedness index (TCI) exhibits a U-shaped pattern that varies with the conditional quantiles of variables, demonstrating that the spillover effect under extreme market conditions is much greater than under regular market conditions. Further proven that the spillover effect in the extreme upward state is stronger than in the extreme downward state. Moreover, the dynamic TCI is heterogeneous over time and economic-event dependent, specifically affected by COVID-19 epidemic. IEU is the largest net receiver of spillover effects among variables and hence is more susceptible to EPUs and oil shocks. Finally, although there is significant heterogeneity in the spillover effects of different EPUs and structural oil price shocks, overall, EPUs influence the IEU more than global oil shocks.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"91 ","pages":"Article 101951"},"PeriodicalIF":4.0,"publicationDate":"2024-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139538314","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

The governance effects of social media engagement on M&A outcomes: Evidence from China 社交媒体参与对并购结果的治理效应：来自中国的证据

IF 4 2区经济学

Journal of International Financial Markets Institutions & Money Pub Date : 2024-01-18 DOI: 10.1016/j.intfin.2024.101946

Wenchuan Chen , Yu Liu , Siyi Liu , Yugang Chen , Pengdong Zhang

{"title":"The governance effects of social media engagement on M&A outcomes: Evidence from China","authors":"Wenchuan Chen , Yu Liu , Siyi Liu , Yugang Chen , Pengdong Zhang","doi":"10.1016/j.intfin.2024.101946","DOIUrl":"10.1016/j.intfin.2024.101946","url":null,"abstract":"<div><p>This paper examines the governance effect of minority shareholder social media engagement on merger and acquisition (M&A) outcomes. First, using a sample of Chinese M&A and social media discussion data from the EastMoney stock message board, we find that minority shareholder social media engagement is positively associated with the acquiring firm’s value after an M&A transaction. This result holds after a series of robustness tests. Second, mediation analyses reveal that social media engagement enhances postmerger firm value by curbing the entrenchment incentives for insiders to set high premiums and use private placement financing in M&As and by reducing management’s agency motive in the integration stage. Third, we find that minority shareholder social media engagement on M&A-specific topics, compared with overall engagement, has a stronger governance effect that further improves M&A outcomes. Finally, minority shareholder social media engagement further reduces the probability of M&A failure and shortens the time to completion. These results provide evidence of the governance role of minority shareholder activism on social media in China, which could help to address the value-destroying and encroachment problems associated with agency-motivated M&As.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"91 ","pages":"Article 101946"},"PeriodicalIF":4.0,"publicationDate":"2024-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139634482","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