Journal of International Financial Markets Institutions & Money最新文献

{"title":"Dynamic spillovers among global oil shocks, economic policy uncertainty, and inflation expectation uncertainty under extreme shocks","authors":"Yi-Shuai Ren ,&nbsp;Tony Klein ,&nbsp;Yong Jiang ,&nbsp;Chao-Qun Ma ,&nbsp;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":null,"pages":null},"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}

{"title":"The governance effects of social media engagement on M&A outcomes: Evidence from China","authors":"Wenchuan Chen ,&nbsp;Yu Liu ,&nbsp;Siyi Liu ,&nbsp;Yugang Chen ,&nbsp;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&amp;A) outcomes. First, using a sample of Chinese M&amp;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&amp;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&amp;As and by reducing management’s agency motive in the integration stage. Third, we find that minority shareholder social media engagement on M&amp;A-specific topics, compared with overall engagement, has a stronger governance effect that further improves M&amp;A outcomes. Finally, minority shareholder social media engagement further reduces the probability of M&amp;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&amp;As.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"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}

{"title":"From black gold to financial fallout: Analyzing extreme risk spillovers in oil-exporting nations","authors":"Ilyes Abid ,&nbsp;Ramzi Benkraiem ,&nbsp;Hela Mzoughi ,&nbsp;Christian Urom","doi":"10.1016/j.intfin.2024.101948","DOIUrl":"https://doi.org/10.1016/j.intfin.2024.101948","url":null,"abstract":"<div><p>Considering various critical periods including the COVID-19 pandemic and the ongoing Russian–Ukraine war, this paper investigates the dynamics of extreme spillover effects<span> from the crude oil market to the financial markets of major oil-exporting countries. With the increased integration of global financial systems, oil market fluctuations can have far-reaching implications for economies that are heavily reliant on oil exports. We employ a wavelet approach to explore the co-movement and lead–lag relationships between the oil market and the financial markets of the considered countries. Next, we follow the newly introduced frequency-based connectedness approach of Hanif et al. (2023) to explore the dynamic connectedness and risk transmission among these markets. First, results from the wavelet coherency technique show that the degree of co-movement during the Russia–Ukraine war was significantly lower than it was under both the pre-crises and COVID-19 pandemic periods as shown by fewer regions with warmer colors (red), which show significant dependence at the 5% level, especially for Canada. Secondly, the dynamic connectedness of these markets was largely driven by long-term dynamics during the Russia–Ukraine crisis period, unlike the short-term driven connectedness observed during the COVID-19 pandemic. The average degree of connectedness at high frequencies (short-term) forms a smaller proportion of the average level of connectedness at low frequencies (long-term), indicating a stronger long-term influence of the crisis on the interconnectedness of these markets. Additionally, we find that Canada and the United States were the major net transmitters of shocks to the network during the conflict period, while Iraq exhibited the strongest level of idiosyncratic shocks. Interestingly, the crude oil market was observed to send stronger shocks to the network at the onset of the war, with the impact gradually diminishing as the conflict progressed. Our study provides valuable insights for policymakers and investors as a guide towards more informed decision-making and appropriate risk management strategies in the face of oil price volatility in these regions.</span></p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":4.0,"publicationDate":"2024-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139549971","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}

{"title":"Firm-level political risk and equity issuance","authors":"Dewan Rahman ,&nbsp;Anamul Haque ,&nbsp;Muhammad Kabir ,&nbsp;Shehub Bin Hasan","doi":"10.1016/j.intfin.2024.101944","DOIUrl":"10.1016/j.intfin.2024.101944","url":null,"abstract":"<div><p>We examine whether firm-level political risk influences the issuance of equity (debt) to finance corporate investment. With a sample of 64,693 firm-quarter observations from 2002 to 2020, we find that firm-level political risk is significantly and positively associated with subsequent equity issuance as opposed to debt issuance. To mitigate endogeneity, we estimate firm fixed-effects regression, perform nearest-neighbor score matching technique and Heckman’s (1979) two-step correction procedure, and employ gubernatorial elections in different states of the U.S. as a shock to the firm-level political risk. We also test for two potential economic mechanisms, financial flexibility and information asymmetry, and find that our baseline results are more pronounced for these channels. Our study presents new evidence on firms’ financing choices in the presence of firm-level political risk.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":4.0,"publicationDate":"2024-01-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1042443124000106/pdfft?md5=57cf16c33b47b59c94863d28871b84d5&pid=1-s2.0-S1042443124000106-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139477039","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}

{"title":"Financial-judicial specialization and stock price crash risk: Evidence from China","authors":"Kedi Wang ,&nbsp;Chen Wu","doi":"10.1016/j.intfin.2024.101941","DOIUrl":"10.1016/j.intfin.2024.101941","url":null,"abstract":"<div><p>Our paper examines the impact of the improved financial-judicial specialization on Chinese capital market considering the establishment of China’s first financial court, that is, the Shanghai Financial Court, as an exogenous shock. Using a difference-in-differences (DID) estimation, we find that greater financial-judicial specialization is associated with lower risk of stock price crash. Our results also show that this effect is more pronounced for firms with poor internal control, opaque information environment, and weak internal supervision. The mechanism analysis also shows that the improvement of financial-judicial specialization will also lead to act less opportunistically and disclose more bad news. Overall, the results shed light on the important role of financial-judicial specialization in the Chinese capital market.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":4.0,"publicationDate":"2024-01-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139540208","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}

{"title":"National culture and banks stock volatility","authors":"Koresh Galil,&nbsp;Eva Varon","doi":"10.1016/j.intfin.2023.101932","DOIUrl":"10.1016/j.intfin.2023.101932","url":null,"abstract":"<div><p>We conduct a cross-country analysis to examine the impact of national culture on the vulnerability of European banks during the Covid-19 pandemic. Analyzing the stock market volatility of major banks, we explore differences in uncertainty avoidance and individualism levels across multiple European countries. Our results reveal that low uncertainty avoidance reduces the influence of Covid-19-related cases on bank volatility during the peak of the crisis. Even as the pandemic progresses and vaccinations become widespread, the effect of uncertainty avoidance remains significant. We also find that high individualism has a stabilizing effect on bank volatility, particularly after the start of vaccinations. This study contributes to understanding the role of national culture in shaping bank vulnerability to common stocks, such as the pandemic.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":4.0,"publicationDate":"2024-01-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139477121","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}

{"title":"Interconnectedness between stock and credit markets: The role of European G-SIBs in a multilayer perspective","authors":"Matteo Foglia ,&nbsp;Caterina Di Tommaso ,&nbsp;Gang-Jin Wang ,&nbsp;Vincenzo Pacelli","doi":"10.1016/j.intfin.2024.101942","DOIUrl":"10.1016/j.intfin.2024.101942","url":null,"abstract":"<div><p>This paper investigates the interplay between two types of banking risk: market and credit. By verifying the volatility feedback loop hypothesis, we employ a multilayer information spillover network to explore information flow (risk spillover) between market and credit risks of European Global Systemically Important banks (G-SIBs). We analyse their role in transmitting market and credit risk, showing that capturing spillovers of both risks provides a more comprehensive perspective on financial risk contagion. Our findings have important implications for policymakers and risk managers, aiding in better risk assessment and timely crisis response, improving financial stability.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":4.0,"publicationDate":"2024-01-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139469110","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}

{"title":"Contagion effects of permissionless, worthless cryptocurrency tokens: Evidence from the collapse of FTX","authors":"Thomas Conlon ,&nbsp;Shaen Corbet ,&nbsp;Yang (Greg) Hou","doi":"10.1016/j.intfin.2024.101940","DOIUrl":"10.1016/j.intfin.2024.101940","url":null,"abstract":"<div><p>This paper investigates the price discovery relationships between FTT Token, issued by the cryptocurrency exchange FTX, and a set of assets and liabilities held by FTX amid a period of catastrophic financial decline by applying novel information flow measurement techniques. Results indicate that during key phases associated with the collapse of FTX, FTT Token had an informational lead over multiple assets, including cryptocurrencies such as Ethereum. Furthermore, we identify significant interactions between the FTT Token and both Robinhood shares and the token Serum, raising concerns about the direct influence of permissionless, technically valueless tokens on other assets and the potential challenges to market stability and investor protection. Our findings underscore the need for stronger policy-making, regulatory, and ethical considerations in cryptocurrency markets.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":4.0,"publicationDate":"2024-01-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1042443124000064/pdfft?md5=7e032534836e86798d96b7ac917435ae&pid=1-s2.0-S1042443124000064-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139476887","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}

{"title":"International trade network and stock market connectedness: Evidence from eleven major economies","authors":"Kefei You ,&nbsp;V.L. Raju Chinthalapati ,&nbsp;Tapas Mishra ,&nbsp;Ramakanta Patra","doi":"10.1016/j.intfin.2024.101939","DOIUrl":"10.1016/j.intfin.2024.101939","url":null,"abstract":"<div><p>Depth of cross-country international trade engagement is an important source of (the strength of) stock-market connectedness, depicting how directional attributes of trade determine the magnitude of spillover of stock returns across economies. We premise and test this hypothesis for a group of eleven major economies during 2000 m1-2021 m6 using both system-wide and directional evidence. We exploit the input–output network of <span>Bilgin and Yilmaz (2018)</span> to construct a trade-network, and use <span>Diebold and Yilmaz, 2009</span>, <span>Diebold and Yilmaz, 2012</span>, <span>Diebold and Yilmaz, 2014</span> Connectedness Index to proxy for stock-market connectedness among economies. We reveal China’s instrumental role in the trade-network and its rising influence in stock markets dominated by the US. Motivated by the fact that shocks on an economy’s imports and exports may lead to different magnitude of stock market spillover to its trade partner, we further carry out a pairwise directional level investigation. Once the directional dimensions of both the trade flows and the stock market influences are considered, we find that an economy’s stock return spillover to its trade partner is generated from its position as an importer and exporter. More importantly, being an importer is found to be a stronger source of such spillover than being an exporter.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":4.0,"publicationDate":"2024-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1042443124000052/pdfft?md5=aa4adf34b2639ad6aa269e10b288cf34&pid=1-s2.0-S1042443124000052-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139458359","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}

{"title":"Foreign institutional ownership stability and stock price crash risk","authors":"R. Shruti ,&nbsp;M. Thenmozhi","doi":"10.1016/j.intfin.2024.101937","DOIUrl":"10.1016/j.intfin.2024.101937","url":null,"abstract":"<div><p>This study investigates the impact of foreign institutional investors (FIIs) on stock price crash risk in India. Panel regression findings reveal that higher levels of FII holdings, signifying positional trading, exacerbate crash risk. Conversely, increased stability of FII holdings, indicative of active monitoring, diminishes crash risk. Notably, FIIs’ buying interest does not influence crash risk, affirming that their risk mitigation arises from active monitoring and not from curbing selling pressure. Further analysis reveals that FII stability reduces crash risk only when controlling shareholder (i.e., promoter) equity holding is low. This promoter effect is driven by domestic promoters and not foreign promoters.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":4.0,"publicationDate":"2024-01-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139392854","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}