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Forecasting Bitcoin volatility using machine learning techniques 利用机器学习技术预测比特币波动性
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-10-19 DOI: 10.1016/j.intfin.2024.102064
Zih-Chun Huang , Ivan Sangiorgi , Andrew Urquhart
{"title":"Forecasting Bitcoin volatility using machine learning techniques","authors":"Zih-Chun Huang ,&nbsp;Ivan Sangiorgi ,&nbsp;Andrew Urquhart","doi":"10.1016/j.intfin.2024.102064","DOIUrl":"10.1016/j.intfin.2024.102064","url":null,"abstract":"<div><div>This paper studies the Bitcoin volatility forecasting performance between popular traditional econometric models and machine learning techniques. We compare the 1-day to 2-month ahead forecasting performance of the Long Short-Term Memory (LSTM) and a hybrid Convolutional Neural Network-LSTM (CNN-LSTM) model to the traditional models. We find that neural networks outperform Generalised Autoregressive Conditional Heteroskedasticity (GARCH) models for all forecasting horizons. Furthermore, the LSTM model outperforms the Heterogeneous Autoregressive (HAR) model and by integrating the Markov Transition Field (MTF) into the CNN-LSTM model, we achieve superior forecasting results in the short-term, particularly for the 7-day forecasts.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"97 ","pages":"Article 102064"},"PeriodicalIF":5.4,"publicationDate":"2024-10-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142527727","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
Good vs. bad volatility in major cryptocurrencies: The dichotomy and drivers of connectedness 主要加密货币波动的好坏对比：二分法和关联性驱动因素
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-10-01 DOI: 10.1016/j.intfin.2024.102062
Jan Sila, Evzen Kocenda, Ladislav Kristoufek, Jiri Kukacka
{"title":"Good vs. bad volatility in major cryptocurrencies: The dichotomy and drivers of connectedness","authors":"Jan Sila,&nbsp;Evzen Kocenda,&nbsp;Ladislav Kristoufek,&nbsp;Jiri Kukacka","doi":"10.1016/j.intfin.2024.102062","DOIUrl":"10.1016/j.intfin.2024.102062","url":null,"abstract":"<div><div>Cryptocurrencies exhibit unique statistical and dynamic properties compared to those of traditional financial assets, making the study of their volatility crucial for portfolio managers and traders. We investigate the volatility connectedness dynamics of a representative set of eight major crypto assets. Methodologically, we decompose the measured volatility into positive and negative components and employ the time-varying parameters vector autoregression (TVP-VAR) framework to show distinct dynamics associated with market booms and downturns. Our findings indicate that crypto connectedness reflects important events and oscillates substantially while reaching lower limit values when compared to traditional financial markets. Periods of extremely high or low connectedness are clearly linked to specific events in the crypto market and macroeconomic or monetary history. Furthermore, existing asymmetry from good and bad volatility indicates that market downturns spill over substantially faster than comparable market surges. Overall, the connectedness dynamics are driven by a combination of both crypto (momentum, on-chain activity, off-chain activity) and legacy financial and economic (financial and economic uncertainty, and financial market performance) factors, while the asymmetry is more connected to the off-chain crypto activity and the combination of economic, financial, and monetary factors. In both the total connectedness and asymmetry modeling, these can serve as hands-on indicators to be further translated into specific portfolio re-balancing decisions, risk management, and regulatory frameworks.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"96 ","pages":"Article 102062"},"PeriodicalIF":5.4,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142423590","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
Financial sector development and microcredit to small firms 金融部门发展和向小企业提供小额贷款
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-10-01 DOI: 10.1016/j.intfin.2024.102063
Désiré Kanga , Issouf Soumare , Hubert Tchakoute Tchuigoua
{"title":"Financial sector development and microcredit to small firms","authors":"Désiré Kanga ,&nbsp;Issouf Soumare ,&nbsp;Hubert Tchakoute Tchuigoua","doi":"10.1016/j.intfin.2024.102063","DOIUrl":"10.1016/j.intfin.2024.102063","url":null,"abstract":"<div><div>This article investigates the relationship between countries’ financial sector development and the loans extended to micro, small, and medium-sized enterprises (MSMEs or <em>small firms</em>) by microfinance institutions (MFIs). Using 4,801 MFI-year observations worldwide, we find a negative relationship between financial sector development and MSME lending by microfinance institutions. In other words, improvement in financial development, defined as a combination of depth, access, and efficiency, decreases micro-lending to small firms due essentially to intense competition from banks. Moreover, looking at the ownership status of microfinance institutions, we find that the intense competition between profit-oriented microfinance institutions and banks mainly drives the observed negative relationship. For nonprofit microfinance institutions, financial sector development is not significantly associated with their lending to small firms. In a less developed financial sector, microfinance institutions lend more to small firms, fulfilling their social mission.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"96 ","pages":"Article 102063"},"PeriodicalIF":5.4,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142423592","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
Dependence of green energy markets on big data and other fourth industrial revolution technologies 绿色能源市场依赖大数据和其他第四次工业革命技术
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-10-01 DOI: 10.1016/j.intfin.2024.102061
Ramzi Benkraiem , Khaled Guesmi , Gideon Ndubuisi , Christian Urom , Samuel Vigne
{"title":"Dependence of green energy markets on big data and other fourth industrial revolution technologies","authors":"Ramzi Benkraiem ,&nbsp;Khaled Guesmi ,&nbsp;Gideon Ndubuisi ,&nbsp;Christian Urom ,&nbsp;Samuel Vigne","doi":"10.1016/j.intfin.2024.102061","DOIUrl":"10.1016/j.intfin.2024.102061","url":null,"abstract":"<div><div>This paper analyzes the dependence and connectedness among fourth-industrial revolution technology markets (including big data and artificial intelligence, blockchain, and financial technology) and global and regional (US, Europe, and Asia) green energy markets. In particular, we consider the dynamic dependence among these markets in terms of both returns and volatility across different market conditions and investment horizons using the cross-spectral coherence and Quantile-VAR connectedness approach. Three main results emerge from our analysis. First, the return dependence is relatively stronger than volatility dependence and is stronger across most time scales among the technology markets and the European and Asian regional green energy indexes. Second, the return and volatility connectedness is stronger during extreme than normal market conditions. Unless under bullish market times, volatility connectedness appears smaller than return connectedness, implying that market volatility risks spread less forcefully among these markets than return risks under normal and bearish market periods. Third, geopolitical risks, business environment, economic policy, fixed-income, and oil and gold markets’ uncertainties are significant predictors of the degree of return and volatility connectedness. Overall, our findings offer crucial insights for short- and long-term investors interested in portfolios with modern technology and green assets. They also emphasize the roles of market and macroeconomic factors in shock propagation and their implications for low-carbon transition.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"96 ","pages":"Article 102061"},"PeriodicalIF":5.4,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142423591","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 uncertainty and exchange rate conditions: Assessing the impact of uncertainty shocks in emerging markets and advanced economies 全球不确定性与汇率状况：评估不确定性冲击对新兴市场和发达经济体的影响
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-09-27 DOI: 10.1016/j.intfin.2024.102060
Helena Glebocki , Sujata Saha
{"title":"Global uncertainty and exchange rate conditions: Assessing the impact of uncertainty shocks in emerging markets and advanced economies","authors":"Helena Glebocki ,&nbsp;Sujata Saha","doi":"10.1016/j.intfin.2024.102060","DOIUrl":"10.1016/j.intfin.2024.102060","url":null,"abstract":"<div><div>Economic and financial conditions respond significantly to increased measures of uncertainty, particularly in economic policy, monetary policy, and financial markets. This research employs the global vector autoregression (global VAR) model to assess the response of bilateral exchange rates, exchange rate volatility, exchange market pressure, and nominal and real effective exchange rates to shocks in global economic and financial uncertainty, along with U.S. monetary policy uncertainty, U.S. equity market volatility, and U.S. financial stress indicators. Spikes in uncertainty correspond to immediate increases in exchange rate volatility, buildup of exchange market pressure, and depreciation for emerging markets. The results are compared to advanced economies, China, and Russia separately, identifying key differences across markets.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"96 ","pages":"Article 102060"},"PeriodicalIF":5.4,"publicationDate":"2024-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142327839","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
Social media as an amplifier of insider trading profits 社交媒体是内幕交易利润的放大器
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-09-25 DOI: 10.1016/j.intfin.2024.102059
Yi Li , Wei Zhang , Pengfei Wang , John W. Goodell
{"title":"Social media as an amplifier of insider trading profits","authors":"Yi Li ,&nbsp;Wei Zhang ,&nbsp;Pengfei Wang ,&nbsp;John W. Goodell","doi":"10.1016/j.intfin.2024.102059","DOIUrl":"10.1016/j.intfin.2024.102059","url":null,"abstract":"<div><div>Our study investigates the relationship between stock forum posts and insider trading profitability. Using regression analysis, we find a positive relationship between the number of posts on a firm’s stock forum and insider trading profitability, particularly for sales transactions. A difference-in-differences analysis based on the launch of the mobile app for stock forums further confirms these results. This profit-amplifying effect of stock forum posts is likely due to the pervasive noise on social media, as it weakens following the introduction of regulations aimed at cleaning up the internet’s information environment. Additionally, we observe distinctions in post tone around insider trades, with the profit-amplifying effect more pronounced in firms with high information asymmetry, substantial retail holdings, and less foreign ownership. Overall, our study highlights a potential dark side of social media in amplifying insider trading profits, emphasizing the need for regulatory measures.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"96 ","pages":"Article 102059"},"PeriodicalIF":5.4,"publicationDate":"2024-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142319553","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 ESG contracting align or compete with stakeholder interests? ESG 合同与利益相关者的利益是一致还是竞争？
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-09-19 DOI: 10.1016/j.intfin.2024.102058
Maria Gaia Soana
{"title":"Does ESG contracting align or compete with stakeholder interests?","authors":"Maria Gaia Soana","doi":"10.1016/j.intfin.2024.102058","DOIUrl":"10.1016/j.intfin.2024.102058","url":null,"abstract":"<div><p>The paper investigates whether ESG-linked managerial incentives, also known as ESG contracting, align or compete with stakeholder interests in the banking sector. The few related literature, focussed on non-financial companies, shows arguments both pro and against pay for sustainability. Using a panel data set of 595 worldwide listed banks for the period 2010–2021, the paper studies the effectiveness of ESG incentives in improving ESG performance and limiting ESG controversies. ESG contracting is shown to improve both ESG performance and ESG disputes, thus suggesting that it is more symbolic than substantial in meeting stakeholder interests. ESG strategy, ESG committee and managerial risk-taking are significant channels through which ESG incentives affect ESG performance and ESG controversies in the banking sector.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"96 ","pages":"Article 102058"},"PeriodicalIF":5.4,"publicationDate":"2024-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1042443124001240/pdfft?md5=b3ab5dd038a267f9720178820f5ea374&pid=1-s2.0-S1042443124001240-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142271317","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
The Shock of US-China trade war and the job Market: Downstream shrinkage and upstream employment 中美贸易战的冲击与就业市场：下游萎缩与上游就业
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-09-13 DOI: 10.1016/j.intfin.2024.102057
Yunqing Tao , Wei Yang , Yongwei Ye , Dongmin Kong
{"title":"The Shock of US-China trade war and the job Market: Downstream shrinkage and upstream employment","authors":"Yunqing Tao ,&nbsp;Wei Yang ,&nbsp;Yongwei Ye ,&nbsp;Dongmin Kong","doi":"10.1016/j.intfin.2024.102057","DOIUrl":"10.1016/j.intfin.2024.102057","url":null,"abstract":"<div><p>Using the 2018 US-China trade war as a quasi-natural experiment, we investigate how downstream shrinkage affects upstream employment. Utilizing a difference-in-differences (DID) approach, we reveal a negative effect of downstream shrinkage on upstream firm employment. Our mechanism analysis indicates that trade wars increase the tax burden, inventories, and accounts payable for downstream firms while reducing their employment. This shrinkage of downstream firms limits the scale of investment and operations for upstream firms through supply chain transmission, thereby decreasing employment of upstream firms. Moreover, our finding is more pronounced for specific types of firms, such as non-state-owned firms, firms operating across multiple industries. Our study provides an essential reference for firms in building resilient supply chain networks to better cope with potential negative shocks.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"96 ","pages":"Article 102057"},"PeriodicalIF":5.4,"publicationDate":"2024-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142230137","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
Beyond the target: The spillover effect of shareholder activism on corporate tax avoidance 目标之外：股东激进主义对企业避税的溢出效应
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-09-06 DOI: 10.1016/j.intfin.2024.102054
Haowen Tian , Junkai Wang , Sirui Wu
{"title":"Beyond the target: The spillover effect of shareholder activism on corporate tax avoidance","authors":"Haowen Tian ,&nbsp;Junkai Wang ,&nbsp;Sirui Wu","doi":"10.1016/j.intfin.2024.102054","DOIUrl":"10.1016/j.intfin.2024.102054","url":null,"abstract":"<div><p>This study explores how shareholder activism affects the behaviors of non-target companies with the same investment portfolio. Employing a matching-DiD methodology, we find that the portfolio non-target treatment firms tend to conduct greater tax avoidance compared to the control firms. This effect is stronger for firms facing financial constraints, under experienced activist scrutiny, involved in hostile campaigns, targeting financial and M&amp;A matters, and with higher activist shareholdings. Increased tax avoidance is attributed to improved tax planning, enhancing firm value, and reducing future targeting risks. These findings align with the threat effect, where both fortification and fire-drill channels can be at play. Overall, this study sheds light on how companies balance financial demands of shareholders with the tax obligations to the government in their tax strategy decisions, which may provide valuable insights into how businesses keep the balance between multiple stakeholders.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"96 ","pages":"Article 102054"},"PeriodicalIF":5.4,"publicationDate":"2024-09-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142149239","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 bind and the slack of Basel III liquidity regulations: Evidence from Indonesia 巴塞尔协议 III》流动性法规的约束与松弛：印度尼西亚的证据
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-09-05 DOI: 10.1016/j.intfin.2024.102046
Zaäfri A. Husodo, Arisyi F. Raz, Dwi Nastiti Danarsari
{"title":"The bind and the slack of Basel III liquidity regulations: Evidence from Indonesia","authors":"Zaäfri A. Husodo,&nbsp;Arisyi F. Raz,&nbsp;Dwi Nastiti Danarsari","doi":"10.1016/j.intfin.2024.102046","DOIUrl":"10.1016/j.intfin.2024.102046","url":null,"abstract":"<div><p>Liquidity regulation framework is one of the pillars of Basel III implementation. In this paper, we evaluate how Basel III liquidity regulations, namely the liquidity coverage ratio (LCR) and the net stable funding ratio (NSFR), as well as their interactions affect financial stability. Theory suggests that, in maintaining financial stability, liquidity regulations may not act as complements. If one regulation is a binding constraint, the other may become a slack. Using Indonesia, an early adopter of the LCR and the NSFR, as a testing ground, we find that the LCR significantly reduces bank systemic risk, thus acting as a binding liquidity regulation. Lower systemic risk reflects lower fire-sale spillover implications in the financial system after the implementation of the LCR. The NSFR, however, does not have a significant effect on systemic risk, confirming its role as a slack.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"96 ","pages":"Article 102046"},"PeriodicalIF":5.4,"publicationDate":"2024-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142135941","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
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