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The nexus of conventional, religious and ethical indexes during crisis 危机期间传统、宗教和伦理指数的联系
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-07-23 DOI: 10.1016/j.intfin.2024.102027
{"title":"The nexus of conventional, religious and ethical indexes during crisis","authors":"","doi":"10.1016/j.intfin.2024.102027","DOIUrl":"10.1016/j.intfin.2024.102027","url":null,"abstract":"<div><p>This study examines the interconnectedness between conventional and ethical indexes. Using a Bayesian graphical vector autoregressive model, we derive the contemporaneous and temporal interdependencies among these stock index returns before and during the Covid-19 pandemic. Our model specification strategy combines vector autoregressive models with networks. The findings provide empirical evidence of increased interconnectedness during the Covid-19 period across all networks. Notably, the religious and FTSE Islamic networks exhibited greater resilience during the pandemic. This could be attributed to the rigorous screening processes for religious portfolios, which focus on lower-leveraged equity stocks, contributing to their stability. Additionally, our results show that the Covid-19 crisis affected network density and the roles of key player shock transmitter entities, as indicated by changes in hub and authority scores, with new key players emerging during the crisis.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2024-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1042443124000933/pdfft?md5=5f69e49e508d31c368c29ca0d2bb51df&pid=1-s2.0-S1042443124000933-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141845395","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
Sovereign risk dynamics in the EU: The time varying relevance of fiscal and external (im)balances* 欧盟的主权风险动态：财政和对外（不）平衡的时变相关性*
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-07-01 DOI: 10.1016/j.intfin.2024.102026
António Afonso , José Alves , Sofia Monteiro
{"title":"Sovereign risk dynamics in the EU: The time varying relevance of fiscal and external (im)balances*","authors":"António Afonso ,&nbsp;José Alves ,&nbsp;Sofia Monteiro","doi":"10.1016/j.intfin.2024.102026","DOIUrl":"https://doi.org/10.1016/j.intfin.2024.102026","url":null,"abstract":"<div><p>Acknowledging the potential detrimental impact that twin-deficits can have on sovereign risk, this study uses a two-step approach to assess the impact of fiscal and external sustainability on sovereign risk dynamics for a panel of 27 European economies from Q4 2001 to Q3 2022. We first estimate a country-specific time-varying measure of fiscal sustainability, based on the cointegration between government revenues and expenditures and external sustainability, derived from the cointegration of exports and imports. We then use these time-varying coefficients to assess their impact on sovereign risk, proxied by 10-year CDS and CDS spreads (against the US), employing a Weighted Least Squares (WLS) analysis. Notably, we show that an improvement of both fiscal and external sustainability lead to a reduction in sovereign risk. This phenomenon is particularly pronounced for countries experiencing an upward trajectory in public debt levels.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2024-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1042443124000921/pdfft?md5=3c37a9751dcbd0ea7157623896e004b4&pid=1-s2.0-S1042443124000921-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141543725","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
One crash, too many: Global uncertainty, sentiment factors and cryptocurrency market 一次崩盘，太多了：全球不确定性、情绪因素和加密货币市场
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-07-01 DOI: 10.1016/j.intfin.2024.102028
Rilwan Sakariyahu , Rodiat Lawal , Rasheed Adigun , Audrey Paterson , Sofia Johan
{"title":"One crash, too many: Global uncertainty, sentiment factors and cryptocurrency market","authors":"Rilwan Sakariyahu ,&nbsp;Rodiat Lawal ,&nbsp;Rasheed Adigun ,&nbsp;Audrey Paterson ,&nbsp;Sofia Johan","doi":"10.1016/j.intfin.2024.102028","DOIUrl":"https://doi.org/10.1016/j.intfin.2024.102028","url":null,"abstract":"<div><p>Recent studies document that cryptocurrencies offer an alternative store of value, medium of exchange and can be used to hedge against currency and price fluctuations. However, the frequent collapse of the crypto-market undermines its safe-haven characteristics, as investors’ fear and anxiety could intensify market volatility and trigger a financial crisis. Motivated by the current global vicissitudes, this study examines the impact of uncertainty and sentiment factors on price behaviour of cryptocurrencies. To estimate our model, we used daily, low, high and closing price data for major crypto projects, from January 2018 to January 2023. We show that economic and political uncertainty factors significantly drive crypto prices. Furthermore, the interaction between sentiment dynamics as expressed by investors on different social platforms has a significant adverse effect on the returns of the cryptocurrency market, and the impact is more pronounced for tokens within the same ecosystem. Using the asymmetric GARCH-MIDAS model and TVP-VAR, we also demonstrate the existence of a significant contagion among tokens within the same ecosystem when bad (or good) news occurs. Considering the massive unprotected losses incurred by crypto investors during crises, our results provide important insights into how portfolio managers can effectively design investment strategies.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2024-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141543726","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 trading restriction and return comovement 非对称交易限制与回报率相关性
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-07-01 DOI: 10.1016/j.intfin.2024.102023
Hongbing Zhu , Lihua Yang , Bing Zhang
{"title":"Asymmetric trading restriction and return comovement","authors":"Hongbing Zhu ,&nbsp;Lihua Yang ,&nbsp;Bing Zhang","doi":"10.1016/j.intfin.2024.102023","DOIUrl":"https://doi.org/10.1016/j.intfin.2024.102023","url":null,"abstract":"<div><p>This study decomposes the overall return comovement into intraday and overnight comovement based on a model-free framework. It shows that intraday return comovement contributes the most to the overall return comovement, but the impact of overnight return comovement is persistent. Investors under the market with asymmetric trading restrictions (ATR) tend to sell stocks early in the market and buy them near the end of the market. This correlated trading behavior contributes to the specific comovement in stock returns, especially the overnight return. Our findings remain solid even after controlling for more stock attributes and changing the proxies for return comovement and investor trading behavior. We also document a weakening (reinforcing) effect of the short-selling mechanism (disposition effect) on the <em>ATR</em>-induced return comovement. Our results provide a deeper understanding of investors’ trading behavior under ultra-short-term trading restrictions and the source of return comovement in the literature.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2024-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141484694","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
Political affinity, multilateralism, and foreign direct investment worldwide 全球政治亲和力、多边主义和外国直接投资
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-07-01 DOI: 10.1016/j.intfin.2024.102024
Wenlian Lin , Jerry Cao , Sili Zhou , Yong Li
{"title":"Political affinity, multilateralism, and foreign direct investment worldwide","authors":"Wenlian Lin ,&nbsp;Jerry Cao ,&nbsp;Sili Zhou ,&nbsp;Yong Li","doi":"10.1016/j.intfin.2024.102024","DOIUrl":"https://doi.org/10.1016/j.intfin.2024.102024","url":null,"abstract":"<div><p>We investigate the relationship between political affinity and foreign direct investment (FDI) from the perspective of bilateral relations extending to multilateralism. The bilateral analysis shows that a host country can attract more FDI from a home country with which it has high political affinity. Furthermore, we shed new light on the role of multilateralism and find that multilateral diplomacy helps mitigate the effect of bilateral political affinity on FDI through dialog and consultation based on common interests. Finally, we show that a host country’s institutional quality moderates the relationship between political affinity and FDI. Our analysis highlights the importance of multilateralism in the era of political polarization and deglobalization, which threaten the development of international investment.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2024-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141543724","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
Green bond issuance and credit risk: International evidence 绿色债券发行与信用风险：国际证据
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-07-01 DOI: 10.1016/j.intfin.2024.102013
{"title":"Green bond issuance and credit risk: International evidence","authors":"","doi":"10.1016/j.intfin.2024.102013","DOIUrl":"10.1016/j.intfin.2024.102013","url":null,"abstract":"<div><p>We present the first empirical study of the impact of corporate green bond issuance announcements on issuer credit risk, as measured by their CDS spreads. We use a broad international sample of 1,048 green bonds issued between 2013 and 2022 by 200 entities from 26 countries. Our analysis reveals a significant, though not uniform, reaction in the CDSs. The sector of activity emerges as a critical determinant, particularly with respect to environmental exposure. While sectors highly exposed to environmental risk exhibit a reduction in issuer credit risk, all others, especially financial entities, react in the opposite direction. Our study highlights that the impact on credit risk is influenced by several other factors, including the issuer’s overall ESG score, its E score, and various country-level metrics such as development level, environmental performance and political rights. We also identify other factors that affect credit risk, such as green bond ratings and operating cash flow.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2024-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1042443124000799/pdfft?md5=18941c9e093eb1e668d647c8d2701389&pid=1-s2.0-S1042443124000799-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141400924","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
Politicians’ connections and sovereign credit ratings 政治家的关系和主权信用评级
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-06-21 DOI: 10.1016/j.intfin.2024.102022
Patrycja Klusak , Yurtsev Uymaz , Rasha Alsakka
{"title":"Politicians’ connections and sovereign credit ratings","authors":"Patrycja Klusak ,&nbsp;Yurtsev Uymaz ,&nbsp;Rasha Alsakka","doi":"10.1016/j.intfin.2024.102022","DOIUrl":"https://doi.org/10.1016/j.intfin.2024.102022","url":null,"abstract":"<div><p>Using a unique hand-collected sample of professional connections between finance ministers and the top executives of the three largest credit rating agencies (CRAs) for 38 European sovereigns between January 2000 and November 2017, we show that professional connections result in higher sovereign ratings. This finding is attributed to ‘favoritism’, which stems from the conflict-of-interest problem in the CRA business model. We also find that the subjective component of ratings, captured by professional connections, has a more pronounced role for developing than developed countries. Our study offers new empirical evidence that unsolicited sovereign ratings are significantly lower than solicited ratings. Our results survive battery of robustness checks including propensity score matching (PSM), two-way fixed-effects, system GMM and various definitions of connection. Our findings offer wide-ranging implications for regulators, governments, market participants and CRAs.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":5.4,"publicationDate":"2024-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S104244312400088X/pdfft?md5=74d95cc8113c1733ca307734fcb24647&pid=1-s2.0-S104244312400088X-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141439126","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
International crash risk premium 国际碰撞风险溢价
IF 4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-06-14 DOI: 10.1016/j.intfin.2024.102014
Steven Shu-Hsiu Chen
{"title":"International crash risk premium","authors":"Steven Shu-Hsiu Chen","doi":"10.1016/j.intfin.2024.102014","DOIUrl":"10.1016/j.intfin.2024.102014","url":null,"abstract":"<div><p>This paper investigates the international crash risk and the cross-section of stock index returns. We use the ex-ante model-free negative skewness measured by country-specific index options, proposed in Bakshi et al. (2003), as a proxy of the crash risk. We find that a country’s stock index with a high crash risk relates to a higher stock return as a risk premium across countries. The international crash risk premium exists robustly after controlling for volatility risk, macroeconomic variables, sensitivities to the international risk factors, and realized return moments. In contrast, other international risk premiums do not exist based on the exposure of such control variables. Based on the crash risk premium, we construct international stock trading strategies by sorting option-implied skewness across countries that outperform benchmark strategies by sorting the above control variables.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":4.0,"publicationDate":"2024-06-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141405254","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
Blockchain factors 区块链因素
IF 4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-06-13 DOI: 10.1016/j.intfin.2024.102012
Athanasios Sakkas , Andrew Urquhart
{"title":"Blockchain factors","authors":"Athanasios Sakkas ,&nbsp;Andrew Urquhart","doi":"10.1016/j.intfin.2024.102012","DOIUrl":"https://doi.org/10.1016/j.intfin.2024.102012","url":null,"abstract":"<div><p>Identifying factors to explain cryptocurrency returns is challenging given the lack of fundamental information, however there exists a plethora of data from public blockchains. We use these on-chain data with the recent methodology of Harvey and Liu (2021) and show that a parsimonious two-factor model comprised of the value-weighted cryptocurrency market factor and the network distribution factor can explain the cross-section of individual cryptocurrency returns.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":4.0,"publicationDate":"2024-06-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1042443124000787/pdfft?md5=21139b01677da8c2e15a1ea802474fcf&pid=1-s2.0-S1042443124000787-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141314086","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
Comparative dynamics of housing finance: A cross-country analysis 住房融资的比较动态：跨国分析
IF 4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-06-03 DOI: 10.1016/j.intfin.2024.102010
Jongseok Rim
{"title":"Comparative dynamics of housing finance: A cross-country analysis","authors":"Jongseok Rim","doi":"10.1016/j.intfin.2024.102010","DOIUrl":"10.1016/j.intfin.2024.102010","url":null,"abstract":"<div><p>This paper conducts a comparative analysis of housing finance markets in the United States, United Kingdom, and Germany, focusing on their responses to market changes and significant external shocks like the Global Financial Crisis (GFC) and the COVID-19 pandemic. It aims to clarify the complex relationship between market dynamics and housing finance structures, as well as the impact of major market shocks on these systems. The study uncovers subtle differences in responses, underscored by governmental interventions, levels of securitisation, and diverse funding models of mortgage originators. It also highlights how regulatory interventions influence variations across markets in specific circumstances such as the GFC and the pandemic. This research contributes valuable insights into the adaptability and resilience of housing finance systems against external shocks, enhancing our understanding of their strengths and vulnerabilities.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":4.0,"publicationDate":"2024-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1042443124000763/pdfft?md5=de30170d84a95025c910c3d1f8f3af27&pid=1-s2.0-S1042443124000763-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141274289","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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