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Give me a break: What does the equity premium compensate for?
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2025-01-10 DOI: 10.1016/j.intfin.2024.102103
Patrizia Perras, Niklas Wagner
{"title":"Give me a break: What does the equity premium compensate for?","authors":"Patrizia Perras,&nbsp;Niklas Wagner","doi":"10.1016/j.intfin.2024.102103","DOIUrl":"10.1016/j.intfin.2024.102103","url":null,"abstract":"<div><div>We provide evidence that the equity premium does not simply compensate investors for bearing market risk per se and contribute to an adequate modeling of the intertemporal risk-return relationship. Our model captures the relationship between conditional expected excess stock market returns, conditional market volatility, and conditional market illiquidity, while taking scheduled trading breaks into account. We distinguish between two distinct sources of market risk, namely continuous diffusive risk during trading hours and a discontinuous component representing random overnight price jumps. Utilizing high-frequency data, we estimate specific premia for trading and non-trading components in terms of conditional volatility as well as conditional illiquidity. Our findings reveal that the conditional equity premium primarily compensates for bearing risk and illiquidity during market closures. Conditional volatility and illiquidity during trading hours play only a minor role in explaining the equity premium and shaping the intertemporal risk-return relationship.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"99 ","pages":"Article 102103"},"PeriodicalIF":5.4,"publicationDate":"2025-01-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143183698","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
Does international trade moderate economic development’s impact on income inequality in the EU?
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2025-01-09 DOI: 10.1016/j.intfin.2024.102107
Hyun-Jung Nam , Doojin Ryu
{"title":"Does international trade moderate economic development’s impact on income inequality in the EU?","authors":"Hyun-Jung Nam ,&nbsp;Doojin Ryu","doi":"10.1016/j.intfin.2024.102107","DOIUrl":"10.1016/j.intfin.2024.102107","url":null,"abstract":"<div><div>We analyze the U-shaped effect of economic development, indicated by GDP per capita, on income inequality. Using extensive data from European Union (EU) countries, we find that at lower GDP per capita levels, increases in GDP per capita reduce income inequality. However, beyond a certain threshold, further GDP per capita growth contributes to rising income inequality. International trade plays a moderating role, reducing income inequality at higher GDP per capita levels, though this effect is less pronounced in Eastern Europe. Our findings highlight the need for trade policies across the EU that ensure international trade has positive effects on income distribution.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"99 ","pages":"Article 102107"},"PeriodicalIF":5.4,"publicationDate":"2025-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143183697","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
Stablecoins as anchors? Unraveling information flow dynamics between pegged and unpegged crypto-assets and fiat currencies
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2025-01-06 DOI: 10.1016/j.intfin.2024.102108
Rafael Baptista Palazzi , Sebastian Schich , Alan de Genaro
{"title":"Stablecoins as anchors? Unraveling information flow dynamics between pegged and unpegged crypto-assets and fiat currencies","authors":"Rafael Baptista Palazzi ,&nbsp;Sebastian Schich ,&nbsp;Alan de Genaro","doi":"10.1016/j.intfin.2024.102108","DOIUrl":"10.1016/j.intfin.2024.102108","url":null,"abstract":"<div><div>This study empirically investigates the potential of stablecoins to act as anchors within the volatile cryptocurrency market, using a novel conceptual framework that defines an anchor asset in three dimensions relative to other assets, namely stability, independence, and resilience. To assess these three dimensions, we employ three distinct methods to analyze the linear and nonlinear relationships between stablecoins (Tether, USD Coin, and Binance USD), the top three unpegged crypto-assets (Bitcoin, Ethereum, and Binance), and the three most heavily traded fiat currencies after the US dollar (EUR, JPY, and GBP), all denominated in USD. Specifically, we utilize Granger causality, asymmetric dynamic conditional correlation (ADCC)-GARCH, and transfer entropy approaches. These methods help us examine volatility spillover effects among the three types of assets. Our resilience criteria requires us to measure market liquidity, which we do by employing the turnover ratio weighted by market capitalization and the approach proposed by Abdi and Ranaldo (2017). The results challenge the notion that stablecoins are robust anchors in the sense that they are more stable, independent, or resilient than other types of assets, and cast doubt on the suggestion that stablecoins might become a useful means of exchange that provide a private alternative to existing fiat currencies.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"99 ","pages":"Article 102108"},"PeriodicalIF":5.4,"publicationDate":"2025-01-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143183696","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
Risk and return spillovers among developed and emerging market currencies
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2025-01-01 DOI: 10.1016/j.intfin.2024.102086
Matthew Greenwood-Nimmo , Daan Steenkamp , Rossouw van Jaarsveld
{"title":"Risk and return spillovers among developed and emerging market currencies","authors":"Matthew Greenwood-Nimmo ,&nbsp;Daan Steenkamp ,&nbsp;Rossouw van Jaarsveld","doi":"10.1016/j.intfin.2024.102086","DOIUrl":"10.1016/j.intfin.2024.102086","url":null,"abstract":"<div><div>We develop a network model capturing the dynamic interactions among foreign exchange (FX) returns and realized risk measures for 20 developed market (DM) and emerging market (EM) currencies. We show that DM currencies are more integrated within the network than EM currencies on average and tend to become more dependent on external conditions over time. Spillovers between DMs and EMs evolve more rapidly than spillovers within DMs and within EMs and are a major contributor to overall spillover dynamics. Auxiliary regressions reveal that the net DM-to-EM spillover comoves with global factors known to drive EM capital flows.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"98 ","pages":"Article 102086"},"PeriodicalIF":5.4,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143101851","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
Tech titans and crypto giants: Mutual returns predictability and trading strategy implications
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-12-30 DOI: 10.1016/j.intfin.2024.102109
Elie Bouri , Amin Sokhanvar , Harald Kinateder , Serhan Çiftçioğlu
{"title":"Tech titans and crypto giants: Mutual returns predictability and trading strategy implications","authors":"Elie Bouri ,&nbsp;Amin Sokhanvar ,&nbsp;Harald Kinateder ,&nbsp;Serhan Çiftçioğlu","doi":"10.1016/j.intfin.2024.102109","DOIUrl":"10.1016/j.intfin.2024.102109","url":null,"abstract":"<div><div>This study examines the directional return predictability between the technology sector of U.S. stock market and three major cryptocurrencies (Bitcoin, Ethereum, and Dogecoin). Using daily data from August 7, 2015, to February 8, 2024, and the cross-quantilogram approach in both static and dynamic settings, the results reveal significant positive predictability in the stock market–cryptocurrency nexus. The technology sector, semiconductors subsector, and Nvidia Corporation exert predictive power over cryptocurrency returns and vice versa across several quantiles and lags. When controlling for the impact of other financial variables, namely, U.S. dollar and U.S. treasury markets, the return predictability holds, especially for the two largest cryptocurrencies, Bitcoin and Ethereum, which reflects their importance and tighter connections with the U.S. technology sector. A trading strategy based on the results of the cross-quantilograms outperforms a benchmark strategy (i.e., always long position in either stocks or cryptocurrency), which underlines the practical implications of our main findings, particularly in terms of the significant return interactions between U.S. technology/semiconductors stocks and large cryptocurrencies.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"99 ","pages":"Article 102109"},"PeriodicalIF":5.4,"publicationDate":"2024-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143183704","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 domestic and spillover effects of fiscal consolidation: The role of fiscal instruments, exchange rate regimes, and capital controls
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-12-24 DOI: 10.1016/j.intfin.2024.102106
Yunhan Zhang, Zhixin Liu, Hao Jin
{"title":"The domestic and spillover effects of fiscal consolidation: The role of fiscal instruments, exchange rate regimes, and capital controls","authors":"Yunhan Zhang,&nbsp;Zhixin Liu,&nbsp;Hao Jin","doi":"10.1016/j.intfin.2024.102106","DOIUrl":"10.1016/j.intfin.2024.102106","url":null,"abstract":"<div><div>This paper develops a two-country dynamic general equilibrium model with a range of fiscal policy instruments and external policies. We employ this model to examine the transmission mechanisms of fiscal consolidation and evaluate both the domestic and spillover effects of various fiscal consolidation strategies. In particular, we focus on how exchange rate regimes and financial openness influence these effects. Our findings are as follows. Firstly, a reduction in government investment significantly harms economic growth, while a reduction in transfer payments worsens income inequality. Additionally, a rise in corporate social security taxes has the most pronounced negative impact on the labor market. Secondly, the reforms of the exchange rate regime and financial account policy contribute to creating more favorable conditions for fiscal rebalancing. Lastly, China’s 2021 fiscal consolidation hit the domestic economy negatively both in the short and long term. However, it had a positive spillover effect in the short term, with a negative effect in the long term. Moreover, relative to the actual consolidation measure, the labor market-friendly and growth-friendly scenarios lead to less declines in employment and output, whereas the social-friendly scenario results in a lower domestic Gini coefficient and is preferred from a welfare perspective.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"99 ","pages":"Article 102106"},"PeriodicalIF":5.4,"publicationDate":"2024-12-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143183695","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
Central bank digital currency and systemic risk
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-12-22 DOI: 10.1016/j.intfin.2024.102104
Muhammad Suhail Rizwan , Ghufran Ahmad , Anum Qureshi
{"title":"Central bank digital currency and systemic risk","authors":"Muhammad Suhail Rizwan ,&nbsp;Ghufran Ahmad ,&nbsp;Anum Qureshi","doi":"10.1016/j.intfin.2024.102104","DOIUrl":"10.1016/j.intfin.2024.102104","url":null,"abstract":"<div><div>Central Bank Digital Currency (CBDC) is an emerging Financial Technology (FinTech) area. Several countries are involved in CBDC development at different stages and a few are already in the launching stage. We use the autoregressive distributed lag approach to explore the association between CBDC-related news and systemic risk in the short and long run by employing dynamic panel heterogeneity analysis. The results show that CBDC-related news has a significant negative association with systemic risk in the long run, indicating a positive reception by the global financial sector. Extended analysis shows that the long-run negative association is consistent across different income levels and geographical regions. However, countries in the advanced stages of CBDC development show a significant positive association between CBDC-related news and systemic risk warranting the utmost care in implementing CBDC initiatives.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"99 ","pages":"Article 102104"},"PeriodicalIF":5.4,"publicationDate":"2024-12-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143183759","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
Accounting comparability between M&A bidders and targets and deal outcome
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-12-12 DOI: 10.1016/j.intfin.2024.102096
Seraina C. Anagnostopoulou , Andrianos E. Tsekrekos
{"title":"Accounting comparability between M&A bidders and targets and deal outcome","authors":"Seraina C. Anagnostopoulou ,&nbsp;Andrianos E. Tsekrekos","doi":"10.1016/j.intfin.2024.102096","DOIUrl":"10.1016/j.intfin.2024.102096","url":null,"abstract":"<div><div>We examine whether acquirers make better acquisitions when target firms’ financial statements exhibit higher comparability with those of the acquirer. We hypothesize that higher comparability between M&amp;A bidders/targets will result in lower deal integration and information processing costs, and easier detection of any financial misreporting practices. We examine long-run deal performance and find that financial reporting comparability between acquirers/targets is positively associated with long-run deal performance and makes post-acquisition divestitures less likely, consistent with comparability resulting in more successful acquisitions. We provide evidence on how comparative accounting information between M&amp;A counterparties influences capital allocation decisions and value creation.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"99 ","pages":"Article 102096"},"PeriodicalIF":5.4,"publicationDate":"2024-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143183712","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 crypto collapse chronicles: Decoding cryptocurrency exchange defaults
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-12-04 DOI: 10.1016/j.intfin.2024.102093
Niranjan Sapkota
{"title":"The crypto collapse chronicles: Decoding cryptocurrency exchange defaults","authors":"Niranjan Sapkota","doi":"10.1016/j.intfin.2024.102093","DOIUrl":"10.1016/j.intfin.2024.102093","url":null,"abstract":"<div><div>This research explores the factors contributing to the failure of cryptocurrency exchanges by analyzing a sample of 845 exchanges. Using logit and probit models, it identifies key variables affecting cryptocurrency exchange defaults. The results show that cryptocurrency exchanges that are centralized, located in countries with high transparency indices, and offer fewer peer cryptocurrencies are more likely to default. Additionally, exchanges that impose high withdrawal fees and have no restrictions on clients from the United States are also positively associated with defaults. Moreover, the absence of referral schemes and having lower ratings each contributes marginally to defaults. Machine learning (ML) models including random forest, support vector machine, stacked ensemble confirm the robustness and high predictability of cryptocurrency exchange defaults.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"99 ","pages":"Article 102093"},"PeriodicalIF":5.4,"publicationDate":"2024-12-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143183565","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 short-run impact of investor expectations’ past volatility on current predictions: The case of VIX 投资者预期过去波动性对当前预测的短期影响：以波动率指数为例
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
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