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“Dollarization vs. bitcoinization in Türkiye: Which is more dangerous for the financial market?” “rkiye的美元化与比特币化：哪个对金融市场更危险？”
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2025-02-12 DOI: 10.1016/j.intfin.2025.102116
George M. Jabbour , Layal Mansour-Ichrakieh
{"title":"“Dollarization vs. bitcoinization in Türkiye: Which is more dangerous for the financial market?”","authors":"George M. Jabbour ,&nbsp;Layal Mansour-Ichrakieh","doi":"10.1016/j.intfin.2025.102116","DOIUrl":"10.1016/j.intfin.2025.102116","url":null,"abstract":"<div><div>While bitcoinization and dollarization share similar theoretical economic definitions, their effects on the financial market differ. We employ a vector autoregressive model and Granger causality test to examine the causal relationships between Bitcoin demand, the dollarization rate, and the financial market in Türkiye. The results indicate that neither bitcoinization nor dollarization directly causes a financial crisis in Türkiye. However, when breaking down the financial market into its three components —the banking sector, the stock market, and the foreign exchange market — we find a bidirectional causality between bitcoinization and the banking sector, and between dollarization and the exchange market.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"100 ","pages":"Article 102116"},"PeriodicalIF":5.4,"publicationDate":"2025-02-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143395646","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
Managing cryptocurrency risk exposures in equity portfolios: Evidence from high-frequency data 管理股票投资组合中的加密货币风险敞口：来自高频数据的证据
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2025-02-05 DOI: 10.1016/j.intfin.2025.102123
Minhao Leong , Vitali Alexeev , Simon Kwok
{"title":"Managing cryptocurrency risk exposures in equity portfolios: Evidence from high-frequency data","authors":"Minhao Leong ,&nbsp;Vitali Alexeev ,&nbsp;Simon Kwok","doi":"10.1016/j.intfin.2025.102123","DOIUrl":"10.1016/j.intfin.2025.102123","url":null,"abstract":"<div><div>We investigate the evolving relationships between cryptocurrencies and equity portfolios and find that Bitcoin’s contributions to the active risks of equity portfolios have grown over time, exceeding 10% in defensive strategies. This underscores the increasing importance of investment professionals quantifying and managing crypto-related risk exposures in their portfolios, a task for which we provide guidance. For risk measurement, we use intraday returns to significantly improve the forecast accuracy of equity portfolio sensitivities to cryptocurrency risks. For risk management, we advocate direct hedging for optimal risk reduction and suggest using stock selection constraints as an alternative approach to limit the influence of cryptocurrencies on portfolio risk exposures.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"99 ","pages":"Article 102123"},"PeriodicalIF":5.4,"publicationDate":"2025-02-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143183708","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
Stock market reaction to mandatory carbon disclosure announcements: The role of institutional investors 股票市场对强制性碳信息披露公告的反应：机构投资者的作用
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2025-02-05 DOI: 10.1016/j.intfin.2025.102113
Chris Florackis , Dewan Muktadir-Al-Mukit , Sushil Sainani , Ziyang (John) Zhang
{"title":"Stock market reaction to mandatory carbon disclosure announcements: The role of institutional investors","authors":"Chris Florackis ,&nbsp;Dewan Muktadir-Al-Mukit ,&nbsp;Sushil Sainani ,&nbsp;Ziyang (John) Zhang","doi":"10.1016/j.intfin.2025.102113","DOIUrl":"10.1016/j.intfin.2025.102113","url":null,"abstract":"<div><div>We examine the stock market reaction to mandatory carbon disclosure (MCD) announcements in the UK, the first country to mandate the disclosure of greenhouse gas (GHG) emissions by listed firms. Our analysis reveals that, while the overall market was not greatly affected, firms with high carbon intensity and substantial institutional ownership experienced negative abnormal stock returns. This effect persists–and even becomes more pronounced–for firms owned by long-term institutional investors and those from countries with strong social norms surrounding climate and sustainability. Additionally, we find that heightened institutional investor attention on announcement days amplified price pressure, leading to more negative stock returns for these firms. Collectively, our findings underscore how mandatory carbon disclosure announcements enhanced the salience of carbon information, prompting institutional investors to incorporate carbon-related considerations into their decision-making processes.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"99 ","pages":"Article 102113"},"PeriodicalIF":5.4,"publicationDate":"2025-02-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143331832","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
Nonlinearity in the nexus between financial development and wealth inequality 金融发展与财富不平等关系的非线性
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2025-02-04 DOI: 10.1016/j.intfin.2025.102117
Dong-Hyeon Kim , Peiyao Liu , Shu-Chin Lin
{"title":"Nonlinearity in the nexus between financial development and wealth inequality","authors":"Dong-Hyeon Kim ,&nbsp;Peiyao Liu ,&nbsp;Shu-Chin Lin","doi":"10.1016/j.intfin.2025.102117","DOIUrl":"10.1016/j.intfin.2025.102117","url":null,"abstract":"<div><div>Rising income and wealth inequality have renewed interest in their determinants, positioning the financial sector as a central focus of the ongoing debate. Nevertheless, controversy persists regarding the relationship between financial development and economic inequality. While much of the empirical literature focuses on income inequality, wealth inequality has received comparatively less attention. Given the extreme concentration of wealth and its influence on economic opportunity and political power, this paper explores whether it is excessive or insufficient financial development that contributes to the widening disparities in wealth distribution. Using a cross-country panel data framework, the study finds that financial development exacerbates wealth inequality by increasing wealth concentration at the top and diminishing wealth shares in the bottom 50% up to a certain threshold. Beyond this point, financial development results in a reduction of top wealth shares and an increase in the wealth shares of the bottom 50%, thereby narrowing wealth inequality. A similar pattern is observed for income inequality. Pathway analyses indicate that these effects are partially mediated through entrepreneurship. Insufficient financial development adversely impacts both wealth and income distribution.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"99 ","pages":"Article 102117"},"PeriodicalIF":5.4,"publicationDate":"2025-02-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143183713","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
Downside belief disagreements and financial instability: Evidence from risk factor disclosures in U.S. financial institutions’ 10-K filings 下行信念分歧和金融不稳定：来自美国金融机构10-K文件中风险因素披露的证据
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2025-02-04 DOI: 10.1016/j.intfin.2025.102118
Rui Li , Jianping Li , Xiaoqian Zhu
{"title":"Downside belief disagreements and financial instability: Evidence from risk factor disclosures in U.S. financial institutions’ 10-K filings","authors":"Rui Li ,&nbsp;Jianping Li ,&nbsp;Xiaoqian Zhu","doi":"10.1016/j.intfin.2025.102118","DOIUrl":"10.1016/j.intfin.2025.102118","url":null,"abstract":"<div><div>At what point does the shift from a stable to an unstable financial system occur? This study develops the first measurement of downside belief disagreements by utilizing the qualitative disclosures of risk factors in U.S. financial institutions’ 10-K filings. We show that the transition into financial instability occurs with a large increase in downside belief disagreements. Notably, it is not only downside belief disagreements but also its interaction with rapid credit expansion that matters for financial stability risks. We further conduct mechanism tests and find that downside belief disagreements harm financial stability by imposing credit constraints and price reductions.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"99 ","pages":"Article 102118"},"PeriodicalIF":5.4,"publicationDate":"2025-02-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143183710","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
Covered interest rate parity deviations, COVID-19 pandemic infection cases, and vaccination 包括利率平价偏差、COVID-19大流行感染病例和疫苗接种
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2025-02-03 DOI: 10.1016/j.intfin.2025.102122
Yu-Lun Chen , Yi-Hua Li , Wan-Shin Mo , J. Jimmy Yang
{"title":"Covered interest rate parity deviations, COVID-19 pandemic infection cases, and vaccination","authors":"Yu-Lun Chen ,&nbsp;Yi-Hua Li ,&nbsp;Wan-Shin Mo ,&nbsp;J. Jimmy Yang","doi":"10.1016/j.intfin.2025.102122","DOIUrl":"10.1016/j.intfin.2025.102122","url":null,"abstract":"<div><div>This study explores the impact of the COVID-19 pandemic on deviations from covered interest rate parity (CIP) for G10 currencies. We find that a higher number of COVID-19 infection cases and a higher stringency index, which captures the strictness of policies and government interventions, are associated with larger CIP deviations. However, this relation disappears after COVID-19 vaccines became available. This finding indicates that vaccines not only represent a significant advancement in combating the coronavirus but also contribute to improving efficiency in the FX market by mitigating uncertainty and stabilizing economic conditions. Furthermore, we find that the rise of the U.S. dollar during the COVID-19 pandemic contributes to persistent deviations from CIP.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"99 ","pages":"Article 102122"},"PeriodicalIF":5.4,"publicationDate":"2025-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143183707","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
Governmental venture capital and investor sentiment: Evidence from Chinese government guidance funds 政府风险投资与投资者情绪：来自中国政府引导基金的证据
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2025-02-03 DOI: 10.1016/j.intfin.2025.102120
Xinfei Huang , Yue Zhang , Zhe Zong
{"title":"Governmental venture capital and investor sentiment: Evidence from Chinese government guidance funds","authors":"Xinfei Huang ,&nbsp;Yue Zhang ,&nbsp;Zhe Zong","doi":"10.1016/j.intfin.2025.102120","DOIUrl":"10.1016/j.intfin.2025.102120","url":null,"abstract":"<div><div>While the role of government-backed venture capital (GVC) in influencing companies’ operating performance has been well-documented, its potential impact on the financial market remains less explored. This paper aims to fill this gap in the context of China’s venture capital market. Since 2002, the Chinese government has launched a type of policy VC fund—government guidance funds (GGFs)—to stimulate innovation, industrial transformation, and local economic growth. Using a sample of 2,860 IPO companies from 2010 to 2021, we show that GGF-backed IPOs exhibited higher initial returns than both non-VC-backed and non-GGF VC-backed IPOs. A decomposition of the initial returns reveals that this effect was driven by market overvaluation rather than IPO price discounts. Consistent with investor sentiment and signaling theory, our results suggest that investors held optimistic views towards GGF-backed companies. However, when assessing post-IPO operating and innovation performance, GGF-backed companies did not outperform their counterparts. Overall, this paper highlights the signaling effects of GGFs in the financial market and provides important policy implications for the design of GVC programs worldwide.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"99 ","pages":"Article 102120"},"PeriodicalIF":5.4,"publicationDate":"2025-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143183709","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
Sovereign debt cost and economic complexity 主权债务成本与经济复杂性
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2025-01-31 DOI: 10.1016/j.intfin.2025.102121
Jose E. Gomez-Gonzalez , Jorge M. Uribe , Oscar M. Valencia
{"title":"Sovereign debt cost and economic complexity","authors":"Jose E. Gomez-Gonzalez ,&nbsp;Jorge M. Uribe ,&nbsp;Oscar M. Valencia","doi":"10.1016/j.intfin.2025.102121","DOIUrl":"10.1016/j.intfin.2025.102121","url":null,"abstract":"<div><div>This paper investigates how a country’s economic complexity impacts its sovereign yield spread relative to the U.S. A one-unit increase in the Economic Complexity Index reduces the 10-year yield spread by about 61 basis points, though this effect is non-significant for maturities under three years, affecting the spread curve slope. Using causal machine learning and predictive models, economic complexity is a top predictor alongside inflation and institutional factors. The paper explores mechanisms through which economic complexity reduces sovereign risk, emphasizing its role in productivity, output, income stability, and the likelihood of fiscal crises.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"99 ","pages":"Article 102121"},"PeriodicalIF":5.4,"publicationDate":"2025-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143183706","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
Other comprehensive income volatility and bank risk 其他综合收益波动和银行风险
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2025-01-30 DOI: 10.1016/j.intfin.2025.102115
Yang Su , Junrui Zhang , Hong Zhao , Mingming Zhou
{"title":"Other comprehensive income volatility and bank risk","authors":"Yang Su ,&nbsp;Junrui Zhang ,&nbsp;Hong Zhao ,&nbsp;Mingming Zhou","doi":"10.1016/j.intfin.2025.102115","DOIUrl":"10.1016/j.intfin.2025.102115","url":null,"abstract":"<div><div>In this study, we explore how banks manage risk in response to Other Comprehensive Income (OCI) volatility. We find that banks with high OCI volatility decrease perceived risk while increasing their contribution to systemic risk. As strategies in response to OCI volatility, banks reduce available-for-sale (AFS) holdings and loans, and expand the off-balance-sheet (OBS) entrusted loans and wealth management products. The effects on systemic risk and OBS activities are more pronounced under tight monetary policy but less so under macroprudential supervision. These results indicate that OCI captures the attention of banks in their risk management, yet their response to OCI volatility intensifies systemic fragility. The enforcement of OCI disclosure should be complemented by effective macroprudential supervision to ensure financial stability.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"99 ","pages":"Article 102115"},"PeriodicalIF":5.4,"publicationDate":"2025-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143183705","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
Ex ante bond returns and time-varying monotonicity 事先债券收益与时变单调性
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2025-01-28 DOI: 10.1016/j.intfin.2025.102114
Hamid Yahyaei , Abhay Singh, Tom Smith
{"title":"Ex ante bond returns and time-varying monotonicity","authors":"Hamid Yahyaei ,&nbsp;Abhay Singh,&nbsp;Tom Smith","doi":"10.1016/j.intfin.2025.102114","DOIUrl":"10.1016/j.intfin.2025.102114","url":null,"abstract":"<div><div>We examine the dynamics of U.S. Treasury term premia by applying and extending the nonparametric framework of Boudoukh, Richardson, Smith, and Whitelaw (1999) into a time-varying test of monotonicity. The framework exploits conditioning variables with economic relevance to the business cycle, which a priori predict non-monotonic Treasury returns to permit a formal test of the Liquidity Preference Hypothesis (LPH). Conditioning ex ante returns against inversion in the yield curve, restrictive monetary policy rates, and negative investor sentiment reveals a non-monotonic term premium on Treasury bills. In contrast, term premia on portfolios comprising longer-term Treasury notes are primarily monotonic but exhibit non-monotonicity that coincides with unexpected macroeconomic shocks. When interest rates reach the zero lower bound, term premia are universally monotonic, demonstrating the Federal Reserve’s ability to normalise the yield curve. Ultimately, we illustrate the importance of accounting for the time-varying behaviour of the term premium, especially as changes in the business cycle influence the term structure of interest rates.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"99 ","pages":"Article 102114"},"PeriodicalIF":5.4,"publicationDate":"2025-01-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143183703","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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