发布求助
文献互助 智能选刊 最新文献

International Journal of Finance and Economics最新文献

筛选
英文 中文
Monetary policy and equity returns: The role of investor risk aversion 货币政策与股票回报：投资者风险规避的作用
International Journal of Finance and Economics Pub Date : 2024-09-18 DOI: 10.1002/ijfe.3047
Licheng Zhang
{"title":"Monetary policy and equity returns: The role of investor risk aversion","authors":"Licheng Zhang","doi":"10.1002/ijfe.3047","DOIUrl":"https://doi.org/10.1002/ijfe.3047","url":null,"abstract":"This article examines the role of investor risk aversion in the transmission of monetary policy to stock returns based on U.S. data. Our results show that following an expansionary monetary policy shock, investor risk aversion falls, leading to a decrease in the equity risk premium and an increase in equity returns. Moreover, the returns of high‐beta stocks increase much more than those of low‐beta stocks. Finally, we investigate the mechanism through mutual fund flows. We find that high‐beta funds attract greater inflows in response to lower interest rates, and there is a positive relationship between fund returns and flows. Our findings have policy implications for financial stability.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"18 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142259634","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Monetary policy transmission under pandemic uncertainty: Effect on banks' risk and capital adjustments 大流行病不确定性下的货币政策传导：对银行风险和资本调整的影响
International Journal of Finance and Economics Pub Date : 2024-09-17 DOI: 10.1002/ijfe.3044
Moau Yong Toh, Dekui Jia
{"title":"Monetary policy transmission under pandemic uncertainty: Effect on banks' risk and capital adjustments","authors":"Moau Yong Toh, Dekui Jia","doi":"10.1002/ijfe.3044","DOIUrl":"https://doi.org/10.1002/ijfe.3044","url":null,"abstract":"This paper investigates the effects of monetary policy on the simultaneous adjustments in asset portfolio risk and capital of banks amidst the uncertainty of the COVID‐19 pandemic, focusing on the 12 largest economies from 2018 Q1 to 2021 Q4. Results indicate that banks show lower portfolio risk and capital levels when the monetary policy stance is eased. However, amid heightened pandemic uncertainty, the risk‐reducing effect of monetary policy on banks amplifies, while bank capital levels remain unchanged. Heterogeneity analyses reveal that banks with higher levels of diversification and herding are more responsive to interest rates amid pandemic uncertainty, exhibiting lower risk exposure in their asset portfolios. Banks in countries adopting negative interest rate policies also tend to assume greater asset risk to accommodate the intended stimulus of monetary policies.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"17 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142259635","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
International mergers and acquisitions and institutional differences: An integrated approach 国际并购与制度差异：综合方法
International Journal of Finance and Economics Pub Date : 2024-08-30 DOI: 10.1002/ijfe.3033
Andrzej Cieślik, Monika Tarsalewska
{"title":"International mergers and acquisitions and institutional differences: An integrated approach","authors":"Andrzej Cieślik, Monika Tarsalewska","doi":"10.1002/ijfe.3033","DOIUrl":"https://doi.org/10.1002/ijfe.3033","url":null,"abstract":"In this paper we study the role of institutional differences in bilateral mergers and acquisitions (M&As) in an integrated framework. We contribute to the literature on the drivers of international M&As by integrating the gravity, knowledge‐capital (KK) and political economy theory (PET) approaches and explain cross‐border M&As using an international and comprehensive dataset. We estimate the model using Poisson Pseudo Maximum Likelihood (PPML) method with high dimension fixed effects. The main findings are that the variables that affect cross‐border M&As can be derived from three different approaches explaining activity of multinational enterprises (MNEs): the gravity equation, the KK model, and the PET frameworks. In particular, variables related to geographical proximity, size and similarity of markets and differences in regulatory quality are important in explaining M&A activity.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"10 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142205570","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Islamic mutual funds: Seasonal patterns and determinants of performance across regions 伊斯兰共同基金：各地区业绩的季节性模式和决定因素
International Journal of Finance and Economics Pub Date : 2024-08-30 DOI: 10.1002/ijfe.3042
Chiraz Labidi, Jose Arreola Hernandez, Gazi Salah Uddin, Ali Ahmed, Muhammad Yahya, Seong‐Min Yoon
{"title":"Islamic mutual funds: Seasonal patterns and determinants of performance across regions","authors":"Chiraz Labidi, Jose Arreola Hernandez, Gazi Salah Uddin, Ali Ahmed, Muhammad Yahya, Seong‐Min Yoon","doi":"10.1002/ijfe.3042","DOIUrl":"https://doi.org/10.1002/ijfe.3042","url":null,"abstract":"Our study aims to investigate the seasonal patterns of returns and evaluate the effects that various factors have on the performance in a large data set (125 funds) of Islamic mutual funds from four regions: Asia‐Pacific, North America, Europe, and the Middle East and North Africa (MENA). We employed indicators for consumer sentiment, economic policy uncertainty, implied stock market volatility, the trade‐weighted US dollar, the Carhart (1997) risk factors, and idiosyncratic risk. Our findings indicate that the seasonal patterns and determinants of Islamic mutual funds' financial performance tend to differ significantly across the regions. This may be explained by the different cultural/religious settings, the different backgrounds of the market participants as well as differences in the holiday seasons and end of fiscal year/taxation across regions/countries. Global fund managers and investors may benefit from the obtained results when constructing portfolios and designing hedging strategies.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"7 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142205572","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A portfolio diversification measure in the unit interval: A coherent and practical approach 单位区间内的投资组合多样化度量：连贯实用的方法
International Journal of Finance and Economics Pub Date : 2024-08-27 DOI: 10.1002/ijfe.3041
Yuri Salazar Flores, Adan Diaz‐Hernandez, Oralia Nolasco‐Jauregui, Luis Alberto Quezada‐Tellez
{"title":"A portfolio diversification measure in the unit interval: A coherent and practical approach","authors":"Yuri Salazar Flores, Adan Diaz‐Hernandez, Oralia Nolasco‐Jauregui, Luis Alberto Quezada‐Tellez","doi":"10.1002/ijfe.3041","DOIUrl":"https://doi.org/10.1002/ijfe.3041","url":null,"abstract":"In this article, we introduce and examine the efficiency of a portfolio diversification measure. Using the recently developed coherence properties for diversification measures as well as other criteria, we show that the novel measure outperforms the most commonly used diversification measures. Although similar in shape to other measures, our measure is the only one that satisfies all nine coherence properties whilst being easily interpreted. After testing interpretability and coherence for all measures, we perform an empirical analysis divided into two main parts. In the first part, we test some common diversification measures in a Gaussian context and in the second part we consider three empirical portfolios during the COVID‐19 pandemic. We establish the efficiency of our measure in capturing the changing level of diversification in empirical portfolios. We believe these results imply a competitive advantage for our measure and make it relevant for econometricians, practitioners and decision‐makers in general in a portfolio optimisation context.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"27 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142205575","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The moderating role of governance on the nexus of financial crime and sustainable development 治理对金融犯罪与可持续发展之间关系的调节作用
International Journal of Finance and Economics Pub Date : 2024-08-27 DOI: 10.1002/ijfe.3043
Monica Violeta Achim, Viorela Ligia Văidean, Nawazish Mirza
{"title":"The moderating role of governance on the nexus of financial crime and sustainable development","authors":"Monica Violeta Achim, Viorela Ligia Văidean, Nawazish Mirza","doi":"10.1002/ijfe.3043","DOIUrl":"https://doi.org/10.1002/ijfe.3043","url":null,"abstract":"This study aims to highlight the connection between good governance and financial crime to achieve optimal sustainable development for society. Governance issues are integral to a sustainable economy, as sustainability cannot be considered without strong measures to combat financial crime. The theoretical foundation of this relationship posits that enhanced institutional quality and laws reduce opportunities to circumvent environmental regulations, thereby improving the ecological footprint. This paper examines the moderating role of governance on the impact of four types of crime—corruption, shadow economy, money laundering, and cybercrime—on sustainable development indicators such as the Human Development Index, Environmental Performance Index, carbon dioxide emissions and greenhouse gas emissions. The sample includes 185 countries, analysed over the period from 2015 to 2022. Methodologies used range from the Pooled OLS method for panel data with interactions to panel threshold regression modelling. Our findings provide strong evidence of the mediating role of good governance in mitigating the negative impact of financial crime on sustainable development, potentially reducing it by up to half. This study offers insights into how improving governance can manage the environmental effects of financial crimes, thereby enhancing sustainable development and reducing financial and economic crime.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"12 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142205571","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Corporate cash policy and double machine learning 企业现金政策与双重机器学习
International Journal of Finance and Economics Pub Date : 2024-08-22 DOI: 10.1002/ijfe.3039
Hadi Movaghari, Serafeim Tsoukas, Evangelos Vagenas‐Nanos
{"title":"Corporate cash policy and double machine learning","authors":"Hadi Movaghari, Serafeim Tsoukas, Evangelos Vagenas‐Nanos","doi":"10.1002/ijfe.3039","DOIUrl":"https://doi.org/10.1002/ijfe.3039","url":null,"abstract":"We are the first to explore the role of firm‐level drivers in corporate cash policy applying cutting‐edge double machine learning technique. We identify tangibility of assets and R&D spending as two main driving forces behind the cash increase when they are considered both independently and jointly. Furthermore, our findings support the relevance of the transaction cost model and the refinancing risk of long‐term debt at the beginning of the sample period. In contrast, precautionary motive emerges as more pertinent in contemporary times. Our results are robust to alternative machine learners, cash proxies and estimation methods.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"44 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142205573","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The term structure of interest rates as predictor of stock market volatility 预测股市波动的利率期限结构
International Journal of Finance and Economics Pub Date : 2024-08-16 DOI: 10.1002/ijfe.3029
Anastasios Megaritis, Alexandros Kontonikas, Nikolaos Vlastakis, Athanasios Triantafyllou
{"title":"The term structure of interest rates as predictor of stock market volatility","authors":"Anastasios Megaritis, Alexandros Kontonikas, Nikolaos Vlastakis, Athanasios Triantafyllou","doi":"10.1002/ijfe.3029","DOIUrl":"https://doi.org/10.1002/ijfe.3029","url":null,"abstract":"We examine the forecasting power of the volatility of the slope of the US Treasury yield curve on US stock market volatility. Consistent with theoretical asset pricing models, we find that the volatility of the slope of the term structure of interest rates has significant forecasting power on stock market volatility for forecasting horizon ranging from 1 up to 12 months. Moreover, the term structure volatility has significant forecasting power when used for volatility predictions of the intra‐day returns of S&P500 constituents, with the predictive power being higher for stocks belonging to the telecommunications and financial sector. Our forecasting models show that the forecasting power of yield curve volatility is higher to and absorbs that of Economic Policy Uncertainty and Monetary Policy Uncertainty, showing that the main channel through which the yield curve volatility affects the stock market is not only related with uncertainty about monetary policy actions or policy rates, but also with uncertainty regarding the future cash flows and dividend payments of US equities. Lastly, we show that the forecasting power of term structure volatility significantly increases during the post‐2007 Great recession period which coincides with the Fed adopting unconventional monetary policies to stimulate the economy.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"6 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142205574","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
An integrative model for understanding cryptocurrency investment‐related behaviours: A comparison between millennials and pre‐millennials 理解加密货币投资相关行为的综合模型：千禧一代与前千禧一代的比较
International Journal of Finance and Economics Pub Date : 2024-08-16 DOI: 10.1002/ijfe.3031
Christian Nedu Osakwe, Oluwatobi A. Ogunmokun, Islam Elgammal, Darya Baeva, Victoria Kamneva
{"title":"An integrative model for understanding cryptocurrency investment‐related behaviours: A comparison between millennials and pre‐millennials","authors":"Christian Nedu Osakwe, Oluwatobi A. Ogunmokun, Islam Elgammal, Darya Baeva, Victoria Kamneva","doi":"10.1002/ijfe.3031","DOIUrl":"https://doi.org/10.1002/ijfe.3031","url":null,"abstract":"This article adopts the value‐attitude‐behavioural (VAB) and attitude‐behaviour‐context (ABC) theoretical lenses to develop an integrative model to examine attitudinal and behavioural responses to cryptocurrency investment. It also investigates the moderating role of generational differences (pre‐millennials vs. millennials). The study showed that perceived value is closely associated with the attitude towards cryptocurrency investment which, in turn, is strongly associated with the willingness to make and recommend cryptocurrency investments. Results further reveal that contextual factors such as convertibility and sugrophobia, which reflect the fear of being duped, strongly influence individuals' willingness to recommend cryptocurrency investments to others. Finally, results indicate that generational differences play an important moderating role.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"9 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142205576","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Green banks versus non‐green banks: A financial stability comparative analysis in terms of CAMEL ratios 绿色银行与非绿色银行：从 CAMEL 比率看金融稳定性比较分析
International Journal of Finance and Economics Pub Date : 2024-08-15 DOI: 10.1002/ijfe.3028
Ioannis Malandrakis, Konstantinos Drakos
{"title":"Green banks versus non‐green banks: A financial stability comparative analysis in terms of CAMEL ratios","authors":"Ioannis Malandrakis, Konstantinos Drakos","doi":"10.1002/ijfe.3028","DOIUrl":"https://doi.org/10.1002/ijfe.3028","url":null,"abstract":"This study examines green and non‐green‐banks from a financial stability point of view and specifically whether there are any discernible performance differences between the two groups. Using the supervisory ratios namely CAMEL variables, and employing panel data techniques (random effects model) and a global panel data set of 165 banks from 38 countries for the period 1999 to 2021, we adopt the Differences‐In‐Differences approach to examine whether green (“treatment” group) and non‐green (“control” group) banks exhibit differential behaviour, using the outbreak of the financial crisis (2008) as the time of intervention. Our results mainly show that green banks differ (and specifically perform better than their non‐green counterparts) only in terms of Total Capital, Tier 1 Capital, and NPLs/Reserve for Loan Losses ratios during and after the financial crisis. As for the rest of the CAMEL factors, it seems that both groups exhibit the same behaviour, especially in the post‐crisis period. Thus, green banks are not stronger in total than their non‐green counterparts in terms of financial stability. We also find that the financial crisis had either a positive or a negative effect on most of the CAMEL factors of <jats:italic>both</jats:italic> bank types, except for the Leverage Ratio (a capital adequacy proxy) and Operational Expenses/Operational Income ratios (a management quality proxy), which proved crisis‐insensitive.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"64 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142205577","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信