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Macroeconomic momentum and cross-sectional equity market indices J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2024-03-18 Yu Zhang, Konstantina Kappou, Andrew Urquhart
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Impacts of carbon market and climate policy uncertainties on financial and economic stability: Evidence from connectedness network analysis J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2024-03-16 Chao Liang, John W. Goodell, Xiafei Li
We use the conditional network connectedness approach of Stenfors et al. (2022) along with its frequency-domain, and tail and dynamic extensions to explore complex linkages among the carbon market, climate policy uncertainty, economic stability, and financial market stability. We focus on whether the carbon market and climate policy uncertainty impact US economic and financial market stability, and
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Family firm, financial constraint, and environmental preparedness: An international study J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2024-03-15 Zulfiquer Haider, Yefeng Wang, Yuan Wang
Using longitudinal data from 2013-2018 and a sample of 9,622 observations from 30 countries, we find that the relationship between family involvement and environmental preparedness is mediated by financial constraints, such that family firms are more likely to be environmentally prepared due to facing lower financial constraints. Furthermore, our findings suggest that the negative relationship between
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Employment protection, corporate governance, and labor productivity around the World J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2024-03-15 Guangzhong Li, Keishi Fujiyama, Cen Wu, Ying Zheng
Consistent with the existing evidence from single-country studies, our difference-in-differences estimation finds a negative effect of employment protection legislation (EPL) provisions on labor productivity in a sample of member countries of the Organization for Economic Co-operation and Development (OECD). Our study is distinct, however, in that we provide empirical evidence on why EPL reduces labor
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Empirical study on voting results and proxy advisor recommendations in Japan J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2024-03-11 Hiroaki Miyachi, Fumiko Takeda
This study examines the relationship between proxy advisory firms’ recommendations and investors’ voting behavior in Japan, where corporate governance has been under transition. Based on 1,025 shareholder meeting proposals and recommendations by proxy advisory firms in Japan between March 2010 and March 2022, multivariate regression analyses reveal that the dissenting recommendations of the two main
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Digital disruptors at the gate. Does FinTech lending affect bank market power and stability? J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2024-02-22 Pedro J. Cuadros-Solas, Elena Cubillas, Carlos Salvador, Nuria Suárez
This paper examines the effect of FinTech lending on the market power and stability of incumbent banks. Using an international sample of 6,225 banks during the period 2013–2019, our results show that the volume of credit provided by FinTech lenders negatively affects bank market power and stability. These results are influenced by the legal framework and institutional quality of each jurisdiction.
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Climate risk and investment efficiency J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2024-02-15 Weidong Xu, Wenxuan Huang, Donghui Li
Employing a panel sample of 29,316 firms across 34 countries spanning 2006 to 2019, we investigate the impact of climate risk on firm-level investment efficiency. We find that climate risk significantly increases investment inefficiency, namely, the investment deviation from the expected optimal level. Cross-sectional analyses show that the increasing impact of climate risk on investment inefficiency
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Do foreign institutional investors improve board monitoring? J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2024-02-09 Biwesh Neupane, Chandra Thapa, Andrew Marshall, Suman Neupane, Chaman Shrestha
Exploiting the global financial crisis of 2007–08 as an exogenous shock that resulted in a significant decline in the ownership of foreign institutional investors (FIIs) in the Indian equity market, we find evidence of a causal link between FIIs’ ownership and different dimensions of board monitoring. Specifically, the empirical results suggest that higher FIIs ownership leads to lower board size,
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The relevance of media sentiment for small and large scale bitcoin investors J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2024-02-07 Joscha Beckmann, Teo Geldner, Jan Wüstenfeld
We provide a novel perspective on the Bitcoin market, investigating determinants of investor positions and their response to public information proxied by sentiment indicators. We distinguish between investors by size and observe their respective behaviour concerning incoming information. We find that price dynamics and media coverage lead to different decisions depending on the Bitcoin portfolio size
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Trust matters: A global perspective on the influence of trust on bank market risk J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2024-02-06 Omneya Abdelsalam, Antonios Chantziaras, Nathan L. Joseph, Nikolaos Tsileponis
This paper examines the role of societal and organizational trust in mitigating market risk within the banking sector. Using a global sample of 10,616 bank-year observations across 45 countries, we find that higher trust significantly reduces bank total and idiosyncratic risk. The risk-mitigating effect of societal trust becomes more pronounced for banks headquartered in countries with weaker investor
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Changing landscape of the finance-growth nexus: Industry growth, credit types, and external financial dependence J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2024-02-06 Mustafa Kilinc, Talat Ulussever
The present paper examines the changing landscape of the finance-growth nexus using detailed industry-level data for 40 countries and 20 industries spanning 1980–2020. Regarding the long-term relationship between finance and growth, the findings indicate that industries more dependent on external finance experienced stronger growth in financially more developed markets during the 1980s and 1990s, but
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Does market misvaluation drive cross-border M&As? J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2024-02-06 Wenxuan Huang, Weidong Xu, Donghui Li, Ling Zhao, Shijie Yang
Employing a panel sample of 61,532 cross-border mergers between 2000 and 2020, we investigate the impact of market misvaluation on corporate cross-border mergers and acquisitions (CBMAs). We find that firms with higher market misvaluation launch more CBMAs and tend to pay with their overvalued stock. However, the effect of market misvaluation on CBMAs will weaken over time. CBMAs driven by high market
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Size matters: Unpacking the relationship between institutional investor size and private equity asset allocation within diverse institutional contexts J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2024-02-02 Douglas Cumming, Muhammad Zubair Khan, Naimat U. Khan, Zafir Ullah Khan
This study examines the relationship between institutional investors’ size and their inclination towards private equity investments, hypothesizing a U-shaped pattern. It also explores how this relationship is influenced by the institutional context. Using a dataset of 5668 firms across 52 countries from 1991 to 2017, we observe that small and large institutional investors exhibit a stronger preference
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Spillover effects of US monetary policy on emerging markets amidst uncertainty J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2024-02-01 Povilas Lastauskas, Anh Dinh Minh Nguyen
This paper examines the impact of US monetary policy tightening on emerging markets, distinguishing between direct and indirect spillover effects using the global vector autoregression with stochastic volatility covering 32 countries. The paper shows that an increase in the US interest rate significantly reduces output for emerging markets, leading to larger, more prolonged, and persistent declines
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Someone Like You: Lottery-like Preference and the Cross-section of Expected Returns in the Cryptocurrency Market J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2024-01-28 Xiaojuan Zhao, Ye Wang, Weiyi Liu
This study sketches how crypto speculators place their bets and investigates the impact of speculative behavior on cryptocurrency pricing. We conjecture that investors favor comparable alternatives to well-known, successful cryptocurrencies as compensation for missed get-rich-quick opportunities. Our verification begins with developing a composite lottery identification indicator that encapsulates
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A novel integration of the Fama–French and Black–Litterman models to enhance portfolio management J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2024-01-22 Hyungjin Ko, Bumho Son, Jaewook Lee
We propose a novel portfolio model integrating the Fama–French three-factor model into the Black–Litterman framework, enabling efficient investment strategies. The model surpasses traditional benchmarks, significantly increasing alpha, minimizing estimation error, and improving diversification. Performance improvements are shown by a tripled Sharpe ratio and doubled Certainty Equivalent Return compared
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Infrastructure financing in Africa J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2024-01-24 Qiongfang Lu, Craig Wilson
We explore current development and constraints on infrastructure financing in Africa. We examine how infrastructure development in African countries affects ownership and capital structure choices of private and public–private partnership infrastructure projects. Using data from 33 African countries over 17 years, our findings suggest that infrastructure projects in African countries with better infrastructure
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Examining the impact of liquidity creation on bank stability in the Asia Pacific region: Do ESG disclosures play a moderating role? J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2024-01-24 Juhi Gupta, Smita Kashiramka
The global financial crisis reignited concerns regarding the stability and sustainability of banks. Since liquidity creation (LC) is a core output of banks, we examine if the nexus between LC and bank stability is conditional on ESG (environmental, social, and governance) disclosure by banks. Our sample comprises 178 commercial banks (1568 observations) during the period 2010–2019 in the Asia-Pacific
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National culture and banks stock volatility J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2024-01-16 Koresh Galil, Eva Varon
We conduct a cross-country analysis to examine the impact of national culture on the vulnerability of European banks during the Covid-19 pandemic. Analyzing the stock market volatility of major banks, we explore differences in uncertainty avoidance and individualism levels across multiple European countries. Our results reveal that low uncertainty avoidance reduces the influence of Covid-19-related
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Herding in the cryptocurrency market: A transaction-level analysis J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2024-01-05 Roland Gemayel, Alex Preda
We contribute to the literature on herding in the cryptocurrency market by using a unique data set of trader transactions. Using popular metrics, we find significant evidence of herding, which is primarily driven by individuals mimicking their own past trades, given the sporadic nature of information as well as the ambiguity and anonymity inherent in this market. Herding is higher during bearish periods
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Trade fragmentation and volatility-of-volatility networks J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2024-01-06 Cécile Bastidon, Fredj Jawadi
We assess the impact of trade fragmentation in equity markets using volatility networks following the volatility-of-volatility (VoV) approach. VoV networks offer an original method for measuring and visualizing the common component of volatilities. We use topological distance and connectivity indicators describing their structure as alternative proxies of VoV. Further, we use panel tests to apply threshold
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Not all words are equal: Sentiment and jumps in the cryptocurrency market J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2024-01-04 Ahmet Faruk Aysan, Massimiliano Caporin, Oguzhan Cepni
This paper analyzes the relationship between price jumps and news sentiment in cryptocurrencies. We detect jumps at the intraday level and correlate their occurrence with sentiment-related events through logistic regressions. We show that the release of information increases the probability of price jumps. By examining the content of news stories, we find that sentiment dimensions limited to emotions
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How to develop global energy-intensive sectors in the presence of carbon tariffs? J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2024-01-04 Yirui Deng, Mengjuan Yin, Xiaofeng Xu, Lean Yu, Guowei Gao, Li Ma
Developed economies like the EU advocate imposing carbon tariffs on exports from countries lacking equivalent emission reduction measures, with energy-intensive sectors being the most susceptible. This study establishes five specific policy scenarios aligned with the potential criteria for carbon tariffs by developed economies. Utilizing the GTAP-E model, we quantitatively analyze the impact on energy-intensive
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Banks’ environmental policies and banks’ financial stability J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2024-01-02 Laura Chiaramonte, Alberto Dreassi, John W. Goodell, Andrea Paltrinieri, Stefano Piserà
We study whether environmental engagement of banks mitigates the effects of natural disasters and climate-change related events on financial stability. Employing an extensive global dataset with quarterly data (2003–2019; 5,317 observations), our analysis reveals that environmental innovation financing, product responsibility, and resource reduction policies are able to curtail the repercussions on
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Blockchain technology and international countertrade J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-12-31 Fan Yang, Hai Yu, Craig Wilson, Gady Jacoby, Zhenyu Wu
We illustrate the concept of using a Turing complete consortium blockchain (TCCB) to facilitate international countertrade. Physical goods and services would be linked to the blockchain by associating them with corresponding non-fungible tokens (NFTs). TCCBs could help small or new companies, particularly those in less developed countries, reduce the counterparty risk and transaction costs related
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Fintech, human development and energy poverty in sub-Saharan Africa J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-12-29 Fatima Oyebola Etudaiye-Muhtar, Sofia Johan, Rodiat Lawal, Rilwan Sakariyahu
Studies have highlighted the important role of financial technology (fintech) in enhancing socio-economic conditions of nations. However, despite the efforts of governments to improve the latter, the rating of African countries still remains manifestly inadequate. Given that access to electricity is imperative for fintech, and fundamental to improving socioeconomic conditions, we provide novel evidence
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ESG investing in good and bad times: An international study J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-12-24 Huaigang Long, Mardy Chiah, Nusret Cakici, Adam Zaremba, Mehmet Huseyin Bilgin
If the demand for socially responsible stocks depends on aggregate wealth, their returns may rise when the economy is booming and fall when it is struggling. Motivated by the consistent evidence from the United States, we revisit this effect internationally. Using data from 45 markets, we examine how the economic conditions affect environmental, social, and governance (ESG) strategies. We find that
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Liquidity dynamics between virtual and equity markets J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-12-23 Sherena S. Huang
This paper estimates liquidity dynamics between virtual and real assets from multiple dimensions, namely market capacity, transaction cost and market efficiency. The data covers transaction information of crypto markets and four equity exchanges (US, UK, EU and Japan) between January 2019 and December 2022. The first result shows a two-way liquidity risk feedback loop between virtual and real markets
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Why do stock markets negatively price democracy? J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-12-20 Yosef Bonaparte
We employ panel data from the Economist Intelligence Unit, covering more than 65 countries, to assess the impact of their Democracy Index on the stock market performance. This index is measured by the level of government functionality, civil liberties, political participation, and other related factors. Our analysis demonstrates an inverse relationship between Democracy Index and stock market performance
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Unravelling investors’ diverging responses to U.S. firms' global ESG incidents J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-12-20 Ning Gao, Wei Jiang, Jiaxu Jin
We investigate whether and why investors' reactions to negative ESG incidents in U.S. firms vary by incident locations. We find that, on average, investors react negatively to these ESG incidents; and they react more negatively to domestic ESG incidents compared to international ones. Market negativity increases with closer demographic proximity and higher local social trust. The market reaction remains
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Credit rating downgrades and systemic risk J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-12-09 George Kladakis, Alexandros Skouralis
We examine whether changes in issuer credit ratings by the three main providers are associated with changes in systemic risk. First, we find that rating downgrades result in an increase in bank systemic risk, whereas upgrades do not proportionally reduce systemic risk. Second, we document that the positive relationship between rating downgrades and systemic risk can be mitigated by accounting-based
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Leveraged finance exposure in the banking system: Systemic risk and interconnectedness J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-11-30 G. De Novellis, P. Musile Tanzi, M.G. Ranalli, E. Stanghellini
In the post-pandemic era, the exposure to leveraged finance has emerged as a key factor of vulnerability for banks, coping with increasing inflation and interest rates. For this reason, the growth of the leveraged loans market is receiving significant attention from the Authorities (e.g. ECB, 2022). In this paper, we analyse an original sample of leveraged loans (1,699) that combines instrument-specific
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Diversification with globally integrated US stocks J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-11-28 Thomas Conlon, John Cotter, Ioannis Ropotos
We measure market integration at a firm-level for the US stock market with the rest of the world. The properties of firm-level integration are explored across time and industries and then stocks are sorted into high- and low-integration portfolios. The role of the least globally integrated US stocks in domestic and international portfolio diversification is assessed. We show that these stocks can statistically
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The effect of lead investor’s human capital on funding performance: the moderating role of investment ambition J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-11-25 Ye Zhang, Sofia Johan, Mathew Hughes, Kun Fu, Louise Scholes, Jiajia Liu
We seek to determine the correlation between the human capital of lead investors and their funding performance within equity crowdfunding syndicates. We posit that the multi-faceted human capital of lead investors conveys their credibility and project quality. Using data derived from a sample of 157 individual lead investors on AngelList, we find that lead investors with higher levels of investment
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The effect of lead investor’s human capital on funding performance: The moderating role of investment ambition J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-11-25 Ye Zhang, Sofia Johan, Kun Fu, Mathew Hughes, Louise Scholes, Jiajia Liu
We seek to determine the correlation between the human capital of lead investors and their funding performance within equity crowdfunding syndicates. We posit that the multi-faceted human capital of lead investors conveys their credibility and project quality. Using data derived from a sample of 157 individual lead investors on AngelList, we find that lead investors with higher levels of investment
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New insights into liquidity resiliency J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-11-25 Conall O’Sullivan, Vassilios G. Papavassiliou, Ronald Wekesa Wafula, Sabri Boubaker
In this study we offer fresh insights into liquidity resiliency. We empirically study the resiliency of the euro area sovereign bond market across the maturity spectrum. We measure resiliency using a standard Ordinary Least Squares regression approach, along with the least absolute shrinkage and selection operator (LASSO) machine learning approach. We find both spread-based and depth-based resiliency
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Does national culture influence malfeasance in banks around the world? J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-11-23 Thomas Conlon, Xing Huan, Cal B. Muckley
We examine the extent to which national culture influences the severity of financial misconduct by banks globally. Using cultural background information of the country where a bank is headquartered, we detail strong evidence that individual over-confidence increases bank misconduct while uncertainty avoidance reduces it. The findings hold with alternative national culture and loss measures, using instrumental
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Changes in shares outstanding and country stock returns around the world J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-11-17 Huaigang Long, Mardy Chiah, Adam Zaremba, Zaghum Umar
Motivated by stock-level evidence of the issuance anomalies, we examine whether a similar effect drives the cross-section of country stock returns. To this end, we investigate six decades of data from 67 markets. The changes in aggregate shares outstanding negatively predict future country equity returns. The quintile of markets with the highest share increase underperforms their low-issuance counterparts
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Paradox of trade openness: The moderated mediating role of governance J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-11-15 Hyun-Jung Nam, Jeongseok Bang, Doojin Ryu
This study compares the impact of trade openness on gross domestic product (GDP) growth and human development in a panel of the Association of Southeast Asian Nations (ASEAN) member states. Our results indicate that trade openness has a positive effect on GDP growth but a negative effect on human development. To mitigate this negative impact of trade openness on human development, we propose the roles
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Climate risk and stock performance of fossil fuel companies: An international analysis J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-11-15 Xu Gong, Yijie Song, Chengbo Fu, Huijing Li
We study the impact of climate risk on the stock returns of fossil fuel companies in international markets. Our results indicate that in the world market, a 1% increase in climate risk could increase the stock returns of fossil fuel companies by 3.02% to 4.27%. We also prove that this climate risk premium is notably more pronounced in countries with higher income levels. In addition, we find that the
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Liquidity risk, return performance, and tracking error: Synthetic vs. Physical ETFs J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-11-15 Jinhwan Kim, Hoon Cho, Sangik Seok
As the global ETF market continues to grow, the significance of understanding replication strategies has become increasingly apparent. This study examines the compensation of synthetic exchange-traded funds (ETFs) due to their greater risk exposure than physical ETFs, using ETFs listed on developed European markets from 2009 to 2020. This is the first study to investigate liquidity risk related to
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Determinants of firms’ default on unsecured loans in the P2P crowdfunding market J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-11-09 Reabetswe Kgoroeadira, Andrew Burke, Francesca Di Pietro, André van Stel
We investigate the payback performance of small businesses’ funded loans, and its determinants, in the Peer-to-Peer (P2P) lending crowdfunding market. We do so by analysing a dataset of 1000 small businesses’ unsecured funded loans, via the American online P2P lending funding website Prosper.com. As these loans are unsecured, interest rates are relatively high (18.5% on average in our data base). As
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National pride, investor sentiment, and stock markets J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-10-30 Menachem Meni Abudy, Yevgeny Mugerman, Efrat Shust
This paper investigates the stock market reaction to an uplift in investor mood anticipating a country’s independence day celebration. A cross-country analysis reveals a positive abnormal return on the trading day immediately prior to the country’s independence day. This finding is robust to various event-study methods and to various benchmarks. This positive return is subsequently reversed. Further
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Decentralized and centralized exchanges: Which digital tokens pose a greater contagion risk? J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-11-04 Imran Yousaf, Afsheen Abrar, Larisa Yarovaya
This study explores the impact of trading activity on both centralized exchanges (CEXs) and decentralized exchanges (DEXs) on information transmission patterns between digital and traditional investment assets. Utilizing a quantile connectedness approach, we analyze the relationships among DEX tokens, CEX tokens, and various assets, including Gold, Oil, Bitcoin, REITs, Equity, Bonds, and the US dollar
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Fan tokens: Sports and speculation on the blockchain J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-11-02 Matthias Scharnowski, Stefan Scharnowski, Lukas Zimmermann
This paper provides an economic analysis of fan tokens, which are collectible utility tokens issued by sports clubs. We document that fan token prices are highly volatile and substantially riskier than those of established cryptocurrencies. For a subset of publicly listed clubs, we find that stock and token returns are uncorrelated. Instead, fan tokens tend to closely co-move with each other and the
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Information effect of credit rating announcements in transition economies J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-10-29 Zvika Afik, Yuriy Zabolotnyuk
This paper analyzes the credit rating markets in transition economies of Central and Eastern Europe and the former USSR, an important economic area and countries that are quickly developing into significant economic players. Using a sample of 969 credit rating announcements from 1998 to 2021, we examine the wealth effects of the credit rating announcements and compare the findings to the existing international
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Stress testing programs and credit risk opacity of banks: USA vs Europe J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-10-29 Pilar Abad, M.-Dolores Robles, Carlos Alonso Orts
Regulators strengthened banking supervision in the aftermath of the Great Financial Crisis by stress testing banks intending to increase the amount of information available about the risks they face, improving their transparency and restoring market confidence. This study examines whether the results of stress tests conducted between 2009 and 2019 in the US and the EU have reduced the opacity of information
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A privacy-preserving robo-advisory system with the Black-Litterman portfolio model: A new framework and insights into investor behavior J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-10-27 Hyungjin Ko, Junyoung Byun, Jaewook Lee
Recent financial sector changes, including strict privacy regulations, challenge robo-advisory companies with cybersecurity and data privacy. This study proposes a new framework integrating Homomorphic Encryption into the Black-Litterman portfolio model to safeguard robo-advisory investment strategies. The framework effectively balances privacy and accuracy while maintaining an acceptable level of
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The long-run risk premium in the intertemporal CAPM: International evidence J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-10-18 Ryuta Sakemoto
This study investigates whether long-run conditional covariance risk is linked to expected returns in the Intertemporal CAPM framework. We observe that the long-run value risk is positively associated with the expected returns on the global portfolios excluding the US. We also find that the long-run momentum risk is negatively related to the expected returns. In contrast, the long-run market risk is
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Lawyers in the boardroom and firms’ environmental performance J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-10-18 Xianda Liu, Jiafu An, Tinghua Duan, Wenxuan Hou, Ruoran Zhao
This paper studies whether and how firms’ legal environment influences their environmental performance. After presenting new evidence on the positive link between civil law origin and firms’ environmental outcomes, we propose and show that directors with legal study or work experience exert a stronger impact on firms’ environmental outcomes in civil law than in common law countries. The results suggest
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Cross-listing and predation risk in product markets J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-10-14 Lu Jolly Zhou, Weimin Kong, Yunshen Li
This study examines the relationship between cross-listing and product market predation risk by using cross-listed firm-level data in both A and H shares. Results investigate that firms which cross-listing in different capital markets could significantly alleviate the threat of predatory from rivals in the product market. Consistent with competitive advantage and information asymmetry hypotheses, the
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The impact of COVID-19 related policy interventions on international systemic risk J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-10-16 Mattia Bevilacqua, Meryem Duygun, Davide Vioto
We examine the relationship between systemic risk, its traditional financial and economic determinants, and the COVID-19 related policy interventions in an international framework. The COVID-19 outbreak period represents for us an ideal hub to test the role of such policies on systemic risk. A cross-country panel analysis shows that bank-specific financial variables do not represent a threat to the
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Sovereign creditworthiness and bank foreign ownership. An empirical investigation of the European banking sector J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-10-13 Zbigniew Korzeb, Paweł Niedziółka, Simona Nistor
This paper documents that sovereign creditworthiness could be a new dimension that explains foreign ownership in the banking sector. We employ consolidated financial results of the European Union (EU) member states over the period 2007–2021 and show that better sovereign credit ratings lead to an increase in foreign investments in the host country’s banking sector, as they may be linked with greater
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Target industry takeover competition and the wealth effects of mergers and acquisitions: International evidence J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-10-13 Tanveer Hussain, Gilberto Loureiro
This paper studies how target industry takeover competition affects shareholder gains around mergers and acquisitions (M&As). We find that target industries with higher M&A activity negatively (positively) affect bidder (target) announcement returns, while the impact on bidder-target combined returns is negligible. The results corroborate the overpayment argument of acquiring targets from competitive
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Did cryptomarket chaos unleash Silvergate's bankruptcy? investigating the high-frequency volatility and connectedness behind the collapse J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-10-13 Carlos Esparcia, Ana Escribano, Francisco Jareño
We examine intraday volatility connectedness of the Silvergate’s equity, a major crypto bank, and eight of the main existing cryptocurrencies using data surrounding the collapse of the bank, from 10:00 UTC + 1 on January 3 to 13:00 UTC + 1 on March 13, 2023. To that purpose, we first estimate intraday hourly volatility time series by applying a mcGARCH model which are then used to provide network connectedness
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Dynamic connectedness between investors’ sentiment and asset prices: A comparison between major markets in Europe and USA J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-10-13 Rilwan Sakariyahu, Sofia Johan, Rodiat Lawal, Audrey Paterson, Eleni Chatzivgeri
In this study, we use the GARCH-MIDAS model and its extensions to provide new insights on the impact of investor sentiment on asset prices focusing on major market indices in Europe and that of USA. Specifically, we account for leverage, thresholds, and structural heterogeneity in the volatility behaviour of the indices. Furthermore, we decompose the total conditional volatility of the indices into
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Should I stay or should I go? Stock market reactions to companies' decisions in the wake of the Russia-Ukraine conflict J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-10-11 Florian Kiesel, Sascha Kolaric
We examine the share price reaction of 1281 firms with Russian operations when they announce their decision to leave or stay in the Russian market following the outbreak of the armed conflict between Russia and Ukraine on February 24, 2022. We observe positive stock returns to leave decisions (+0.67 % during the three days surrounding the announcement), but do not find any significant reaction for
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Implications of central bank digital currency for financial stability: Evidence from the global banking sector J. Int. Financ. Mark. Inst. Money (IF 4.217) Pub Date : 2023-10-11 Hiep Ngoc Luu, Canh Phuc Nguyen, Muhammad Ali Nasir
This study analyses the implications of central bank digital currency (CBDC) for financial stability, specifically in the banking sector. Drawing on an international database on CBDC adoption, data on 1176 banks operating in 86 countries from 2010 to 2021 were used to construct a time-varying CBDC adoption index. Our key results suggest that the adoption of CBDC contributes to financial stability.