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How is the ECB’s quantitative easing transmitted to the financial markets? Studies in Economics and Finance Pub Date : 2024-03-26 Donia Aloui, Abderrazek Ben Maatoug
Purpose Over the last few years, the European Central Bank (ECB) has adopted unconventional monetary policies. These measures aim to boost economic growth and increase inflation through the bond market. The purpose of this paper is to study the impact of the ECB’s quantitative easing (QE) on the investor’s behavior in the stock market. Design/methodology/approach First, the authors theoretically identify
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Precious metal prices: a tale of four US recessions Studies in Economics and Finance Pub Date : 2024-03-21 Pablo Agnese, Pedro Garcia del Barrio, Luis Alberiko Gil-Alana, Fernando Perez de Gracia
Purpose The purpose of this paper is to examine the degree of persistence in four precious metal prices (i.e. gold, palladium, platinum and silver) during the last four US recessions. Design/methodology/approach Using daily price data for gold, palladium, platinum and silver running from July 2, 1990, to March 21, 2022, and dating of business cycles in the USA provided by NBER (2022), the paper uses
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Can mutual fund characteristics predict future performance? Evidence from Portugal Studies in Economics and Finance Pub Date : 2024-03-21 Maria Inês Sá, Paulo Leite, Maria Carmo Correia
Purpose This paper aims to investigate not only the performance of Portuguese mutual funds investing in domestic and international equities but also which fund characteristics, such as age, size, family size, expense ratios and flows, influence future performance. Design/methodology/approach Fund performance is evaluated over the 2005–2022 period by a robust six-factor model, while the impact of fund
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Hidden truncation model with heteroskedasticity: S&P 500 index returns reexamined Studies in Economics and Finance Pub Date : 2024-02-29 Rachid Belhachemi
Purpose This paper aims to introduce a heteroskedastic hidden truncation normal (HTN) model that allows for conditional volatilities, skewness and kurtosis, which evolve over time and are linked to economic dynamics and have economic interpretations. Design/methodology/approach The model consists of the HTN distribution introduced by Arnold et al. (1993) coupled with the NGARCH type (Engle and Ng,
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Are there other fish in the sea? Exploring the hedge, diversifier and safe-haven features of ESG investments Studies in Economics and Finance Pub Date : 2024-02-26 Luca Pedini, Sabrina Severini
Purpose This study aims to conduct an empirical investigation to assess the hedge, diversifier and safe-haven properties of different environmental, social and governance (ESG) assets (i.e. green bonds and ESG equity index) vis-à-vis conventional investments (namely, equity index, gold and commodities). Design/methodology/approach The authors examine the sample period 2007–2021 using the bivariate
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Stock market indices and interest rates in the US and Europe: persistence and long-run linkages Studies in Economics and Finance Pub Date : 2024-02-23 Guglielmo Maria Caporale, Luis Alberiko Gil-Alana, Eduard Melnicenco
Purpose This paper aims to analyse the persistence of the S&P500 and DAX 30 stock indices as well as of the Fed’s Effective Federal Funds rate and of the European Central Bank’s Marginal Lending Facility rate, and the long-run linkages between stock prices and interest rates in the USA and Europe, respectively. Design/methodology/approach The methodology is based on the concepts of fractional integration
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Return and volatility transmission among economic policy uncertainty, geopolitical risk and precious metals Studies in Economics and Finance Pub Date : 2024-01-26 Opeoluwa Adeniyi Adeosun, Suhaib Anagreh, Mosab I. Tabash, Xuan Vinh Vo
Purpose This paper aims to examine the return and volatility transmission among economic policy uncertainty (EPU), geopolitical risk (GPR), their interaction (EPGR) and five tradable precious metals: gold, silver, platinum, palladium and rhodium. Design/methodology/approach Applying time-varying parameter vector autoregression (TVP-VAR) frequency-based connectedness approach to a data set spanning
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ESG and the performance of energy and utility portfolios: evidence from Australia Studies in Economics and Finance Pub Date : 2024-01-25 Scott J. Niblock
Purpose This study aims to establish the effect of environmental, social and governance (ESG) practices on Australian energy and utility investment performance. Design/methodology/approach Conventional and ESG-rated portfolios are constructed using monthly returns and ESG scores of S&P/ASX 300 listed energy and utility firms from 2014 to 2022. Portfolio performance is estimated using a four-factor
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Capital structure and momentum strategies Studies in Economics and Finance Pub Date : 2024-01-11 George Li, Ming Li, Shuming Liu
Purpose The paper aims to investigate whether or not a firm’s capital structure can interact with past stock returns to affect future stock returns. Specifically, the authors examine whether or not capital structure can help improve momentum profit. Design/methodology/approach The authors use the US common stocks data from 1965 to 2022 to empirically examine the impact of capital structure on momentum
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Estimating the excess of interests paid by consumers when applying an upper rate. The case of Spain Studies in Economics and Finance Pub Date : 2024-01-09 Salvador Cruz Rambaud, Paula Ortega Perals
Purpose The framework of this paper is financial mathematics and, more specifically, the control of data fraud and manipulation with their subsequent economic effects, namely, in financial markets. The purpose of this paper is to calculate the global loss or gain, which supposes, for the borrower, a change of the interest rate while the contracted loan is in force or, in another case, the loan has
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The impact of the COVID-19 pandemic on regional inflation in Indonesia Studies in Economics and Finance Pub Date : 2024-01-02 Iqbal Reza Nugraha, Gumilang Aryo Sahadewo, Sekar Utami Setiastuti
Purpose This paper aims to examine the impact of COVID-19 on inflation in Indonesia. There are two questions in this study: (1) Is there an impact of COVID-19 on inflation in Indonesia? and (2) whether there are differences in the impact of COVID-19 on regional inflation in Indonesia, considering the different intensities associated with COVID-19. Design/methodology/approach The estimation technique
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Country-level governance and sustainable development goals: implications for firms’ sustainability performance Studies in Economics and Finance Pub Date : 2023-12-26 Faozi A. Almaqtari, Tamer Elsheikh, Khaled Hussainey, Mohammed A. Al-Bukhrani
Purpose The purpose of this study is to examine the impact of country-level governance on sustainability performance, taking into account the effect of sustainable development goals (SDGs) and board characteristics. Design/methodology/approach This study uses panel data analysis using fixed effect models to investigate the influence of country-level governance on sustainability performance while considering
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Measuring the degree of connection between currency futures: Empirical dive into higher moments Studies in Economics and Finance Pub Date : 2023-12-14 Murat Donduran, Muhammad Ali Faisal
Purpose The purpose of this study is to unfold the existing information channel in the higher moments of currency futures for different time horizons. Design/methodology/approach The authors use a quasi-Bayesian local likelihood approach within a time-varying parameter vector autoregression (TVP-VAR) framework and a dynamic connectedness measure to study the volatility, skewness and kurtosis of most
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Spillover effects and transmission of shocks in Visegrad equity markets Studies in Economics and Finance Pub Date : 2023-12-14 Florin Aliu, Vincenzo Asero, Alban Asllani, Jiří Kučera
Purpose Paper aims to investigate the interdependencies and spillover effects that the Visegrad (V4 hereafter) Equity Markets hold on each other. The V4 group stands for the political alliance of four Central European countries: Poland, the Czech Republic, Hungary and Slovakia. Design/methodology/approach The study uses Wavelet coherence, dynamic conditional correlation GARCH (1, 1) and unrestricted
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Cost efficiency of municipal green bonds’ measures: a marginal abatement cost curves approach Studies in Economics and Finance Pub Date : 2023-12-08 Tommaso Piseddu, Fedra Vanhuyse
Purpose With more cities aiming to achieve climate neutrality, identifying the funding to support these plans is essential. The purpose of this paper is to exploit the present of a structured green bonds framework in Sweden to investigate the typology of abatement projects Swedish municipalities invested in and understand their effectiveness. Design/methodology/approach Marginal abatement cost curves
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ESG consideration in venture capital: drivers, strategies and barriers Studies in Economics and Finance Pub Date : 2023-11-30 Elfi M. Lange, Niloofar Ghotbedini Banadaki
Purpose There is an increasing awareness of environmental, social and governance (ESG) factors in the private equity (PE) environment. While many studies deal with the implementation of ESG in the field of PE, only little is known about how the subcategory venture capital. Therefore, this study aims to answer the questions: What are the motivations for venture capitalists to consider ESG in their investment
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Politics, integration of ESG in CEO compensation, and firm credit ratings: evidence from the USA Studies in Economics and Finance Pub Date : 2023-11-24 Emma Y. Peng, William Smith III
Purpose This paper aims to investigate how a US firm’s political landscape affects the integration of environmental, social and governance (hereafter ESG) measures in CEO compensation contracts, thereby affecting the firm’s ESG performance and credit rating. Design/methodology/approach Based on the results of state senatorial and presidential elections and the location of a US firm’s headquarters,
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American option evaluations using higher moments Studies in Economics and Finance Pub Date : 2023-11-21 Patrice Gaillardetz, Saeb Hachem
Purpose By using higher moments, this paper extends the quadratic local risk-minimizing approach in a general discrete incomplete financial market. The local optimization subproblems are convex or nonconvex, depending on the moment variants used in the modeling. Inspired by Lai et al. (2006), the authors propose a new multiobjective approach for the combination of moments that is transformed into a
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Does banning cryptocurrencies affect stock markets? Studies in Economics and Finance Pub Date : 2023-11-07 Ahmed W. Elroukh
Purpose This paper aims to investigate the impact of banning cryptocurrencies on stock markets. Design/methodology/approach The paper uses an event study approach and data from stock market indices in nine countries that imposed a ban. It uses the constant mean model and the market model, with two different benchmarks for global returns, to analyze if any of the stock indices show abnormal returns
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Time-varying connectedness and causality between oil prices and G7 economies exchange rates. Evidence from the COVID-19 and Russia-Ukraine crises Studies in Economics and Finance Pub Date : 2023-11-03 Ngo Thai Hung
Purpose This study aims to attempt to investigate the time-varying causality and price spillover effects between crude oil and exchange rate markets in G7 economies during the COVID-19 and Russia–Ukraine crises. Design/methodology/approach This study uses time-varying Granger causality test and spillover index. Findings This study finds a time-varying causality between exchange rate returns and oil
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The impact of the Market Abuse Directive on illegal insider trading: evidence from three Southern European stock markets Studies in Economics and Finance Pub Date : 2023-10-31 Júlio Lobão, Sofia P. Baptista
Purpose This study aims to examine the deterrent effect of the Market Abuse Directive (MAD) introduced in the European Union in 2003. The purpose is to evaluate whether the Directive has resulted in significant changes in pre-bid stock price run-ups observed in mergers and acquisitions within the Portuguese, Spanish and Greek stock markets. Design/methodology/approach The study analyzes a sample of
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Investment decisions and small and medium-sized enterprise indebtedness: Heckman’s two-stage approach Studies in Economics and Finance Pub Date : 2023-10-25 Argjente Qerimi, Besnik A. Krasniqi, Driton Balaj, Muhamet Aliu, Skender Ahmeti
Purpose Insufficient internal financing capacities and challenges to accessing external finance are crucial to small and medium-sized enterprises (SMEs) investment and growth. This study aims to investigate how SME leverage of bank financing is related to the investment decision. Design/methodology/approach Using Heckman’s two-step econometric modelling to correct for sample selection bias, this study
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Testing for monotonicity, linearity and symmetry between trading volume and price returns in the futures markets of agricultural commodities: a discussion on the financial implications Studies in Economics and Finance Pub Date : 2023-10-23 Dimitrios Panagiotou, Konstantinos Karamanis
Purpose The aim of this study is to investigate for monotonicity, linearity and symmetry for the price volatility–trading volume relationship in the futures markets of agricultural commodities. Design/methodology/approach Empirical findings are produced with the use of a highly flexible, nonparametric approach. Data are daily prices and volumes from the commodities of corn, hard red wheat, oats, rice
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Does religion influence the household finance? Evidence from Europe Studies in Economics and Finance Pub Date : 2023-10-18 Rashed Isam Ashqar, Júlio Lobão
Purpose This paper aims to examine the influence of religious backgrounds and religiosity on three dimensions of household finance (the decision to hold secured debt, the likelihood of being in a state of financial distress and the likelihood of being in a state of financial well-being) across a large sample of European countries. Design/methodology/approach The study uses data from the European Union
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Drivers of the next-minute Bitcoin price using sparse regressions Studies in Economics and Finance Pub Date : 2023-10-13 Ikhlaas Gurrib, Firuz Kamalov, Olga Starkova, Elgilani Eltahir Elshareif, Davide Contu
Purpose This paper aims to investigate the role of price-based information from major cryptocurrencies, foreign exchange, equity markets and key commodities in predicting the next-minute Bitcoin (BTC) price. This study answers the following research questions: What is the best sparse regression model to predict the next-minute price of BTC? What are the key drivers of the BTC price in high-frequency
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The response of gold to the COVID-19 pandemic Studies in Economics and Finance Pub Date : 2023-10-10 Zhaoying Lu, Hisashi Tanizaki
Purpose This study aims to investigate how the gold return and its volatility respond to the COVID-19 pandemic. Design/methodology/approach Stochastic volatility (SV) models are conducted to examine the response of gold to the number of new confirmed cases and deaths. Findings The results indicate that an increase in the change rate of the number of COVID-19 infections or fatalities leads to heightened
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An assessment of the impact of the PSPP on Spanish public bonds Studies in Economics and Finance Pub Date : 2023-10-09 Enrique Izquierdo-Cervera, Francisco Sogorb-Mira
Purpose The purpose of this study is to analyse the impact of the European Central Bank’s (ECB) Public Sector Purchase Programme (PSPP) on Spanish sovereign debt. Design/methodology/approach The authors assess the impact of the PSPP on Spanish Government bonds from two different transmission channels (the signalling and the portfolio substitution) with two effects for each of them (the announcement
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Senior official speeches and severe price discontinuities in the foreign exchange market Studies in Economics and Finance Pub Date : 2023-10-06 Mohamed A. Ayadi, Walid Ben Omrane, Jiayu Wang, Robert Welch
Purpose This study aims to better understand the effects of speeches as a valuable communication tool for central banks. It extends the analysis of the effects of public speeches on jumps to determine whether individual speakers matter partly because of their name, position or institution. Design/methodology/approach This study detects intraday jumps using a robust-to-jump volatility estimator that
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Leading and lagging role between financial stress and crude oil Studies in Economics and Finance Pub Date : 2023-10-09 Ahmet Galip Gençyürek
Purpose The crude oil market plays a key role in addressing the issue of energy economics. This paper aims to detect the causality relationship between the crude oil market and economy based on the financial system. Design/methodology/approach This paper used the static and dynamic Hatemi-J Bootstrap Toda–Yamamoto and Diebold–Yilmaz connectedness index. The Hatemi-J Bootstrap Toda-Yamamoto approach
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The relevance of carbon performance and board characteristics on carbon disclosure Studies in Economics and Finance Pub Date : 2023-10-05 Ghassan H. Mardini, Fathia Elleuch Lahyani
Purpose The purpose of this study is to examine the impact of carbon performance on carbon disclosure among nonfinancial French-listed firms, while also considering the corporate board’s characteristics as a secondary objective. Design/methodology/approach This study uses a sample of Société des Bourses Françaises 120 Index (SBF-120) French-listed firms to investigate the effect of multiple carbon
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Uncovering time and frequency co-movement among green bonds, energy commodities and stock market Studies in Economics and Finance Pub Date : 2023-10-03 Miklesh Prasad Yadav, Shruti Ashok, Farhad Taghizadeh-Hesary, Deepika Dhingra, Nandita Mishra, Nidhi Malhotra
Purpose This paper aims to examine the comovement among green bonds, energy commodities and stock market to determine the advantages of adding green bonds to a diversified portfolio. Design/methodology/approach Generic 1 Natural Gas and Energy Select SPDR Fund are used as proxies to measure energy commodities, bonds index of S&P Dow Jones and Bloomberg Barclays MSCI are used to represent green bonds
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Does board gender diversity affect firms’ expected risk? Studies in Economics and Finance Pub Date : 2023-09-15 Jodonnis Rodriguez, Krishnan Dandapani, Edward R. Lawrence
Purpose This study aims to explore the impact of board gender diversity on firms’ forward-looking risk, as perceived by both the firm’s management and its investors. The authors seek to understand whether the presence of female directors and the consequent enhancement of board dynamics can influence a firm’s risk profile. Design/methodology/approach The authors use firms’ cash holdings and option implied
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How does fear spread across asset classes? Evidence from quantile connectedness Studies in Economics and Finance Pub Date : 2023-09-15 Panos Fousekis
Purpose This study aims to investigate the connectivity among four principal implied volatility (“fear”) markets in the USA. Design/methodology/approach The empirical analysis relies on daily data (“fear gauge indices”) for the period 2017–2023 and the quantile vector autoregressive (QVAR) approach that allows connectivity (that is, the network topology of interrelated markets) to be quantile-dependent
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A collective decision-making model of p2p lending platforms compared to bank lending Studies in Economics and Finance Pub Date : 2023-09-15 Ruth Ben-Yashar, Miriam Krausz
Purpose This study aims to develop a theoretical model that uses the decision-making theory in a financial intermediation setting to provide insights into the differences between the outcomes of the decision-making process for a bank and for a peer-to-peer (p2p) lending platform to explain the role of p2p lending versus bank lending in the credit market. Design/methodology/approach This study develops
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Bank capital and risk relationship during COVID-19: a cross-country evidence Studies in Economics and Finance Pub Date : 2023-09-12 Quang Thi Thieu Nguyen, Dao Le Trang Anh, Christopher Gan
Purpose This study aims to examine the relationship between bank capital and bank risk during COVID-19. Design/methodology/approach The study covers 20 countries during the period from Q4:2018 to Q4:2020, using different measurements of risk with consideration for the interrelationship between bank risk and bank capital and the impact of COVID-19. Findings The findings show that higher bank capital
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Testing for sign and size symmetry between futures prices and spot prices in the markets of energy commodities: risk diversification and policy implications Studies in Economics and Finance Pub Date : 2023-09-01 Dimitrios Panagiotou, Filio Naka
Purpose The purpose of this paper is to investigate for symmetries – in sign and size – between spot and futures prices in the markets of energy commodities. Design/methodology/approach The aforementioned objective is pursued using daily observations of spot and futures prices for the commodities of crude oil, Brent, heating oil, gasoline and natural gas, along with local nonlinear regression. Findings
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Excess cash or excess headache? Demonetisation and bank behaviour in India Studies in Economics and Finance Pub Date : 2023-08-31 Saumen Majumdar, Swati Agarwal, Saibal Ghosh
Purpose Sudden and unannounced policy changes by the government that provide banks with windfall deposits creates a challenge in terms of resource deployment. In the process, there is an impact on their risk and returns. Using data on domestic Indian commercial banks, this study aims to examine the impact of such an announcement – the 2016 demonetisation episode – on bank behaviour. Design/methodology/approach
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Is short-term firm performance an indicator of a sustainable financial performance? Empirical evidence Studies in Economics and Finance Pub Date : 2023-08-29 Umar Nawaz Kayani, Christopher Gan, Mustafa Raza Rabbani, Yousra Trichilli
Purpose This study aims to thoroughly examine and understand the relationship between working capital management (WCM) and the sustainable financial performance (FP) in the context of the New Zealand companies listed on stock exchange. Design/methodology/approach This study has applied various regression techniques to examine WCM and the sustainable FP relationship. The data set period is from 2009
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Conviction, diversification or something else: constructing optimal portfolios with additional attributes Studies in Economics and Finance Pub Date : 2023-08-23 Muhammad Farid Ahmed, Stephen Satchell
Purpose The purpose of this paper is to provide theory for some popular models and strategies used by practitioners in constructing optimal portfolios. King (2007), for example, advocated adding a diversification term to mean-variance problems to create better portfolios and provided clear empirical evidence that this is beneficial. Design/methodology/approach The authors provide an analytical framework
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The dynamic trade-off theory of capital structure: evidence from a panel of US industrial companies Studies in Economics and Finance Pub Date : 2023-08-18 Ridha Esghaier
Purpose This paper aims to test the empirical validity of the dynamic trade-off theory in its symmetric and asymmetric versions in explaining the capital structure of a panel of publicly listed US industrial firms over the period from 2013 to 2019. It analyzes the existence of an adjustment of leverage toward its target level and whether the speed of this adjustment is influenced by the debt measure
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A cross-quantile correlation and causality-in-quantile analysis on the relationship between green investments and energy commodities during the COVID-19 pandemic period Studies in Economics and Finance Pub Date : 2023-07-26 Aarzoo Sharma, Aviral Kumar Tiwari, Emmanuel Joel Aikins Abakah, Freeman Brobbey Owusu
Purpose This paper aims to examine the cross-quantile correlation and causality-in-quantiles between green investments and energy commodities during the outbreak of COVID-19. To be specific, the authors aim to address the following questions: Is there any distributional predictability among green bonds and energy commodities during COVID-19? Is there exist any directional predictability between green
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Time-varying dependence and currency tail risk during the Covid-19 pandemic Studies in Economics and Finance Pub Date : 2023-07-18 Fabio Gobbi, Sabrina Mulinacci
Purpose The purpose of this paper is to introduce a generalization of the time-varying correlation elliptical copula models and to analyse its impact on the tail risk of a portfolio of foreign currencies during the Covid-19 pandemic. Design/methodology/approach The authors consider a multivariate time series model where marginal dynamics are driven by an autoregressive moving average (ARMA)–Gloste
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COVID-19, stability and regulation: evidence from Indonesian banks Studies in Economics and Finance Pub Date : 2023-07-10 Putra Pamungkas, Taufiq Arifin, Irwan Trinugroho, Evan Lau, Bruno S. Sergi
Purpose This study aims to investigate the effect of credit relaxation policy during the COVID-19 pandemic and its efficacy as a countercyclical policy on bank risk and stability. Design/methodology/approach Using a sample of 39 listed Indonesian banks, the authors investigate the effect of credit relaxation policy on banks’ risk and stability. Data were retrieved from Eikon DataStream from monthly
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Too hot and too close. Bitcoin and gold dynamics during COVID times Studies in Economics and Finance Pub Date : 2023-07-05 Pablo Agnese
Purpose This paper aims to analyze the connectedness between bitcoin (BTC) and other traditional assets (e.g. metals) in times of financial turbulence like the COVID pandemic. The purpose is to see to what extent BTC is mimicking the role precious metals are known for, that of being a reliable store of value. Design/methodology/approach The author relies on vector autoregressive modeling, as it yields
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Evolution of short-term contrarian profits Studies in Economics and Finance Pub Date : 2023-07-04 Xuebing Yang, Huilan Zhang
Purpose The purpose of this paper is to study the US stock market and try to explain why short-term contrarian profits have largely disappeared in the past two decades. Design/methodology/approach In this work, the authors decompose the short-term contrarian profits into cross-sectional variations, firm-level overreactions and lead-lag effects to study the changes in their shares. Then, the authors
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Does uncertainty promote exchange rate volatility? Global evidence Studies in Economics and Finance Pub Date : 2023-06-23 Muhammad Aftab, Maham Naeem, Muhammad Tahir, Izlin Ismail
Purpose Exchange rate volatility is an important factor affecting investors and policymakers. This study aims to examine the impact of uncertainties, in terms of changes in economic policy, monetary policy and global financial markets, on exchange rate volatility. Design/methodology/approach The study uses the GARCH (1,1) univariate model to calculate exchange rate volatility. Economic and monetary
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The impact of bitcoin on gold, the volatility index (VIX), and dollar index (USDX): analysis based on VAR, SVAR, and wavelet coherence Studies in Economics and Finance Pub Date : 2023-06-19 Florin Aliu, Alban Asllani, Simona Hašková
Purpose Since 2008, bitcoin has continued to attract investors due to its growing capitalization and opportunity for speculation. The purpose of this paper is to analyze the impact of bitcoin (BTC) on gold, the volatility index (VIX) and the dollar index (USDX). Design/methodology/approach The series used are weekly and cover the period from January 2016 to November 2022. To generate the results, the
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Corporate shareholder value creation as contributor to economic growth Studies in Economics and Finance Pub Date : 2023-06-15 John Henry Hall
Purpose The purpose of this paper is to determine if there is a link between corporate shareholder value creation and economic growth. The first objective of this paper is to determine which specific shareholder value measurement best explains shareholder value creation for a particular industry. The next objective of the study is to establish, for each of nine different categories of firms examined
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Exploring the relationship between digital trails of social signals and bitcoin returns Studies in Economics and Finance Pub Date : 2023-06-09 Tezer Yelkenci, Birce Dobrucalı Yelkenci, Gülin Vardar, Berna Aydoğan
Purpose This study aims to empirically investigate the linkages between digital trails of social signals (content and profile features of bitcoin-related tweets) and bitcoin price return using a VAR-BEKK-GARCH model. Design/methodology/approach Bitcoin-related tweets were collected every hour for six months from September 1, 2020, to February 29, 2021. The analysis involved two steps: first, examining
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Enhancing bank stability from diversification and digitalization perspective in ASEAN Studies in Economics and Finance Pub Date : 2023-06-05 Diyan Lestari, Shiguang Ma, Aelee Jun
Purpose The financial sector's resilience is associated with greater prosperity and a better average income. Banks have evolved their business model and diversified their sources of income, and bank digitalization has become one of the prominent strategies. The purpose of this study is to examine how bank service expansion represented by revenue diversification activities and digital strategy will
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Feedback trading in the cryptocurrency market Studies in Economics and Finance Pub Date : 2023-05-17 Mohamed Shaker Ahmed, Adel Alsamman, Kaouther Chebbi
Purpose This paper aims to investigate feedback trading and autocorrelation behavior in the cryptocurrency market. Design/methodology/approach It uses the GJR-GARCH model to investigate feedback trading in the cryptocurrency market. Findings The findings show a negative relationship between trading volume and autocorrelation in the cryptocurrency market. The GJR-GARCH model shows that only the USD
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Female directors, the institutional environment and dividend policy: evidence from ASEAN-5 commercial banks Studies in Economics and Finance Pub Date : 2023-05-08 Athiyyah Riri Syahfitri, Tastaftiyan Risfandy
Purpose This paper aims to investigate the impact of female directors on the dividend policies of 96 ASEAN-5 listed commercial banks between 2015 and 2020. Design/methodology/approach This paper developed an econometric model to assess the impact of female directors on the banks’ dividend policies. This paper regressed the payout variable on the female director, legal (institutional environment) variables
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Does the day-of-the-week effect exist in other asset classes? Investigation of the globally listed private equity markets Studies in Economics and Finance Pub Date : 2023-04-26 Marcel Steinborn
Purpose This study aims to investigate the day-of-the-week (DoW) effect in globally listed private equity (LPE) markets using daily data covering the period 2004–2021. Design/methodology/approach To investigate the existence of the DoW effect in globally LPE markets, ordinary least squares regression, generalised autoregressive conditional heteroscedasticity (GARCH) regression and robust regressions
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Financial risk tolerance of individuals from the lens of big five personality traits – a multigenerational perspective Studies in Economics and Finance Pub Date : 2023-04-17 Crystal Glenda Rodrigues, Gopalakrishna B.V.
Purpose This study aims to analyse the impact of the big five personality traits on the financial risk tolerance of individuals. Furthermore, it also examines the differences in personality traits and financial risk tolerance across four generations: baby boomers, Generation X, millennials and Generation Z. Design/methodology/approach The data constituted 869 responses from Indian individuals, collected
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Can COVID-19 deaths and confirmed cases predict the uncertainty indexes? A multiscale analysis Studies in Economics and Finance Pub Date : 2023-04-13 Walid Mensi, Vinh Xuan Vo, Sang Hoon Kang
Purpose This study aims to examine the multiscale predictability power of COVID-19 deaths and confirmed cases on the S&P 500 index (USA), CAC30 index (France), BSE index (India), two strategic commodity futures (West Texas intermediate [WTI] crude oil and Gold) and five main uncertainty indices Equity Market Volatility Ticker (EMV), CBOE Volatility Index (VIX), US Economic Policy Uncertainty (EPU)
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Contemporaneous dependence between euro, crude oil, and gold returns and their respective implied volatility changes. Evidence from the local Gaussian correlation approach Studies in Economics and Finance Pub Date : 2023-04-10 Panos Fousekis
Purpose This study aims to assess the contemporaneous dependence between euro, crude oil and gold returns and their respective implied volatility changes. Design/methodology/approach The empirical analysis relies on daily data for the period 2015–2022 and the local Gaussian correlation (LGC) approach that is suitable for estimating dependence between two stochastic processes at any point of their joint
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Spillover effects of foreign direct investment on manufacturing exports and imports in Indonesia Studies in Economics and Finance Pub Date : 2023-04-04 Mohammad Zeqi Yasin, Miguel Angel Esquivias
Purpose This study aims to identify extensive and intensive margins in exports and imports and examine whether incoming foreign direct investments (FDI) benefit local firms in Indonesia through the export and import channels. Design/methodology/approach Using Heckman’s two-step selection model to consider the potential of bias of self-selection in export–import participation, this study uses the firm-level
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A club convergence analysis of financial integration: cross-country evidence Studies in Economics and Finance Pub Date : 2023-03-23 Vaseem Akram, Sarbjit Singh, Pradipta Kumar Sahoo
Purpose The purpose of this study is to examine the club convergence of Financial integration (FI) in the case of 60 countries from 1970 to 2015. FI plays a vital role in economic growth through sharing the risk between countries, cross-border capital association, investment and financial information. It also leads to the efficient allocation of capital and capital accumulation, thereby improving the
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Consequences of the Russia-Ukraine war: evidence from DAX, ATX, and FTSEMIB Studies in Economics and Finance Pub Date : 2023-03-14 Florin Aliu, Isa Mulaj, Simona Hašková
Purpose The Russian invasion of Ukraine generated unprecedented panic in the European financial system. As expected, the European Union (EU) felt most of the negative effects of the war due to geographical proximity to Ukraine and energy dependence on Russia. This study aims to investigate the influence of Brent crude oil (BCO), Dutch Title Transfer Facility Natural Gas, and CBOE Volatility Index (VIX)
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Religiosity and bank lending: evidence surrounding the pandemic in the USA Studies in Economics and Finance Pub Date : 2023-02-28 Babu G. Baradwaj, Michaël Dewally, Liu Hong, Yingying Shao
Purpose The purpose of this study is to investigate the impact of religiosity on banks’ lending behavior during the COVID-19 pandemic in the USA. Design/methodology/approach This study uses the evidence from the issuance of Paycheck Protection Program (PPP) loans to relate local religiosity to banks’ participation in the PPP loan program and to banks’ loan portfolio performance during the pandemic