Pub Date : 2024-12-31DOI: 10.1016/j.frl.2024.106733
David Alaminos
This paper examines price bubble formation in commodity markets driven by margin calls, highlighting mechanisms causing extreme price volatility. Analyzing Nickel, WTI Oil, Silver, Copper, Wheat, Corn, and Soybean, I test five hypotheses on leverage, liquidity reduction, and positive feedback loops using advanced detection methods like LPPLS and GSADF. Results show high leverage and margin calls amplify volatility through forced trades and speculation. Asymmetrical reactions and herding behavior further exacerbate bubbles, particularly under supply constraints. My findings stress the need for improved risk management and regulatory measures to curb leverage-driven volatility, enhancing market stability and resilience.
{"title":"Rising bubbles by margin calls","authors":"David Alaminos","doi":"10.1016/j.frl.2024.106733","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106733","url":null,"abstract":"This paper examines price bubble formation in commodity markets driven by margin calls, highlighting mechanisms causing extreme price volatility. Analyzing Nickel, WTI Oil, Silver, Copper, Wheat, Corn, and Soybean, I test five hypotheses on leverage, liquidity reduction, and positive feedback loops using advanced detection methods like LPPLS and GSADF. Results show high leverage and margin calls amplify volatility through forced trades and speculation. Asymmetrical reactions and herding behavior further exacerbate bubbles, particularly under supply constraints. My findings stress the need for improved risk management and regulatory measures to curb leverage-driven volatility, enhancing market stability and resilience.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"36 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142986116","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-12-30DOI: 10.1016/j.frl.2024.106683
Tetsuya Takaishi
The finite sample effect on the Hurst exponent (HE) of realized volatility time series is examined using Bitcoin data. This study finds that the HE decreases as the sampling period Δ increases and a simple finite sample ansatz closely fits the HE data. We obtain HE values of Δ→0, which is smaller than 1/2, indicating rough volatility. The relative error is found to be 1% for the widely used five-minute realized volatility. Performing a multifractal analysis, we find that multifractality in the realized volatility time series is smaller than that of the price-return time series.
{"title":"Multifractality and sample size influence on Bitcoin volatility patterns","authors":"Tetsuya Takaishi","doi":"10.1016/j.frl.2024.106683","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106683","url":null,"abstract":"The finite sample effect on the Hurst exponent (HE) of realized volatility time series is examined using Bitcoin data. This study finds that the HE decreases as the sampling period <mml:math altimg=\"si73.svg\" display=\"inline\"><mml:mi>Δ</mml:mi></mml:math> increases and a simple finite sample ansatz closely fits the HE data. We obtain HE values of <mml:math altimg=\"si2.svg\" display=\"inline\"><mml:mrow><mml:mi>Δ</mml:mi><mml:mo>→</mml:mo><mml:mn>0</mml:mn></mml:mrow></mml:math>, which is smaller than 1/2, indicating rough volatility. The relative error is found to be 1% for the widely used five-minute realized volatility. Performing a multifractal analysis, we find that multifractality in the realized volatility time series is smaller than that of the price-return time series.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"14 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142936157","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-12-30DOI: 10.1016/j.frl.2024.106722
Drini Morina, Henning Lucas, Stefanie Heiden
This paper examines intensity- and speed-based differences in the short-term relationship between R&D investment and corporate growth of over 2,000 high-tech firms from 2000 to 2020 using semiparametric quantile models. Although R&D investment is often assumed to be a candidate supporting the recovery of declining firms, a positive impact has yet only been revealed for high-growth firms. This study finds that this effect is only positive at high intensities, roughly above a 50 % R&D-to-sales ratio, and that the threshold is higher for declining firms, at about 130 %. These findings contribute to the understanding of the relationship and are valuable for managers as they consider R&D investments to enhance corporate growth.
{"title":"Unraveling the impact of R&D investment on corporate growth: Empirical insights on intensity- and growth rate-based differences","authors":"Drini Morina, Henning Lucas, Stefanie Heiden","doi":"10.1016/j.frl.2024.106722","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106722","url":null,"abstract":"This paper examines intensity- and speed-based differences in the short-term relationship between R&D investment and corporate growth of over 2,000 high-tech firms from 2000 to 2020 using semiparametric quantile models. Although R&D investment is often assumed to be a candidate supporting the recovery of declining firms, a positive impact has yet only been revealed for high-growth firms. This study finds that this effect is only positive at high intensities, roughly above a 50 % R&D-to-sales ratio, and that the threshold is higher for declining firms, at about 130 %. These findings contribute to the understanding of the relationship and are valuable for managers as they consider R&D investments to enhance corporate growth.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"23 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142936154","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-12-30DOI: 10.1016/j.frl.2024.106718
Fengzhan Zhu, Dan Zhang, Li Li
This study empirically investigates the relationship between the development of digital media and corporate financial behavior using data from A-share listed companies for 2020–2024. The results show a significant positive relationship between digital media development and corporate financial behavior, with corporate social responsibility positively moderating this relationship. Furthermore, the impact of digital media on corporate financial behavior is more pronounced in enterprises with a high concentration of ownership and in high-tech enterprises.
{"title":"Effects of digital media development on corporate financial behavior: Moderating role of corporate social responsibility","authors":"Fengzhan Zhu, Dan Zhang, Li Li","doi":"10.1016/j.frl.2024.106718","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106718","url":null,"abstract":"This study empirically investigates the relationship between the development of digital media and corporate financial behavior using data from A-share listed companies for 2020–2024. The results show a significant positive relationship between digital media development and corporate financial behavior, with corporate social responsibility positively moderating this relationship. Furthermore, the impact of digital media on corporate financial behavior is more pronounced in enterprises with a high concentration of ownership and in high-tech enterprises.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"55 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142936156","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-12-30DOI: 10.1016/j.frl.2024.106719
Yongfang Li, Yibo Zhang, Ying Zhang
This study investigates the influence of health insurance on urban residents’ tourism consumption, focusing on the heterogeneity of the factors involved. Results suggest that health insurance significantly enhances tourism consumption among urban residents, with notable variations across different income levels. These insights offer a theoretical foundation for enterprises and government agencies to craft policies that foster the healthy development of tourism consumption among urban populations.
{"title":"Does health insurance keep people from travelling? A heterogeneity analysis of the tourism sector","authors":"Yongfang Li, Yibo Zhang, Ying Zhang","doi":"10.1016/j.frl.2024.106719","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106719","url":null,"abstract":"This study investigates the influence of health insurance on urban residents’ tourism consumption, focusing on the heterogeneity of the factors involved. Results suggest that health insurance significantly enhances tourism consumption among urban residents, with notable variations across different income levels. These insights offer a theoretical foundation for enterprises and government agencies to craft policies that foster the healthy development of tourism consumption among urban populations.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"74 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142936159","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-12-30DOI: 10.1016/j.frl.2024.106720
Weixuan Hu
This study conducts an empirical analysis to explore the impact of executive pay disparity on corporate social responsibility performance, and examines the mediating role of corporate internal control quality. The findings reveal that executive pay disparity has a significant positive effect on social responsibility performance, particularly pronounced in state-owned and small to medium-sized enterprises. Additionally, the quality of internal controls plays a crucial mediating role between executive pay disparity and social responsibility performance. By analyzing the interactions among these variables, this paper further deepens the understanding of how to adjust executive compensation strategies to optimize social responsibility performance under different industry and market conditions.
{"title":"Executive pay disparity, internal control, and corporate social responsibility","authors":"Weixuan Hu","doi":"10.1016/j.frl.2024.106720","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106720","url":null,"abstract":"This study conducts an empirical analysis to explore the impact of executive pay disparity on corporate social responsibility performance, and examines the mediating role of corporate internal control quality. The findings reveal that executive pay disparity has a significant positive effect on social responsibility performance, particularly pronounced in state-owned and small to medium-sized enterprises. Additionally, the quality of internal controls plays a crucial mediating role between executive pay disparity and social responsibility performance. By analyzing the interactions among these variables, this paper further deepens the understanding of how to adjust executive compensation strategies to optimize social responsibility performance under different industry and market conditions.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"6 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142936155","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-12-30DOI: 10.1016/j.frl.2024.106714
Mengmeng Chen, Guoan Ye
Using data from A-share listed companies in this study examines the impact of multiple large shareholders on corporate accounting conservatism. Results indicate that as a corporate governance mechanism, multiple large shareholders can exercise oversight over major shareholders and significantly increase corporate accounting conservatism. The mediation effect analysis reveals that multiple large shareholders partially improve accounting conservatism by reducing controlling shareholders’ self-interested behavior. Furthermore, the moderation effect analysis finds that when external oversight mechanisms are weaker, multiple large shareholders play a stronger oversight role in corporate financial behaviors, effectively compensating for the deficiencies of external oversight.
{"title":"Multiple large shareholders, related-party transactions and accounting conservatism","authors":"Mengmeng Chen, Guoan Ye","doi":"10.1016/j.frl.2024.106714","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106714","url":null,"abstract":"Using data from A-share listed companies in this study examines the impact of multiple large shareholders on corporate accounting conservatism. Results indicate that as a corporate governance mechanism, multiple large shareholders can exercise oversight over major shareholders and significantly increase corporate accounting conservatism. The mediation effect analysis reveals that multiple large shareholders partially improve accounting conservatism by reducing controlling shareholders’ self-interested behavior. Furthermore, the moderation effect analysis finds that when external oversight mechanisms are weaker, multiple large shareholders play a stronger oversight role in corporate financial behaviors, effectively compensating for the deficiencies of external oversight.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"33 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142936189","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-12-29DOI: 10.1016/j.frl.2024.106543
Messaoud Chibane, Nathalie Janson
We revisit the ability of well-known safe havens to protect U.S equity against geopolitical risk. Using S&P 500 and GPR index weekly data we estimate a crash model where the equity crash probability is driven by geopolitical risk. We find that Bitcoin and the Swiss Franc function as safe havens in relation to geopolitical risk in times of market crashes while Gold and Treasury bonds do not. Our results show that the protective aspects of Bitcoin and the Swiss Franc mainly show through large stock market moves rather than during moderate variations.
{"title":"Is Bitcoin the best safe haven against geopolitical risk ?","authors":"Messaoud Chibane, Nathalie Janson","doi":"10.1016/j.frl.2024.106543","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106543","url":null,"abstract":"We revisit the ability of well-known safe havens to protect U.S equity against geopolitical risk. Using S&P 500 and GPR index weekly data we estimate a crash model where the equity crash probability is driven by geopolitical risk. We find that Bitcoin and the Swiss Franc function as safe havens in relation to geopolitical risk in times of market crashes while Gold and Treasury bonds do not. Our results show that the protective aspects of Bitcoin and the Swiss Franc mainly show through large stock market moves rather than during moderate variations.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"4 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142986117","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-12-28DOI: 10.1016/j.frl.2024.106685
Matúš Horváth, Tomáš Výrost
Since the Basel III accords, Expected Shortfall (ES) has become the recommended tail-risk measure in financial investments. Several methods of different theoretical backgrounds, complexity, and ease of implementation have since been developed for ES. As the competing set of models for ES grows, the question of which one to use becomes relevant to both academia and practitioners. We compare the predictive ability of four classes of models for ES estimation and identify a superior set. We verify the viability of these models in portfolio applications based on cryptocurrencies, an asset class with high volatility, particularly suitable for tail risk mitigation.
{"title":"No shortfall of ES estimators: Insights from cryptocurrency portfolios","authors":"Matúš Horváth, Tomáš Výrost","doi":"10.1016/j.frl.2024.106685","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106685","url":null,"abstract":"Since the Basel III accords, Expected Shortfall (ES) has become the recommended tail-risk measure in financial investments. Several methods of different theoretical backgrounds, complexity, and ease of implementation have since been developed for ES. As the competing set of models for ES grows, the question of which one to use becomes relevant to both academia and practitioners. We compare the predictive ability of four classes of models for ES estimation and identify a superior set. We verify the viability of these models in portfolio applications based on cryptocurrencies, an asset class with high volatility, particularly suitable for tail risk mitigation.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"71 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142911670","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-12-27DOI: 10.1016/j.frl.2024.106707
Sitong Li, Huangen Chen, Gengxuan Chen
Tensions in the US-China relationship and strategies such as trade sanctions and rare earth controls implemented in recent years affect the import and export shares of fossil fuels in both countries. Therefore, this paper evaluates the influence of the US-China Tension Index (UCT) on the price volatility of fossil fuels under the GARCH-MIDAS model structure. Using a rolling window approach for parameter estimation and generating forecasts, the results show that an increase in tension between the two countries raises the energy price volatility and the double asymmetric GARCH-MIDAS-UCT model beats the rest of the competition.
{"title":"The US-China tension and fossil fuel energy price volatility relationship","authors":"Sitong Li, Huangen Chen, Gengxuan Chen","doi":"10.1016/j.frl.2024.106707","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106707","url":null,"abstract":"Tensions in the US-China relationship and strategies such as trade sanctions and rare earth controls implemented in recent years affect the import and export shares of fossil fuels in both countries. Therefore, this paper evaluates the influence of the US-China Tension Index (UCT) on the price volatility of fossil fuels under the GARCH-MIDAS model structure. Using a rolling window approach for parameter estimation and generating forecasts, the results show that an increase in tension between the two countries raises the energy price volatility and the double asymmetric GARCH-MIDAS-UCT model beats the rest of the competition.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"82 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-12-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142936158","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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