Pub Date : 2023-09-04DOI: 10.1080/1351847x.2023.2250379
Théo Nicolas
{"title":"Bank market power and interest rate setting: why consolidated banking data matter","authors":"Théo Nicolas","doi":"10.1080/1351847x.2023.2250379","DOIUrl":"https://doi.org/10.1080/1351847x.2023.2250379","url":null,"abstract":"","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"73 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86248690","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-09-04DOI: 10.1080/1351847x.2023.2251531
Jingbin Zhuo, Yufan Chen, Bang Zhou, Baiming Lang, Lan Wu, Ruixun Zhang
{"title":"A Hawkes process analysis of high-frequency price endogeneity and market efficiency","authors":"Jingbin Zhuo, Yufan Chen, Bang Zhou, Baiming Lang, Lan Wu, Ruixun Zhang","doi":"10.1080/1351847x.2023.2251531","DOIUrl":"https://doi.org/10.1080/1351847x.2023.2251531","url":null,"abstract":"","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"28 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79531759","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-08-30DOI: 10.1080/1351847X.2023.2249961
Rakesh K. Bissoondeeal, J. Binner, C. Milas
The economic landscape of the UK has been significantly shaped by the intertwined issues of Brexit, COVID, and their interconnected impacts. The disruptions caused by Brexit and the COVID pandemic have created uncertainty and upheaval for both businesses and individuals. Whilst the effects of COVID are now receding, Brexit is still dominating headlines seven years after the referendum and is likely to do so for the foreseeable future. In this introduction, we provide an overview of the literature on Brexit. We review the reasons for leaving the European Union, as well examine the consequences of Brexit, with a focus on investment, economic growth, trade, unemployment, and financial markets. We then introduce the seven papers selected from the ‘Post Brexit: Uncertainty, Risk Measurement and Coronavirus Challenges Conference’ held at Birmingham Business School in June 2021, that advance the current literature on the effects of Brexit and COVID on the UK economy. Evidence in these papers suggests that Brexit and COVID are still clearly posing a severe strain on the UK’s economy. However, some papers suggest that not everything about Brexit has been detrimental, or at least certain sectors of the UK economy are displaying a marked resilience.
{"title":"Brexit and coronavirus: financial perspectives and future prospects","authors":"Rakesh K. Bissoondeeal, J. Binner, C. Milas","doi":"10.1080/1351847X.2023.2249961","DOIUrl":"https://doi.org/10.1080/1351847X.2023.2249961","url":null,"abstract":"The economic landscape of the UK has been significantly shaped by the intertwined issues of Brexit, COVID, and their interconnected impacts. The disruptions caused by Brexit and the COVID pandemic have created uncertainty and upheaval for both businesses and individuals. Whilst the effects of COVID are now receding, Brexit is still dominating headlines seven years after the referendum and is likely to do so for the foreseeable future. In this introduction, we provide an overview of the literature on Brexit. We review the reasons for leaving the European Union, as well examine the consequences of Brexit, with a focus on investment, economic growth, trade, unemployment, and financial markets. We then introduce the seven papers selected from the ‘Post Brexit: Uncertainty, Risk Measurement and Coronavirus Challenges Conference’ held at Birmingham Business School in June 2021, that advance the current literature on the effects of Brexit and COVID on the UK economy. Evidence in these papers suggests that Brexit and COVID are still clearly posing a severe strain on the UK’s economy. However, some papers suggest that not everything about Brexit has been detrimental, or at least certain sectors of the UK economy are displaying a marked resilience.","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"82 1","pages":"1825 - 1834"},"PeriodicalIF":0.0,"publicationDate":"2023-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84092088","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-08-24DOI: 10.1080/1351847x.2023.2241528
Raslan Alzuabi, Sarah Brown, Daniel Gray, M. Harris, Christopher Spencer
We explore the empirical relationship between borrowing constraints and household financial portfolio allocation. To motivate our analysis we develop a mean-variance model of portfolio allocation with three tradable asset classes defined by increasing risk, and establish a link between borrowing restrictions and financial portfolio allocation at the household level. Under non-restrictive assumptions the proportion of wealth allocated to the medium-risk asset is ambiguous. We also demonstrate that in the presence of both correlated background risk and borrowing constraints the domain of the non-binding risk-return space will be a function of background risk. We then analyse the US Survey of Consumer Finances with a view to empirically exploring the predictions of our theoretical framework. The distribution of medium-risk assets in US households is remarkably similar to that for high-risk assets, and suggests the presence of a more general ‘risk puzzle’, which our proxies for borrowing constraints partially explain. Our findings indicate that such constraints are inversely related to the proportion of financial wealth allocated to both high-risk and medium-risk assets, but are positively related to low-risk asset holdings. In light of our findings, further work aimed at accounting for the allocation of medium-risk assets in US households is considered expedient. it would also be unable to handle boundary observations of 0 or 1 shares; and would likely embody heteroskedasticity in u ij . We have also explored the use of a multi-nominal fractional response model, see for example, Becker In this setting, the inherent risk ordering of asset classes is not accounted for in the estimation strategy, instead the multi-nominal probit model is used as the foundation of the estimation strategy. We obtain similar results to those presented when we adopt this alternative modelling strategy.
{"title":"Portfolio allocation and borrowing constraints","authors":"Raslan Alzuabi, Sarah Brown, Daniel Gray, M. Harris, Christopher Spencer","doi":"10.1080/1351847x.2023.2241528","DOIUrl":"https://doi.org/10.1080/1351847x.2023.2241528","url":null,"abstract":"We explore the empirical relationship between borrowing constraints and household financial portfolio allocation. To motivate our analysis we develop a mean-variance model of portfolio allocation with three tradable asset classes defined by increasing risk, and establish a link between borrowing restrictions and financial portfolio allocation at the household level. Under non-restrictive assumptions the proportion of wealth allocated to the medium-risk asset is ambiguous. We also demonstrate that in the presence of both correlated background risk and borrowing constraints the domain of the non-binding risk-return space will be a function of background risk. We then analyse the US Survey of Consumer Finances with a view to empirically exploring the predictions of our theoretical framework. The distribution of medium-risk assets in US households is remarkably similar to that for high-risk assets, and suggests the presence of a more general ‘risk puzzle’, which our proxies for borrowing constraints partially explain. Our findings indicate that such constraints are inversely related to the proportion of financial wealth allocated to both high-risk and medium-risk assets, but are positively related to low-risk asset holdings. In light of our findings, further work aimed at accounting for the allocation of medium-risk assets in US households is considered expedient. it would also be unable to handle boundary observations of 0 or 1 shares; and would likely embody heteroskedasticity in u ij . We have also explored the use of a multi-nominal fractional response model, see for example, Becker In this setting, the inherent risk ordering of asset classes is not accounted for in the estimation strategy, instead the multi-nominal probit model is used as the foundation of the estimation strategy. We obtain similar results to those presented when we adopt this alternative modelling strategy.","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"5 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87819927","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-08-07DOI: 10.1080/1351847x.2023.2244008
Maoxi Tian, R. Khoury, N. Nasrallah, Muneer M. Alshater
{"title":"Assessing systemic risk spillovers from FinTech to China’s financial system","authors":"Maoxi Tian, R. Khoury, N. Nasrallah, Muneer M. Alshater","doi":"10.1080/1351847x.2023.2244008","DOIUrl":"https://doi.org/10.1080/1351847x.2023.2244008","url":null,"abstract":"","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"67 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85445677","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-08-02DOI: 10.1080/1351847x.2023.2240846
J. Farinha, Óscar López-de-Foronda
{"title":"The impact of corruption on investment and financing in the European Union: new insights","authors":"J. Farinha, Óscar López-de-Foronda","doi":"10.1080/1351847x.2023.2240846","DOIUrl":"https://doi.org/10.1080/1351847x.2023.2240846","url":null,"abstract":"","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"5 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73332886","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Trading patterns in the bitcoin market","authors":"Anqi Liu, Hossein Jahanshahloo, Jing Chen, Arman Eshraghi","doi":"10.1080/1351847x.2023.2241883","DOIUrl":"https://doi.org/10.1080/1351847x.2023.2241883","url":null,"abstract":"","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"67 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83116789","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-08-02DOI: 10.1080/1351847x.2023.2241516
Saswat Patra, N. Gupta
{"title":"Risk in the cryptocurrency markets: the role of structural breaks and fat-tailed distributions in estimating value-at-risk and expected shortfall","authors":"Saswat Patra, N. Gupta","doi":"10.1080/1351847x.2023.2241516","DOIUrl":"https://doi.org/10.1080/1351847x.2023.2241516","url":null,"abstract":"","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"24 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84513647","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-08-02DOI: 10.1080/1351847x.2023.2241539
Haijie Huang, Steven Xianglong Chen, Edward A. Lee, Dongdong Li
{"title":"Information search costs and trade credit: evidence from high-speed rail connections","authors":"Haijie Huang, Steven Xianglong Chen, Edward A. Lee, Dongdong Li","doi":"10.1080/1351847x.2023.2241539","DOIUrl":"https://doi.org/10.1080/1351847x.2023.2241539","url":null,"abstract":"","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"10 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89227139","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-07-27DOI: 10.1080/1351847x.2023.2224832
A. Melia, Xiaojing Song, M. Tippett, John van der Burg
{"title":"Hedging quantitative easing","authors":"A. Melia, Xiaojing Song, M. Tippett, John van der Burg","doi":"10.1080/1351847x.2023.2224832","DOIUrl":"https://doi.org/10.1080/1351847x.2023.2224832","url":null,"abstract":"","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"30 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-07-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75107904","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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