Pub Date : 2023-10-09DOI: 10.17811/ebl.12.3.2023.203-212
Iordanis Petsas, Fengyun Li, Jinghan Cai
This paper finds that national culture differences can explain the variation in the cross-country day-of-the-week (DOW) effect. More specifically, countries with lower individualism and higher power distance index tend to have a stronger DOW effect. We argue that in countries with lower individualism and higher power distance index, the distinction between weekend leisure and weekday work is more prominent, leading to more pessimistic feelings on Mondays, and subsequently to a stronger DOW effect. Our results support the Monday Blue hypothesis.
{"title":"Work, leisure, and the Monday Blue: Does culture matter?","authors":"Iordanis Petsas, Fengyun Li, Jinghan Cai","doi":"10.17811/ebl.12.3.2023.203-212","DOIUrl":"https://doi.org/10.17811/ebl.12.3.2023.203-212","url":null,"abstract":"This paper finds that national culture differences can explain the variation in the cross-country day-of-the-week (DOW) effect. More specifically, countries with lower individualism and higher power distance index tend to have a stronger DOW effect. We argue that in countries with lower individualism and higher power distance index, the distinction between weekend leisure and weekday work is more prominent, leading to more pessimistic feelings on Mondays, and subsequently to a stronger DOW effect. Our results support the Monday Blue hypothesis.","PeriodicalId":43184,"journal":{"name":"Economics and Business Letters","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-10-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135095578","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 : 2023-10-09DOI: 10.17811/ebl.12.3.2023.231-240
Eleftheria Kafousaki, Stavros Degiannakis
The study uses daily realized volatility measures in order to gain forecast accuracy over stocks’ market implied volatility, as proxied by VIX Index. We evaluate forecast accuracy by incorporating a traditional statistical loss function, along with an objective-based evaluation criterion, that is the cumulative returns earned from the different HAR-type volatility models, through a simple yet effective trading exercise on VIX futures. Findings, illustrate how illusive the choice between the two metrics may be, as it ends in two contradicting results.
{"title":"Forecasting VIX: the illusion of forecast evaluation criteria","authors":"Eleftheria Kafousaki, Stavros Degiannakis","doi":"10.17811/ebl.12.3.2023.231-240","DOIUrl":"https://doi.org/10.17811/ebl.12.3.2023.231-240","url":null,"abstract":"The study uses daily realized volatility measures in order to gain forecast accuracy over stocks’ market implied volatility, as proxied by VIX Index. We evaluate forecast accuracy by incorporating a traditional statistical loss function, along with an objective-based evaluation criterion, that is the cumulative returns earned from the different HAR-type volatility models, through a simple yet effective trading exercise on VIX futures. Findings, illustrate how illusive the choice between the two metrics may be, as it ends in two contradicting results.","PeriodicalId":43184,"journal":{"name":"Economics and Business Letters","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-10-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135095576","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 : 2023-10-09DOI: 10.17811/ebl.12.3.2023.186-202
Andreas Zervas, Apostolos Fasianos, Konstantinos Loizos
This paper explores the determinants of non-performing loans (NPLs) in Greece for the period 2002Q4 to 2018Q2, distinguishing between consumer, housing, and business loans. We contribute to the existing NPL literature by examining the impact of the home protection scheme, which has governed the Greek insolvency framework since the onset of the 2010 crisis. Consistent with previous research on NPLs, our findings indicate that the primary driver for all types of NPL classes has been the business cycle. Additionally, we uncover some evidence suggesting that the initial version of the home protection scheme may have contributed to non-repayment in specific NPL classes as property values declined. However, subsequent amendments to the scheme appear to have played a role in reducing NPL ratios, in addition to the positive effect of improving macroeconomic conditions. Our results offer valuable insights for policymakers seeking to address the burden of high NPL levels on Greece's economic recovery.
{"title":"The impact of home protection schemes on non-performing loans in Greece","authors":"Andreas Zervas, Apostolos Fasianos, Konstantinos Loizos","doi":"10.17811/ebl.12.3.2023.186-202","DOIUrl":"https://doi.org/10.17811/ebl.12.3.2023.186-202","url":null,"abstract":"This paper explores the determinants of non-performing loans (NPLs) in Greece for the period 2002Q4 to 2018Q2, distinguishing between consumer, housing, and business loans. We contribute to the existing NPL literature by examining the impact of the home protection scheme, which has governed the Greek insolvency framework since the onset of the 2010 crisis. Consistent with previous research on NPLs, our findings indicate that the primary driver for all types of NPL classes has been the business cycle. Additionally, we uncover some evidence suggesting that the initial version of the home protection scheme may have contributed to non-repayment in specific NPL classes as property values declined. However, subsequent amendments to the scheme appear to have played a role in reducing NPL ratios, in addition to the positive effect of improving macroeconomic conditions. Our results offer valuable insights for policymakers seeking to address the burden of high NPL levels on Greece's economic recovery.","PeriodicalId":43184,"journal":{"name":"Economics and Business Letters","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-10-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135095581","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 : 2023-10-09DOI: 10.17811/ebl.12.3.2023.213-230
Thomas Panagiotou, Constantinos Katrakilidis
This paper investigates the Tourism Led Growth (TLG) relationship, incorporating the law of economic returns and the Tourism Area Life Cycle (TALC) theory, along with economic complexity and globalization. To measure tourism accurately, principal components analysis is employed, integrating five tourism-specific variables for 127 countries spanning the period from 1995 to 2020. The empirical analysis utilizes advanced panel dynamic models that account for cross-sectional dependence, yielding robust evidence of a nonlinear TLG relationship. Our findings reveal an inverted U-shaped curve characterizing the TLG relationship in both the short and long run, highlighting distinct impacts of tourism specialization in each time frame. Specifically, higher levels of tourism specialization in the short run can lead to diminishing returns to scale in the long run. Furthermore, our analysis demonstrates that cultural globalization positively facilitates the TLG relationship, while economic complexity exerts a negative influence on the impact of tourism on economic growth.
{"title":"Do tourism, economic complexity and globalization affect economic growth? New empirical evidence in the context of TALC theory and accounting for cross sectional dependence","authors":"Thomas Panagiotou, Constantinos Katrakilidis","doi":"10.17811/ebl.12.3.2023.213-230","DOIUrl":"https://doi.org/10.17811/ebl.12.3.2023.213-230","url":null,"abstract":"This paper investigates the Tourism Led Growth (TLG) relationship, incorporating the law of economic returns and the Tourism Area Life Cycle (TALC) theory, along with economic complexity and globalization. To measure tourism accurately, principal components analysis is employed, integrating five tourism-specific variables for 127 countries spanning the period from 1995 to 2020. The empirical analysis utilizes advanced panel dynamic models that account for cross-sectional dependence, yielding robust evidence of a nonlinear TLG relationship. Our findings reveal an inverted U-shaped curve characterizing the TLG relationship in both the short and long run, highlighting distinct impacts of tourism specialization in each time frame. Specifically, higher levels of tourism specialization in the short run can lead to diminishing returns to scale in the long run. Furthermore, our analysis demonstrates that cultural globalization positively facilitates the TLG relationship, while economic complexity exerts a negative influence on the impact of tourism on economic growth.","PeriodicalId":43184,"journal":{"name":"Economics and Business Letters","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-10-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135095589","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}
We study the dynamic effects of the adoption of macroprudential policies on income inequality over the period 1990 - 2015. We utilize local projections for horizons up to 5 years, and we document that the implementation of borrower-targeted MAPs increases income inequality since they pose obstacles to the access to credit based on household-specific characteristics; however, some financial institutions-targeted instruments (i.e., capital and reserve requirements) lead to a more equal income distribution.
{"title":"The dynamic effect of macroprudential policies on income inequality: some evidence","authors":"Panagiotis Konstantinou, Anastasios Rizos, Artemis Stratopoulou","doi":"10.17811/ebl.12.3.2023.248-265","DOIUrl":"https://doi.org/10.17811/ebl.12.3.2023.248-265","url":null,"abstract":"We study the dynamic effects of the adoption of macroprudential policies on income inequality over the period 1990 - 2015. We utilize local projections for horizons up to 5 years, and we document that the implementation of borrower-targeted MAPs increases income inequality since they pose obstacles to the access to credit based on household-specific characteristics; however, some financial institutions-targeted instruments (i.e., capital and reserve requirements) lead to a more equal income distribution.","PeriodicalId":43184,"journal":{"name":"Economics and Business Letters","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-10-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135095586","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 : 2023-07-13DOI: 10.17811/ebl.12.2.2023.121-131
Tiago Cruz Gonçalves, Victor Barros, José Vicente Avelar
This paper aims to investigate the association between firms’ financial performance and their sustainability performance, as measured by Tobin's Q, with a focus on the individual ESG pillars. Our study analyzes constituents of the Stoxx Europe 600 index. We employ different econometric approaches and perform a comprehensive analysis of the post-2015 agreement concerning climate change. Results suggest a statistically positive relationship between firms’ ESG and financial performance, although of greater magnitude for the social component. Overall, our findings highlight the superior relevance of social performance in yielding shareholder value for the largest European firms.
{"title":"Environmental, social and governance scores in Europe: what drives financial performance for larger firms?","authors":"Tiago Cruz Gonçalves, Victor Barros, José Vicente Avelar","doi":"10.17811/ebl.12.2.2023.121-131","DOIUrl":"https://doi.org/10.17811/ebl.12.2.2023.121-131","url":null,"abstract":"This paper aims to investigate the association between firms’ financial performance and their sustainability performance, as measured by Tobin's Q, with a focus on the individual ESG pillars. Our study analyzes constituents of the Stoxx Europe 600 index. We employ different econometric approaches and perform a comprehensive analysis of the post-2015 agreement concerning climate change. Results suggest a statistically positive relationship between firms’ ESG and financial performance, although of greater magnitude for the social component. Overall, our findings highlight the superior relevance of social performance in yielding shareholder value for the largest European firms.","PeriodicalId":43184,"journal":{"name":"Economics and Business Letters","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2023-07-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42276905","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 : 2023-07-13DOI: 10.17811/ebl.12.2.2023.97-104
Tu D. Q. Le, Son Tran, D. Nguyen, Thanh D. Ngo
This study empirically examines factors affecting the different stages of CBDC adoption using a sample of 55 countries engaged in CBDC projects from 2014 to 2021. The findings indicate that anti-money laundering and terrorist financing and the financial market development, inflation and technological factors are critical determinants of CBDC adoption at different stages.
{"title":"The degrees of central bank digital currency adoption across countries: a preliminary analysis","authors":"Tu D. Q. Le, Son Tran, D. Nguyen, Thanh D. Ngo","doi":"10.17811/ebl.12.2.2023.97-104","DOIUrl":"https://doi.org/10.17811/ebl.12.2.2023.97-104","url":null,"abstract":"This study empirically examines factors affecting the different stages of CBDC adoption using a sample of 55 countries engaged in CBDC projects from 2014 to 2021. The findings indicate that anti-money laundering and terrorist financing and the financial market development, inflation and technological factors are critical determinants of CBDC adoption at different stages.","PeriodicalId":43184,"journal":{"name":"Economics and Business Letters","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2023-07-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43654097","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 : 2023-07-13DOI: 10.17811/ebl.12.2.2023.132-136
Ryan H. Murphy
This note projects forward into the distant future the number of countries existing under regimes of different levels of economic liberalism by deriving a transition probability matrix from Economic Freedom of the World data. Naively extrapolating trends from 1970-2020 suggests a modest majority of 165 countries will be economically free in the long-run steady state, with results driven by improvements in variables associated with the freedom to trade internationally and especially the quality of the legal system and property rights.
{"title":"Steady state economic freedom","authors":"Ryan H. Murphy","doi":"10.17811/ebl.12.2.2023.132-136","DOIUrl":"https://doi.org/10.17811/ebl.12.2.2023.132-136","url":null,"abstract":"This note projects forward into the distant future the number of countries existing under regimes of different levels of economic liberalism by deriving a transition probability matrix from Economic Freedom of the World data. Naively extrapolating trends from 1970-2020 suggests a modest majority of 165 countries will be economically free in the long-run steady state, with results driven by improvements in variables associated with the freedom to trade internationally and especially the quality of the legal system and property rights.","PeriodicalId":43184,"journal":{"name":"Economics and Business Letters","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2023-07-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44404422","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 : 2023-07-13DOI: 10.17811/ebl.12.2.2023.105-114
I. Cioroianu, S. Corbet, C. Larkin, L. Oxley
Using estimated sentiment indices based on CBDC-related social media posts, and testing for the effects of regulatory-related announcements upon blockchain and cryptocurrency-related funds, this research presents two key findings: first, the continued evolution of the pricing structures of digital finance products to respond to such perceived threats constitutes a further evolutionary point in the product's life-cycle. However, secondly, the very fact that returns fall while volatility increases, indicates a largely negative market response to the threat of potential external regulation of cryptocurrencies in the future. The nature of this negative response validates concerns that anonymity continues to be a central attractive feature for cryptocurrency stakeholders, further verifying the necessity for third-party oversight.
{"title":"Developing central bank digital currencies: a reality check during cryptocurrency euphoria","authors":"I. Cioroianu, S. Corbet, C. Larkin, L. Oxley","doi":"10.17811/ebl.12.2.2023.105-114","DOIUrl":"https://doi.org/10.17811/ebl.12.2.2023.105-114","url":null,"abstract":"Using estimated sentiment indices based on CBDC-related social media posts, and testing for the effects of regulatory-related announcements upon blockchain and cryptocurrency-related funds, this research presents two key findings: first, the continued evolution of the pricing structures of digital finance products to respond to such perceived threats constitutes a further evolutionary point in the product's life-cycle. However, secondly, the very fact that returns fall while volatility increases, indicates a largely negative market response to the threat of potential external regulation of cryptocurrencies in the future. The nature of this negative response validates concerns that anonymity continues to be a central attractive feature for cryptocurrency stakeholders, further verifying the necessity for third-party oversight.","PeriodicalId":43184,"journal":{"name":"Economics and Business Letters","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2023-07-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41708454","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 : 2023-07-13DOI: 10.17811/ebl.12.2.2023.137-146
Yu-Lin Hsu, Ya-Ching Chu
This paper investigates whether the presence of CSR committees has a mitigating effect on firm value (measured by Tobin’s Q) during the COVID-19 pandemic. Analyzing UK listed firm data, we find that although the pandemic results in lower firm value, the presence of CSR committees helps to mitigate the negative impact of COVID-19 on firm value. The results suggest that the formation of CSR committees is not a symbolic impression management tool but an effective sustainability governance mechanism during the crisis. Our results should be helpful for regulators and companies in making decisions related to CSR committees.
{"title":"CSR committee and firm value during the COVID-19 pandemic","authors":"Yu-Lin Hsu, Ya-Ching Chu","doi":"10.17811/ebl.12.2.2023.137-146","DOIUrl":"https://doi.org/10.17811/ebl.12.2.2023.137-146","url":null,"abstract":"This paper investigates whether the presence of CSR committees has a mitigating effect on firm value (measured by Tobin’s Q) during the COVID-19 pandemic. Analyzing UK listed firm data, we find that although the pandemic results in lower firm value, the presence of CSR committees helps to mitigate the negative impact of COVID-19 on firm value. The results suggest that the formation of CSR committees is not a symbolic impression management tool but an effective sustainability governance mechanism during the crisis. Our results should be helpful for regulators and companies in making decisions related to CSR committees. ","PeriodicalId":43184,"journal":{"name":"Economics and Business Letters","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2023-07-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44362890","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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