首页 > 最新文献

China Finance Review International最新文献

英文 中文
The impact of China's green credit policy on enterprise digital innovation: evidence from heavily-polluting Chinese listed companies 中国绿色信贷政策对企业数字化创新的影响——来自污染严重的中国上市公司的证据
IF 8.2 1区 经济学 Q1 Economics, Econometrics and Finance Pub Date : 2023-08-29 DOI: 10.1108/cfri-11-2022-0224
Q. Lu, Yangyang Deng, Xinyi Wang, Aiping Wang
PurposeAs an effective tool to promote rational resource allocation and facilitate the development of green management practices such as enterprise digital innovation, the green credit policy has recently gained extensive attention. The purpose of this paper is to analyze the relationship between green credit policies and the digital innovation of enterprises, and to further explore the mechanism of action between them and their boundary conditions.Design/methodology/approachBased on micro-level data on Chinese firms from 2007 to 2019, this paper constructs a difference-in-differences (DID) model to investigate the impact and intrinsic mechanisms of green credit policies on firms' digital innovation and its boundary conditions, with the help of a quasi-natural experiment, i.e. the Green Credit Guidelines.FindingsGreen credit policies inhibit digital innovation and fail to compensate for innovation. The analysis of the mechanism shows that the implementation of green credit policies has a negative impact on digital innovation by increasing the financing constraints faced by firms, and has also a crowding-out effect on R&D investment, resulting in a disincentive to digital innovation. Further analysis reveals that the negative impact of green credit policies on digital innovation is more pronounced in state-owned enterprises, enterprises without financially experienced executives, and in the eastern regions of China.Originality/valueThis study provides empirical evidence to understand the effectiveness and mechanism of influence of green credit policies on enterprise digital innovation, providing also a basis to further improve green credit policies.
摘要绿色信贷政策作为促进资源合理配置、促进企业数字化创新等绿色管理实践发展的有效工具,近年来受到了广泛关注。本文旨在分析绿色信贷政策与企业数字化创新之间的关系,并进一步探讨二者之间的作用机制及其边界条件。基于2007 - 2019年中国企业的微观数据,通过准自然实验,即《绿色信贷指引》,构建差异中差异(DID)模型,研究绿色信贷政策对企业数字创新及其边界条件的影响及其内在机制。绿色信贷政策抑制了数字创新,未能补偿创新。机制分析表明,绿色信贷政策的实施通过增加企业面临的融资约束对数字创新产生负面影响,并对研发投资产生挤出效应,从而抑制数字创新。进一步分析表明,绿色信贷政策对数字创新的负面影响在国有企业、缺乏财务管理经验的企业和中国东部地区更为明显。原创性/价值本研究为了解绿色信贷政策对企业数字创新的有效性和影响机制提供了实证证据,也为进一步完善绿色信贷政策提供了依据。
{"title":"The impact of China's green credit policy on enterprise digital innovation: evidence from heavily-polluting Chinese listed companies","authors":"Q. Lu, Yangyang Deng, Xinyi Wang, Aiping Wang","doi":"10.1108/cfri-11-2022-0224","DOIUrl":"https://doi.org/10.1108/cfri-11-2022-0224","url":null,"abstract":"PurposeAs an effective tool to promote rational resource allocation and facilitate the development of green management practices such as enterprise digital innovation, the green credit policy has recently gained extensive attention. The purpose of this paper is to analyze the relationship between green credit policies and the digital innovation of enterprises, and to further explore the mechanism of action between them and their boundary conditions.Design/methodology/approachBased on micro-level data on Chinese firms from 2007 to 2019, this paper constructs a difference-in-differences (DID) model to investigate the impact and intrinsic mechanisms of green credit policies on firms' digital innovation and its boundary conditions, with the help of a quasi-natural experiment, i.e. the Green Credit Guidelines.FindingsGreen credit policies inhibit digital innovation and fail to compensate for innovation. The analysis of the mechanism shows that the implementation of green credit policies has a negative impact on digital innovation by increasing the financing constraints faced by firms, and has also a crowding-out effect on R&D investment, resulting in a disincentive to digital innovation. Further analysis reveals that the negative impact of green credit policies on digital innovation is more pronounced in state-owned enterprises, enterprises without financially experienced executives, and in the eastern regions of China.Originality/valueThis study provides empirical evidence to understand the effectiveness and mechanism of influence of green credit policies on enterprise digital innovation, providing also a basis to further improve green credit policies.","PeriodicalId":44440,"journal":{"name":"China Finance Review International","volume":null,"pages":null},"PeriodicalIF":8.2,"publicationDate":"2023-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41441638","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Risk-taking by banks: evidence from European Union countries 银行的风险承担:来自欧盟国家的证据
IF 8.2 1区 经济学 Q1 Economics, Econometrics and Finance Pub Date : 2023-08-14 DOI: 10.1108/cfri-12-2022-0248
M. T. M. Garcia, Ana Jin Ye
PurposeThe aim of this paper is to study the relationship between banks' ownership structure and their risk-taking behavior as well as the impact of banking regulation on banks' approach to taking risk, after the 2008 financial crisis.Design/methodology/approachThe empirical analysis considers a sample of listed banks from European Union (EU) countries, over the period of 2011–2016 and uses the generalized least squared (GLS) random effect (RE) method, following Baltagi and Wu (1999) and Pathan (2009).FindingsThe authors find that the structure of the board of directors can influence bank risk behavior but not the ownership concentration. No significant relation was found between the influence of the regulatory environment and bank risk, i.e., stricter regulation has no effect on risk taking by banks.Originality/valueThe paper contributes to the literature in risk measures and banks' corporate governance. It also considers the impact of regulatory framework on banks' risk-taking behavior. The aim of this empirical analysis was to examine in greater detail these subjects and the dynamics between them after the significant structural changes in the macroeconomic environment and in the financial system, particularly with regards the regulatory and supervisory framework following the 2008 financial crisis, using data from European Union countries.
本文旨在研究2008年金融危机后银行股权结构与风险承担行为之间的关系,以及银行监管对银行风险承担方式的影响。实证分析以2011-2016年期间欧盟(EU)国家的上市银行为样本,采用广义最小二乘(GLS)随机效应(RE)方法,遵循Baltagi和Wu(1999)和Pathan(2009)。研究发现,董事会结构对银行风险行为有影响,但对股权集中度没有影响。监管环境的影响与银行风险之间没有显著的关系,即更严格的监管对银行的风险承担没有影响。本文对风险度量和银行公司治理方面的文献有贡献。本文还考虑了监管框架对银行风险承担行为的影响。本实证分析的目的是使用来自欧盟国家的数据,在宏观经济环境和金融体系发生重大结构性变化之后,特别是在2008年金融危机之后的监管框架方面,更详细地研究这些主题以及它们之间的动态。
{"title":"Risk-taking by banks: evidence from European Union countries","authors":"M. T. M. Garcia, Ana Jin Ye","doi":"10.1108/cfri-12-2022-0248","DOIUrl":"https://doi.org/10.1108/cfri-12-2022-0248","url":null,"abstract":"PurposeThe aim of this paper is to study the relationship between banks' ownership structure and their risk-taking behavior as well as the impact of banking regulation on banks' approach to taking risk, after the 2008 financial crisis.Design/methodology/approachThe empirical analysis considers a sample of listed banks from European Union (EU) countries, over the period of 2011–2016 and uses the generalized least squared (GLS) random effect (RE) method, following Baltagi and Wu (1999) and Pathan (2009).FindingsThe authors find that the structure of the board of directors can influence bank risk behavior but not the ownership concentration. No significant relation was found between the influence of the regulatory environment and bank risk, i.e., stricter regulation has no effect on risk taking by banks.Originality/valueThe paper contributes to the literature in risk measures and banks' corporate governance. It also considers the impact of regulatory framework on banks' risk-taking behavior. The aim of this empirical analysis was to examine in greater detail these subjects and the dynamics between them after the significant structural changes in the macroeconomic environment and in the financial system, particularly with regards the regulatory and supervisory framework following the 2008 financial crisis, using data from European Union countries.","PeriodicalId":44440,"journal":{"name":"China Finance Review International","volume":null,"pages":null},"PeriodicalIF":8.2,"publicationDate":"2023-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46798098","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Dynamic interlinkages between cryptocurrencies, NFTs, and DeFis and optimal portfolio investment strategies 加密货币、nft和DeFis与最优组合投资策略之间的动态相互联系
IF 8.2 1区 经济学 Q1 Economics, Econometrics and Finance Pub Date : 2023-08-07 DOI: 10.1108/cfri-03-2023-0061
Onur Polat
PurposeThis study aims to scrutinize time-varying return and volatility interlinkages among major cryptocurrencies, NFT tokens and DeFi assets between 1 July 2018 and 19 February 2023 and determine optimal portfolio allocations and hedging effectiveness under different portfolio construction techniques.Design/methodology/approachThis work examines time-varying return and volatility interlinkages among major cryptocurrencies, NFT tokens, and DeFi assets between 1 July 2018 and 19 February 2023. To this end, the time-varying parameter-vector autoregression (TVP-VAR)-based connectedness methodology of Antonakakis et al. (2020) This approach is an extended version of the Diebold–Yilmaz (DY) method (Diebold and Yılmaz, 2014) and has advantages over the original DY. First, unlike the DY, it is free of the selection of a particular window size. Second, it has robustness for the outliers. Furthermore, following Broadstock et al. (2022), the author estimates time-varying optimal portfolio weights and hedging effectiveness under different portfolio construction scenarios.FindingsThis study's results indicate the following results: (1) The overall connectedness indices prominently capture well-known financial/geopolitical distress incidents; (2) the leading cryptocurrencies (ETH, BTC and BNB) are the largest transmitter of return shocks, while LINK and BTC are the largest transmitters/recipients of volatility shocks; (3) cryptocurrencies, NFTs and DeFi form distinct cluster groups in terms of return and volatility connectedness; (4) the connectedness networks estimated around the 2022 cryptocurrency crash and the FTX's filing for the bankruptcy are characterized by the strongest return and volatility interlinkages; (5) optimal portfolio strategies computed by different portfolio construction techniques display similar motifs and have sustained growth paths except for some short-lived drop backs.Research limitations/implicationsThis study's findings imply several policy suggestions for investors, stakeholders and policymakers. First, the study's time-based dynamic interlinkages can help market participants in their optimal portfolio decisions. In particular, the persistent net receiving roles of the DeFi assets and the NFTs throughout the episode, especially around the financial/geopolitical turmoil, underpin their safe haven potentials (Umar et al., 2022a, b). Finally, since the total connectedness indices (TCIs) are prone to significantly increase around financial/geopolitical burst times, these tools can be valuable for policy makers to monitor risk.Originality/valueThe contribution of knowledge is at least threefold. First, the author focuses on the dynamic time interlinkages among major cryptocurrencies, NFTs and DeFi assets in July 2018 and February 2023 considering the prominent recent financial/geopolitical incidents. Second, the author estimates network topologies of dynamic connectedness around financial/geopolitical bursts and compared them in ter
本研究旨在研究2018年7月1日至2023年2月19日期间主要加密货币、NFT代币和DeFi资产之间的时变回报和波动性相互联系,并确定不同投资组合构建技术下的最佳投资组合配置和对冲有效性。这项工作研究了2018年7月1日至2023年2月19日期间主要加密货币、NFT代币和DeFi资产之间的时变回报和波动性相互联系。为此,Antonakakis等人(2020)的基于时变参数向量自回归(TVP-VAR)的连通性方法。该方法是Diebold - yilmaz (DY)方法(Diebold and Yılmaz, 2014)的扩展版本,比原始DY具有优势。首先,与DY不同,它不需要选择特定的窗口大小。其次,它对异常值具有鲁棒性。此外,继Broadstock et al.(2022)之后,作者在不同的投资组合构建场景下估计了时变的最优投资组合权重和对冲有效性。研究结果表明:(1)整体连通性指数显著反映了众所周知的金融/地缘政治危机事件;(2)主要加密货币(ETH、BTC和BNB)是收益冲击的最大发送者,而LINK和BTC是波动冲击的最大发送者/接受者;(3)加密货币、nft和DeFi在收益和波动性连通性方面形成了不同的集群组;(4)在2022年加密货币崩溃和FTX申请破产前后估计的连通性网络具有最强的回报和波动性相互联系;(5)不同投资组合构建技术计算出的最优投资组合策略具有相似的基序,除个别短期回落外均具有持续的增长路径。研究的局限性/启示本研究的发现为投资者、利益相关者和决策者提供了一些政策建议。首先,该研究的基于时间的动态相互联系可以帮助市场参与者进行最优投资组合决策。特别是,在整个事件中,特别是在金融/地缘政治动荡期间,DeFi资产和nft的持续净接收作用支撑了它们的避险潜力(Umar等人,2022a, b)。最后,由于总连通性指数(tci)在金融/地缘政治爆发时期容易显著增加,这些工具对政策制定者监测风险很有价值。知识的贡献至少有三方面。首先,考虑到最近突出的金融/地缘政治事件,作者重点关注2018年7月和2023年2月主要加密货币、nft和DeFi资产之间的动态时间相互联系。其次,作者估计了围绕金融/地缘政治爆发的动态连通性的网络拓扑结构,并在相互联系方面对它们进行了比较。最后,计算了不同投资组合构建技术下的时变最优投资组合配置和套期保值效果。
{"title":"Dynamic interlinkages between cryptocurrencies, NFTs, and DeFis and optimal portfolio investment strategies","authors":"Onur Polat","doi":"10.1108/cfri-03-2023-0061","DOIUrl":"https://doi.org/10.1108/cfri-03-2023-0061","url":null,"abstract":"PurposeThis study aims to scrutinize time-varying return and volatility interlinkages among major cryptocurrencies, NFT tokens and DeFi assets between 1 July 2018 and 19 February 2023 and determine optimal portfolio allocations and hedging effectiveness under different portfolio construction techniques.Design/methodology/approachThis work examines time-varying return and volatility interlinkages among major cryptocurrencies, NFT tokens, and DeFi assets between 1 July 2018 and 19 February 2023. To this end, the time-varying parameter-vector autoregression (TVP-VAR)-based connectedness methodology of Antonakakis et al. (2020) This approach is an extended version of the Diebold–Yilmaz (DY) method (Diebold and Yılmaz, 2014) and has advantages over the original DY. First, unlike the DY, it is free of the selection of a particular window size. Second, it has robustness for the outliers. Furthermore, following Broadstock et al. (2022), the author estimates time-varying optimal portfolio weights and hedging effectiveness under different portfolio construction scenarios.FindingsThis study's results indicate the following results: (1) The overall connectedness indices prominently capture well-known financial/geopolitical distress incidents; (2) the leading cryptocurrencies (ETH, BTC and BNB) are the largest transmitter of return shocks, while LINK and BTC are the largest transmitters/recipients of volatility shocks; (3) cryptocurrencies, NFTs and DeFi form distinct cluster groups in terms of return and volatility connectedness; (4) the connectedness networks estimated around the 2022 cryptocurrency crash and the FTX's filing for the bankruptcy are characterized by the strongest return and volatility interlinkages; (5) optimal portfolio strategies computed by different portfolio construction techniques display similar motifs and have sustained growth paths except for some short-lived drop backs.Research limitations/implicationsThis study's findings imply several policy suggestions for investors, stakeholders and policymakers. First, the study's time-based dynamic interlinkages can help market participants in their optimal portfolio decisions. In particular, the persistent net receiving roles of the DeFi assets and the NFTs throughout the episode, especially around the financial/geopolitical turmoil, underpin their safe haven potentials (Umar et al., 2022a, b). Finally, since the total connectedness indices (TCIs) are prone to significantly increase around financial/geopolitical burst times, these tools can be valuable for policy makers to monitor risk.Originality/valueThe contribution of knowledge is at least threefold. First, the author focuses on the dynamic time interlinkages among major cryptocurrencies, NFTs and DeFi assets in July 2018 and February 2023 considering the prominent recent financial/geopolitical incidents. Second, the author estimates network topologies of dynamic connectedness around financial/geopolitical bursts and compared them in ter","PeriodicalId":44440,"journal":{"name":"China Finance Review International","volume":null,"pages":null},"PeriodicalIF":8.2,"publicationDate":"2023-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45240109","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Sectoral risk contagion and quantile network connectedness on Chinese stock sectors after the COVID-19 outbreak 新冠肺炎疫情后中国股市的行业风险传染和分位数网络连通性
IF 8.2 1区 经济学 Q1 Economics, Econometrics and Finance Pub Date : 2023-07-14 DOI: 10.1108/cfri-02-2023-0039
Yang Gao, Wanqi Zheng, Yaojun Wang
PurposeThis study aims to explore the risk spillover effects among different sectors of the Chinese stock market after the outbreak of COVID-19 from both Internet sentiment and price fluctuations.Design/methodology/approachThe authors develop four indicators used for risk contagion analysis, including Internet investors and news sentiments constructed by the FinBERT model, together with realized and jump volatilities yielded by high-frequency data. The authors also apply the time-varying parameter vector autoregressive (TVP-VAR) model-based and the tail-based connectedness framework to investigate the interdependence of tail risk during catastrophic events.FindingsThe empirical analysis provides meaningful results related to the COVID-19 pandemic, stock market conditions and tail behavior. The results show that after the outbreak of COVID-19, the connectivity between risk spillovers in China's stock market has grown, indicating the increased instability of the connected system and enhanced connectivity in the tail. The changes in network structure during COVID-19 pandemic are not only reflected by the increased spillover connectivity but also by the closer relationships between some industries. The authors also found that major public events could significantly impact total connectedness. In addition, spillovers and network structures vary with market conditions and tend to exhibit a highly connected network structure during extreme market status.Originality/valueThe results confirm the connectivity between sentiments and volatilities spillovers in China's stock market, especially in the tails. The conclusion further expands the practical application and theoretical framework of behavioral finance and also lays a theoretical basis for investors to focus on the practical application of volatility prediction and risk management across stock sectors.
目的本研究旨在从互联网情绪和价格波动两方面探讨新冠肺炎疫情爆发后中国股市不同行业之间的风险溢出效应。作者开发了用于风险传染分析的四个指标,包括由FinBERT模型构建的互联网投资者和新闻情绪,以及由高频数据产生的实现和跳跃波动率。作者还应用基于时变参数向量自回归(TVP-VAR)模型和基于尾部的连通性框架来研究灾难性事件中尾部风险的相互依赖性。实证分析提供了与COVID-19大流行、股市状况和尾部行为相关的有意义的结果。结果表明,新冠肺炎疫情爆发后,中国股市风险溢出之间的连通性增强,表明连接系统的不稳定性增加,尾部的连通性增强。新冠肺炎疫情期间网络结构的变化不仅体现在外溢连通性增强,还体现在部分行业之间的联系更加紧密。作者还发现,重大公共事件会显著影响整体联系。此外,溢出效应和网络结构随市场条件的变化而变化,在极端市场状态下往往呈现高度连接的网络结构。研究结果证实了情绪与中国股市波动溢出之间的联系,特别是在尾部。结论进一步拓展了行为金融学的实际应用和理论框架,也为投资者关注波动性预测和风险管理跨板块的实际应用奠定了理论基础。
{"title":"Sectoral risk contagion and quantile network connectedness on Chinese stock sectors after the COVID-19 outbreak","authors":"Yang Gao, Wanqi Zheng, Yaojun Wang","doi":"10.1108/cfri-02-2023-0039","DOIUrl":"https://doi.org/10.1108/cfri-02-2023-0039","url":null,"abstract":"PurposeThis study aims to explore the risk spillover effects among different sectors of the Chinese stock market after the outbreak of COVID-19 from both Internet sentiment and price fluctuations.Design/methodology/approachThe authors develop four indicators used for risk contagion analysis, including Internet investors and news sentiments constructed by the FinBERT model, together with realized and jump volatilities yielded by high-frequency data. The authors also apply the time-varying parameter vector autoregressive (TVP-VAR) model-based and the tail-based connectedness framework to investigate the interdependence of tail risk during catastrophic events.FindingsThe empirical analysis provides meaningful results related to the COVID-19 pandemic, stock market conditions and tail behavior. The results show that after the outbreak of COVID-19, the connectivity between risk spillovers in China's stock market has grown, indicating the increased instability of the connected system and enhanced connectivity in the tail. The changes in network structure during COVID-19 pandemic are not only reflected by the increased spillover connectivity but also by the closer relationships between some industries. The authors also found that major public events could significantly impact total connectedness. In addition, spillovers and network structures vary with market conditions and tend to exhibit a highly connected network structure during extreme market status.Originality/valueThe results confirm the connectivity between sentiments and volatilities spillovers in China's stock market, especially in the tails. The conclusion further expands the practical application and theoretical framework of behavioral finance and also lays a theoretical basis for investors to focus on the practical application of volatility prediction and risk management across stock sectors.","PeriodicalId":44440,"journal":{"name":"China Finance Review International","volume":null,"pages":null},"PeriodicalIF":8.2,"publicationDate":"2023-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46295598","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Risk spillovers connectedness between the US Fintech industry VaR, behavioral biases and macroeconomic instability factors: COVID-19 implications 美国金融科技行业风险值、行为偏差和宏观经济不稳定因素之间的风险溢出联系:新冠肺炎影响
IF 8.2 1区 经济学 Q1 Economics, Econometrics and Finance Pub Date : 2023-06-27 DOI: 10.1108/cfri-12-2022-0277
Oumayma Gharbi, Yousra Trichilli, M. Boujelbene
PurposeThe main objective of this paper is to analyze the dynamic volatility spillovers between the investor's behavioral biases, the macroeconomic instability factors and the value at risk of the US Fintech stock market before and during the COVID-19 pandemic.Design/methodology/approachThe authors used the methodologies proposed by Diebold and Yilmaz (2012) and the wavelet approach.FindingsThe wavelet coherence results show that during the COVID-19 period, there was a strong co-movement among value at risk and each selected variables in the medium-run and the long-run scales. Diebold and Yilmaz's (2012) method proved that the total connectedness index raised significantly during the COVID-19 period. Moreover, the overconfidence bias and the financial stress index are the net transmitters, while the value at risk and herding behavior variables are the net receivers.Research limitations/implicationsThis study offers some important implications for investors and policymakers to explain the impact of the COVID-19 pandemic on the risk of Fintech industry.Practical implicationsThe study findings might be useful for investors to better understand the time–frequency connectedness and the volatility spillover effects in the context of COVID-19 pandemic. Future research may deal with investors' ability of constructing portfolios with another alternative index like cryptocurrencies which seems to be a safer investment.Originality/valueTo the best of the authors' knowledge, this is the first study that relies on the continuous wavelet decomposition technique and spillover volatility to examine the connectedness between investor behavioral biases, uncertainty factors, and Value at Risk of US Fintech stock markets, while taking into account the recent COVID-19 pandemic.
目的分析新冠肺炎疫情前后美国金融科技股票市场投资者行为偏差、宏观经济不稳定因素和风险价值之间的动态波动溢出。设计/方法论/方法论作者使用了Diebold和Yilmaz(2012)提出的方法论和小波方法。结果小波相干性结果表明,在新冠肺炎期间,风险值与中长期尺度上的每个选定变量之间存在强烈的协同运动。Diebold和Yilmaz(2012)的方法证明,在新冠肺炎期间,总连通性指数显著提高。此外,过度自信偏差和财务压力指数是净发送器,而风险价值和羊群行为变量是净接收器。研究局限性/含义本研究为投资者和政策制定者解释新冠肺炎疫情对金融科技行业风险的影响提供了一些重要意义。实际含义研究结果可能有助于投资者更好地理解新冠肺炎大流行背景下的时频关联性和波动溢出效应。未来的研究可能会涉及投资者用加密货币等另一种替代指数构建投资组合的能力,这似乎是一种更安全的投资。原创/价值据作者所知,这是第一项依靠连续小波分解技术和溢出波动性来检验美国金融科技股票市场投资者行为偏见、不确定性因素和风险价值之间联系的研究,同时考虑到最近的新冠肺炎疫情。
{"title":"Risk spillovers connectedness between the US Fintech industry VaR, behavioral biases and macroeconomic instability factors: COVID-19 implications","authors":"Oumayma Gharbi, Yousra Trichilli, M. Boujelbene","doi":"10.1108/cfri-12-2022-0277","DOIUrl":"https://doi.org/10.1108/cfri-12-2022-0277","url":null,"abstract":"PurposeThe main objective of this paper is to analyze the dynamic volatility spillovers between the investor's behavioral biases, the macroeconomic instability factors and the value at risk of the US Fintech stock market before and during the COVID-19 pandemic.Design/methodology/approachThe authors used the methodologies proposed by Diebold and Yilmaz (2012) and the wavelet approach.FindingsThe wavelet coherence results show that during the COVID-19 period, there was a strong co-movement among value at risk and each selected variables in the medium-run and the long-run scales. Diebold and Yilmaz's (2012) method proved that the total connectedness index raised significantly during the COVID-19 period. Moreover, the overconfidence bias and the financial stress index are the net transmitters, while the value at risk and herding behavior variables are the net receivers.Research limitations/implicationsThis study offers some important implications for investors and policymakers to explain the impact of the COVID-19 pandemic on the risk of Fintech industry.Practical implicationsThe study findings might be useful for investors to better understand the time–frequency connectedness and the volatility spillover effects in the context of COVID-19 pandemic. Future research may deal with investors' ability of constructing portfolios with another alternative index like cryptocurrencies which seems to be a safer investment.Originality/valueTo the best of the authors' knowledge, this is the first study that relies on the continuous wavelet decomposition technique and spillover volatility to examine the connectedness between investor behavioral biases, uncertainty factors, and Value at Risk of US Fintech stock markets, while taking into account the recent COVID-19 pandemic.","PeriodicalId":44440,"journal":{"name":"China Finance Review International","volume":null,"pages":null},"PeriodicalIF":8.2,"publicationDate":"2023-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49073654","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
The integration of real estate investment trust: a wavelet coherency analysis 房地产投资信托的整合:小波相干分析
IF 8.2 1区 经济学 Q1 Economics, Econometrics and Finance Pub Date : 2023-06-15 DOI: 10.1108/cfri-02-2023-0021
Nicholas Addai Boamah, E. Opoku, Stephen Zamore
PurposeThe study investigates the co-movements amongst real estate investments trust (REITs). This study examines the co-movements between the world and individual countries' REITs and the co-movements amongst country-pair REITs. This study explores the responsiveness of the REITs markets' co-movements to the 2008 global financial crisis (GFC), the coronavirus disease 2019 (COVID-19) pandemic and the Russian–Ukraine conflict.Design/methodology/approachThe study employs a wavelet coherency technique and relies on data from six REITs markets over the 1995–2022 period. FindingsThe evidence shows a generally high level of coherency between the global and the country's REITs. The findings further indicate higher co-movements between some country pairs and a lower co-movement for others. The results suggest that the REITs markets increased in co-movements around the 2008 GFC, the COVID-19 pandemic and the Russian–Ukraine conflict. These increased co-movements mostly lasted for a short period suggesting REITs markets contagion around these global events. The results generally suggest interdependence between the global and the country's REITs. Additionally, interdependence is observed for some of the country-pair REITs.Originality/valueThe evidence indicates that REITs markets respond to global events. Thus, the increasing co-movement amongst REITs observed in this study may expose domestic REITs to global crisis. However, this study provides opportunities for minimising the cost of capital for real estate projects. Also, REITs provide limited diversification gains around crisis times. Therefore, countries need to open the REITs markets to global investors whilst pursuing policies to ensure the resilience of the REITs markets to global events. Investors should also take note of the declining geographic diversification gains from some country-pair REITs portfolios.
目的研究房地产投资信托(REITs)之间的协同作用。本研究考察了世界和个别国家REITs之间的共同运动,以及国家对REITs间的共同运动。本研究探讨了房地产投资信托基金市场的共同运动对2008年全球金融危机(GFC)、2019年冠状病毒病(新冠肺炎)大流行和俄罗斯-乌克兰冲突的反应。设计/方法/方法该研究采用了小波相干技术,并依赖于1995-2022年期间六个房地产投资信托市场的数据。调查结果有证据表明,全球和国家的房地产投资信托基金之间总体上高度一致。研究结果进一步表明,一些国家对之间的共同运动较高,而另一些国家对的共同运动较低。研究结果表明,房地产投资信托基金市场在2008年全球金融危机、新冠肺炎大流行和俄罗斯-乌克兰冲突前后的共同运动中有所增加。这些增加的共同波动大多持续了很短的一段时间,这表明房地产投资信托基金市场围绕这些全球事件蔓延。研究结果通常表明,全球和国家的房地产投资信托基金之间存在相互依存关系。此外,观察到一些国家对房地产投资信托基金的相互依存性。原始性/价值证据表明,房地产投资基金市场对全球事件做出了反应。因此,本研究中观察到的REITs之间日益增加的协同流动可能会使国内REITs面临全球危机。然而,这项研究为最大限度地降低房地产项目的资本成本提供了机会。此外,房地产投资信托基金在危机时期提供的多元化收益有限。因此,各国需要向全球投资者开放REITs市场,同时制定政策,确保REITs市场对全球事件的弹性。投资者还应注意到,一些国家对REITs投资组合的地域多元化收益正在下降。
{"title":"The integration of real estate investment trust: a wavelet coherency analysis","authors":"Nicholas Addai Boamah, E. Opoku, Stephen Zamore","doi":"10.1108/cfri-02-2023-0021","DOIUrl":"https://doi.org/10.1108/cfri-02-2023-0021","url":null,"abstract":"PurposeThe study investigates the co-movements amongst real estate investments trust (REITs). This study examines the co-movements between the world and individual countries' REITs and the co-movements amongst country-pair REITs. This study explores the responsiveness of the REITs markets' co-movements to the 2008 global financial crisis (GFC), the coronavirus disease 2019 (COVID-19) pandemic and the Russian–Ukraine conflict.Design/methodology/approachThe study employs a wavelet coherency technique and relies on data from six REITs markets over the 1995–2022 period. FindingsThe evidence shows a generally high level of coherency between the global and the country's REITs. The findings further indicate higher co-movements between some country pairs and a lower co-movement for others. The results suggest that the REITs markets increased in co-movements around the 2008 GFC, the COVID-19 pandemic and the Russian–Ukraine conflict. These increased co-movements mostly lasted for a short period suggesting REITs markets contagion around these global events. The results generally suggest interdependence between the global and the country's REITs. Additionally, interdependence is observed for some of the country-pair REITs.Originality/valueThe evidence indicates that REITs markets respond to global events. Thus, the increasing co-movement amongst REITs observed in this study may expose domestic REITs to global crisis. However, this study provides opportunities for minimising the cost of capital for real estate projects. Also, REITs provide limited diversification gains around crisis times. Therefore, countries need to open the REITs markets to global investors whilst pursuing policies to ensure the resilience of the REITs markets to global events. Investors should also take note of the declining geographic diversification gains from some country-pair REITs portfolios.","PeriodicalId":44440,"journal":{"name":"China Finance Review International","volume":null,"pages":null},"PeriodicalIF":8.2,"publicationDate":"2023-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49178032","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Spillover effects of crash and jump events: evidence from Chinese market 崩盘与跳跃事件的溢出效应:来自中国市场的证据
IF 8.2 1区 经济学 Q1 Economics, Econometrics and Finance Pub Date : 2023-06-09 DOI: 10.1108/cfri-07-2022-0126
M. Usman, W. Akhter, A. Haque
PurposeThis paper aims to investigate the spillover effects of jump and crash events among Chinese nonfinancial firms.Design/methodology/approachThis sample consists of more than 1.5 million weekly observations of over 3,000 Chinese listed firms over the period 1991–2015. The authors utilize univariate tests to compare the post-event performance of matched peer and non-peer control firms and cross-sectional regressions of their abnormal returns/cumulative abnormal returns (ARs/CARs) and returns on assets (ROAs).FindingsThe authors find that extreme risk-adjusted abnormal stock returns (stock price crashes and jumps) generate statistically significant ARs/CARs in the same directions in industry, size, leverage, and geographical location matched peer firms in Chinese stock market. Further tests reveal that peer firms' response to the crash event is pronounced more in the group of firms about which the information asymmetry is high between investors and firms.Research limitations/implicationsPortfolio investors can adjust their portfolios accordingly by selling stocks of the matching rival firms during a crash period. Policymakers may develop policies so as to protect the interests of small investors in the events of crashes in the markets. They can reduce the information asymmetry between the firms and the investors by making information about the firms more transparent, so as to reduce the contagion in case of crash event.Practical implicationsThis study has important implications for portfolio investment managers and policymakers.Originality/valueTo the best of authors' knowledge, this is the first study that combines the jump and crash events and attempts to assess their spillover effects on other firms in Chinese stock market.
目的研究中国非金融企业跳跃和崩溃事件的溢出效应。设计/方法/方法该样本包括1991年至2015年期间对3000多家中国上市公司的150多万次每周观察。作者利用单变量检验来比较匹配的同行和非同行控制公司的事后表现,以及它们的异常回报率/累计异常回报率(ARs/CAR)和资产回报率(ROA)的横截面回归在行业、规模、杠杆率和地理位置上,相同的方向与中国股市中的同行公司相匹配。进一步的测试表明,同行公司对崩溃事件的反应在投资者和公司之间信息不对称程度较高的公司群体中更为明显。研究限制/影响投资组合投资者可以通过在崩盘期间出售匹配对手公司的股票来相应地调整投资组合。政策制定者可以制定政策,以便在市场崩溃时保护小投资者的利益。他们可以通过提高企业信息的透明度来减少企业与投资者之间的信息不对称,从而减少崩溃事件的传染。实际含义本研究对投资组合经理和决策者具有重要意义。独创性/价值据作者所知,这是第一项结合跳跃和暴跌事件并试图评估其对中国股市其他公司的溢出效应的研究。
{"title":"Spillover effects of crash and jump events: evidence from Chinese market","authors":"M. Usman, W. Akhter, A. Haque","doi":"10.1108/cfri-07-2022-0126","DOIUrl":"https://doi.org/10.1108/cfri-07-2022-0126","url":null,"abstract":"PurposeThis paper aims to investigate the spillover effects of jump and crash events among Chinese nonfinancial firms.Design/methodology/approachThis sample consists of more than 1.5 million weekly observations of over 3,000 Chinese listed firms over the period 1991–2015. The authors utilize univariate tests to compare the post-event performance of matched peer and non-peer control firms and cross-sectional regressions of their abnormal returns/cumulative abnormal returns (ARs/CARs) and returns on assets (ROAs).FindingsThe authors find that extreme risk-adjusted abnormal stock returns (stock price crashes and jumps) generate statistically significant ARs/CARs in the same directions in industry, size, leverage, and geographical location matched peer firms in Chinese stock market. Further tests reveal that peer firms' response to the crash event is pronounced more in the group of firms about which the information asymmetry is high between investors and firms.Research limitations/implicationsPortfolio investors can adjust their portfolios accordingly by selling stocks of the matching rival firms during a crash period. Policymakers may develop policies so as to protect the interests of small investors in the events of crashes in the markets. They can reduce the information asymmetry between the firms and the investors by making information about the firms more transparent, so as to reduce the contagion in case of crash event.Practical implicationsThis study has important implications for portfolio investment managers and policymakers.Originality/valueTo the best of authors' knowledge, this is the first study that combines the jump and crash events and attempts to assess their spillover effects on other firms in Chinese stock market.","PeriodicalId":44440,"journal":{"name":"China Finance Review International","volume":null,"pages":null},"PeriodicalIF":8.2,"publicationDate":"2023-06-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43965128","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
The COVID-19 pandemic, economic policy uncertainty and the hedging role of cryptocurrencies: a global perspective 新冠肺炎大流行、经济政策的不确定性和加密货币的对冲作用:全球视角
IF 8.2 1区 经济学 Q1 Economics, Econometrics and Finance Pub Date : 2023-05-29 DOI: 10.1108/cfri-06-2022-0108
Muhammad Aftab, I. Haq, Mohamed Baity
PurposeThe COVID-19 pandemic has led to global economic policy uncertainty, which has increased the need to investigate ways to mitigate the uncertainty. This study aims to examine the potential of cryptocurrencies as a hedge and safe haven avenue against economic policy uncertainty.Design/methodology/approachThis study investigates the behavior of the five leading cryptocurrencies in relation to country-level and group-level economic policy uncertainty indices, as measured by the text-based method developed by Baker et al. (The Quarterly Journal of Economics, 2016, 131, 1593–1636). The research covers a broad range of emerging and developed economies from July 2013 to September 2020. The study employs the approach of Narayan et al. (Economic Modelling, 2016, 53, 388–397) to examine the hedging and safe-haven properties of cryptocurrencies.FindingsThis study finds that the top cryptocurrencies play a hedging role against economic policy uncertainty, with some exceptions. Additionally, there is evidence to support the idea that cryptocurrencies can serve as a safe haven during the COVID-19 pandemic. As a result, investors may benefit from using cryptocurrencies as a risk-management avenue during times of uncertainty.Originality/valueThis research contributes to the existing literature by testing the cryptocurrencies' hedging and safe haven properties in a new way, by analyzing their lead and lag behaviors using a recent and innovative approach. Additionally, it examines a wide range of emerging and advanced markets, providing insight into the potential of using cryptocurrencies as a risk mitigation avenue.
目的新冠肺炎大流行导致了全球经济政策的不确定性,这增加了研究缓解不确定性的方法的必要性。这项研究旨在考察加密货币作为对冲和避风港的潜力,以应对经济政策的不确定性。设计/方法论/方法本研究调查了五种主要加密货币在国家层面和集团层面经济政策不确定性指数方面的行为,通过Baker等人开发的基于文本的方法进行测量。(《经济学季刊》,20161311593-1636)。该研究涵盖了2013年7月至2020年9月的一系列新兴和发达经济体。该研究采用了Narayan等人的方法。(《经济建模》,2016,53388–397),以研究加密货币的对冲和避险特性。发现这项研究发现,除了一些例外,顶级加密货币对经济政策的不确定性起着对冲作用。此外,有证据支持加密货币可以在新冠肺炎大流行期间作为避风港的观点。因此,在不确定时期,投资者可能会从使用加密货币作为风险管理途径中受益。独创性/价值这项研究通过以一种新的方式测试加密货币的对冲和避险特性,并使用最近的创新方法分析其超前和滞后行为,为现有文献做出了贡献。此外,它还考察了广泛的新兴和发达市场,深入了解了使用加密货币作为风险缓解途径的潜力。
{"title":"The COVID-19 pandemic, economic policy uncertainty and the hedging role of cryptocurrencies: a global perspective","authors":"Muhammad Aftab, I. Haq, Mohamed Baity","doi":"10.1108/cfri-06-2022-0108","DOIUrl":"https://doi.org/10.1108/cfri-06-2022-0108","url":null,"abstract":"PurposeThe COVID-19 pandemic has led to global economic policy uncertainty, which has increased the need to investigate ways to mitigate the uncertainty. This study aims to examine the potential of cryptocurrencies as a hedge and safe haven avenue against economic policy uncertainty.Design/methodology/approachThis study investigates the behavior of the five leading cryptocurrencies in relation to country-level and group-level economic policy uncertainty indices, as measured by the text-based method developed by Baker et al. (The Quarterly Journal of Economics, 2016, 131, 1593–1636). The research covers a broad range of emerging and developed economies from July 2013 to September 2020. The study employs the approach of Narayan et al. (Economic Modelling, 2016, 53, 388–397) to examine the hedging and safe-haven properties of cryptocurrencies.FindingsThis study finds that the top cryptocurrencies play a hedging role against economic policy uncertainty, with some exceptions. Additionally, there is evidence to support the idea that cryptocurrencies can serve as a safe haven during the COVID-19 pandemic. As a result, investors may benefit from using cryptocurrencies as a risk-management avenue during times of uncertainty.Originality/valueThis research contributes to the existing literature by testing the cryptocurrencies' hedging and safe haven properties in a new way, by analyzing their lead and lag behaviors using a recent and innovative approach. Additionally, it examines a wide range of emerging and advanced markets, providing insight into the potential of using cryptocurrencies as a risk mitigation avenue.","PeriodicalId":44440,"journal":{"name":"China Finance Review International","volume":null,"pages":null},"PeriodicalIF":8.2,"publicationDate":"2023-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49388657","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
The environmental externality of economic growth target pressure: evidence from China 经济增长目标压力的环境外部性:来自中国的证据
IF 8.2 1区 经济学 Q1 Economics, Econometrics and Finance Pub Date : 2023-05-19 DOI: 10.1108/cfri-09-2022-0171
Fangying Pang, Hong Xie
PurposeThis study aims to investigate the external effect of the economic growth target pressure of local governments on establishment-level SO2 emissions.Design/methodology/approachBased on manually collected panel data of 74,058 China's industrial establishments and more than 330 thousand observations from CIED and ESR, the authors use a firm-fixed effect model, instrumental variables estimation and heterogeneity tests to identify the environmental externality of economic growth target pressure.FindingsThe establishments in cities that meet or slightly exceed the economic growth target experience greater negative externality measured by SO2 emission intensity. This external effect is more pronounced in regions: with a strict and overweighted target setting; with stronger officials' promotion incentives; with a low degree of marketization; and in firms with great economic importance. The authors identify the underlying mechanisms of dependence on dirty industry and the relaxation of environmental enforcement. And the environmental protection constraints in 2007 mitigate the negative externality.Practical implicationsThe paper sheds light on to what extent economic growth target pressure has a negative externality of pollution in China and how this pressure may conflict with environmental protection.Originality/valueThis paper complements prior research on the economic effects of economic growth targets, expands the knowledge on the determinants of establishment-level pollution emission from the perspective of target pressure and provides insight into the environmental externality that results from political factors.
目的研究地方政府经济增长目标压力对企业SO2排放的外部影响。基于人工收集的中国74,058家工业企业的面板数据,以及CIED和ESR的33万多份观测数据,作者采用了企业固定效应模型、工具变量估计和异质性检验来识别经济增长目标压力的环境外部性。研究发现:以二氧化硫排放强度衡量,达到或略高于经济增长目标的城市企业具有更大的负外部性。这种外部影响在区域中更为明显:目标设定严格而过重;加强官员晋升激励;市场化程度低;在具有重要经济意义的公司。作者确定了依赖污染工业和放松环境执法的潜在机制。2007年的环境保护约束缓解了负外部性。本文揭示了中国经济增长目标压力在多大程度上具有污染的负外部性,以及这种压力如何与环境保护相冲突。原创性/价值本文补充了前人关于经济增长目标经济效应的研究,从目标压力的角度拓展了企业污染排放决定因素的知识,并提供了对政治因素导致的环境外部性的洞察。
{"title":"The environmental externality of economic growth target pressure: evidence from China","authors":"Fangying Pang, Hong Xie","doi":"10.1108/cfri-09-2022-0171","DOIUrl":"https://doi.org/10.1108/cfri-09-2022-0171","url":null,"abstract":"PurposeThis study aims to investigate the external effect of the economic growth target pressure of local governments on establishment-level SO2 emissions.Design/methodology/approachBased on manually collected panel data of 74,058 China's industrial establishments and more than 330 thousand observations from CIED and ESR, the authors use a firm-fixed effect model, instrumental variables estimation and heterogeneity tests to identify the environmental externality of economic growth target pressure.FindingsThe establishments in cities that meet or slightly exceed the economic growth target experience greater negative externality measured by SO2 emission intensity. This external effect is more pronounced in regions: with a strict and overweighted target setting; with stronger officials' promotion incentives; with a low degree of marketization; and in firms with great economic importance. The authors identify the underlying mechanisms of dependence on dirty industry and the relaxation of environmental enforcement. And the environmental protection constraints in 2007 mitigate the negative externality.Practical implicationsThe paper sheds light on to what extent economic growth target pressure has a negative externality of pollution in China and how this pressure may conflict with environmental protection.Originality/valueThis paper complements prior research on the economic effects of economic growth targets, expands the knowledge on the determinants of establishment-level pollution emission from the perspective of target pressure and provides insight into the environmental externality that results from political factors.","PeriodicalId":44440,"journal":{"name":"China Finance Review International","volume":null,"pages":null},"PeriodicalIF":8.2,"publicationDate":"2023-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42949993","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Investor behavior and psychological effects: herding and anchoring biases in the MENA region 投资者行为和心理影响:中东和北非地区的羊群效应和锚定偏见
IF 8.2 1区 经济学 Q1 Economics, Econometrics and Finance Pub Date : 2023-05-02 DOI: 10.1108/cfri-12-2022-0269
F. Tlili, Mustapha Chaffai, Imed Medhioub
PurposeThe aim of this paper is double: firstly, to examine the presence of herd behavior in four MENA stock markets (the Egyptian, Jordanian, Moroccan and Tunisian markets), and secondly, to study the anchoring behavior in these markets.Design/methodology/approachThe authors employ quantile regression analysis for testing herding bias in the MENA region, following the methodology of Chiang and Zheng (2010). Regarding the evaluation of anchoring bias, the authors follow the methodology of Lee et al. (2020). The study uses daily stock index returns ranging from April 1, 2011, to July 31, 2019, as well as CAC40 and NASDAQ returns.FindingsThe authors find evidence of herding during down-market periods in the lower tail for Egypt, Jordan and Tunisia, while this bias is detected during up-market periods in the lower tail for Morocco. In addition, based on historical returns, the authors conclude that there is a momentum effect in these markets, and they are dependent on the CAC40 and NASDAQ indices.Practical implicationsThis paper confirms the findings of previous works devoted to some emerging markets such as China, Japan and Hong Kong, where anchoring and herding are considered the most important and impactful heuristic and cognitive biases in making decisions under uncertainty, particularly during down-market periods.Originality/valueThe paper contributes to the empirical literature in herding and anchoring biases for MENA countries. The absence of empirical work on the effect of these biases on stock prices in emerging markets and those of the MENA zone leads to the discussion of the impact of psychological biases on these of markets.
本文的目的是双重的:首先,检验四个MENA股票市场(埃及,约旦,摩洛哥和突尼斯市场)中羊群行为的存在,其次,研究这些市场中的锚定行为。设计/方法/方法作者采用分位数回归分析来检验中东和北非地区的羊群偏差,采用了Chiang和Zheng(2010)的方法。关于锚定偏差的评估,作者遵循Lee et al.(2020)的方法。该研究使用了2011年4月1日至2019年7月31日的每日股票指数回报,以及CAC40和纳斯达克的回报。研究结果:作者在埃及、约旦和突尼斯的低端市场发现了放牧的证据,而在摩洛哥的低端市场发现了这种偏见。此外,基于历史回报,作者得出结论,这些市场存在动量效应,它们依赖于CAC40和纳斯达克指数。本文证实了先前对一些新兴市场(如中国、日本和香港)的研究结果,在这些市场中,锚定和羊群被认为是在不确定性下做出决策时最重要、最具影响力的启发式和认知偏差,尤其是在市场低迷时期。本文对中东和北非国家的羊群偏见和锚定偏见的实证文献做出了贡献。由于缺乏关于这些偏见对新兴市场和中东和北非地区股票价格影响的实证研究,因此我们不得不讨论心理偏见对这些市场的影响。
{"title":"Investor behavior and psychological effects: herding and anchoring biases in the MENA region","authors":"F. Tlili, Mustapha Chaffai, Imed Medhioub","doi":"10.1108/cfri-12-2022-0269","DOIUrl":"https://doi.org/10.1108/cfri-12-2022-0269","url":null,"abstract":"PurposeThe aim of this paper is double: firstly, to examine the presence of herd behavior in four MENA stock markets (the Egyptian, Jordanian, Moroccan and Tunisian markets), and secondly, to study the anchoring behavior in these markets.Design/methodology/approachThe authors employ quantile regression analysis for testing herding bias in the MENA region, following the methodology of Chiang and Zheng (2010). Regarding the evaluation of anchoring bias, the authors follow the methodology of Lee et al. (2020). The study uses daily stock index returns ranging from April 1, 2011, to July 31, 2019, as well as CAC40 and NASDAQ returns.FindingsThe authors find evidence of herding during down-market periods in the lower tail for Egypt, Jordan and Tunisia, while this bias is detected during up-market periods in the lower tail for Morocco. In addition, based on historical returns, the authors conclude that there is a momentum effect in these markets, and they are dependent on the CAC40 and NASDAQ indices.Practical implicationsThis paper confirms the findings of previous works devoted to some emerging markets such as China, Japan and Hong Kong, where anchoring and herding are considered the most important and impactful heuristic and cognitive biases in making decisions under uncertainty, particularly during down-market periods.Originality/valueThe paper contributes to the empirical literature in herding and anchoring biases for MENA countries. The absence of empirical work on the effect of these biases on stock prices in emerging markets and those of the MENA zone leads to the discussion of the impact of psychological biases on these of markets.","PeriodicalId":44440,"journal":{"name":"China Finance Review International","volume":null,"pages":null},"PeriodicalIF":8.2,"publicationDate":"2023-05-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41418722","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
期刊
China Finance Review International
全部 Acc. Chem. Res. ACS Applied Bio Materials ACS Appl. Electron. Mater. ACS Appl. Energy Mater. ACS Appl. Mater. Interfaces ACS Appl. Nano Mater. ACS Appl. Polym. Mater. ACS BIOMATER-SCI ENG ACS Catal. ACS Cent. Sci. ACS Chem. Biol. ACS Chemical Health & Safety ACS Chem. Neurosci. ACS Comb. Sci. ACS Earth Space Chem. ACS Energy Lett. ACS Infect. Dis. ACS Macro Lett. ACS Mater. Lett. ACS Med. Chem. Lett. ACS Nano ACS Omega ACS Photonics ACS Sens. ACS Sustainable Chem. Eng. ACS Synth. Biol. Anal. Chem. BIOCHEMISTRY-US Bioconjugate Chem. BIOMACROMOLECULES Chem. Res. Toxicol. Chem. Rev. Chem. Mater. CRYST GROWTH DES ENERG FUEL Environ. Sci. Technol. Environ. Sci. Technol. Lett. Eur. J. Inorg. Chem. IND ENG CHEM RES Inorg. Chem. J. Agric. Food. Chem. J. Chem. Eng. Data J. Chem. Educ. J. Chem. Inf. Model. J. Chem. Theory Comput. J. Med. Chem. J. Nat. Prod. J PROTEOME RES J. Am. Chem. Soc. LANGMUIR MACROMOLECULES Mol. Pharmaceutics Nano Lett. Org. Lett. ORG PROCESS RES DEV ORGANOMETALLICS J. Org. Chem. J. Phys. Chem. J. Phys. Chem. A J. Phys. Chem. B J. Phys. Chem. C J. Phys. Chem. Lett. Analyst Anal. Methods Biomater. Sci. Catal. Sci. Technol. Chem. Commun. Chem. Soc. Rev. CHEM EDUC RES PRACT CRYSTENGCOMM Dalton Trans. Energy Environ. Sci. ENVIRON SCI-NANO ENVIRON SCI-PROC IMP ENVIRON SCI-WAT RES Faraday Discuss. Food Funct. Green Chem. Inorg. Chem. Front. Integr. Biol. J. Anal. At. Spectrom. J. Mater. Chem. A J. Mater. Chem. B J. Mater. Chem. C Lab Chip Mater. Chem. Front. Mater. Horiz. MEDCHEMCOMM Metallomics Mol. Biosyst. Mol. Syst. Des. Eng. Nanoscale Nanoscale Horiz. Nat. Prod. Rep. New J. Chem. Org. Biomol. Chem. Org. Chem. Front. PHOTOCH PHOTOBIO SCI PCCP Polym. Chem.
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1