Bitcoin has become quite known after the 2008 economic crisis and the COVID-19 health crisis. For some, these cryptocurrencies constitute rebellion against the existing system as governments encourage uncontrolled expansions in the money supply; for some others, it is a quick source of income. Undeniably, the volume of the crypto money market has grown considerably in recent years, regardless of the reasoning of the people who invest and trade in this field. At this point, one of the most important questions to be investigated is "what variables have caused the tremendous growth in the crypto money quantities in recent years?" This study tests the assumption that changes in cryptocurrencies are affected by changes in national currencies. Thus, the Bitcoin price is the dependent variable, and M1 monetary supply changes in the USA, European Union and Japanese economies are considered independent variables. The variables in this study were tested using the time-varying Granger causality method. The results obtained from this study confirm the philosophy of Bitcoin's emergence and the possibility that it can be a hedge against the inflationary effects of money, especially after the COVID-19 pandemic.
{"title":"Bitcoin and money supply relationship: An analysis of selected country economies","authors":"Nilcan Mert, Mustafa Timur","doi":"10.3934/qfe.2023012","DOIUrl":"https://doi.org/10.3934/qfe.2023012","url":null,"abstract":"Bitcoin has become quite known after the 2008 economic crisis and the COVID-19 health crisis. For some, these cryptocurrencies constitute rebellion against the existing system as governments encourage uncontrolled expansions in the money supply; for some others, it is a quick source of income. Undeniably, the volume of the crypto money market has grown considerably in recent years, regardless of the reasoning of the people who invest and trade in this field. At this point, one of the most important questions to be investigated is \"what variables have caused the tremendous growth in the crypto money quantities in recent years?\" This study tests the assumption that changes in cryptocurrencies are affected by changes in national currencies. Thus, the Bitcoin price is the dependent variable, and M1 monetary supply changes in the USA, European Union and Japanese economies are considered independent variables. The variables in this study were tested using the time-varying Granger causality method. The results obtained from this study confirm the philosophy of Bitcoin's emergence and the possibility that it can be a hedge against the inflationary effects of money, especially after the COVID-19 pandemic.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":"1 1","pages":""},"PeriodicalIF":5.3,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70231519","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}
Logistic sigmoids due to their flexibility seem to be natural candidates for modelling macrofinancial leverage behavior. The sigmoidal leverage transition towards its stationary value, which was driven by the yield spreads, could have replicated the dynamics of macrofinancial assets, debt and capital. The leverage transition, in its turn, has been a major factor in better balancing macrofinancial liabilities and assets. The sigmoidal leverage trajectories including their inflections and different phases were identified by a nonlinear transition function providing information necessary for steering the process towards its stable state. Solving the stationary Kolmogorov-Fokker-Plank logistic equation revealed that random leverage realizations might follow the gamma distribution. Parameters of its stationary probability density function, as well as the expected and the modal leverage, were dependent on the process variance and the yield spreads. Thus, the stochastic leverage behaviour reproduced a sequence of stylized phases similar to the observed in the US Treasuries market meltdown in 2020. In particular, larger yield spreads and smaller modal leverage signalled a "defensive" market response to sudden volatility increases. In addition, it was shown that the logistic leverage modelling could be helpful in the analysis of debt and money dynamics including some consequences of "minting a one trillion dollars coin".
{"title":"Sigmoidal dynamics of macro-financial leverage","authors":"A. D. Smirnov","doi":"10.3934/qfe.2023008","DOIUrl":"https://doi.org/10.3934/qfe.2023008","url":null,"abstract":"Logistic sigmoids due to their flexibility seem to be natural candidates for modelling macrofinancial leverage behavior. The sigmoidal leverage transition towards its stationary value, which was driven by the yield spreads, could have replicated the dynamics of macrofinancial assets, debt and capital. The leverage transition, in its turn, has been a major factor in better balancing macrofinancial liabilities and assets. The sigmoidal leverage trajectories including their inflections and different phases were identified by a nonlinear transition function providing information necessary for steering the process towards its stable state. Solving the stationary Kolmogorov-Fokker-Plank logistic equation revealed that random leverage realizations might follow the gamma distribution. Parameters of its stationary probability density function, as well as the expected and the modal leverage, were dependent on the process variance and the yield spreads. Thus, the stochastic leverage behaviour reproduced a sequence of stylized phases similar to the observed in the US Treasuries market meltdown in 2020. In particular, larger yield spreads and smaller modal leverage signalled a \"defensive\" market response to sudden volatility increases. In addition, it was shown that the logistic leverage modelling could be helpful in the analysis of debt and money dynamics including some consequences of \"minting a one trillion dollars coin\".","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":"1 1","pages":""},"PeriodicalIF":5.3,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70231600","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 analyze the risk-return trade-off for international (France, Germany, Netherlands, Spain, UK, and US) government bond markets and the US stock market. We measure risk by the higher order moments (volatility, skewness, and excess kurtosis) as they are defined in Savva and Theodossiou (2018). There is no risk-return trade-off when considering a linear relationship between returns and risk. We consider good and bad volatility separately as defined by threshold regressions and find non-linear risk-return trade-off, that is negative for large lagged returns.
{"title":"Government bond market risk-return trade-off","authors":"C. Christiansen, Christos S. Savva","doi":"10.3934/qfe.2023013","DOIUrl":"https://doi.org/10.3934/qfe.2023013","url":null,"abstract":"<abstract> <p>We analyze the risk-return trade-off for international (France, Germany, Netherlands, Spain, UK, and US) government bond markets and the US stock market. We measure risk by the higher order moments (volatility, skewness, and excess kurtosis) as they are defined in <xref ref-type=\"bibr\" rid=\"b12\">Savva and Theodossiou (2018)</xref>. There is no risk-return trade-off when considering a linear relationship between returns and risk. We consider good and bad volatility separately as defined by threshold regressions and find non-linear risk-return trade-off, that is negative for large lagged returns.</p> </abstract>","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":"1 1","pages":""},"PeriodicalIF":5.3,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70231624","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}
This paper investigates the pricing formula for geometric Asian options where the underlying asset is driven by the sub-fractional Brownian motion with interest rate satisfying the sub-fractional Vasicek model. By applying the sub-fractional $ {rm{Ithat o}} $ formula, the Black-Scholes (B-S) type Partial Differential Equations (PDE) to Asian geometric average option is derived by Delta hedging principle. Moreover, the explicit pricing formula for Asian options is obtained through converting the PDE to the Cauchy problem. Numerical experiments are conducted to test the impact of the stock price, the Hurst index, the speed of interest rate adjustment, and the volatilities and their correlation for the Asian option and the interest rate model, respectively. The results show that the main parameters such as Hurst index have a significant influence on the price of Asian options.
{"title":"Asian option pricing under sub-fractional vasicek model","authors":"Lichao Tao, Yuefu Lai, Yanting Ji, Xiangxing Tao","doi":"10.3934/qfe.2023020","DOIUrl":"https://doi.org/10.3934/qfe.2023020","url":null,"abstract":"This paper investigates the pricing formula for geometric Asian options where the underlying asset is driven by the sub-fractional Brownian motion with interest rate satisfying the sub-fractional Vasicek model. By applying the sub-fractional $ {rm{Ithat o}} $ formula, the Black-Scholes (B-S) type Partial Differential Equations (PDE) to Asian geometric average option is derived by Delta hedging principle. Moreover, the explicit pricing formula for Asian options is obtained through converting the PDE to the Cauchy problem. Numerical experiments are conducted to test the impact of the stock price, the Hurst index, the speed of interest rate adjustment, and the volatilities and their correlation for the Asian option and the interest rate model, respectively. The results show that the main parameters such as Hurst index have a significant influence on the price of Asian options.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":"1 1","pages":""},"PeriodicalIF":5.3,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70232097","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}
This article derives simple closed-form solutions for computing Greeks of zero-coupon and coupon-bearing bond options under the CIR interest rate model, which are shown to be accurate, easy to implement, and computationally highly efficient. These novel analytical solutions allow us to extend the literature in two other directions. First, the static hedging portfolio approach is used for pricing and hedging American-style plain-vanilla zero-coupon bond options under the CIR model. Second, we derive analytically the comparative static properties of sinking-fund bonds under the same interest rate modeling setup.
{"title":"Pricing and hedging bond options and sinking-fund bonds under the CIR model","authors":"Manuela Larguinho, José Carlos Dias, C. Braumann","doi":"10.3934/qfe.2022001","DOIUrl":"https://doi.org/10.3934/qfe.2022001","url":null,"abstract":"This article derives simple closed-form solutions for computing Greeks of zero-coupon and coupon-bearing bond options under the CIR interest rate model, which are shown to be accurate, easy to implement, and computationally highly efficient. These novel analytical solutions allow us to extend the literature in two other directions. First, the static hedging portfolio approach is used for pricing and hedging American-style plain-vanilla zero-coupon bond options under the CIR model. Second, we derive analytically the comparative static properties of sinking-fund bonds under the same interest rate modeling setup.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":"1 1","pages":""},"PeriodicalIF":5.3,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70229715","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}
Francisco Jareño, María de la O González, Pascual Belmonte
Using NARDL methodology, this research investigates some asymmetric and non-linear interconnections between leading cryptocurrency and commodity returns. Thus, this study explores potential interconnections between these cryptocurrencies and commodity markets in the period between March 07, 2018, and March 26, 2021. This paper splits the entire sample period into two independent sub-periods in order to enhance robustness: pre-COVID and COVID, to examine the impact of the pandemic on these markets. Our results confirm that the most relevant interconnection (in terms of cointegration, short- and long- asymmetry, and the persistence of the lags) between cryptos and commodities is focused on COVID-19, the pandemic sub-period, in line with previous literature. Finally, the study reveals that some cryptocurrencies such as Tether could serve as a diversifying asset or even a safe haven, in certain scenarios, in investment strategies.
{"title":"Asymmetric interdependencies between cryptocurrency and commodity markets: the COVID-19 pandemic impact","authors":"Francisco Jareño, María de la O González, Pascual Belmonte","doi":"10.3934/qfe.2022004","DOIUrl":"https://doi.org/10.3934/qfe.2022004","url":null,"abstract":"Using NARDL methodology, this research investigates some asymmetric and non-linear interconnections between leading cryptocurrency and commodity returns. Thus, this study explores potential interconnections between these cryptocurrencies and commodity markets in the period between March 07, 2018, and March 26, 2021. This paper splits the entire sample period into two independent sub-periods in order to enhance robustness: pre-COVID and COVID, to examine the impact of the pandemic on these markets. Our results confirm that the most relevant interconnection (in terms of cointegration, short- and long- asymmetry, and the persistence of the lags) between cryptos and commodities is focused on COVID-19, the pandemic sub-period, in line with previous literature. Finally, the study reveals that some cryptocurrencies such as Tether could serve as a diversifying asset or even a safe haven, in certain scenarios, in investment strategies.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":"1 1","pages":""},"PeriodicalIF":5.3,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70229999","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}
S. C. Rambaud, J. L. Pascual, Emilio M. Santandreu
Context: The context of this paper is the unprecedented global situation which has been and is still experiencing all countries all over the world, due to the pandemic caused by Covid-19 and its variants. Apart from the important problem of health population, all countries are facing a sharp reduction in their main economic indicators: stock indices, GDP (Gross Domestic Product), rates of employment, closing down of businesses, etc. Results: In this paper, we have presented and mathematically analyzed the so-called staggered loans as a useful tool for SMEs to be applied after times of crisis. Moreover, their pros and cons, and the advantages for lenders and borrowers have been highlighted. Specifically, this kind of loan can help solve the problem of the scarce offer of credit due to monetary politics currently addressed to reduce inflation. Policy implications: Taking into account that this economic situation cannot continue for longtime, many countries are thinking about the next stages of the way-out from the crisis in all sectors of affected economies. Purpose: In this research, we seek to provide some information on the characteristics of the so-called staggered loans and the repayment system applied by some microfinance institutions in Latin America. This can help SMEs to obtain the liquidity necessary to reopen and develop their activity. Methods: Methodologically, we have presented risk-based measures able to guarantee the profitability of lenders and control the solvency of lenders and borrowers.
{"title":"Staggered loans: A flexible modality of long-term financing for SMEs in global health emergencies","authors":"S. C. Rambaud, J. L. Pascual, Emilio M. Santandreu","doi":"10.3934/QFE.2022024","DOIUrl":"https://doi.org/10.3934/QFE.2022024","url":null,"abstract":"Context: The context of this paper is the unprecedented global situation which has been and is still experiencing all countries all over the world, due to the pandemic caused by Covid-19 and its variants. Apart from the important problem of health population, all countries are facing a sharp reduction in their main economic indicators: stock indices, GDP (Gross Domestic Product), rates of employment, closing down of businesses, etc. Results: In this paper, we have presented and mathematically analyzed the so-called staggered loans as a useful tool for SMEs to be applied after times of crisis. Moreover, their pros and cons, and the advantages for lenders and borrowers have been highlighted. Specifically, this kind of loan can help solve the problem of the scarce offer of credit due to monetary politics currently addressed to reduce inflation. Policy implications: Taking into account that this economic situation cannot continue for longtime, many countries are thinking about the next stages of the way-out from the crisis in all sectors of affected economies. Purpose: In this research, we seek to provide some information on the characteristics of the so-called staggered loans and the repayment system applied by some microfinance institutions in Latin America. This can help SMEs to obtain the liquidity necessary to reopen and develop their activity. Methods: Methodologically, we have presented risk-based measures able to guarantee the profitability of lenders and control the solvency of lenders and borrowers.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":"1 1","pages":""},"PeriodicalIF":5.3,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70230158","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}
This paper presents a hybrid-triggered catastrophe bond (CAT bond) pricing model. We take earthquake CAT bonds as an example for model construction and numerical analysis. According to the characteristics of earthquake disasters, we choose direct economic loss and magnitude as trigger indicators. The marginal distributions of the two trigger indicators are depicted using extreme value theory, and the joint distribution is established by using a copula function. Furthermore, we derive a multi-year hybrid-triggered CAT bond pricing formula under stochastic interest rates. The numerical experiments show that the bond price is negatively correlated with maturity, market interest rate and dependence of trigger indicators, and positively correlated with trigger level and coupon rate. This study can be used as a reference for formulating reasonable CAT bond pricing strategies.
{"title":"Pricing hybrid-triggered catastrophe bonds based on copula-EVT model","authors":"Longfei Wei, Lu Liu, Jialong Hou","doi":"10.3934/qfe.2022010","DOIUrl":"https://doi.org/10.3934/qfe.2022010","url":null,"abstract":"This paper presents a hybrid-triggered catastrophe bond (CAT bond) pricing model. We take earthquake CAT bonds as an example for model construction and numerical analysis. According to the characteristics of earthquake disasters, we choose direct economic loss and magnitude as trigger indicators. The marginal distributions of the two trigger indicators are depicted using extreme value theory, and the joint distribution is established by using a copula function. Furthermore, we derive a multi-year hybrid-triggered CAT bond pricing formula under stochastic interest rates. The numerical experiments show that the bond price is negatively correlated with maturity, market interest rate and dependence of trigger indicators, and positively correlated with trigger level and coupon rate. This study can be used as a reference for formulating reasonable CAT bond pricing strategies.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":"1 1","pages":""},"PeriodicalIF":5.3,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70230319","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}
Emmanuel Assifuah-Nunoo, Peterson Owusu Junior, A. Adam, A. Bossman
Using the quantile regression approach to reveal the conditional relationships, the study re-examined the oil-stock co-movement in the context of oil-exporting countries in Africa. The data employed include daily OPEC basket price for crude oil and daily data on stock market indices for six major stock markets of oil-exporting economies in Africa—Egypt, Ghana, Morocco, Nigeria, South Africa, and Tunisia, from 02 January 2020 to 06 May 2021. We found that crude oil cannot act as safe haven instrument for stock markets in oil-exporting African countries. Notably, the oil-stock co-movement is consistent and more intense at the lower tails only. Investors are encouraged to employ oil as a diversification instrument rather than as a safe haven asset, based on market conditions. Regulators should devise strategies to strengthen the market for crude oil to lessen adverse volatilities during the COVID-19 pandemic by way of mitigating downward returns in African stock markets. The findings of the study offer more interesting economic insights to all classes of investors as well as policymakers in oil-exporting economies in Africa.
{"title":"Assessing the safe haven properties of oil in African stock markets amid the COVID-19 pandemic: a quantile regression analysis","authors":"Emmanuel Assifuah-Nunoo, Peterson Owusu Junior, A. Adam, A. Bossman","doi":"10.3934/qfe.2022011","DOIUrl":"https://doi.org/10.3934/qfe.2022011","url":null,"abstract":"Using the quantile regression approach to reveal the conditional relationships, the study re-examined the oil-stock co-movement in the context of oil-exporting countries in Africa. The data employed include daily OPEC basket price for crude oil and daily data on stock market indices for six major stock markets of oil-exporting economies in Africa—Egypt, Ghana, Morocco, Nigeria, South Africa, and Tunisia, from 02 January 2020 to 06 May 2021. We found that crude oil cannot act as safe haven instrument for stock markets in oil-exporting African countries. Notably, the oil-stock co-movement is consistent and more intense at the lower tails only. Investors are encouraged to employ oil as a diversification instrument rather than as a safe haven asset, based on market conditions. Regulators should devise strategies to strengthen the market for crude oil to lessen adverse volatilities during the COVID-19 pandemic by way of mitigating downward returns in African stock markets. The findings of the study offer more interesting economic insights to all classes of investors as well as policymakers in oil-exporting economies in Africa.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":"1 1","pages":""},"PeriodicalIF":5.3,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70230377","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}
Over the past few decades, large numbers of literatures in behavior finance have examined firm's internationalization motives, with focused on how host country's risk components affect investment inflow. But the effects of home country risk on investment outflow remain unexamined. Therefore, based on the conceptualization of FDI escapism and the combine frameworks of Dunning's eclectic paradigm and internationalization theory, the objectives of this study are twofold: First, to examine and explain the effects of home country composite risks (which encompasses economic risks, financial risks, political risk) on firms' internationalization motive through outward FDI. Second, to determine which components of home country risk "pushes" firms to initiate the FDI escapism phenomenon in global market. Findings reveal that home country composite risk has moderate adverse effect on investment flow abroad, contributed by both the political and financial risk components, which may give rise to escaping FDI. These findings suggest that firm may initiate outward FDI as a partial escape strategy to address the political and financial challenges in their home country. These results are robust to endogeneity issue and have several substantial implications for policy design to reduce country risks in order to achieve firm's specific objective and government policy goals.
{"title":"FDI Escapism: the effect of home country risks on outbound investment in the global economy","authors":"O. Osabuohien-Irabor, I. Drapkin","doi":"10.3934/qfe.2022005","DOIUrl":"https://doi.org/10.3934/qfe.2022005","url":null,"abstract":"Over the past few decades, large numbers of literatures in behavior finance have examined firm's internationalization motives, with focused on how host country's risk components affect investment inflow. But the effects of home country risk on investment outflow remain unexamined. Therefore, based on the conceptualization of FDI escapism and the combine frameworks of Dunning's eclectic paradigm and internationalization theory, the objectives of this study are twofold: First, to examine and explain the effects of home country composite risks (which encompasses economic risks, financial risks, political risk) on firms' internationalization motive through outward FDI. Second, to determine which components of home country risk \"pushes\" firms to initiate the FDI escapism phenomenon in global market. Findings reveal that home country composite risk has moderate adverse effect on investment flow abroad, contributed by both the political and financial risk components, which may give rise to escaping FDI. These findings suggest that firm may initiate outward FDI as a partial escape strategy to address the political and financial challenges in their home country. These results are robust to endogeneity issue and have several substantial implications for policy design to reduce country risks in order to achieve firm's specific objective and government policy goals.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":"1 1","pages":""},"PeriodicalIF":5.3,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70230096","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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