Yonghong Zhong, Richard D. F. Harris, Shuhong Deng
We investigate the return and volatility spillover effects among the onshore and offshore RMB foreign exchange markets, offshore RMB money market before and after the foreign exchange rate reform on August 11, 2015. We found that “8.11” exchange reform significantly affects the interactions in CNY, CNH and CNH-Hibor three markets. The two-way CNY-to-CNH return spillovers became one-way and in the opposite direction after the reform. The Granger causality test shows price-guide impacts in pairs of CNY, CNH and CNH-Hibor were significantly different after the “8.11” reform. The pricing power of RMB spot exchange rate has been passed from onshore market to offshore market. Meanwhile, the unidirectional volatility spillover from CNH to CNY has changed to bidirectional volatility spillover between CNH and CNY markets. Meanwhile, after the “8.11” reform, the fluctuation of CNH-Hibor impacts the volatility of onshore and offshore exchange rates significantly, CNH-Hibor played a leading role in onshore-offshore foreign exchange and offshore money market interactions. These results are critical for Chinese policymakers and contribute to China’s foreign exchange rate reform.
{"title":"The spillover effects among offshore and onshore RMB exchange rate markets, RMB Hibor market","authors":"Yonghong Zhong, Richard D. F. Harris, Shuhong Deng","doi":"10.3934/qfe.2020014","DOIUrl":"https://doi.org/10.3934/qfe.2020014","url":null,"abstract":"We investigate the return and volatility spillover effects among the onshore and offshore RMB foreign exchange markets, offshore RMB money market before and after the foreign exchange rate reform on August 11, 2015. We found that “8.11” exchange reform significantly affects the interactions in CNY, CNH and CNH-Hibor three markets. The two-way CNY-to-CNH return spillovers became one-way and in the opposite direction after the reform. The Granger causality test shows price-guide impacts in pairs of CNY, CNH and CNH-Hibor were significantly different after the “8.11” reform. The pricing power of RMB spot exchange rate has been passed from onshore market to offshore market. Meanwhile, the unidirectional volatility spillover from CNH to CNY has changed to bidirectional volatility spillover between CNH and CNY markets. Meanwhile, after the “8.11” reform, the fluctuation of CNH-Hibor impacts the volatility of onshore and offshore exchange rates significantly, CNH-Hibor played a leading role in onshore-offshore foreign exchange and offshore money market interactions. These results are critical for Chinese policymakers and contribute to China’s foreign exchange rate reform.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2020-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41461829","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}
Saving plays an important role in economics. Private Pension System (PPS) helps individuals make savings and contribute to the nation’s economy. Therefore, it is important to know the performance of Private Pension Companies (PPCs) that manage the pension funds. Data Envelopment Analysis (DEA) is one of the useful nonparametric techniques to measure the relative efficiency of Decisions Making Units (DMUs) for a specific time or process. In this study, relative efficiency scores of PPCs are investigated for a time interval with Dynamic DEA and compared with the traditional DEA. Inputs of the model are considered as the number of workers, total assets; and the outputs of the model are the number of contracts, total contribution and the market share of each PPC. Also, to ensure the dynamic procedure, Shareholders’ Equity is used as a quasi-fixed input data to link consecutive periods in the time interval. Our results demonstrate that the efficiency score can be improved by considering the effects of the inter-relations of the consecutive periods. The implications arising from the results of the study are important for the companies’ policies.
{"title":"The efficiency of private pension companies using dynamic data envelopment analysis","authors":"Yonca Erdem Demirtaş, Neslihan Fidan Keçeci","doi":"10.3934/qfe.2020009","DOIUrl":"https://doi.org/10.3934/qfe.2020009","url":null,"abstract":"Saving plays an important role in economics. Private Pension System (PPS) helps individuals make savings and contribute to the nation’s economy. Therefore, it is important to know the performance of Private Pension Companies (PPCs) that manage the pension funds. Data Envelopment Analysis (DEA) is one of the useful nonparametric techniques to measure the relative efficiency of Decisions Making Units (DMUs) for a specific time or process. In this study, relative efficiency scores of PPCs are investigated for a time interval with Dynamic DEA and compared with the traditional DEA. Inputs of the model are considered as the number of workers, total assets; and the outputs of the model are the number of contracts, total contribution and the market share of each PPC. Also, to ensure the dynamic procedure, Shareholders’ Equity is used as a quasi-fixed input data to link consecutive periods in the time interval. Our results demonstrate that the efficiency score can be improved by considering the effects of the inter-relations of the consecutive periods. The implications arising from the results of the study are important for the companies’ policies.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2020-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70228779","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}
Mustafa Tevfik Kartal, 1 Strategic Planning and Investor Relations Directorate in Borsa İstanbul, İstanbul, Turkey, Özer Depren, Serpil Kılıç Depren, 2 Customer Experience Researches Directorate in Yapı Kredi Bank, İstanbul, Turkey, 3 Department of Statistics, Yıldız Technical University, İstanbul, Turkey
With the emergence and spreading of COVID-19 pandemic all over the world, the uncertainty has been increasing for countries. Depending on this condition, especially emerging countries have been affected negatively by foreign portfolio investment outflows from stock exchanges, and main stock exchange indices have been collapsed. The study examines the causes of the main stock exchange index changes in Turkey in the COVID-19 period. In this context, 14 variables (3 global, 6 country-level, 5 market-level) are analyzed by employing random forest and support vector machine algorithms and using daily data between 01.02.2020 and 05.15.2020, which includes the pre-pandemic and the pandemic periods. The findings prove that (i) the most important variables are the retention amount of foreign investors in the equity market, credit default swap spreads, government bonds interest rates, Morgan Stanley Capital International (MSCI) emerging markets index, and volatility index in the pre-pandemic period; (ii) the importance of variables changes as MSCI emerging markets index, the volatility index, retention amount of foreign investors in the equity market, amount of securities held by the Central Bank of Republic of Turkey (CBRT), equity market traded value in the pandemic period; (iii) support vector machine has superior estimation accuracy concerning random forest algorithms in both pre-pandemic and pandemic period.
{"title":"The determinants of main stock exchange index changes in emerging countries: evidence from Turkey in COVID-19 pandemic age","authors":"Mustafa Tevfik Kartal, 1 Strategic Planning and Investor Relations Directorate in Borsa İstanbul, İstanbul, Turkey, Özer Depren, Serpil Kılıç Depren, 2 Customer Experience Researches Directorate in Yapı Kredi Bank, İstanbul, Turkey, 3 Department of Statistics, Yıldız Technical University, İstanbul, Turkey","doi":"10.3934/qfe.2020025","DOIUrl":"https://doi.org/10.3934/qfe.2020025","url":null,"abstract":"With the emergence and spreading of COVID-19 pandemic all over the world, the uncertainty has been increasing for countries. Depending on this condition, especially emerging countries have been affected negatively by foreign portfolio investment outflows from stock exchanges, and main stock exchange indices have been collapsed. The study examines the causes of the main stock exchange index changes in Turkey in the COVID-19 period. In this context, 14 variables (3 global, 6 country-level, 5 market-level) are analyzed by employing random forest and support vector machine algorithms and using daily data between 01.02.2020 and 05.15.2020, which includes the pre-pandemic and the pandemic periods. The findings prove that (i) the most important variables are the retention amount of foreign investors in the equity market, credit default swap spreads, government bonds interest rates, Morgan Stanley Capital International (MSCI) emerging markets index, and volatility index in the pre-pandemic period; (ii) the importance of variables changes as MSCI emerging markets index, the volatility index, retention amount of foreign investors in the equity market, amount of securities held by the Central Bank of Republic of Turkey (CBRT), equity market traded value in the pandemic period; (iii) support vector machine has superior estimation accuracy concerning random forest algorithms in both pre-pandemic and pandemic period.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138503671","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Wavelet-based systematic risk estimation: application on GCC stock markets: the Saudi Arabia case","authors":"A. Mabrouk","doi":"10.3934/qfe.2020026","DOIUrl":"https://doi.org/10.3934/qfe.2020026","url":null,"abstract":"<jats:p xml:lang=\"fr\" />","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70228884","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}
Blockchain-based security token offerings (STOs) provide a new way of crowdfunding and corporate financing. Tokens are immediately transferable and can be traded 24/7 on secondary markets, clearing and settlement is a matter of only a few minutes, tokens can be held personally, i.e. brokers and custody accounts are no longer required and the underlying blockchain ensures transparency of all transactions. This study provides an overview of security tokens and the STO model for corporate financing. Our analysis investigates security tokens from the perspective of a firm looking to raise capital. Building on signaling theory, this paper examines 1) whether companies conducting an STO make use of cheap signals to influence investment behavior and 2) if such use of cheap signals is effective. We analyze a dataset of 151 STOs and identify that cheap signals of human capital and social media are used by projects and have a positive effect on funding success. The type of signals influencing funding success indicate that the market is still immature, as projects have a clear incentive to enlarge the level of asymmetric information between them and potential investors. The anticipated level of punishment for misusing cheap signaling is low, as the mechanism does not represent fraud but "cheating". This is a concern for investor protection.
{"title":"Cheap signals in security token offerings (STOs)","authors":"Lennart Ante,Ingo Fiedler","doi":"10.3934/qfe.2020028","DOIUrl":"https://doi.org/10.3934/qfe.2020028","url":null,"abstract":"Blockchain-based security token offerings (STOs) provide a new way of crowdfunding and corporate financing. Tokens are immediately transferable and can be traded 24/7 on secondary markets, clearing and settlement is a matter of only a few minutes, tokens can be held personally, i.e. brokers and custody accounts are no longer required and the underlying blockchain ensures transparency of all transactions. This study provides an overview of security tokens and the STO model for corporate financing. Our analysis investigates security tokens from the perspective of a firm looking to raise capital. Building on signaling theory, this paper examines 1) whether companies conducting an STO make use of cheap signals to influence investment behavior and 2) if such use of cheap signals is effective. We analyze a dataset of 151 STOs and identify that cheap signals of human capital and social media are used by projects and have a positive effect on funding success. The type of signals influencing funding success indicate that the market is still immature, as projects have a clear incentive to enlarge the level of asymmetric information between them and potential investors. The anticipated level of punishment for misusing cheap signaling is low, as the mechanism does not represent fraud but \"cheating\". This is a concern for investor protection.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138503658","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}
Mustafa Tevfik Kartal, Strategic Planning and Investor Relations Directorate in Borsa İstanbul, İstanbul, Turkey
This study examines how sovereign CDS spreads of Turkey behave in Covid-19 pandemic times by considering that CDS spreads reflect the riskiness, vulnerability, financial stability, and macroeconomic stability of countries and CDS spreads of most of the emerging countries have increased with the emergence of Covid-19 pandemic. Therefore, the study focuses on the year 2020 which includes before Covid-19 and Covid-19 pandemic times periods. In this context, daily data between 12.06.2019 and 06.16.2020, 6 independent variables, and 6 Covid-19 situations are analyzed by employing Multivariate Adaptive Regression Splines (MARS) method. The findings reveal that (i) influential factors on Turkey’s CDS spreads are BIST100 index, VIX index, MSCI Turkey index, and USD/TL foreign exchange rates for the period which is before Covid-19 pandemic times; (ii) MSCI emerging market index, number of new deaths from Covid-19, USD/TL foreign exchange rates, weighted average cost of funds, number of new cases from Covid-19, and VIX index have effect on Turkey’s CDS spreads in Covid-19 pandemic times, respectively; (iii) on the other hand, number of cumulative cases, number of cumulative deaths, and measures do not have effect on Turkey’s CDS spreads in any period. Taking precautions to decrease negative effects on Turkey’s CDS spreads by considering the importance of deaths number from Covid-19 pandemic is very important. Hence, Turkey could stimulate foreign portfolio investment inflows with decreasing CDS spreads.
{"title":"The behavior of Sovereign Credit Default Swaps (CDS) spread: evidence from Turkey with the effect of Covid-19 pandemic","authors":"Mustafa Tevfik Kartal, Strategic Planning and Investor Relations Directorate in Borsa İstanbul, İstanbul, Turkey","doi":"10.3934/qfe.2020022","DOIUrl":"https://doi.org/10.3934/qfe.2020022","url":null,"abstract":"This study examines how sovereign CDS spreads of Turkey behave in Covid-19 pandemic times by considering that CDS spreads reflect the riskiness, vulnerability, financial stability, and macroeconomic stability of countries and CDS spreads of most of the emerging countries have increased with the emergence of Covid-19 pandemic. Therefore, the study focuses on the year 2020 which includes before Covid-19 and Covid-19 pandemic times periods. In this context, daily data between 12.06.2019 and 06.16.2020, 6 independent variables, and 6 Covid-19 situations are analyzed by employing Multivariate Adaptive Regression Splines (MARS) method. The findings reveal that (i) influential factors on Turkey’s CDS spreads are BIST100 index, VIX index, MSCI Turkey index, and USD/TL foreign exchange rates for the period which is before Covid-19 pandemic times; (ii) MSCI emerging market index, number of new deaths from Covid-19, USD/TL foreign exchange rates, weighted average cost of funds, number of new cases from Covid-19, and VIX index have effect on Turkey’s CDS spreads in Covid-19 pandemic times, respectively; (iii) on the other hand, number of cumulative cases, number of cumulative deaths, and measures do not have effect on Turkey’s CDS spreads in any period. Taking precautions to decrease negative effects on Turkey’s CDS spreads by considering the importance of deaths number from Covid-19 pandemic is very important. Hence, Turkey could stimulate foreign portfolio investment inflows with decreasing CDS spreads.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138503669","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}
Huseyin Tastan, Department of Economics, Yildiz Technical University, Istanbul, Turkey, Sercin Sahin
This paper examines the long-run and medium-run predictive relationship between money growth and inflation in Turkey for the period 1986m1–2018m12, using frequency-domain methods. For the full sample, the measures of spectral coherence and gain spectrum suggest a one-to-one relationship, and the frequency domain decomposition of the Granger causality test indicates a bidirectional predictive relationship between the two variables at zero frequency. As suggested by the wavelet coherence, we also analyzed the two subperiods before and after 2006 separately. Our results suggest that while both variables have predictive power for each other in the second subperiod, only money growth helps predict inflation in the first one. In order to prevent spurious results, the analysis is rerun in a multivariate Vector Autoregression (VAR) system, where output growth, interest rate, exchange rate growth, and domestic debt growth are included as additional variables. We observe that while money growth has predictive power for inflation in the first subperiod, this relationship disappears in the second one. We argue that the change in the relationship between the two variables at low frequencies after 2006 is primarily a result of the decrease in fiscal dominance of the government, the CBRT’s switch to the inflation targeting regime, and the CBRT’s “unconventional monetary policy framework”.
{"title":"Low-frequency relationship between money growth and inflation in Turkey","authors":"Huseyin Tastan, Department of Economics, Yildiz Technical University, Istanbul, Turkey, Sercin Sahin","doi":"10.3934/qfe.2020005","DOIUrl":"https://doi.org/10.3934/qfe.2020005","url":null,"abstract":"This paper examines the long-run and medium-run predictive relationship between money growth and inflation in Turkey for the period 1986m1–2018m12, using frequency-domain methods. For the full sample, the measures of spectral coherence and gain spectrum suggest a one-to-one relationship, and the frequency domain decomposition of the Granger causality test indicates a bidirectional predictive relationship between the two variables at zero frequency. As suggested by the wavelet coherence, we also analyzed the two subperiods before and after 2006 separately. Our results suggest that while both variables have predictive power for each other in the second subperiod, only money growth helps predict inflation in the first one. In order to prevent spurious results, the analysis is rerun in a multivariate Vector Autoregression (VAR) system, where output growth, interest rate, exchange rate growth, and domestic debt growth are included as additional variables. We observe that while money growth has predictive power for inflation in the first subperiod, this relationship disappears in the second one. We argue that the change in the relationship between the two variables at low frequencies after 2006 is primarily a result of the decrease in fiscal dominance of the government, the CBRT’s switch to the inflation targeting regime, and the CBRT’s “unconventional monetary policy framework”.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138503670","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 study investigates whether accounting conservatism can reduce earnings management in the wake of uncertainty. It is hypothesized that conservative reporting during uncertainty can reduce earnings management and increase firm value. Using 5354 firm-year observations from 2005-2018 through Khan and watts model, we provide evidence that accounting conservatism is a way to put limits on earnings management for firms facing uncertainty. We find a statistically significant impact of conservative reporting on firm value during an uncertainty. Uncertainty at the firm level is measured by applying “prospector” and “defender” business strategy. To measure earnings management Modified Jones model and Dechow and Dichev approach models applied. Our results provide insights into conservative accounting and have critical and practical implications for investors, researchers and standard setters. After addressing endogeneity and applying GMM estimator, our results remain confirmed.
{"title":"Impact of firm-level uncertainty on earnings management and role of accounting conservatism","authors":"A. Haque, H. Fatima, Ammar Abid, M. Qamar","doi":"10.3934/qfe.2019.4.772","DOIUrl":"https://doi.org/10.3934/qfe.2019.4.772","url":null,"abstract":"This study investigates whether accounting conservatism can reduce earnings management in the wake of uncertainty. It is hypothesized that conservative reporting during uncertainty can reduce earnings management and increase firm value. Using 5354 firm-year observations from 2005-2018 through Khan and watts model, we provide evidence that accounting conservatism is a way to put limits on earnings management for firms facing uncertainty. We find a statistically significant impact of conservative reporting on firm value during an uncertainty. Uncertainty at the firm level is measured by applying “prospector” and “defender” business strategy. To measure earnings management Modified Jones model and Dechow and Dichev approach models applied. Our results provide insights into conservative accounting and have critical and practical implications for investors, researchers and standard setters. After addressing endogeneity and applying GMM estimator, our results remain confirmed.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2019-12-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43719489","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}
To investigate the risk spillover effect from crude oil market to BRICS stock markets, we extend the Copula-CoVaR models by introducing the Peak-over-Threshold and construct the Copula-POT-CoVaR model. By using the crude oil market and BRICS stock market data from 2006 to 2016 as the sample, the empirical study results show that: (a) Copula-POT-CoVaR model is an effective method to measure the extreme risk, (b) there is a significant risk spillover from crude oil market to BRICS stock markets, and the risk of crude oil market explains more than 50 percent of BRICS stock markets’ risk, and (c) within five BRICS stock markets, Russia’s stock market and China’s stock market receive the strongest and slightest spillover from crude oil market respectivlely. These findings indicate that close attention should be paid to the crude oil market when managing the investment portfolio of BRICS markets, especially in the face of high volatility of crude oil market.
{"title":"Investigating the risk spillover from crude oil market to BRICS stock markets based on Copula-POT-CoVaR models","authors":"Ke Liu, Changqing Luo, Zhao Li","doi":"10.3934/qfe.2019.4.754","DOIUrl":"https://doi.org/10.3934/qfe.2019.4.754","url":null,"abstract":"To investigate the risk spillover effect from crude oil market to BRICS stock markets, we extend the Copula-CoVaR models by introducing the Peak-over-Threshold and construct the Copula-POT-CoVaR model. By using the crude oil market and BRICS stock market data from 2006 to 2016 as the sample, the empirical study results show that: (a) Copula-POT-CoVaR model is an effective method to measure the extreme risk, (b) there is a significant risk spillover from crude oil market to BRICS stock markets, and the risk of crude oil market explains more than 50 percent of BRICS stock markets’ risk, and (c) within five BRICS stock markets, Russia’s stock market and China’s stock market receive the strongest and slightest spillover from crude oil market respectivlely. These findings indicate that close attention should be paid to the crude oil market when managing the investment portfolio of BRICS markets, especially in the face of high volatility of crude oil market.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2019-12-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42934667","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}
The study investigated the effects of banking system stability on economic sustainability from the perspective of 37 developing economies for the period 2000–2016. The study applied panel data models precisely fixed effects and random effects models. Hausman test of endogeneity revealed fixed effects model as the most appropriate in all estimations. Our empirical analysis revealed the following key findings: First, the study revealed that banking system z-scores has positive effect on economic sustainability of developing economies while banking system regulatory capital and bank credit have negative effects on economic sustainability among selected developing economies. Second, while banking system z-scores, bank liquid assets and bank credit have positive effects on economic sustainability of BRICS economies, bank liquid assets and bank credit have negative effects on economic sustainability of non-BRICS economies except banking system zscores, which has a positive effect. In addition, banking system z-scores has positive effect on economic sustainability of Asian and non-Asian economies. However, non-performing loans and bank credit has negative effects on economic sustainability of Asian economies while banking system regulatory capital has negative effect on economic sustainability of non-Asian economies. We conclude that banking system stability play a role in economic sustainability developing economies. However, banking system stability has differing effects on economic sustainability of BRICS and non-BRICS economies; and Asian and non-Asian economies.
{"title":"Banking system stability and economic sustainability: A panel data analysis of the effect of banking system stability on sustainability of some selected developing countries","authors":"A. H. Ntarmah, Yusheng Kong, M. Gyan","doi":"10.3934/qfe.2019.4.709","DOIUrl":"https://doi.org/10.3934/qfe.2019.4.709","url":null,"abstract":"The study investigated the effects of banking system stability on economic sustainability from the perspective of 37 developing economies for the period 2000–2016. The study applied panel data models precisely fixed effects and random effects models. Hausman test of endogeneity revealed fixed effects model as the most appropriate in all estimations. Our empirical analysis revealed the following key findings: First, the study revealed that banking system z-scores has positive effect on economic sustainability of developing economies while banking system regulatory capital and bank credit have negative effects on economic sustainability among selected developing economies. Second, while banking system z-scores, bank liquid assets and bank credit have positive effects on economic sustainability of BRICS economies, bank liquid assets and bank credit have negative effects on economic sustainability of non-BRICS economies except banking system zscores, which has a positive effect. In addition, banking system z-scores has positive effect on economic sustainability of Asian and non-Asian economies. However, non-performing loans and bank credit has negative effects on economic sustainability of Asian economies while banking system regulatory capital has negative effect on economic sustainability of non-Asian economies. We conclude that banking system stability play a role in economic sustainability developing economies. However, banking system stability has differing effects on economic sustainability of BRICS and non-BRICS economies; and Asian and non-Asian economies.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2019-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46175342","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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