Pub Date : 2023-10-06DOI: 10.1108/sef-01-2023-0015
Mohamed A. Ayadi, Walid Ben Omrane, Jiayu Wang, Robert Welch
Purpose This study aims to better understand the effects of speeches as a valuable communication tool for central banks. It extends the analysis of the effects of public speeches on jumps to determine whether individual speakers matter partly because of their name, position or institution. Design/methodology/approach This study detects intraday jumps using a robust-to-jump volatility estimator that accounts for deterministic seasonality. As a result, this study removes spurious jumps that occur when volatility is high and consider the relatively small jumps that occur when volatility is low. After identifying jumps, this study examines their reactions to senior official speeches and macroeconomic news surrounding the US and European Union (EU) financial crises. Findings Despite having the most influential individual speakers, this study finds that the impact of the Federal Reserve (Fed) and European Central Bank (ECB) is mitigated because the two institutions have a relatively small impact on currency jumps. This finding shows that the speaker’s name is more important than his or her institution affiliation. While the Federal Reserve Bank President and Chief Executive, as well as ECB board members, significantly reduce jump sizes, particularly during the EU crisis period, both the Fed Chairman and the ECB President increase the magnitude of the jump in both the US crisis and noncrisis periods, contributing to market instability. Practical implications The implications of the results include international portfolio management, currency derivatives pricing and hedging, risk management and market efficiency. Originality/value The findings contribute to a better understanding of the effects of senior official speech attributes on currency jumps in various economic states. The results raise questions about the speaker’s name, institution and position’s effectiveness in calming markets and reducing uncertainty.
{"title":"Senior official speeches and severe price discontinuities in the foreign exchange market","authors":"Mohamed A. Ayadi, Walid Ben Omrane, Jiayu Wang, Robert Welch","doi":"10.1108/sef-01-2023-0015","DOIUrl":"https://doi.org/10.1108/sef-01-2023-0015","url":null,"abstract":"Purpose This study aims to better understand the effects of speeches as a valuable communication tool for central banks. It extends the analysis of the effects of public speeches on jumps to determine whether individual speakers matter partly because of their name, position or institution. Design/methodology/approach This study detects intraday jumps using a robust-to-jump volatility estimator that accounts for deterministic seasonality. As a result, this study removes spurious jumps that occur when volatility is high and consider the relatively small jumps that occur when volatility is low. After identifying jumps, this study examines their reactions to senior official speeches and macroeconomic news surrounding the US and European Union (EU) financial crises. Findings Despite having the most influential individual speakers, this study finds that the impact of the Federal Reserve (Fed) and European Central Bank (ECB) is mitigated because the two institutions have a relatively small impact on currency jumps. This finding shows that the speaker’s name is more important than his or her institution affiliation. While the Federal Reserve Bank President and Chief Executive, as well as ECB board members, significantly reduce jump sizes, particularly during the EU crisis period, both the Fed Chairman and the ECB President increase the magnitude of the jump in both the US crisis and noncrisis periods, contributing to market instability. Practical implications The implications of the results include international portfolio management, currency derivatives pricing and hedging, risk management and market efficiency. Originality/value The findings contribute to a better understanding of the effects of senior official speech attributes on currency jumps in various economic states. The results raise questions about the speaker’s name, institution and position’s effectiveness in calming markets and reducing uncertainty.","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-10-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135304279","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-10-05DOI: 10.1108/sef-02-2023-0056
Ghassan H. Mardini, Fathia Elleuch Lahyani
Purpose The purpose of this study is to examine the impact of carbon performance on carbon disclosure among nonfinancial French-listed firms, while also considering the corporate board’s characteristics as a secondary objective. Design/methodology/approach This study uses a sample of Société des Bourses Françaises 120 Index (SBF-120) French-listed firms to investigate the effect of multiple carbon performance proxies on carbon disclosure based on random effects models for the period 2010–2021. Generalized method of moments regressions are used to encounter endogeneity problems. Findings Drawing on stakeholder theory, this paper finds that greater carbon performance leads to greater carbon disclosure. Given the growing societal awareness about climate-change issues, carbon-responsible firms are likely to disseminate relevant carbon-related information through disclosures to respond to the information demands of a varied stakeholder group. Coherent with signaling theory, large firms that undertake carbon-reduction initiatives tend to disclose more information about their enhanced carbon performance to equity participants to distinguish themselves and highlight their decarbonization efforts. Originality/value This study offers significant insights given that SBF-120 firms are involved in climate-change activities as a response to the growing institutional and societal pressure to perform better and disclose reliable environmental information in their sustainability reports.
{"title":"The relevance of carbon performance and board characteristics on carbon disclosure","authors":"Ghassan H. Mardini, Fathia Elleuch Lahyani","doi":"10.1108/sef-02-2023-0056","DOIUrl":"https://doi.org/10.1108/sef-02-2023-0056","url":null,"abstract":"Purpose The purpose of this study is to examine the impact of carbon performance on carbon disclosure among nonfinancial French-listed firms, while also considering the corporate board’s characteristics as a secondary objective. Design/methodology/approach This study uses a sample of Société des Bourses Françaises 120 Index (SBF-120) French-listed firms to investigate the effect of multiple carbon performance proxies on carbon disclosure based on random effects models for the period 2010–2021. Generalized method of moments regressions are used to encounter endogeneity problems. Findings Drawing on stakeholder theory, this paper finds that greater carbon performance leads to greater carbon disclosure. Given the growing societal awareness about climate-change issues, carbon-responsible firms are likely to disseminate relevant carbon-related information through disclosures to respond to the information demands of a varied stakeholder group. Coherent with signaling theory, large firms that undertake carbon-reduction initiatives tend to disclose more information about their enhanced carbon performance to equity participants to distinguish themselves and highlight their decarbonization efforts. Originality/value This study offers significant insights given that SBF-120 firms are involved in climate-change activities as a response to the growing institutional and societal pressure to perform better and disclose reliable environmental information in their sustainability reports.","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-10-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134976081","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}
Purpose This paper aims to examine the comovement among green bonds, energy commodities and stock market to determine the advantages of adding green bonds to a diversified portfolio. Design/methodology/approach Generic 1 Natural Gas and Energy Select SPDR Fund are used as proxies to measure energy commodities, bonds index of S&P Dow Jones and Bloomberg Barclays MSCI are used to represent green bonds and the New York Stock Exchange is considered to measure the stock market. Granger causality test, wavelet analysis and network analysis are applied to daily price for the select markets from August 26, 2014, to March 30, 2021. Findings Results from the Granger causality test indicate no causality between any pair of variables, while cross wavelet transform and wavelet coherence analysis confirm strong coherence at a high scale during the pandemic, validating comovement among the three asset classes. In addition, network analysis further corroborates this connectedness, implying a strong association of the stock market with the energy commodity market. Originality/value This study offers new evidence of the temporal association among the US stock market, energy commodities and green bonds during the COVID-19 crisis. It presents a novel approach that measures and evaluates comovement among the constituent series, simultaneously using both wavelet and network analysis.
{"title":"Uncovering time and frequency co-movement among green bonds, energy commodities and stock market","authors":"Miklesh Prasad Yadav, Shruti Ashok, Farhad Taghizadeh-Hesary, Deepika Dhingra, Nandita Mishra, Nidhi Malhotra","doi":"10.1108/sef-03-2023-0126","DOIUrl":"https://doi.org/10.1108/sef-03-2023-0126","url":null,"abstract":"Purpose This paper aims to examine the comovement among green bonds, energy commodities and stock market to determine the advantages of adding green bonds to a diversified portfolio. Design/methodology/approach Generic 1 Natural Gas and Energy Select SPDR Fund are used as proxies to measure energy commodities, bonds index of S&P Dow Jones and Bloomberg Barclays MSCI are used to represent green bonds and the New York Stock Exchange is considered to measure the stock market. Granger causality test, wavelet analysis and network analysis are applied to daily price for the select markets from August 26, 2014, to March 30, 2021. Findings Results from the Granger causality test indicate no causality between any pair of variables, while cross wavelet transform and wavelet coherence analysis confirm strong coherence at a high scale during the pandemic, validating comovement among the three asset classes. In addition, network analysis further corroborates this connectedness, implying a strong association of the stock market with the energy commodity market. Originality/value This study offers new evidence of the temporal association among the US stock market, energy commodities and green bonds during the COVID-19 crisis. It presents a novel approach that measures and evaluates comovement among the constituent series, simultaneously using both wavelet and network analysis.","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135696408","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-09-15DOI: 10.1108/sef-07-2023-0408
Panos Fousekis
Purpose This study aims to investigate the connectivity among four principal implied volatility (“fear”) markets in the USA. Design/methodology/approach The empirical analysis relies on daily data (“fear gauge indices”) for the period 2017–2023 and the quantile vector autoregressive (QVAR) approach that allows connectivity (that is, the network topology of interrelated markets) to be quantile-dependent and time-varying. Findings Extreme increases in fear are transmitted with higher intensity relative to extreme decreases in it. The implied volatility markets for gold and for stocks are the main risk connectors in the network and also net transmitters of shocks to the implied volatility markets for crude oil and for the euro-dollar exchange rate. Major events such as the COVID-19 pandemic and the war in Ukraine increase connectivity; this increase, however, is likely to be more pronounced at the median than the extremes of the joint distribution of the four fear indices. Originality/value This is the first work that uses the QVAR approach to implied volatility markets. The empirical results provide useful insights into how fear spreads across stock and commodities markets, something that is important for risk management, option pricing and forecasting.
{"title":"How does fear spread across asset classes? Evidence from quantile connectedness","authors":"Panos Fousekis","doi":"10.1108/sef-07-2023-0408","DOIUrl":"https://doi.org/10.1108/sef-07-2023-0408","url":null,"abstract":"Purpose This study aims to investigate the connectivity among four principal implied volatility (“fear”) markets in the USA. Design/methodology/approach The empirical analysis relies on daily data (“fear gauge indices”) for the period 2017–2023 and the quantile vector autoregressive (QVAR) approach that allows connectivity (that is, the network topology of interrelated markets) to be quantile-dependent and time-varying. Findings Extreme increases in fear are transmitted with higher intensity relative to extreme decreases in it. The implied volatility markets for gold and for stocks are the main risk connectors in the network and also net transmitters of shocks to the implied volatility markets for crude oil and for the euro-dollar exchange rate. Major events such as the COVID-19 pandemic and the war in Ukraine increase connectivity; this increase, however, is likely to be more pronounced at the median than the extremes of the joint distribution of the four fear indices. Originality/value This is the first work that uses the QVAR approach to implied volatility markets. The empirical results provide useful insights into how fear spreads across stock and commodities markets, something that is important for risk management, option pricing and forecasting.","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135436878","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-09-15DOI: 10.1108/sef-05-2023-0260
Ruth Ben-Yashar, Miriam Krausz
Purpose This study aims to develop a theoretical model that uses the decision-making theory in a financial intermediation setting to provide insights into the differences between the outcomes of the decision-making process for a bank and for a peer-to-peer (p2p) lending platform to explain the role of p2p lending versus bank lending in the credit market. Design/methodology/approach This study develops a novel approach to explaining the differences between p2p lending and bank lending by using the decision-making theory. In particular, it analyzes the likelihood of a risky borrower being able to obtain a loan from a p2p lending platform versus the likelihood of being able to obtain a loan from a bank. The results contribute a theoretical understanding of factors that can determine the role of p2p lending platforms versus that of banks in the credit market, with implications for recovery from an economic crisis. Findings p2p lending platforms have the potential for contributing to economic recovery when they are subject to less regulations and are able to offer a faster and less costly lending process than do banks and when they are used by a large number of lenders. However, the potential role of p2p lending platforms in recovery might be reduced when banks have access to anticyclical measures that reduce banks’ capital requirements or provide them with low-cost funds. Originality/value This study provides a novel approach to explaining the differences between p2p lending and bank lending by using the decision-making theory. The results contribute a theoretical understanding of factors that can determine the role of p2p lending platforms versus that of banks in the credit market.
{"title":"A collective decision-making model of p2p lending platforms compared to bank lending","authors":"Ruth Ben-Yashar, Miriam Krausz","doi":"10.1108/sef-05-2023-0260","DOIUrl":"https://doi.org/10.1108/sef-05-2023-0260","url":null,"abstract":"Purpose This study aims to develop a theoretical model that uses the decision-making theory in a financial intermediation setting to provide insights into the differences between the outcomes of the decision-making process for a bank and for a peer-to-peer (p2p) lending platform to explain the role of p2p lending versus bank lending in the credit market. Design/methodology/approach This study develops a novel approach to explaining the differences between p2p lending and bank lending by using the decision-making theory. In particular, it analyzes the likelihood of a risky borrower being able to obtain a loan from a p2p lending platform versus the likelihood of being able to obtain a loan from a bank. The results contribute a theoretical understanding of factors that can determine the role of p2p lending platforms versus that of banks in the credit market, with implications for recovery from an economic crisis. Findings p2p lending platforms have the potential for contributing to economic recovery when they are subject to less regulations and are able to offer a faster and less costly lending process than do banks and when they are used by a large number of lenders. However, the potential role of p2p lending platforms in recovery might be reduced when banks have access to anticyclical measures that reduce banks’ capital requirements or provide them with low-cost funds. Originality/value This study provides a novel approach to explaining the differences between p2p lending and bank lending by using the decision-making theory. The results contribute a theoretical understanding of factors that can determine the role of p2p lending platforms versus that of banks in the credit market.","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135436893","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-09-15DOI: 10.1108/sef-05-2023-0245
Jodonnis Rodriguez, Krishnan Dandapani, Edward R. Lawrence
Purpose This study aims to explore the impact of board gender diversity on firms’ forward-looking risk, as perceived by both the firm’s management and its investors. The authors seek to understand whether the presence of female directors and the consequent enhancement of board dynamics can influence a firm’s risk profile. Design/methodology/approach The authors use firms’ cash holdings and option implied volatility as proxies for future risk. The approach involves a rigorous analysis that accounts for potential concerns related to selection bias, endogeneity, heteroskedasticity and serial correlation. The authors further substantiate the findings through robustness checks, including a dynamic panel system general method of moment test and a Heckman correction model. Findings The results reveal an inverse relationship between board gender diversity and firms’ expected risk. The findings suggest that the primary driver of this risk reduction is the improvement in the group dynamics of the board that comes with increased gender diversity. This implies that gender diverse boards can significantly influence a firm’s risk management and financial performance. Research limitations/implications The results indicate that gender diverse firms have economically and statistically significantly less expected risk and have better financial performance than firms with less board gender diversity. This has important implications for the organization of corporate boards. Practical implications If the addition of female directors alters the risk aversion of the board, then management may be compelled to alter their investment and production decisions that, ultimately, affects firms’ profitability. In addition, the authors investigate whether changes to firm risk is due to gender differences in risk preferences or to an improvement in the group dynamics of the board. Social implications The empirical results suggest that the effect of board gender diversity on firms’ expected risk and financial performance may be due to an improvement in the collective intelligence of the board, as a result of more gender diversity, and not due to gender differences in risk preferences. Originality/value To the best of the authors’ knowledge, this work is the first to study the effect of board gender diversity on firms’ future risk.
{"title":"Does board gender diversity affect firms’ expected risk?","authors":"Jodonnis Rodriguez, Krishnan Dandapani, Edward R. Lawrence","doi":"10.1108/sef-05-2023-0245","DOIUrl":"https://doi.org/10.1108/sef-05-2023-0245","url":null,"abstract":"Purpose This study aims to explore the impact of board gender diversity on firms’ forward-looking risk, as perceived by both the firm’s management and its investors. The authors seek to understand whether the presence of female directors and the consequent enhancement of board dynamics can influence a firm’s risk profile. Design/methodology/approach The authors use firms’ cash holdings and option implied volatility as proxies for future risk. The approach involves a rigorous analysis that accounts for potential concerns related to selection bias, endogeneity, heteroskedasticity and serial correlation. The authors further substantiate the findings through robustness checks, including a dynamic panel system general method of moment test and a Heckman correction model. Findings The results reveal an inverse relationship between board gender diversity and firms’ expected risk. The findings suggest that the primary driver of this risk reduction is the improvement in the group dynamics of the board that comes with increased gender diversity. This implies that gender diverse boards can significantly influence a firm’s risk management and financial performance. Research limitations/implications The results indicate that gender diverse firms have economically and statistically significantly less expected risk and have better financial performance than firms with less board gender diversity. This has important implications for the organization of corporate boards. Practical implications If the addition of female directors alters the risk aversion of the board, then management may be compelled to alter their investment and production decisions that, ultimately, affects firms’ profitability. In addition, the authors investigate whether changes to firm risk is due to gender differences in risk preferences or to an improvement in the group dynamics of the board. Social implications The empirical results suggest that the effect of board gender diversity on firms’ expected risk and financial performance may be due to an improvement in the collective intelligence of the board, as a result of more gender diversity, and not due to gender differences in risk preferences. Originality/value To the best of the authors’ knowledge, this work is the first to study the effect of board gender diversity on firms’ future risk.","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135437200","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-09-12DOI: 10.1108/sef-04-2023-0199
Quang Thi Thieu Nguyen, Dao Le Trang Anh, Christopher Gan
Purpose This study aims to examine the relationship between bank capital and bank risk during COVID-19. Design/methodology/approach The study covers 20 countries during the period from Q4:2018 to Q4:2020, using different measurements of risk with consideration for the interrelationship between bank risk and bank capital and the impact of COVID-19. Findings The findings show that higher bank capital mitigates bank market risk and default risk; banks incur higher market risk during the COVID-19 period, and these risks are greater if banks have higher capital levels; and low-capitalized banks reduce risks more than well-capitalized banks, and moderately low-capitalized banks behave the most prudentially. These results are robust to different capital measures and model settings. Practical implications The research results are important in proving the motivation and practicality of capital regulation as well as the impact of COVID-19 as an exogenous shock to the bank’s operations. Originality/value To the best of the authors’ knowledge, this is the first study to investigate the influence of the COVID-19 pandemic on the relationship between bank capital and bank risk. In addition, while most of the studies on this nexus are based on the US data and the conclusions are inclusive; our results provide empirical cross-country evidences on the relationship between bank capital and bank risk.
{"title":"Bank capital and risk relationship during COVID-19: a cross-country evidence","authors":"Quang Thi Thieu Nguyen, Dao Le Trang Anh, Christopher Gan","doi":"10.1108/sef-04-2023-0199","DOIUrl":"https://doi.org/10.1108/sef-04-2023-0199","url":null,"abstract":"Purpose\u0000This study aims to examine the relationship between bank capital and bank risk during COVID-19.\u0000\u0000\u0000Design/methodology/approach\u0000The study covers 20 countries during the period from Q4:2018 to Q4:2020, using different measurements of risk with consideration for the interrelationship between bank risk and bank capital and the impact of COVID-19.\u0000\u0000\u0000Findings\u0000The findings show that higher bank capital mitigates bank market risk and default risk; banks incur higher market risk during the COVID-19 period, and these risks are greater if banks have higher capital levels; and low-capitalized banks reduce risks more than well-capitalized banks, and moderately low-capitalized banks behave the most prudentially. These results are robust to different capital measures and model settings.\u0000\u0000\u0000Practical implications\u0000The research results are important in proving the motivation and practicality of capital regulation as well as the impact of COVID-19 as an exogenous shock to the bank’s operations.\u0000\u0000\u0000Originality/value\u0000To the best of the authors’ knowledge, this is the first study to investigate the influence of the COVID-19 pandemic on the relationship between bank capital and bank risk. In addition, while most of the studies on this nexus are based on the US data and the conclusions are inclusive; our results provide empirical cross-country evidences on the relationship between bank capital and bank risk.","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135824543","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-09-08DOI: 10.1108/sef-02-2022-0119
S. Corbet, Yang (Greg) Hou, Yang Hu, Les Oxley, Mengxuan Tang
Purpose The rapid growth of Fintech presents a growing challenge for banking institutions, particularly those with more traditional, service backgrounds. This paper aims to examine the relationship between Fintech innovation and bank performance by exploiting novel Chinese market data. Design/methodology/approach Guided by the work of Dietrich and Wanzenried (2011, 2014) and Phan et al. (2019), the authors construct a regression model to investigate the effect of Fintech innovation on the profitability of Chinese listed banks. The authors include their measures of Fintech innovation in each of their selected structures. Findings Results indicate that Fintech innovation is negatively associated with bank performance and that state-owned banks, joint-stock commercial banks and long-established banks are more negatively impacted by Fintech innovation relative to city and rural commercial banks and younger banks. Originality/value Risk tolerance levels, internal structure and efficiency and recent debt repayment performance channels are each shown to be significant, robust explanatory factors underpinning such results.
金融科技的快速发展给银行机构带来了越来越大的挑战，尤其是那些拥有传统服务背景的银行机构。本文旨在利用新的中国市场数据来检验金融科技创新与银行绩效之间的关系。设计/方法/途径在Dietrich and Wanzenried(2011, 2014)和Phan et al.(2019)的工作指导下，作者构建了一个回归模型来研究金融科技创新对中国上市银行盈利能力的影响。作者在他们选择的每个结构中都包含了他们对金融科技创新的衡量标准。研究结果表明，金融科技创新与银行绩效呈负相关关系，国有银行、股份制商业银行和老牌银行受金融科技创新的负面影响大于城乡商业银行和年轻银行。原创性/价值风险承受水平、内部结构和效率以及最近的债务偿还绩效渠道都被证明是支撑这些结果的重要的、强有力的解释因素。
{"title":"Do financial innovations influence bank performance? Evidence from China","authors":"S. Corbet, Yang (Greg) Hou, Yang Hu, Les Oxley, Mengxuan Tang","doi":"10.1108/sef-02-2022-0119","DOIUrl":"https://doi.org/10.1108/sef-02-2022-0119","url":null,"abstract":"\u0000Purpose\u0000The rapid growth of Fintech presents a growing challenge for banking institutions, particularly those with more traditional, service backgrounds. This paper aims to examine the relationship between Fintech innovation and bank performance by exploiting novel Chinese market data.\u0000\u0000\u0000Design/methodology/approach\u0000Guided by the work of Dietrich and Wanzenried (2011, 2014) and Phan et al. (2019), the authors construct a regression model to investigate the effect of Fintech innovation on the profitability of Chinese listed banks. The authors include their measures of Fintech innovation in each of their selected structures.\u0000\u0000\u0000Findings\u0000Results indicate that Fintech innovation is negatively associated with bank performance and that state-owned banks, joint-stock commercial banks and long-established banks are more negatively impacted by Fintech innovation relative to city and rural commercial banks and younger banks.\u0000\u0000\u0000Originality/value\u0000Risk tolerance levels, internal structure and efficiency and recent debt repayment performance channels are each shown to be significant, robust explanatory factors underpinning such results.\u0000","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-09-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46119572","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-09-01DOI: 10.1108/sef-01-2023-0009
Dimitrios K. Panagiotou, Filio Naka
Purpose The purpose of this paper is to investigate for symmetries – in sign and size – between spot and futures prices in the markets of energy commodities. Design/methodology/approach The aforementioned objective is pursued using daily observations of spot and futures prices for the commodities of crude oil, Brent, heating oil, gasoline and natural gas, along with local nonlinear regression. Findings Symmetry in sign and size cannot be rejected. This means that, shocks of the same absolute magnitude, but of different sign, are transmitted from futures prices to spot prices with the same intensity. In addition, larger absolute value price shocks in the futures are transmitted to the spot markets with the same intensity compared with smaller ones. The findings of symmetry in the comovements among prices reveal a lack of those commodities on diversifying the investors’ investment risk. Originality/value To the best of the authors’ knowledge, this is the first study to use local nonlinear regression to test for sign and size symmetry between futures and spot prices in the energy commodities markets.
{"title":"Testing for sign and size symmetry between futures prices and spot prices in the markets of energy commodities: risk diversification and policy implications","authors":"Dimitrios K. Panagiotou, Filio Naka","doi":"10.1108/sef-01-2023-0009","DOIUrl":"https://doi.org/10.1108/sef-01-2023-0009","url":null,"abstract":"\u0000Purpose\u0000The purpose of this paper is to investigate for symmetries – in sign and size – between spot and futures prices in the markets of energy commodities.\u0000\u0000\u0000Design/methodology/approach\u0000The aforementioned objective is pursued using daily observations of spot and futures prices for the commodities of crude oil, Brent, heating oil, gasoline and natural gas, along with local nonlinear regression.\u0000\u0000\u0000Findings\u0000Symmetry in sign and size cannot be rejected. This means that, shocks of the same absolute magnitude, but of different sign, are transmitted from futures prices to spot prices with the same intensity. In addition, larger absolute value price shocks in the futures are transmitted to the spot markets with the same intensity compared with smaller ones. The findings of symmetry in the comovements among prices reveal a lack of those commodities on diversifying the investors’ investment risk.\u0000\u0000\u0000Originality/value\u0000To the best of the authors’ knowledge, this is the first study to use local nonlinear regression to test for sign and size symmetry between futures and spot prices in the energy commodities markets.\u0000","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42366110","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-08-31DOI: 10.1108/sef-12-2022-0552
Saumen Majumdar, Swati Agarwal, Saibal Ghosh
Purpose Sudden and unannounced policy changes by the government that provide banks with windfall deposits creates a challenge in terms of resource deployment. In the process, there is an impact on their risk and returns. Using data on domestic Indian commercial banks, this study aims to examine the impact of such an announcement – the 2016 demonetisation episode – on bank behaviour. Design/methodology/approach Using data on domestic Indian commercial banks during 2010–2020, the paper investigates the effect of a sudden and unannounced policy change on their risk and returns. Using the demonetisation undertaken in November 2016 as a natural experiment, the paper applies the difference-in-differences methodology to tease out the causal impact. Findings The findings reveal a decline in risk and an increase in returns of state-owned banks, consistent with a flight-to-safety. The response differed in terms of market and accounting measures and across state-owned banks with differing levels of capital and asset quality. Originality/value Although several aspects of the demonetisation episode have been well analysed, its impact on banks – the main conduits of the exercise – and in particular on their risk and returns, is an unaddressed area of research. Viewed from this standpoint, this is one of the early studies to undertake a comprehensive empirical analysis on this aspect.
{"title":"Excess cash or excess headache? Demonetisation and bank behaviour in India","authors":"Saumen Majumdar, Swati Agarwal, Saibal Ghosh","doi":"10.1108/sef-12-2022-0552","DOIUrl":"https://doi.org/10.1108/sef-12-2022-0552","url":null,"abstract":"\u0000Purpose\u0000Sudden and unannounced policy changes by the government that provide banks with windfall deposits creates a challenge in terms of resource deployment. In the process, there is an impact on their risk and returns. Using data on domestic Indian commercial banks, this study aims to examine the impact of such an announcement – the 2016 demonetisation episode – on bank behaviour.\u0000\u0000\u0000Design/methodology/approach\u0000Using data on domestic Indian commercial banks during 2010–2020, the paper investigates the effect of a sudden and unannounced policy change on their risk and returns. Using the demonetisation undertaken in November 2016 as a natural experiment, the paper applies the difference-in-differences methodology to tease out the causal impact.\u0000\u0000\u0000Findings\u0000The findings reveal a decline in risk and an increase in returns of state-owned banks, consistent with a flight-to-safety. The response differed in terms of market and accounting measures and across state-owned banks with differing levels of capital and asset quality.\u0000\u0000\u0000Originality/value\u0000Although several aspects of the demonetisation episode have been well analysed, its impact on banks – the main conduits of the exercise – and in particular on their risk and returns, is an unaddressed area of research. Viewed from this standpoint, this is one of the early studies to undertake a comprehensive empirical analysis on this aspect.\u0000","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48965162","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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