Pub Date : 2023-04-10DOI: 10.1108/sef-11-2022-0531
P. Fousekis
Purpose This study aims to assess the contemporaneous dependence between euro, crude oil and gold returns and their respective implied volatility changes. Design/methodology/approach The empirical analysis relies on daily data for the period 2015–2022 and the local Gaussian correlation (LGC) approach that is suitable for estimating dependence between two stochastic processes at any point of their joint distribution. Findings (a) The global correlation coefficients are negative for the euro and crude oil and positive for gold, implying that in the first two markets’ traders are more concerned with sudden price downswings while in the third with sudden upswings. (b) The detailed local analysis, however, shows that traders 2019 attitudes may change with the underlying state of the market and that risk reversals are more likely to occur at the upper extremes of the joint distributions. (c) The pattern of dependence between price returns and implied volatility changes is asymmetric. Originality/value To the best of the author’s knowledge, this is the first work that uses the highly flexible LGC approach to analyze the link between price returns and implied volatility changes either in stock or in commodities futures markets. The empirical results provide useful insights into traders’ risk attitudes in different market states.
{"title":"Contemporaneous dependence between euro, crude oil, and gold returns and their respective implied volatility changes. Evidence from the local Gaussian correlation approach","authors":"P. Fousekis","doi":"10.1108/sef-11-2022-0531","DOIUrl":"https://doi.org/10.1108/sef-11-2022-0531","url":null,"abstract":"\u0000Purpose\u0000This study aims to assess the contemporaneous dependence between euro, crude oil and gold returns and their respective implied volatility changes.\u0000\u0000\u0000Design/methodology/approach\u0000The empirical analysis relies on daily data for the period 2015–2022 and the local Gaussian correlation (LGC) approach that is suitable for estimating dependence between two stochastic processes at any point of their joint distribution.\u0000\u0000\u0000Findings\u0000(a) The global correlation coefficients are negative for the euro and crude oil and positive for gold, implying that in the first two markets’ traders are more concerned with sudden price downswings while in the third with sudden upswings. (b) The detailed local analysis, however, shows that traders 2019 attitudes may change with the underlying state of the market and that risk reversals are more likely to occur at the upper extremes of the joint distributions. (c) The pattern of dependence between price returns and implied volatility changes is asymmetric.\u0000\u0000\u0000Originality/value\u0000To the best of the author’s knowledge, this is the first work that uses the highly flexible LGC approach to analyze the link between price returns and implied volatility changes either in stock or in commodities futures markets. The empirical results provide useful insights into traders’ risk attitudes in different market states.\u0000","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43293888","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 : 2023-04-04DOI: 10.1108/sef-12-2022-0551
M. Yasin, M. A. Esquivias
Purpose This study aims to identify extensive and intensive margins in exports and imports and examine whether incoming foreign direct investments (FDI) benefit local firms in Indonesia through the export and import channels. Design/methodology/approach Using Heckman’s two-step selection model to consider the potential of bias of self-selection in export–import participation, this study uses the firm-level data from 2008 to 2015 collected from Statistik Industri and proximate both export and import spillovers. Findings The authors found that internal factors are critical for a firm to be an exporter, signaling self-selection in exports and imports. Spillover effects from FDI (spatial properties) support export but lower import propensity and intensity. Research limitations/implications This study implies that improving human capital (absorptive capacity) is needed to accelerate export intensity and policies supporting FDI inflows in complementary sectors (noncompeting industries) can increase export propensity and intensity and reduce imports. Originality/value This study contributes to the literature in several ways. First, the proposed export spillovers model that accounts for impacts through a demonstration channel is applied to the import channel. Moreover, this study extends the model developed by Franco and Sasidharan (2010) and Yasin et al. (2022) by incorporating spatial spillover effects at the provincial level. Subsequently, the authors test whether a firm’s technological intensity determines export–import propensity and intensity. This can indicate whether specific sectors are more likely to participate in international activities based on their use of technology.
本研究旨在确定出口和进口的广泛和密集的利润，并检查外国直接投资(FDI)是否通过出口和进口渠道使印度尼西亚的当地公司受益。本研究采用Heckman的两步选择模型来考虑自我选择偏差在进出口参与中的潜在影响，并使用2008年至2015年从统计产业收集的企业层面数据来估算出口和进口溢出效应。研究结果作者发现，内部因素对企业成为出口商至关重要，表明了企业在出口和进口方面的自我选择。FDI溢出效应(空间属性)支持出口，但降低了进口倾向和进口强度。研究局限/启示本研究表明，提高人力资本(吸收能力)是加速出口强度的必要条件，支持互补部门(非竞争行业)FDI流入的政策可以提高出口倾向和强度，减少进口。原创性/价值本研究在几个方面对文献有所贡献。首先，将考虑示范渠道影响的出口溢出效应模型应用于进口渠道。此外，本研究扩展了Franco and Sasidharan(2010)和Yasin et al.(2022)建立的模型，纳入省级层面的空间溢出效应。随后，作者检验了企业的技术强度是否决定进出口倾向和强度。这可以表明特定部门是否更有可能根据其对技术的使用来参与国际活动。
{"title":"Spillover effects of foreign direct investment on manufacturing exports and imports in Indonesia","authors":"M. Yasin, M. A. Esquivias","doi":"10.1108/sef-12-2022-0551","DOIUrl":"https://doi.org/10.1108/sef-12-2022-0551","url":null,"abstract":"\u0000Purpose\u0000This study aims to identify extensive and intensive margins in exports and imports and examine whether incoming foreign direct investments (FDI) benefit local firms in Indonesia through the export and import channels.\u0000\u0000\u0000Design/methodology/approach\u0000Using Heckman’s two-step selection model to consider the potential of bias of self-selection in export–import participation, this study uses the firm-level data from 2008 to 2015 collected from Statistik Industri and proximate both export and import spillovers.\u0000\u0000\u0000Findings\u0000The authors found that internal factors are critical for a firm to be an exporter, signaling self-selection in exports and imports. Spillover effects from FDI (spatial properties) support export but lower import propensity and intensity.\u0000\u0000\u0000Research limitations/implications\u0000This study implies that improving human capital (absorptive capacity) is needed to accelerate export intensity and policies supporting FDI inflows in complementary sectors (noncompeting industries) can increase export propensity and intensity and reduce imports.\u0000\u0000\u0000Originality/value\u0000This study contributes to the literature in several ways. First, the proposed export spillovers model that accounts for impacts through a demonstration channel is applied to the import channel. Moreover, this study extends the model developed by Franco and Sasidharan (2010) and Yasin et al. (2022) by incorporating spatial spillover effects at the provincial level. Subsequently, the authors test whether a firm’s technological intensity determines export–import propensity and intensity. This can indicate whether specific sectors are more likely to participate in international activities based on their use of technology.\u0000","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46423103","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 : 2023-03-23DOI: 10.1108/sef-11-2022-0543
Vaseem Akram, Sarbjit Singh, P. K. Sahoo
Purpose The purpose of this study is to examine the club convergence of Financial integration (FI) in the case of 60 countries from 1970 to 2015. FI plays a vital role in economic growth through sharing the risk between countries, cross-border capital association, investment and financial information. It also leads to the efficient allocation of capital and capital accumulation, thereby improving the systematic growth and productivity of the economy. Literature on examining the convergence hypothesis of FI is scarce. Design/methodology/approach This study applies the clustering algorithm to identify club convergence, advanced by the Phillips and Sul test, which enables the identification of multiple steady states or club convergence, unlike beta and sigma convergences. Findings The findings indicate the non-convergence when all 60 countries were taken together. This highlights that the selected countries' have unique transition paths in terms of FI. Hence, the authors implement the clustering algorithm, and the estimation shows that 56 countries are categorised into three different clubs. However, for the rest of four countries, the results are sort of ambiguous, favouring neither convergence nor divergence. Practical implications On the basis of three country clubs, Club 1 presents the model countries such as the Netherlands, Singapore and Switzerland. The Club 2 and Club 3 countries can start making moves towards the model countries by making policy adaptations for trade, finance and business facilitation. Originality/value The existing literature provides a plethora of studies investigating the convergence of stock markets, exchange rates and equity markets, but studies on the convergence of FI, particularly across the countries, are scarce. This study contributes by bridging this gap. The study is unique in its type as it takes into account the multiple steady states or club convergence. This study also contributes in policymaking by suggesting Club 1 countries (the Netherlands, Singapore and Switzerland) as the model ones for the FI.
{"title":"A club convergence analysis of financial integration: cross-country evidence","authors":"Vaseem Akram, Sarbjit Singh, P. K. Sahoo","doi":"10.1108/sef-11-2022-0543","DOIUrl":"https://doi.org/10.1108/sef-11-2022-0543","url":null,"abstract":"\u0000Purpose\u0000The purpose of this study is to examine the club convergence of Financial integration (FI) in the case of 60 countries from 1970 to 2015. FI plays a vital role in economic growth through sharing the risk between countries, cross-border capital association, investment and financial information. It also leads to the efficient allocation of capital and capital accumulation, thereby improving the systematic growth and productivity of the economy. Literature on examining the convergence hypothesis of FI is scarce.\u0000\u0000\u0000Design/methodology/approach\u0000This study applies the clustering algorithm to identify club convergence, advanced by the Phillips and Sul test, which enables the identification of multiple steady states or club convergence, unlike beta and sigma convergences.\u0000\u0000\u0000Findings\u0000The findings indicate the non-convergence when all 60 countries were taken together. This highlights that the selected countries' have unique transition paths in terms of FI. Hence, the authors implement the clustering algorithm, and the estimation shows that 56 countries are categorised into three different clubs. However, for the rest of four countries, the results are sort of ambiguous, favouring neither convergence nor divergence.\u0000\u0000\u0000Practical implications\u0000On the basis of three country clubs, Club 1 presents the model countries such as the Netherlands, Singapore and Switzerland. The Club 2 and Club 3 countries can start making moves towards the model countries by making policy adaptations for trade, finance and business facilitation.\u0000\u0000\u0000Originality/value\u0000The existing literature provides a plethora of studies investigating the convergence of stock markets, exchange rates and equity markets, but studies on the convergence of FI, particularly across the countries, are scarce. This study contributes by bridging this gap. The study is unique in its type as it takes into account the multiple steady states or club convergence. This study also contributes in policymaking by suggesting Club 1 countries (the Netherlands, Singapore and Switzerland) as the model ones for the FI.\u0000","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-03-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44077093","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 : 2023-03-14DOI: 10.1108/sef-12-2022-0555
Florin Aliu, I. Mulaj, Simona Hašková
Purpose The Russian invasion of Ukraine generated unprecedented panic in the European financial system. As expected, the European Union (EU) felt most of the negative effects of the war due to geographical proximity to Ukraine and energy dependence on Russia. This study aims to investigate the influence of Brent crude oil (BCO), Dutch Title Transfer Facility Natural Gas, and CBOE Volatility Index (VIX) on Deutscher Aktien Index (DAX), Austrian Traded Index (ATX) and Milano Indice di Borsa (FTSEMIB). The German, Austrian and Italian equity indexes were chosen due to the heavy dependence of these countries on Russian gas and oil. Design/methodology/approach The data cover the period from November 24, 2021, to June 24, 2022, including five months of the Russia–Ukraine war. To generate the intended results, vector autoregressive, structural vector autoregressive, vector error correction model, Johansen test and Granger causality test were used. Findings The results highlight that natural gas and the VIX carried negative effects on DAX, ATX and FTSEMIB. The BCO was expected to have influenced three selected equity indexes, while the results suggest that it was priced only in ATX. Originality/value This research provides modest evidence for the policymakers on the systemic risk that Russian gas has for the EU equity markets. From a managerial perspective, changes in oil and gas prices are a permanently integral part of portfolio risk analysis.
俄罗斯入侵乌克兰在欧洲金融体系中引发了前所未有的恐慌。不出所料，由于地理位置靠近乌克兰，能源依赖俄罗斯，欧盟(EU)受到的负面影响最大。本研究旨在探讨布伦特原油(BCO)、荷兰产权转让设施天然气(Dutch Title Transfer Facility Natural Gas)和CBOE波动性指数(VIX)对德国Aktien指数(DAX)、奥地利交易指数(ATX)和米兰交易所指数(FTSEMIB)的影响。之所以选择德国、奥地利和意大利股指，是因为这些国家严重依赖俄罗斯的天然气和石油。数据涵盖的时间为2021年11月24日至2022年6月24日，其中包括5个月的俄乌战争。为了得到预期的结果，我们使用了向量自回归、结构向量自回归、向量误差修正模型、约翰森检验和格兰杰因果检验。结果表明，天然气和VIX对DAX、ATX和FTSEMIB均有负向影响。BCO预计会影响三个选定的股票指数，而结果表明，它只在ATX定价。独创性/价值这项研究为政策制定者提供了有关俄罗斯天然气对欧盟股票市场构成系统性风险的适度证据。从管理的角度来看，石油和天然气价格的变化是投资组合风险分析的一个永久组成部分。
{"title":"Consequences of the Russia-Ukraine war: evidence from DAX, ATX, and FTSEMIB","authors":"Florin Aliu, I. Mulaj, Simona Hašková","doi":"10.1108/sef-12-2022-0555","DOIUrl":"https://doi.org/10.1108/sef-12-2022-0555","url":null,"abstract":"\u0000Purpose\u0000The Russian invasion of Ukraine generated unprecedented panic in the European financial system. As expected, the European Union (EU) felt most of the negative effects of the war due to geographical proximity to Ukraine and energy dependence on Russia. This study aims to investigate the influence of Brent crude oil (BCO), Dutch Title Transfer Facility Natural Gas, and CBOE Volatility Index (VIX) on Deutscher Aktien Index (DAX), Austrian Traded Index (ATX) and Milano Indice di Borsa (FTSEMIB). The German, Austrian and Italian equity indexes were chosen due to the heavy dependence of these countries on Russian gas and oil.\u0000\u0000\u0000Design/methodology/approach\u0000The data cover the period from November 24, 2021, to June 24, 2022, including five months of the Russia–Ukraine war. To generate the intended results, vector autoregressive, structural vector autoregressive, vector error correction model, Johansen test and Granger causality test were used.\u0000\u0000\u0000Findings\u0000The results highlight that natural gas and the VIX carried negative effects on DAX, ATX and FTSEMIB. The BCO was expected to have influenced three selected equity indexes, while the results suggest that it was priced only in ATX.\u0000\u0000\u0000Originality/value\u0000This research provides modest evidence for the policymakers on the systemic risk that Russian gas has for the EU equity markets. From a managerial perspective, changes in oil and gas prices are a permanently integral part of portfolio risk analysis.\u0000","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47673228","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 : 2023-02-28DOI: 10.1108/sef-07-2022-0381
Babu G. Baradwaj, Michaël Dewally, Liu Hong, Yingying Shao
Purpose The purpose of this study is to investigate the impact of religiosity on banks’ lending behavior during the COVID-19 pandemic in the USA. Design/methodology/approach This study uses the evidence from the issuance of Paycheck Protection Program (PPP) loans to relate local religiosity to banks’ participation in the PPP loan program and to banks’ loan portfolio performance during the pandemic. Findings The results of this study show that banks located in more religious counties have a higher level of lending through the PPP, supporting the ethical and moral concerns cultivated by local religious beliefs. In addition, banks’ lending before the pandemic is more prudential in more religious areas, as reflected in lower losses and higher returns at the onset of the crisis, especially in areas where business activities were most disrupted, supporting the stewardship role encouraged by religiosity. Originality/value Thanks to the structure of the PPP loans programs, the authors are able to disentangle the conflicting effects of morality and prudence on banks’ behavior.
{"title":"Religiosity and bank lending: evidence surrounding the pandemic in the USA","authors":"Babu G. Baradwaj, Michaël Dewally, Liu Hong, Yingying Shao","doi":"10.1108/sef-07-2022-0381","DOIUrl":"https://doi.org/10.1108/sef-07-2022-0381","url":null,"abstract":"\u0000Purpose\u0000The purpose of this study is to investigate the impact of religiosity on banks’ lending behavior during the COVID-19 pandemic in the USA.\u0000\u0000\u0000Design/methodology/approach\u0000This study uses the evidence from the issuance of Paycheck Protection Program (PPP) loans to relate local religiosity to banks’ participation in the PPP loan program and to banks’ loan portfolio performance during the pandemic.\u0000\u0000\u0000Findings\u0000The results of this study show that banks located in more religious counties have a higher level of lending through the PPP, supporting the ethical and moral concerns cultivated by local religious beliefs. In addition, banks’ lending before the pandemic is more prudential in more religious areas, as reflected in lower losses and higher returns at the onset of the crisis, especially in areas where business activities were most disrupted, supporting the stewardship role encouraged by religiosity.\u0000\u0000\u0000Originality/value\u0000Thanks to the structure of the PPP loans programs, the authors are able to disentangle the conflicting effects of morality and prudence on banks’ behavior.\u0000","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43902957","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 : 2023-01-20DOI: 10.1108/sef-11-2022-0518
Ujjawal Sawarn, Pradyumna Dash
Purpose This study aims to examine the uncertainty spillover among eight important asset classes (cryptocurrencies, US stocks, US bonds, US dollar, agriculture, metal, oil and gold) using weekly data from 2014 to 2020. This study also examines the US macro uncertainty and US financial stress spillover on these assets. Design/methodology/approach The authors use time–frequency connectedness method to study the uncertainty spillover among the asset classes. Findings This study’s findings revealed that the uncertainty spillover is time-varying and peaked during the 2016 oil supply glut and COVID-19 pandemic. US stocks are the highest transmitter of uncertainty to all other assets, followed by the US dollar and oil. US stocks (US dollar and oil) transmit uncertainty in long (short) term. Furthermore, US macro uncertainty is the net transmitter of uncertainty to the US stocks, industrial metals and oil markets. In contrast, US financial stress is the net transmitter of uncertainty to the US bonds, cryptocurrencies, the US dollar and gold markets. US financial stress (US macro uncertainty) has long (short)-term effects on asset price volatility. Originality/value This study complements the studies on volatility spillover among the important asset classes. This study also includes recently financialized asset classes such as cryptocurrencies, agricultural and industrial commodities. This study examines the macro uncertainty and financial stress spillover on these assets.
{"title":"Time and frequency uncertainty spillover among macro uncertainty, financial stress and asset markets","authors":"Ujjawal Sawarn, Pradyumna Dash","doi":"10.1108/sef-11-2022-0518","DOIUrl":"https://doi.org/10.1108/sef-11-2022-0518","url":null,"abstract":"\u0000Purpose\u0000This study aims to examine the uncertainty spillover among eight important asset classes (cryptocurrencies, US stocks, US bonds, US dollar, agriculture, metal, oil and gold) using weekly data from 2014 to 2020. This study also examines the US macro uncertainty and US financial stress spillover on these assets.\u0000\u0000\u0000Design/methodology/approach\u0000The authors use time–frequency connectedness method to study the uncertainty spillover among the asset classes.\u0000\u0000\u0000Findings\u0000This study’s findings revealed that the uncertainty spillover is time-varying and peaked during the 2016 oil supply glut and COVID-19 pandemic. US stocks are the highest transmitter of uncertainty to all other assets, followed by the US dollar and oil. US stocks (US dollar and oil) transmit uncertainty in long (short) term. Furthermore, US macro uncertainty is the net transmitter of uncertainty to the US stocks, industrial metals and oil markets. In contrast, US financial stress is the net transmitter of uncertainty to the US bonds, cryptocurrencies, the US dollar and gold markets. US financial stress (US macro uncertainty) has long (short)-term effects on asset price volatility.\u0000\u0000\u0000Originality/value\u0000This study complements the studies on volatility spillover among the important asset classes. This study also includes recently financialized asset classes such as cryptocurrencies, agricultural and industrial commodities. This study examines the macro uncertainty and financial stress spillover on these assets.\u0000","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41277167","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 : 2023-01-10DOI: 10.1108/sef-09-2022-0462
D. Chulkov, Xiaoqiong Wang
Purpose This study aims to examine the relationship between corporate social responsibility (CSR) and measures of financial reporting quality. Design/methodology/approach The authors explore the link between CSR and several indicators of firms’ financial reporting quality. Estimation with firm and year fixed effects is based on a sample of US publicly traded firms covering the period from 1991 to 2018. Findings Empirical results demonstrate that firms with higher CSR scores are associated with higher accuracy of financial forecasts, fewer earnings surprises and greater coverage by financial analysts. This positive relationship is more profound for firms that face low agency concerns, firms that have a higher level of customer awareness, firms that have more long-term institutional ownership or firms that do not face financial constraints. Originality/value The study contributes to the ongoing debate on the value of CSR. The results support the stakeholder value maximization view of CSR and identify the impact of several factors on its relationship with the quality of financial reporting.
{"title":"Corporate social responsibility and financial reporting quality: evidence from US firms","authors":"D. Chulkov, Xiaoqiong Wang","doi":"10.1108/sef-09-2022-0462","DOIUrl":"https://doi.org/10.1108/sef-09-2022-0462","url":null,"abstract":"\u0000Purpose\u0000This study aims to examine the relationship between corporate social responsibility (CSR) and measures of financial reporting quality.\u0000\u0000\u0000Design/methodology/approach\u0000The authors explore the link between CSR and several indicators of firms’ financial reporting quality. Estimation with firm and year fixed effects is based on a sample of US publicly traded firms covering the period from 1991 to 2018.\u0000\u0000\u0000Findings\u0000Empirical results demonstrate that firms with higher CSR scores are associated with higher accuracy of financial forecasts, fewer earnings surprises and greater coverage by financial analysts. This positive relationship is more profound for firms that face low agency concerns, firms that have a higher level of customer awareness, firms that have more long-term institutional ownership or firms that do not face financial constraints.\u0000\u0000\u0000Originality/value\u0000The study contributes to the ongoing debate on the value of CSR. The results support the stakeholder value maximization view of CSR and identify the impact of several factors on its relationship with the quality of financial reporting.\u0000","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-01-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48243426","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 : 2023-01-10DOI: 10.1108/sef-08-2022-0405
J. Fuinhas, Nuno Silva, Joshua Duarte
Purpose This study aims to explain how delinquency shocks in one type of debt contaminate the others. That is, the authors aim to shed light on the time pattern of delinquencies in different debt types. Design/methodology/approach This study analyzes the interdependencies between mortgage, credit card and auto loans delinquency rates in the USA from 2003 to 2019, using a panel VAR-X, the panel Granger causality tests and the Geweke linear dependence measures. The authors also compute the impulse response functions of a shock to one kind of debt on the others and decompose the variance of the forecast errors. Findings The authors find a statistically significant bidirectional Granger causality between the delinquencies. The Geweke measures of linear dependence and the Dumitrescu and Hurlin Granger non-causality tests support that mortgage predominantly causes credit card and auto loan delinquencies. Auto loans also cause credit card delinquencies. The impulse response functions confirm this pattern. This scenario aligns with a sequence where debtors consider rational first to default on credit cards, second on auto loans and only on mortgages in the last instance. Indeed, credit card delinquencies Granger-cause delinquencies in other debts when it occurs. Originality/value To the best of the authors’ knowledge, this is the first study to focus on the temporal pattern of delinquency rates for all the US states, using panel data. Furthermore, the results call for policymakers to design regulations to break the transmission channel from debt delinquencies.
{"title":"On the interdependencies between mortgage, credit card and auto loans delinquency rates: evidence from the US states plus the District of Columbia","authors":"J. Fuinhas, Nuno Silva, Joshua Duarte","doi":"10.1108/sef-08-2022-0405","DOIUrl":"https://doi.org/10.1108/sef-08-2022-0405","url":null,"abstract":"\u0000Purpose\u0000This study aims to explain how delinquency shocks in one type of debt contaminate the others. That is, the authors aim to shed light on the time pattern of delinquencies in different debt types.\u0000\u0000\u0000Design/methodology/approach\u0000This study analyzes the interdependencies between mortgage, credit card and auto loans delinquency rates in the USA from 2003 to 2019, using a panel VAR-X, the panel Granger causality tests and the Geweke linear dependence measures. The authors also compute the impulse response functions of a shock to one kind of debt on the others and decompose the variance of the forecast errors.\u0000\u0000\u0000Findings\u0000The authors find a statistically significant bidirectional Granger causality between the delinquencies. The Geweke measures of linear dependence and the Dumitrescu and Hurlin Granger non-causality tests support that mortgage predominantly causes credit card and auto loan delinquencies. Auto loans also cause credit card delinquencies. The impulse response functions confirm this pattern. This scenario aligns with a sequence where debtors consider rational first to default on credit cards, second on auto loans and only on mortgages in the last instance. Indeed, credit card delinquencies Granger-cause delinquencies in other debts when it occurs.\u0000\u0000\u0000Originality/value\u0000To the best of the authors’ knowledge, this is the first study to focus on the temporal pattern of delinquency rates for all the US states, using panel data. Furthermore, the results call for policymakers to design regulations to break the transmission channel from debt delinquencies.\u0000","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-01-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43997712","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 : 2022-12-30DOI: 10.1108/sef-10-2021-0450
Madhabendra Sinha, Darius Tirtosuharto, Anjan Ray Chaudhury, Partha Basu
Purpose The paper aims to empirically examine the impact of foreign direct investment (FDI) inflows and digitalization on employment opportunities in selected 70 developing economies across the world over the period of 2001–2019. The same empirical investigations are also carried out on two groups of these developing countries created on the basis of the levels of FDI inflows and digitalization. Design/methodology/approach The study uses various panel unit root tests followed by the estimations of the generalized method of moments in the dynamic panel framework, using secondary data collected from the World Bank (2020), International Labour Organization (2020) and International Telecommunication Union (2020). Findings Empirical findings reveal that both FDI inflows and digitalization have positive effects on employment; however, the extent of the impact of digitalization is greater than that of FDI inflows in developing economies, mostly in countries with relatively low FDI inflows and low digitalization. Originality/value Conventionally, FDI inflows accelerate economic growth and thus improve the labour market in host countries. However, FDI inflows into developing countries with low-skilled labours may limit job creation, particularly during the process of digitalization. This study shows that despite a much moderate impact of FDI inflows, digital transformation supports a higher employment in developing economies with low level of FDI inflows and digitalization.
{"title":"FDI, digitalization and employment: empirical evidence from developing economies","authors":"Madhabendra Sinha, Darius Tirtosuharto, Anjan Ray Chaudhury, Partha Basu","doi":"10.1108/sef-10-2021-0450","DOIUrl":"https://doi.org/10.1108/sef-10-2021-0450","url":null,"abstract":"\u0000Purpose\u0000The paper aims to empirically examine the impact of foreign direct investment (FDI) inflows and digitalization on employment opportunities in selected 70 developing economies across the world over the period of 2001–2019. The same empirical investigations are also carried out on two groups of these developing countries created on the basis of the levels of FDI inflows and digitalization.\u0000\u0000\u0000Design/methodology/approach\u0000The study uses various panel unit root tests followed by the estimations of the generalized method of moments in the dynamic panel framework, using secondary data collected from the World Bank (2020), International Labour Organization (2020) and International Telecommunication Union (2020).\u0000\u0000\u0000Findings\u0000Empirical findings reveal that both FDI inflows and digitalization have positive effects on employment; however, the extent of the impact of digitalization is greater than that of FDI inflows in developing economies, mostly in countries with relatively low FDI inflows and low digitalization.\u0000\u0000\u0000Originality/value\u0000Conventionally, FDI inflows accelerate economic growth and thus improve the labour market in host countries. However, FDI inflows into developing countries with low-skilled labours may limit job creation, particularly during the process of digitalization. This study shows that despite a much moderate impact of FDI inflows, digital transformation supports a higher employment in developing economies with low level of FDI inflows and digitalization.\u0000","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2022-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42138593","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 : 2022-12-19DOI: 10.1108/sef-09-2022-0460
Zeliha Can Ergün, E. C. Cagli, M. B. Durukan Salı
Purpose This study aims to investigate the interconnectedness across the risk appetite of distinct investor types in Borsa Istanbul. This study also examines the causal impact of global implied volatility indices on the risk appetite of these investor groups. Design/methodology/approach The authors use a novel time-varying frequency connectedness framework of Chatziantoniou et al. and a new time-varying Granger causality test with a recursive evolving procedure by Shi et al. over June 2008 and July 2022. Findings The results show a high level of interconnectedness across the risk appetite of different investor types. The sizable spillovers to domestic types of investors either occur from professional or foreign investors, indicating the long-term dominant effect of foreign and more qualified investors on the domestic investors in Borsa Istanbul. The authors provide significant evidence of causality from the global implied volatility to the Borsa Istanbul risk appetite indices, which are getting stronger after the COVID-19 outbreak. Originality/value Unlike the previous studies, the authors analyze the risk appetite sub-indices of various types of investors to reveal behavioral distinctions and interconnectedness across them. The authors use a novel econometric framework to assess investors’ risk appetite in different investment horizons in a time-varying system. Together with volatility index (VIX), the authors also use volatilities of oil (OVX), gold (GVZ) and currency (EVZ), considering the information transmission not only from stock markets but also energy, metals and currency markets. The present data set covers significant financial crises, socioeconomic events and the COVID-19 outbreak.
{"title":"The interconnectedness across risk appetite of distinct investor types in Borsa Istanbul","authors":"Zeliha Can Ergün, E. C. Cagli, M. B. Durukan Salı","doi":"10.1108/sef-09-2022-0460","DOIUrl":"https://doi.org/10.1108/sef-09-2022-0460","url":null,"abstract":"\u0000Purpose\u0000This study aims to investigate the interconnectedness across the risk appetite of distinct investor types in Borsa Istanbul. This study also examines the causal impact of global implied volatility indices on the risk appetite of these investor groups.\u0000\u0000\u0000Design/methodology/approach\u0000The authors use a novel time-varying frequency connectedness framework of Chatziantoniou et al. and a new time-varying Granger causality test with a recursive evolving procedure by Shi et al. over June 2008 and July 2022.\u0000\u0000\u0000Findings\u0000The results show a high level of interconnectedness across the risk appetite of different investor types. The sizable spillovers to domestic types of investors either occur from professional or foreign investors, indicating the long-term dominant effect of foreign and more qualified investors on the domestic investors in Borsa Istanbul. The authors provide significant evidence of causality from the global implied volatility to the Borsa Istanbul risk appetite indices, which are getting stronger after the COVID-19 outbreak.\u0000\u0000\u0000Originality/value\u0000Unlike the previous studies, the authors analyze the risk appetite sub-indices of various types of investors to reveal behavioral distinctions and interconnectedness across them. The authors use a novel econometric framework to assess investors’ risk appetite in different investment horizons in a time-varying system. Together with volatility index (VIX), the authors also use volatilities of oil (OVX), gold (GVZ) and currency (EVZ), considering the information transmission not only from stock markets but also energy, metals and currency markets. The present data set covers significant financial crises, socioeconomic events and the COVID-19 outbreak.\u0000","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2022-12-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49542392","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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