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Financial Interdependencies: Analyzing the Volatility Linkages between Real Estate Investment Trusts, Sukuk, and Oil in GCC Countries 金融相互依存性:分析海湾合作委员会国家房地产投资信托、苏库克债券和石油之间的波动联系
IF 2.3 Q2 BUSINESS, FINANCE Pub Date : 2024-09-18 DOI: 10.3390/ijfs12030092
Nevi Danila
This study investigates the financial interconnections among Real Estate Investment Trusts (REITs), sukuk (Islamic bonds), and oil in Gulf Cooperation Council (GCC) nations. The study sample comprises S&P GCC Composite Equity Real Estate Investment Trusts (REITs) Shariah, the S&P GCC Bond and Sukuk Index, and the OPEC crude oil basket on a daily basis. The duration of coverage spans from 2014 until the beginning of 2024. The TVP-VAR methodology is utilized to examine the interrelationship among the assets. The results indicate that Real Estate Investment Trusts (REITs) and oil are sources of volatility transmission, whereas sukuk is a recipient of volatility within the network. Examining the net pairwise directional linkages of two assets, namely REITs and oil markets, reveals that they transfer their volatility to the sukuk market. Moreover, a reciprocal relationship exists between REITs and oil regarding volatility spillover. It means that REITs act as transmitters to the oil markets during specific periods, while the influence is reversed at other times. This study implies that portfolio managers and investors can discern the volatility patterns of assets in order to enhance their risk-management techniques. For policymakers, comprehending the interdependence of certain asset classes provides valuable knowledge for formulating regulations that might stabilize the financial system and foster economic growth. From a research and academic perspective, this study enhances understanding of the interconnections between different financial asset classes and pricing dynamics in financial markets.
本研究调查了海湾合作委员会(GCC)国家的房地产投资信托基金(REITs)、伊斯兰债券(sukuk)和石油之间的金融关联。研究样本包括标准普尔海湾合作委员会综合股票房地产投资信托基金(REITs)伊斯兰教法、标准普尔海湾合作委员会债券和伊斯兰债券指数以及欧佩克原油篮子的每日数据。覆盖期限从 2014 年到 2024 年初。采用 TVP-VAR 方法来研究资产之间的相互关系。结果表明,房地产投资信托基金(REITs)和石油是波动传导的来源,而伊斯兰债券则是网络内波动的接受者。对房地产投资信托基金和石油市场这两种资产的净配对定向联系的研究表明,它们将其波动性传递给了伊斯兰债券市场。此外,在波动溢出方面,房地产投资信托和石油之间存在互惠关系。这意味着,房地产投资信托基金在特定时期充当石油市场的传播者,而在其他时期,这种影响则相反。这项研究表明,投资组合经理和投资者可以辨别资产的波动模式,以提高他们的风险管理技术。对于政策制定者来说,理解某些资产类别的相互依存性为制定可能稳定金融体系和促进经济增长的法规提供了宝贵的知识。从研究和学术角度来看,本研究有助于加深对不同金融资产类别之间的相互联系以及金融市场定价动态的理解。
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引用次数: 0
Impacts of Digital Transformation and Basel III Implementation on the Credit Risk Level of Vietnamese Commercial Banks 数字化转型和《巴塞尔协议 III》的实施对越南商业银行信贷风险水平的影响
IF 2.3 Q2 BUSINESS, FINANCE Pub Date : 2024-09-13 DOI: 10.3390/ijfs12030091
Ngan Bich Nguyen, Hien Duc Nguyen
For a bank-based economy like Vietnam, the commercial banking sector’s conduct greatly influences Vietnamese economic and social prosperity. In Vietnam, net income from credit activities hold the largest portion of the total revenue of Vietnamese commercial banks. Therefore, in the context of Vietnam, credit risk obviously also plays a pivotal important role in the banking sector. Hence, the risk of credit failure can lead to a bank’s collapse and have a profound effect on a country’s societal structure. As seen in the previous literature, there are many macroeconomic and bank-level factors that have commonly affected the level of credit risk; however, these factors may change in the recent development era of the banking industry, especially the new impacts of digital transformation and the transition to full Basel III adoption. The overall aim of this study is to analyze the impacts of digital transformation and Basel III implementation on the credit risk level of Vietnamese commercial banks during the period from 2017 to 2023, with a sample of 21 Vietnamese listed commercial banks. This study employs the pooled OLS, fixed effect model (FEM), and random effect model (REM) methods to reach the finding that investing in technology for the readiness of digital transformation and implementing Basel III could adversely affect credit risk. Based on this finding, the authors give some recommendations for commercial banks to enhance the sustainability, safety, and better management of credit risk.
对于越南这样一个以银行为基础的经济体来说,商业银行部门的行为在很大程度上影响着越南的经济和社会繁荣。在越南,信贷业务的净收入占越南商业银行总收入的最大部分。因此,就越南而言,信贷风险显然也在银行业中扮演着举足轻重的重要角色。因此,信贷失败的风险可能导致银行倒闭,并对一个国家的社会结构产生深远影响。从以往的文献中可以看出,有许多宏观经济和银行层面的因素普遍影响着信贷风险的水平;然而,这些因素在银行业近年的发展中可能会发生变化,尤其是数字化转型和全面采用巴塞尔协议 III 的过渡所带来的新影响。本研究的总体目标是以越南 21 家上市商业银行为样本,分析 2017 年至 2023 年期间数字化转型和巴塞尔协议 III 实施对越南商业银行信用风险水平的影响。本研究采用集合 OLS、固定效应模型(FEM)和随机效应模型(REM)方法得出结论:投资技术为数字化转型做好准备和实施巴塞尔协议 III 会对信贷风险产生不利影响。基于这一结论,作者为商业银行提出了一些建议,以提高信贷风险的可持续性、安全性和更好的管理。
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引用次数: 0
Microcredit Pricing Model for Microfinance Institutions under Basel III Banking Regulations 巴塞尔协议 III 银行法规下的小额信贷机构小额信贷定价模型
IF 2.3 Q2 BUSINESS, FINANCE Pub Date : 2024-09-03 DOI: 10.3390/ijfs12030088
Patricia Durango-Gutiérrez, Juan Lara-Rubio, Andrés Navarro-Galera, Dionisio Buendía-Carrillo
Purpose. The purpose of this research is to propose a tool for designing a microcredit risk pricing strategy for borrowers of microfinance institutions (MFIs). Design/methodology/approach. Considering the specific characteristics of microcredit borrowers, we first estimate and measure microcredit risk through the default probability, applying a parametric technique such as logistic regression and a non-parametric technique based on an artificial neural network, looking for the model with the highest predictive power. Secondly, based on the Basel III internal ratings-based (IRB) approach, we use the credit risk measurement for each borrower to design a pricing model that sets microcredit interest rates according to default risk. Findings. The paper demonstrates that the probability of default for each borrower is more accurately adjusted using the artificial neural network. Furthermore, our results suggest that, given a profitability target for the MFI, the microcredit interest rate for clients with a lower level of credit risk should be lower than a standard, fixed rate to achieve the profitability target. Practical implications. This tool allows us, on the one hand, to measure and assess credit risk and minimize default losses in MFIs and, secondly, to promote their competitiveness by reducing interest rates, capital requirements, and credit losses, favoring the financial self-sustainability of these institutions. Social implications. Our findings have the potential to make microfinance institutions fairer and more equitable in their lending practices by providing microcredit with risk-adjusted pricing. Furthermore, our findings can contribute to the design of government policies aimed at promoting the financial and social inclusion of vulnerable people. Originality. The personal characteristics of microcredit clients, mainly reputation and moral solvency, are crucial to the default behavior of microfinance borrowers. These factors should have an impact on the pricing of microcredit.
研究目的本研究旨在提出一种工具,用于为小额信贷机构(MFIs)的借款人设计小额信贷风险定价策略。设计/方法/途径。考虑到小额信贷借款人的具体特点,我们首先通过违约概率来估算和衡量小额信贷风险,采用逻辑回归等参数技术和基于人工神经网络的非参数技术,寻找预测能力最强的模型。其次,根据《巴塞尔协议 III》基于内部评级的方法(IRB),我们利用对每个借款人的信用风险测量来设计定价模型,根据违约风险设定小额信贷利率。研究结果本文表明,使用人工神经网络可以更准确地调整每个借款人的违约概率。此外,我们的研究结果表明,在小额贷款机构有盈利目标的情况下,信用风险水平较低的客户的小额贷款利率应低于标准固定利率,以实现盈利目标。实际意义。一方面,这一工具使我们能够衡量和评估小额金融机构的信贷风险,最大限度地减少违约损失;另一方面,通过降低利率、资本要求和信贷损失,提高这些机构的竞争力,从而有利于这些机构在财务上的自我维持。社会影响。我们的研究结果有可能通过提供风险调整定价的小额信贷,使小额信贷机构的借贷行为更加公平公正。此外,我们的研究结果还有助于政府制定旨在促进弱势群体融入金融和社会的政策。独创性。小额信贷客户的个人特征,主要是声誉和道德偿付能力,对小额信贷借款人的违约行为至关重要。这些因素应对小额信贷的定价产生影响。
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引用次数: 0
Deregulating the Volume Limit on Share Repurchases 解除对股票回购数量限制的管制
IF 2.3 Q2 BUSINESS, FINANCE Pub Date : 2024-09-03 DOI: 10.3390/ijfs12030089
Adhiraj Sodhi, Aleksandar Stojanovic
We empirically advocate for UK regulators to increase the volume limit of 15% outstanding shares on open market repurchases. Our main framework initially tests the determinants of share repurchases based on their size, Small, Medium and Large. The findings reveal that consistent with extant literature, the payout is primarily determined by its capability of distributing excess cash to shareholders and signaling undervaluation. We then check the viability of increasing the volume limit by testing new levels at 2.50% increments, up to 30%. The results indicate that any increase does not broadly change the determinants’ relationship with the payout, rather increased efficiency is realized at every interval, with the 20% and 30% levels being the most favorable.
我们根据经验建议英国监管机构提高公开市场回购 15%流通股的数量限制。我们的主要框架首先根据公司规模(小型、中型和大型)检验了股票回购的决定因素。研究结果表明,与现有文献一致,股票回购的主要决定因素是其向股东分配超额现金的能力和价值低估的信号。然后,我们通过测试以 2.50%为单位递增至 30%的新水平,检验了提高交易量限制的可行性。结果表明,任何增加都不会广泛改变决定因素与派息之间的关系,相反,在每个区间都会提高效率,其中 20% 和 30% 的水平最为有利。
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引用次数: 0
Efficiency of Healthcare Financing: Case of European Countries 医疗融资的效率:欧洲国家案例
IF 2.3 Q2 BUSINESS, FINANCE Pub Date : 2024-08-26 DOI: 10.3390/ijfs12030087
Aleksy Kwilinski, Alina Vysochyna
Global turbulence and uncertainty force civil servants and executors to optimise public finance distribution. The COVID-19 pandemic aligned with the necessity of assessing the efficiency of healthcare financing due to its capability in overcoming the negative consequences. The paper analyses the peculiarities of healthcare financing in 34 European countries and points out trends and changes in its structure and dynamics. It also realises cluster analysis to reveal models of healthcare financing and their specific features. Panel data regression analysis was used to assess the efficiency of healthcare financing within each cluster by clarifying the relationship between healthcare expenditures and public health outcome—life expectancy. The distributed lag model was also used to test for time lags between financial inflows in healthcare and its outcome. Empirical results highlight key tips for optimising healthcare financing and creating the benchmark model.
全球动荡和不确定性迫使公务员和执行者优化公共财政分配。COVID-19 大流行与评估医疗融资效率的必要性相一致,因为医疗融资有能力克服负面影响。本文分析了 34 个欧洲国家医疗融资的特殊性,指出了其结构和动态的趋势和变化。论文还通过聚类分析揭示了医疗融资模式及其具体特点。通过明确医疗支出与公共卫生成果--预期寿命之间的关系,采用面板数据回归分析法评估每个集群内医疗融资的效率。分布式滞后模型也被用来检验医疗保健资金流入与其结果之间的时间滞后性。实证结果突出了优化医疗融资和创建基准模型的关键提示。
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引用次数: 0
The Probability of Hospital Bankruptcy: A Stochastic Approach 医院破产的概率:随机方法
IF 2.3 Q2 BUSINESS, FINANCE Pub Date : 2024-08-23 DOI: 10.3390/ijfs12030085
Ramalingam Shanmugam, Brad Beauvais, Diane Dolezel, Rohit Pradhan, Zo Ramamonjiarivelo
Healthcare leaders are faced with many financial challenges in the contemporary environment, leading to financial distress and notable instances of bankruptcies in recent years. What is not well understood are the specific conditions that may lead to organizational economic failure. Though there are various models that predict financial distress, existing regression methods may be inadequate, especially when the finance variables follow a nonnormal frequency pattern. Furthermore, the regression approach encounters difficulties due to multicollinearity. Therefore, an alternate stochastic approach for predicting the probability of hospital bankruptcy is needed. The new method we propose involves several key steps to better assess financial health in hospitals. First, we compute and interpret the relationship between the hospital’s revenues and expenses for bivariate lognormal data. Next, we estimate the risk of bankruptcy due to the mismatch between revenues and expenses. We also determine the likelihood of a hospital’s expenses exceeding the state’s median expenses level. Lastly, we evaluate the hospital’s financial memory level to understand its level of financial stability. We believe that our novel approach to anticipating hospital bankruptcy may be useful for both hospital leaders and policymakers in making informed decisions and proactively managing risks to ensure the sustainability and stability of their institutions.
在当代环境中,医疗保健行业的领导者面临着许多财务挑战,导致财务窘迫,近年来破产的例子屡见不鲜。人们对可能导致组织经济衰退的具体条件还不甚了解。虽然有各种预测财务困境的模型,但现有的回归方法可能不够充分,尤其是当财务变量遵循非正常频率模式时。此外,回归法还会因多重共线性而遇到困难。因此,需要另一种随机方法来预测医院破产的概率。我们提出的新方法包括几个关键步骤,以更好地评估医院的财务健康状况。首先,我们计算并解释二元对数正态数据中医院收入与支出之间的关系。接下来,我们估算收入与支出不匹配导致的破产风险。我们还确定了医院支出超过该州支出中位数水平的可能性。最后,我们对医院的财务记忆水平进行评估,以了解其财务稳定程度。我们相信,我们预测医院破产的新方法可能有助于医院领导者和政策制定者做出明智的决策,并积极管理风险,以确保其机构的可持续性和稳定性。
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引用次数: 0
The Influence of Women on Boards on the Relationship between Executive and Employee Remuneration 董事会中的女性对高管与员工薪酬关系的影响
IF 2.3 Q2 BUSINESS, FINANCE Pub Date : 2024-08-23 DOI: 10.3390/ijfs12030084
María L. Gallén, Carlos Peraita
The growing presence of women at the top of companies has sparked interest in examining their role in the remuneration gap between senior managers and employees. This article analyses the traditional Chief Executive Officer (CEO)-to-employee pay ratio but includes a new relation, the senior-management-to-employee pay ratio, and extends the research by including six positions for women in company management: on the board of directors, executive directors, CEOs, proprietary directors, independent directors, and senior managers. The study is based on a sample of 77 listed companies in Spain from 2015 to 2022 and the panel data models have been estimated using the Generalised Method of Moments (GMM). The main findings indicate that the proportion of women in different categories of board and senior management positions has a positive effect on the CEO-to-employee pay ratio, especially in companies with higher market capitalisation. In contrast, the proportion of women in senior management positions has a negative effect on the CEO-to-employee pay ratio in all the samples analysed. Government agencies should prioritise the participation of women in non-board senior management positions in order to at least reduce the pay gap between senior managers and employees.
越来越多的女性进入公司高层,这引发了研究女性在高级管理人员与员工之间薪酬差距中的作用的兴趣。本文分析了传统的首席执行官(CEO)与员工的薪酬比例,但加入了一种新的关系,即高级管理层与员工的薪酬比例,并将女性在公司管理层中的六个职位纳入研究范围:董事会、执行董事、首席执行官、专有董事、独立董事和高级经理。研究以 2015 年至 2022 年期间西班牙 77 家上市公司为样本,采用广义矩量法 (GMM) 对面板数据模型进行了估计。主要研究结果表明,不同类别董事会和高级管理职位中的女性比例对首席执行官与员工的薪酬比率有积极影响,尤其是在市值较高的公司中。相比之下,在所有分析样本中,女性担任高级管理职位的比例对首席执行官与员工的薪酬比率都有负面影响。政府机构应优先考虑让女性担任非董事会高级管理职位,以便至少缩小高级管理人员与员工之间的薪酬差距。
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引用次数: 0
Breaking the Boundaries in the Digital Age: Open Banking and Tax Evasion 打破数字时代的界限:开放银行与逃税
IF 2.3 Q2 BUSINESS, FINANCE Pub Date : 2024-08-23 DOI: 10.3390/ijfs12030086
Ngoc Thang Dang, Stelios Andreadakis, Pamela Nika, Monomita Nandy
In this paper, we examine the relationship between open banking and tax evasion. As the open banking literature is still evolving, we try to systematically analyze the literature on conventional banking and tax evasion and then extend the discussion in the context of open banking. The popularity of open baking recently raises a question about its relationship with tax evasion. Digital banking and digital taxation contributed positively to mitigating tax evasion in the context of conventional banking. However, in open banking, the customers can decide to what extent they will share any transaction-related data with their bank, while they can also choose to complete direct transactions with third parties. This creates a new challenge in relation to the mitigation of tax evasion, which is the focus of this paper. Due to lack of granular empirical data, we conduct a systematic literature review and a bibliometric analysis to track the development of the relevant academic debates and identify the arguments that have been presented in relation to this topic. This approach is recognized as well suited for emerging topics in finance research, particularly when data are scarce, as evidenced by studies on COVID-19 and biodiversity. We find that the gaps of the current regulatory framework, at both the national and supranational level, have created challenges and uncertainties at multiple levels. Nonetheless, the findings of the study suggest future research directions and offer valuable guidelines for regulators in utilizing open banking.
在本文中,我们研究了开放银行与逃税之间的关系。由于开放银行文献仍在不断发展,我们试图系统分析有关传统银行和逃税的文献,然后在开放银行的背景下展开讨论。最近,开放式银行的流行引发了关于其与逃税关系的问题。在传统银行业务中,数字银行和数字税收为减少逃税做出了积极贡献。然而,在开放银行业务中,客户可以决定在多大程度上与银行共享任何与交易相关的数据,同时也可以选择与第三方完成直接交易。这就为减少逃税带来了新的挑战,而这正是本文的重点。由于缺乏详细的实证数据,我们进行了系统的文献综述和文献计量分析,以跟踪相关学术辩论的发展并确定与该主题相关的论点。这种方法被认为非常适合金融研究中的新兴课题,尤其是在数据稀缺的情况下,关于 COVID-19 和生物多样性的研究就是很好的证明。我们发现,国家和超国家层面的现行监管框架存在漏洞,在多个层面造成了挑战和不确定性。尽管如此,研究结果还是提出了未来的研究方向,并为监管机构利用开放银行提供了宝贵的指导。
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引用次数: 0
Corporate Culture, Special Items, and Firm Performance 企业文化、特殊项目与公司业绩
IF 2.3 Q2 BUSINESS, FINANCE Pub Date : 2024-08-22 DOI: 10.3390/ijfs12030083
S. Thomas Kim, Li Sun
This study analyzes the relationship between corporate culture, the likelihood of reporting special items, and firm performance. We find a significant negative relation between corporate culture and special items using more than 55,000 firm-year observations from 6931 U.S. corporations between 2002 and 2021. The result suggests that firms with strong corporate cultures are less likely to use and report special items. Firms with lower performance mainly drive the negative relation; the pattern indicates that firms with weaker corporate cultures are prone to manage earnings using special items.
本研究分析了企业文化、报告特殊项目的可能性与公司业绩之间的关系。通过对 2002 年至 2021 年间 6931 家美国公司的 55000 多个公司年度观察,我们发现企业文化与特殊项目之间存在明显的负相关关系。结果表明,企业文化强大的公司不太可能使用和报告特殊项目。业绩较差的公司是负相关的主要驱动力;这种模式表明,企业文化较弱的公司容易使用特殊项目管理收益。
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引用次数: 0
Risk of Economic Violence: A New Quantification 经济暴力风险:新的量化方法
IF 2.3 Q2 BUSINESS, FINANCE Pub Date : 2024-08-19 DOI: 10.3390/ijfs12030082
Federica D’Agostino, Giulia Zacchia, Marcella Corsi
This paper defines the first internationally comparable measure of the risk of economic violence to acknowledge its prevalence in different countries and its geographical and gender heterogeneity. Thanks to the availability of micro-data from the OECD/International Network on Financial Education survey, currently used to track financial literacy in different countries, we define a measure of the risk of economic violence (REV) that takes into consideration three macro-areas: (a) the risk of being prevented from acquiring and accumulating financial resources; (b) the risk of being unaware and not having access to personal and/or household financial resources; and (c) the risk of financial dependency. The definition of the new economic violence risk measure (REV) then allows us to verify with real data the presence of women’s greater exposure to the risk of economic violence and the presence of gender differences in the determinants of economic violence risk. Finally, we verify that financial literacy protects individuals from the risk of economic violence, without gender differences.
本文首次定义了具有国际可比性的经济暴力风险衡量标准,以承认其在不同国家的普遍性及其地域和性别的差异性。由于经合组织/国际金融教育网络调查(目前用于跟踪不同国家的金融知识普及情况)提供了微观数据,我们定义了一种经济暴力风险度量(REV),其中考虑到了三个宏观领域:(a)无法获得和积累金融资源的风险;(b)不了解和无法获得个人和/或家庭金融资源的风险;以及(c)金融依赖的风险。新的经济暴力风险衡量标准(REV)的定义使我们能够通过真实数据来验证妇女是否更容易遭受经济暴力风险,以及在经济暴力风险的决定因素方面是否存在性别差异。最后,我们验证了金融知识可以保护个人免受经济暴力风险,而不存在性别差异。
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引用次数: 0
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International Journal of Financial Studies
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