International Journal of Finance & Economics最新文献

War-related expectations cause changes to investors' risks and returns preferences. In this study, we examine the implications of war and sanctions sentiment for the G7 countries' debt markets during the Russia-Ukraine war. We use behavioural indicators across social media, news media, and internet attention to reflect the public sentiment from 1st January 2022 to 20th April 2023. We apply the quantile-on-quantile regression (QQR) and rolling window wavelet correlation (RWWC) methods. The quantile-on-quantile regression results show heterogenous impact on fixed income securities. Specifically, extreme public sentiment has a negative impact on G7 fixed income securities return. The wavelets correlation result shows dynamic correlation pattern among public sentiment and fixed income securities. There is a negative relationship between public sentiment and G7 fixed income securities. The correlation is time-varying and highly event dependent. Our additional analysis using corporate bond data indicates the robustness of our findings. Furthermore, the contagion analysis shows public sentiment significantly influence G7 fixed income securities spillover. Our findings can be of great significance while framing strategies for asset allocation, portfolio performance and risk hedging.

The study analyzes the potential influence of bank competition on corporate risk-taking. The study also analyzes the interactive role of firms' dependence on external finance in this framework. We gauge corporate risk through idiosyncratic risk (market-based measure) and earnings volatility (accounting-based measure). Analysing firm-level data for Brazil, Russia, India, and China (BRIC) from 1999 to 2018 through a ‘two-step dynamic panel system GMM,’ we discover that more (less) competitive (concentrated) banking sectors assist in reducing corporate risk taking. The risk-reduction effect is specifically stronger for financially dependent and small-sized firms. The findings remain unchanged when different proxies of financial dependency, banking sector competitiveness, and risk are employed. Further analysis of the ‘transmission mechanism’—the channel by which the extent of banking sector competitiveness influences corporate risk—uncovers that the competitive banking sectors increase firms' access to finance and allow them to operate with lesser financing obstacles.

This paper disentangles the impacts of cultural proximity on cross-border banking flows, using large country-pair data from 1996 to 2019. On applying the gravity model with the Poisson Pseudo Maximum Likelihood estimator, our main findings show that cultural proximity is both a push and pull factor, which robustly anticipates increased outflows (cross-border lending) and inflows (cross-border borrowing). The impacts of cultural proximity are transmitted throughout the information asymmetry and cost reduction channels. These impacts become pronounced for geographically proximate country pairs and hold for a different measure of cultural goods taxonomy and for controlling the endogeneity problem.

This article investigates the impact of bank size and business model on bank risk-taking within the framework of the prospect theory. To fulfil this objective, we use the adjusted thermal optimal path model. The results suggest that conventional banks adopt the same risk-taking behaviour for performance measures, regardless of their size. However, the size mainly influences the attitudes of managers towards Islamic banks. On the other hand, small Islamic banks, whether under- or over-performing, take excessive risks. This behaviour is mainly explained by loss aversion. However, large Islamic banks that situated above the target are risk-averse, since they adopt defensive behaviour. The results reveal that for risk measures and for both small and large banks, a bank's business model does not affect managers' attitude to risk. Therefore, small (large) banks adopt excessive risk-taking (risk-averse) behaviour and an offensive (defensive) strategy. The study has important implications for GCC banking regulators, supervisors, and market participants. Thus, our findings imply that understanding the impact of the bank size and business model on the risk-taking behaviour of Islamic and conventional banks can help them reduce their risk and mitigate moral hazard and regulatory arbitrage behaviour.

We developed several measures to analyze the global financial cycle employing dynamic factor models and data for 25 advanced and emerging countries spanning 1980 to 2019. These measures were assessed using the similarity and synchronicity metrics proposed by Mink et al. (Oxford Economic Papers 64, 217–236, 2012). The findings indicate a strong similarity and synchronization of global cycles in asset prices and capital flows, particularly evident during crisis episodes. Furthermore, we observe significant co-movement between our financial cycle measures and two literature-based measures that utilize top-down and bottom-up approaches. However, the VIX index shows a lower level of co-movement with our global financial cycle measures.

This study investigates whether directors' and officers' liability insurance (D&O insurance) misleads creditors' lending decisions by examining its effect on corporate debt maturity structure. We find that purchasing D&O insurance leads to increased corporate debt maturity, and this effect is more pronounced for firms with weaker corporate governance. These results suggest that creditors may view D&O insurance as an external monitoring tool that helps improve corporate governance. However, D&O insurance induces higher firm risk, but cannot help decrease agency costs or improve firm performance, that is, it results in more severe managerial opportunism. Our findings suggest that D&O insurance, to some extent, misguides creditors' lending decisions.

We contribute to the literature by being the first to examine the direction of causality between the different sources of oil price shocks and financial stress in the global financial markets (OFR), US, other advanced economies (OAE), and emerging markets (EM). Specifically, we aim to empirically answer a key question: Do global oil market shocks drive financial stress, or does financial stress spur oil market shocks? Using a two-stage methodology based on the structural VAR (SVAR) and entropy-based analysis over the period January 2000–October 2022, the results show that the links between financial stress and oil shocks are contingent on the type of shock. Within this, oil supply shock is mildly connected to financial stress; oil demand shock is vulnerable to innovation from financial stress; and oil-specific demand shock has a noticeable time-variable element wherein the shock prevails at the beginning of the sample and financial stress dominates the transmission at the end of the sample.

Conventional wisdom suggests that sectors/industries provide systematic performance and that business cycle rotation strategies generate excess market performance. However, we find no evidence of systematic sector performance where popular belief anticipates it will occur. At best, conventional sector rotation generates modest outperformance, which quickly diminishes after allowing for transaction costs and incorrectly timing the business cycle. The results are robust to alternative sector and business cycle definitions. We find that relaxing sector rotation assumptions and letting any industry excess return predict future returns of other industries results in predictability not significantly different than what would be expected by random chance.