International Journal of Finance & Economics最新文献

In this paper, we test whether mortgage buy-to-let investors buy houses at significantly different prices compared to other buyers. The distinctive characteristic of a mortgage buy-to-let transaction is that lenders require the price offered to be explicitly tied to the rental income that the property will be able to generate. To test the existence of a price differential between the two groups of buyers, we use house price data of more than 600,000 residential unit transactions that took place in England and Wales. Using data that span the period 2014–2021, our empirical findings show that mortgage buy-to-let investors buy houses at a significantly discounted price (discount of about 4.5%) compared to other buyers. We provide evidence that home price differentials among the two buyer groups are less pronounced in a highly competitive market, such as the London housing market. We also find that the mortgage buy-to-let discount was on average higher before the 3% rise in the stamp duty land tax that took place in 2016.

Chinese firms' investment-cash flow sensitivity (ICFS) declined during the global financial crisis (GFC), contradicting the conventional financial constraint interpretation of ICFS. We analyse this phenomenon by examining how cash flow uncertainty affects financing investment. We find that ICFS reveals not only the relationship between investment and cash flow but also that between internal funds and debt financing. When internal funds and debt financing are complementary, cash flow uncertainty decreases ICFS more than when they are substitutes. The relationship between internal funds and debt financing weakens when cash flow uncertainty rises. A natural experiment based on the GFC and the post-GFC economic stimulus package confirms the causal relationship between cash flow uncertainty and ICFS.

This work assiduously analyses the aptness of ‘blank check’ companies, also known as special purpose acquisition companies (SPACs), for Islamic finance. By so doing, I divulge that SPAC structure terms, that is, having no substantive assets, operations, or commercial substance underlying the investment stipulate covenants that involve Gharar (ambiguity) to the degree that adulterates blank check IPOs under the ambit of Islamic jurisprudence—vernacularly referred to as Shariah. The inaptness of the basal SPAC covenants and the devoid of Gharar in financial activities under Shariah can cause collusion in the manner in which this niche faith-based financial segment operates. It is, thus, postulated that blank check IPOs are a hard pass under Shariah jurisprudence except if the SPAC structure terms are redux to comply with the rudimentary principles of the Islamic banking business model. Jusque-là, the outlook for a Shariah-compliant SPAC is bleak.

Our study examines the multi-period Islamic investment issue in GCC markets. We assess the validity of ICAPM by incorporating market dynamics: volatility and uncertainty. To test the predictive power of these factors over time, we employ Engle's (2002) dynamic conditional correlation framework and compute the DCC between Islamic stock index returns and three key variables: the GCC Islamic index (market index) and market state variables (volatility and uncertainty). For cross-sectional variation, we follow Bali and Engle (2010) and estimate the seemingly unrelated regression (SUR) after measuring dynamic covariance. We report heterogeneous results revealing a complex relationship between market risk factors and expected returns. While the introduction of market volatility and uncertainty factors generally resulted in a negative risk premium, the specific impact varied across different markets. Interestingly, the Saudi index, holding significant weight within the GCC index, shows a negative risk premium and a positive uncertainty premium in the short-term. Accordingly, investors seek a premium for uncertainty and accept a discount for volatility in the Saudi market. However, in the long term, a traditional positive risk–return relationship is observed. The cross-sectional results reveal that both GCC index fluctuations and shifts in market volatility are associated with a negative risk premium, in the short term. Whereas, an increasing market uncertainty leads to a higher expected return in the following month. This study adds novelty to the literature related to the pricing of Shari'ah-compliant assets by testing the inter-temporal CAPM for these assets and showing the usefulness for investors. Indeed, the implementation of a multi-period investment plan across Islamic GCC indexes can help investors mitigate adverse changes in market volatility and uncertainty.

Using a panel of 43 economies between 1985 and 2022, this article establishes a link between foreign direct investment (FDI) inflows and geopolitical risk. We distinguish the idiosyncratic component of geopolitical risk from the global geopolitical risk index provided by Caldara and Iacoviello (2022. American Economic Review, 112, 1194–1225.). We then incorporate both global and idiosyncratic risks into a static FDI regression model, controlling for other economic and institutional determinants. Our findings suggest that both global and idiosyncratic geopolitical risks pose significant obstacles to FDI inflows. Additionally, we investigate whether water and energy risks, when interacting with geopolitical risk, influence the behaviour of international investors. To test this hypothesis, we estimate the interaction effect of water stress and energy intensity as proxies for water and energy risks, respectively. Our findings imply that foreign investors perceive high energy intensity and water stress as moderating factors that could motivate host country policymakers to avoid involvement in geopolitical confrontations, thereby supporting peacebuilding to prevent or resolute conflicts.

Most central banks around the world have increased their transparency in recent decades. These developments have had an impact on financial markets. Several studies have analysed the impact of central bank transparency (CBT) on variables such as inflation volatility, exchange rate volatility, or stock market volatility. One variable that has not received enough attention is interest rate volatility, despite its importance for decision-makers in both financial markets and the real economy. The study uses a panel data set of a maximum of 93 countries over the years 1998–2017. We use panel data estimators (panel fixed effects and fixed effects filter). Our main findings are that CBT helps to reduce the volatility of several interest rates (money market rates, deposit rates, savings rates, Treasury bill yields and government bond yields), while it increases the volatility of monetary policy rates. The results are also significant from an economic point of view, as a small increase in CBT can reduce the variability of treasury bill rates by up to −8.2%, deposit rates by up to −9.1%, money market rates by up to −15.8% and savings rates by up to −20.4%.

This paper examines the primary-dealers' returns in post-auction resale markets for treasury bonds, assesses the prevalence of losses and gains and their consequences for the financial sector. Using a novel database that tracks more than 2350 primary-to-secondary transactions, we find that bond losses for primary-dealers are pervasive and were severe during the financial crisis. Our results indicate that liquidity constraint is a major source of the bond losses. We also find that financial sector value is correlated with these losses. Using an alternating market experiment, we show that primary-to-secondary losses are higher under discriminatory auctions as compared to uniform auctions.