Journal of International Financial Markets Institutions & Money最新文献

英文中文

The short-run impact of investor expectations’ past volatility on current predictions: The case of VIX

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2024-11-29 DOI: 10.1016/j.intfin.2024.102084

Bogdan Dima , Ştefana Maria Dima , Roxana Ioan

Understanding the risk premium and its impact on current and expected returns is a critical research problem. The present study contributes to the investigation of risk premium decomposition over short-run periods via two key advancements. First, it presents a model that incorporates past uncertainties regarding investors’ trade outcome expectations into current predictions. This model enables a short-run decomposition of the risk premium. Second, the study examines the relationship between past volatility and current expected trading results for the Chicago Board Options Exchange Volatility Index (VIX) using daily data from January 5, 2016, to January 20, 2023. The findings indicate that current expected losses are influenced by the volatility of previously predicted unfavourable trade outcomes, underscoring the relevance of this study to portfolio management decisions. The parameter that captures this impact exhibits significant time variation. This result remains robust across various specifications of a time-varying parameter model with shrinkage. We further validate this robustness by testing different time frequencies, analysing various types of instruments and markets, and employing an alternative risk estimation method. Ultimately, the findings suggest that proactive stabilisation policies must be implemented to enhance the quality, relevance, and availability of information disseminated by financial asset issuers throughout the market.

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引用次数: 0

Carbon emission trading scheme, investors’ attention, and earnings response coefficients 碳排放交易计划、投资者关注度和收益反应系数

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2024-11-27 DOI: 10.1016/j.intfin.2024.102085

Jun Hu , Siyu Zhang , Liang Wang , Daifei Yao

This study explores how the introduction of the carbon emissions trading scheme (ETS) affects investors’ reactions to corporate earnings surprises. We propose two non-exclusive explanations, namely, the preference-based view and the uncertainty-based view, and suggest that the implementation of ETS may influence the magnitude of investor responses to corporate unexpected earnings. Consistent with the preference-based view, by utilizing China’s introduction of ETS as a quasi-natural experiment, we observe a reduction in the earnings response coefficients (ERCs) following the implementation of ETS. We validate this result by showing that the introduction of ETS prompts investors to focus on corporate carbon risk. Cross-sectional tests find that the effect of ETS on ERCs is more pronounced in firms with higher corporate carbon risk exposure, in firms whose investors exhibit greater environmental awareness, in better-developed carbon pilot markets, and in firms with greater exposure to international capital markets, while this impact is mitigated by firms’ non-financial performance. These findings highlight the importance of environmental regulation and market liberalization in influencing investors’ resource allocation.

本研究探讨了碳排放交易计划（ETS）的引入如何影响投资者对企业盈利意外的反应。我们提出了两种非排他性的解释，即基于偏好的观点和基于不确定性的观点，并认为碳排放交易计划的实施可能会影响投资者对企业意外收益的反应程度。与基于偏好的观点一致，通过将中国引入排放交易计划作为一个准自然实验，我们观察到在排放交易计划实施后，收益反应系数（ERCs）有所下降。我们通过证明排放交易计划的引入促使投资者关注企业的碳风险来验证这一结果。横截面检验发现，排放交易计划对收益反应系数的影响在企业碳风险敞口较高的企业、投资者环保意识较强的企业、碳试点市场发展较好的企业以及国际资本市场敞口较大的企业中更为明显，而企业的非财务业绩则减轻了这种影响。这些发现凸显了环境监管和市场自由化在影响投资者资源配置方面的重要性。

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引用次数: 0

Global banks and the picking order in internal capital markets: Do locational activity patterns matter? 全球银行与内部资本市场的选择秩序：地点活动模式重要吗？

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2024-11-25 DOI: 10.1016/j.intfin.2024.102083

Carmela D’Avino

This paper examines whether global banks’ liquidity reallocations via internal capital markets are driven by the locational activity patterns of their foreign branches. Using aggregated data of foreign branches of US global banks located in 52 countries, we advance evidence of a picking order that favors locations where branches are more heavily engaged in lending activities. Specifically, we find that internal liquidity support to branches in host countries with prominent local lending activities is especially significant during a contraction in local deposits.

In jurisdictions where branches have higher shares of market-based activities and off-balance sheet exposures, we do not observe a significant increase in internal liquidity support following local funding contractions.

本文研究了全球性银行通过内部资本市场进行流动性再分配是否受其国外分支机构的地区活动模式所驱动。利用美国全球性银行在 52 个国家的海外分支机构的汇总数据，我们提出了有利于分支机构更多从事贷款活动的地区的选择顺序的证据。具体而言，我们发现，在当地贷款活动突出的东道国，对分行的内部流动性支持在当地存款收缩时尤为显著。在分行市场化活动和资产负债表外风险敞口占比较高的辖区，我们没有观察到内部流动性支持在当地资金收缩后显著增加。

引用次数: 0

HACKED: Understanding the stock market response to cyberattacks 黑客攻击：了解股市对网络攻击的反应

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2024-11-22 DOI: 10.1016/j.intfin.2024.102082

Erdinc Akyildirim , Thomas Conlon , Shaen Corbet , Yang (Greg) Hou

Increasing levels of digitisation make firms more susceptible to cyberattacks and privacy violations. In this paper, we quantify the impact of cybercrime on company stock returns using a large international sample. On the day after the cyber event, stock returns are found to decrease by -0.24%, but the effect reverses in about two weeks. The magnitude of the decrease in the stock market is greatest for companies that have experienced reoccurring events and for breaches deemed to be most severe. We show that the extent of the stock market decline cannot be explained by national institutional and macroeconomic factors, and is related to company-specific characteristics, including size, volatility, credit ranking and asset volatility. The empirical results highlight important policy and regulatory issues, not least the need for cyber risk disclosure requirements.

数字化水平的不断提高使企业更容易受到网络攻击和隐私侵犯。在本文中，我们利用大量国际样本量化了网络犯罪对公司股票回报率的影响。研究发现，在网络事件发生后的第二天，股票回报率会下降-0.24%，但这种影响会在两周左右逆转。对于那些经历过重复事件的公司和被认为是最严重的违规事件的公司来说，股市下跌的幅度最大。我们的研究表明，股市下跌的程度无法用国家制度和宏观经济因素来解释，而与公司的具体特征有关，包括规模、波动性、信用等级和资产波动性。实证结果凸显了重要的政策和监管问题，尤其是网络风险披露要求的必要性。

引用次数: 0

Does climate risk shape firms’ accounting conservatism? 气候风险是否影响公司的会计保守主义？

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2024-11-19 DOI: 10.1016/j.intfin.2024.102081

Rong Ding , Gady Jacoby , Mingzhi Liu , Tingting Wang , Zhenyu Wu

We study how climate risk shapes accounting conservatism with data collected from 47 countries. The results suggest that firms that are exposed to higher climate risk use more conditional conservatism, but less unconditional conservatism in their financial reporting. Furthermore, the effect of climate risk on both unconditional conservatism and conditional conservatism is significantly strengthened, both statistically and economically, in well-governed countries. We also find that in countries with higher uncertainty avoidance, the effect of climate risk on unconditional conservatism is significantly enhanced but the effect on conditional conservatism is significantly weakened. Our findings, which are robustly supported by a number of sensitivity checks, enrich the emerging literature on the socio-economic impact of climate risk.

我们利用从 47 个国家收集的数据研究了气候风险如何影响会计保守主义。结果表明，面临较高气候风险的公司在财务报告中会采用更多的有条件保守主义，但较少采用无条件保守主义。此外，在治理完善的国家，气候风险对无条件保守主义和有条件保守主义的影响在统计学和经济学上都显著增强。我们还发现，在不确定性规避程度较高的国家，气候风险对无条件保守主义的影响明显增强，但对有条件保守主义的影响明显减弱。我们的研究结果得到了大量敏感性检验的有力支持，丰富了有关气候风险对社会经济影响的新兴文献。

引用次数: 0

Real earnings management and debt choice 实际收益管理和债务选择

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2024-11-15 DOI: 10.1016/j.intfin.2024.102080

Mostafa Monzur Hasan , Nurul Alam , Mohammad Riaz Uddin , Stewart Jones

This study investigates whether real earnings management (RealEM) affects firms’ debt choice. We find that firms with higher RealEM rely more on bank debt than public debt as a source of financing. Our cross-sectional analysis reveals that the RealEM–debt choice association is more significant in the presence of poor corporate governance and heightened financing constraints. We also observe that the connection between RealEM and bank debt is more significant for suspect firms (i.e., firms with a genuine motive for opportunistic earnings management) than their non-suspect counterparts. Additionally, we find that RealEM increases the use of trade credit and short-term debt. Our findings are robust to endogeneity concerns and other issues. Overall, our findings suggest that the impact of information asymmetry issues arising from RealEM is less for bank than for public debtholders.

本研究探讨了实际收益管理（RealEM）是否会影响企业的债务选择。我们发现，真实收益管理程度较高的公司更依赖银行债务而非公共债务作为融资来源。我们的横截面分析表明，在公司治理不善和融资约束增加的情况下，真实收益管理与债务选择之间的关联更为显著。我们还发现，与非可疑公司相比，可疑公司（即真正有机会主义收益管理动机的公司）的真实EM与银行债务之间的关联更为显著。此外，我们还发现 RealEM 增加了贸易信贷和短期债务的使用。我们的研究结果不受内生性问题和其他问题的影响。总体而言，我们的研究结果表明，真实EM 所引发的信息不对称问题对银行债务人的影响要小于对公众债务人的影响。

引用次数: 0

Self-regulation for responsible banking and ESG disclosure scores: Is there a link? 负责任的银行业自律与环境、社会和公司治理披露得分：两者之间有联系吗？

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2024-11-09 DOI: 10.1016/j.intfin.2024.102079

Ronny Manos, Maya Finger, Haim Boukai

Banks play a crucial role in sustainable development, an area increasingly governed by self-regulation. This study examines whether banks that commit to self-regulation by adopting the Principles for Responsible Banking (PRB) exhibit enhanced Environment, Social, and Governance (ESG) performance. Utilizing Bloomberg ratings, we find that PRB adopters consistently show higher ESG scores than non-adopters, both before and after adoption. This suggests that a commitment to self-regulation serves as a reliable signal of responsible banking practices. Notably, the superior performance of PRB adopters relative to non-adopters is primarily driven by a strong pre-adoption commitment to transparency on ESG issues. We discuss possible explanations for this trend, including the role of early adopters in advancing industry-wide standards. Additionally, our findings reveal a negative association between regulatory quality and ESG scores, implying that banks may leverage ESG disclosures to mitigate information asymmetries in weaker institutional environments.

银行在可持续发展中发挥着至关重要的作用，而这一领域越来越多地受到自律监管。本研究探讨了通过采用《负责任银行业原则》（PRB）致力于自律的银行是否表现出更高的环境、社会和治理（ESG）绩效。利用彭博社的评级，我们发现采用《责任银行原则》的银行在采用前后的环境、社会和治理得分均高于未采用者。这表明，自律承诺是负责任银行实践的可靠信号。值得注意的是，PRB 采用者相对于非采用者的优异表现主要是由于采用前对 ESG 问题透明度的坚定承诺。我们讨论了这一趋势的可能解释，包括早期采用者在推进全行业标准方面的作用。此外，我们的研究结果表明，监管质量与 ESG 分数之间存在负相关关系，这意味着在较弱的制度环境中，银行可能会利用 ESG 披露来缓解信息不对称问题。

引用次数: 0

Impact of using derivatives on stock market liquidity 使用衍生工具对股市流动性的影响

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2024-11-08 DOI: 10.1016/j.intfin.2024.102077

Neeru Chaudhry , Aastha Gupta

This study demonstrates that using derivatives can significantly improve stock liquidity. We conduct several tests to check for robustness of our findings and control for potential endogeneity in our results. We observe that the decrease in stock illiquidity due to derivative usage is more pronounced for firms with high information asymmetry, high firm-specific risk, and negative investor sentiment. Ownership stakes held by foreign institutional investors and domestic promoters do not influence how derivative usage affects stock liquidity. This relationship is significant in the presence of large and independent boards. Our results emphasize the liquidity creation role of derivative usage, which complements other functions of derivatives markets, such as price discovery and risk management. Our findings are relevant for companies operating in foreign capital markets and for international investors who include Indian stocks into their portfolios.

本研究表明，使用衍生工具可以显著提高股票流动性。我们进行了多项测试，以检验研究结果的稳健性，并控制结果中潜在的内生性。我们发现，对于信息不对称程度高、公司特定风险高以及投资者情绪消极的公司而言，使用衍生工具导致的股票流动性下降更为明显。外国机构投资者和国内发起人持有的股权并不影响衍生工具的使用对股票流动性的影响。在董事会规模大且独立的情况下，这种关系是显著的。我们的研究结果强调了衍生品使用在创造流动性方面的作用，这是对衍生品市场其他功能（如价格发现和风险管理）的补充。我们的研究结果对在国外资本市场运营的公司以及将印度股票纳入其投资组合的国际投资者都有借鉴意义。

引用次数: 0

Asymmetric Higher-Moment spillovers between sustainable and traditional investments 可持续投资与传统投资之间不对称的高时刻溢出效应

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2024-11-04 DOI: 10.1016/j.intfin.2024.102078

Xie He , Shigeyuki Hamori

This study proposes a novel framework that decomposes volatility and higher-moment kurtosis into good and bad volatility/kurtosis—related to positive and negative shocks, respectively. Accordingly, we analyze the spillover effects of good and bad volatility/kurtosis between sustainable and traditional investments separately. During most periods, bad volatility spillovers dominate good volatility spillovers, whereas good kurtosis spillovers dominate bad kurtosis spillovers. However, during specific extreme events, such as Brexit and COVID-19, bad kurtosis spillovers dominate. This study’s findings can help investors in developing extreme risk management strategies and policymakers in preventing harmful shock transmissions across markets and fostering financial stability.

本研究提出了一个新颖的框架，将波动率和高次峰度分别分解为与正向冲击和负向冲击相关的好波动率和坏波动率/峰度。因此，我们分别分析了好的和坏的波动率/峰度在可持续投资和传统投资之间的溢出效应。在大多数时期，坏的波动率溢出效应主导好的波动率溢出效应，而好的峰度溢出效应主导坏的峰度溢出效应。然而，在特定的极端事件中，如英国脱欧和 COVID-19，坏的峰度溢出效应占主导地位。本研究的发现有助于投资者制定极端风险管理策略，也有助于政策制定者防止有害冲击跨市场传播，促进金融稳定。

引用次数: 0

Forecasting exchange rate volatility: An amalgamation approach 预测汇率波动：综合方法

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2024-11-04 DOI: 10.1016/j.intfin.2024.102067

Antonios K. Alexandridis , Ekaterini Panopoulou , Ioannis Souropanis

The importance of exchange rate volatility forecasting has both practical and academic merit. Our aim is to provide a comprehensive analysis of the forecasting ability of financial and macroeconomics variables for future exchange rate volatility. We employ seven widely traded currencies against the US dollar and examine linear models and a variety of machine learning, dimensionality reduction and forecast combination approaches, along with creating a grand forecast (amalgamation approach) from these approaches. Our findings highlight the predictive power of the amalgamation approach, as well as the positive contribution of macroeconomic and financial variables in the forecasting experiment. Furthermore, we generate forecasts on the separate frequencies of volatility using wavelet analysis, in order to extract frequency-related information and examine timing effects in the performance of the methods.

汇率波动预测的重要性既有实用价值，也有学术价值。我们的目标是全面分析金融和宏观经济变量对未来汇率波动的预测能力。我们采用了七种广泛交易的货币兑美元汇率，研究了线性模型和各种机器学习、降维和预测组合方法，并从这些方法中创建了一个总预测（合并方法）。我们的研究结果凸显了合并法的预测能力，以及宏观经济和金融变量在预测实验中的积极贡献。此外，我们还利用小波分析对波动的不同频率进行了预测，以提取与频率相关的信息，并研究这些方法的性能中的时间效应。

引用次数: 0

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