Journal of International Financial Markets Institutions & Money最新文献

This paper studies the profitability of market-neutral delta-hedged strategies trading the mispricing of Euro Short Term Rate Overnight Index Swaps (Estr OIS) signalled by standard affine term structure models. Calibrating these models produces pricing errors that signal mispricing and the deltas to hedge market risk. The paper presents simple-to-compute portfolio weights that maximise the OIS arbitrage portfolio information ratio subject to market-neutral delta-hedge constraints and subject to bid–ask spreads. The empirical evidence shows that only investors who can “split” the bid–ask spread can profitably exploit the pricings errors signalled by these models. Investors who can only ever trade at the bid or at the ask cannot profit. Pricing errors are strongly positively auto-correlated, which hampers the profitability of trades that expect the correction of such errors. These results imply that the Estr OIS market is quite efficient and are robust to a number of models and strategies. Four and five factor models are more profitable than three factor ones. Assuming that some OIS rates are observed without error reduces the profitability of models and strategies.

Exploring the intersection of new technologies and financial services, this study probes the role of digital inclusive finance in enhancing the performance of individual investors. Utilizing a unique dataset, we examine the influence of digital inclusive finance in diverse financial environments, particularly focusing on areas with varying levels of traditional financial development and investor protection. Our panel-data statistical model addresses endogeneity concerns, revealing that digital inclusive finance notably boosts investor performance, primarily through enhanced investment diversification and reduced disposition effect. These improvements are more pronounced in regions with underdeveloped traditional finance or robust investor protection. This study not only contributes to understanding the nexus between digital inclusive finance and investor behavior but also suggests policy implications. We recommend leveraging digital financial strategies to empower investors, particularly in less developed financial regions, to maximize the benefits of digital inclusive finance inclusivity.

We explore current development and constraints on infrastructure financing in Africa. We examine how infrastructure development in African countries affects ownership and capital structure choices of private and public–private partnership infrastructure projects. Using data from 33 African countries over 17 years, our findings suggest that infrastructure projects in African countries with better infrastructure development tend to have more private investment, more long-term investment, and they tend to use more debt financing, including more commercial debt, and less equity in their capital structure. For the least developed African countries, where debt financing is scarce, equity investment is vital for infrastructure financing.

The global financial crisis reignited concerns regarding the stability and sustainability of banks. Since liquidity creation (LC) is a core output of banks, we examine if the nexus between LC and bank stability is conditional on ESG (environmental, social, and governance) disclosure by banks. Our sample comprises 178 commercial banks (1568 observations) during the period 2010–2019 in the Asia-Pacific region. Using a two-step system GMM estimation, our results document a positive impact of LC on bank stability. Additionally, ESG disclosures positively moderate the stability effect of LC, i.e., higher LC is associated with significantly more enhancement in bank stability for banks that have a higher disclosure of ESG scores compared to banks that have a moderate disclosure. Furthermore, we also provide evidence of variation in the moderating role of ESG disclosures in advanced and emerging economies. Overall, our results recommend that integrating ESG practices into banks' internal processes improves their financial soundness. Additionally, blanket implementation of liquidity regulations might be detrimental to banks’ stability.

We examine whether migration fear increases future stock price crash risk. We find that a 10 percentage point increase in the migration fear index increases the future stock price crash risk by 17 to 19 percentage points. Our results hold after controlling for macroeconomic conditions, including economic policy uncertainty, and using instrumental variables to address endogeneity issues. The impact of migration fear on crash risk is larger for firms with greater asymmetric information and firms with weaker monitoring mechanisms. We conclude that migration fear can significantly change risk tolerance in financial markets and affect stock price crash risk.

We test the impact of GHG emissions on equity markets’ volatility. Our results confirm that CO₂ and other greenhouse gases emissions such as agricultural nitrous oxide, and methane emissions are associated with increased stock market volatility. This relationship holds across different measures of volatility, emissions, and specifications using nearly 30 years’ worth of index-level data from stock exchanges across 50 countries. These findings lend support to the notion that carbon risk is priced into financial markets, and that green finance could promote more stable global equity markets in the future and thereby foster a more sustainable economic system.

We propose a novel portfolio model integrating the Fama–French three-factor model into the Black–Litterman framework, enabling efficient investment strategies. The model surpasses traditional benchmarks, significantly increasing alpha, minimizing estimation error, and improving diversification. Performance improvements are shown by a tripled Sharpe ratio and doubled Certainty Equivalent Return compared to standard models. It maintains stability across different parameters and economic climates, leveraging improved weight adjustment to reduce estimation errors and withstand market volatility. It provides a new perspective for portfolio construction, leveraging long-term insights from asset pricing theory with significant implications.

This study re-examines the relationship between commercial bank ownership and lending growth from 1996–2019. The results show that before the 2008 financial crisis, both categories of foreign banks expanded lending, predominantly in developing countries. A shift occurred in the lending behavior of foreign banks post-2008. Bank-specific characteristics became more influential in determining credit growth. During host country banking crises, foreign state-controlled banks demonstrated higher loan growth rates than private-owned banks and reduced credit growth abroad during banking crises in home countries. Lastly, during the 2008 crisis, domestic state-controlled banks stabilized lending activity, while both types of foreign banks reduced lending.

This study explores the quantile connectedness between United States (U.S.) economic policy uncertainty (EPU), global structural oil shocks, and U.S. inflation expectations uncertainty (IEU) under extreme shocks using a connectedness method based on the quantile VAR model. We find that the total connectedness index (TCI) exhibits a U-shaped pattern that varies with the conditional quantiles of variables, demonstrating that the spillover effect under extreme market conditions is much greater than under regular market conditions. Further proven that the spillover effect in the extreme upward state is stronger than in the extreme downward state. Moreover, the dynamic TCI is heterogeneous over time and economic-event dependent, specifically affected by COVID-19 epidemic. IEU is the largest net receiver of spillover effects among variables and hence is more susceptible to EPUs and oil shocks. Finally, although there is significant heterogeneity in the spillover effects of different EPUs and structural oil price shocks, overall, EPUs influence the IEU more than global oil shocks.

This paper examines the governance effect of minority shareholder social media engagement on merger and acquisition (M&A) outcomes. First, using a sample of Chinese M&A and social media discussion data from the EastMoney stock message board, we find that minority shareholder social media engagement is positively associated with the acquiring firm’s value after an M&A transaction. This result holds after a series of robustness tests. Second, mediation analyses reveal that social media engagement enhances postmerger firm value by curbing the entrenchment incentives for insiders to set high premiums and use private placement financing in M&As and by reducing management’s agency motive in the integration stage. Third, we find that minority shareholder social media engagement on M&A-specific topics, compared with overall engagement, has a stronger governance effect that further improves M&A outcomes. Finally, minority shareholder social media engagement further reduces the probability of M&A failure and shortens the time to completion. These results provide evidence of the governance role of minority shareholder activism on social media in China, which could help to address the value-destroying and encroachment problems associated with agency-motivated M&As.