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Forecasting Bitcoin volatility using machine learning techniques 利用机器学习技术预测比特币波动性
IF 5.4 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-10-19 DOI: 10.1016/j.intfin.2024.102064
Zih-Chun Huang , Ivan Sangiorgi , Andrew Urquhart
This paper studies the Bitcoin volatility forecasting performance between popular traditional econometric models and machine learning techniques. We compare the 1-day to 2-month ahead forecasting performance of the Long Short-Term Memory (LSTM) and a hybrid Convolutional Neural Network-LSTM (CNN-LSTM) model to the traditional models. We find that neural networks outperform Generalised Autoregressive Conditional Heteroskedasticity (GARCH) models for all forecasting horizons. Furthermore, the LSTM model outperforms the Heterogeneous Autoregressive (HAR) model and by integrating the Markov Transition Field (MTF) into the CNN-LSTM model, we achieve superior forecasting results in the short-term, particularly for the 7-day forecasts.
本文研究了流行的传统计量经济学模型与机器学习技术之间的比特币波动率预测性能。我们比较了长短期记忆(LSTM)和混合卷积神经网络-LSTM(CNN-LSTM)模型与传统模型的 1 天至 2 个月的预测性能。我们发现,在所有预测期限内,神经网络都优于广义自回归条件异方差(GARCH)模型。此外,LSTM 模型优于异质自回归(HAR)模型,而且通过将马尔可夫转换场(MTF)整合到 CNN-LSTM 模型中,我们在短期内取得了优异的预测结果,尤其是在 7 天预测方面。
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引用次数: 0
Good vs. bad volatility in major cryptocurrencies: The dichotomy and drivers of connectedness 主要加密货币波动的好坏对比:二分法和关联性驱动因素
IF 5.4 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-10-01 DOI: 10.1016/j.intfin.2024.102062
Jan Sila, Evzen Kocenda, Ladislav Kristoufek, Jiri Kukacka
Cryptocurrencies exhibit unique statistical and dynamic properties compared to those of traditional financial assets, making the study of their volatility crucial for portfolio managers and traders. We investigate the volatility connectedness dynamics of a representative set of eight major crypto assets. Methodologically, we decompose the measured volatility into positive and negative components and employ the time-varying parameters vector autoregression (TVP-VAR) framework to show distinct dynamics associated with market booms and downturns. Our findings indicate that crypto connectedness reflects important events and oscillates substantially while reaching lower limit values when compared to traditional financial markets. Periods of extremely high or low connectedness are clearly linked to specific events in the crypto market and macroeconomic or monetary history. Furthermore, existing asymmetry from good and bad volatility indicates that market downturns spill over substantially faster than comparable market surges. Overall, the connectedness dynamics are driven by a combination of both crypto (momentum, on-chain activity, off-chain activity) and legacy financial and economic (financial and economic uncertainty, and financial market performance) factors, while the asymmetry is more connected to the off-chain crypto activity and the combination of economic, financial, and monetary factors. In both the total connectedness and asymmetry modeling, these can serve as hands-on indicators to be further translated into specific portfolio re-balancing decisions, risk management, and regulatory frameworks.
与传统金融资产相比,加密货币具有独特的统计和动态特性,因此研究其波动性对投资组合经理和交易者至关重要。我们研究了具有代表性的八种主要加密资产的波动性关联动态。在方法上,我们将测量的波动率分解为正负两个部分,并采用时变参数向量自回归(TVP-VAR)框架来显示与市场繁荣和衰退相关的独特动态。我们的研究结果表明,与传统金融市场相比,加密货币的连通性反映了重要事件并大幅波动,同时达到较低的极限值。关联度极高或极低的时期显然与加密货币市场的特定事件以及宏观经济或货币历史有关。此外,现存的好坏波动不对称现象表明,市场下滑的蔓延速度远远快于可比的市场飙升速度。总体而言,连通性动态是由加密货币(动量、链上活动、链下活动)和传统金融与经济(金融与经济不确定性、金融市场表现)因素共同驱动的,而不对称则与链下加密货币活动以及经济、金融和货币因素的结合联系更大。在总体关联性和不对称性模型中,这些都可以作为实践指标,进一步转化为具体的投资组合再平衡决策、风险管理和监管框架。
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引用次数: 0
Financial sector development and microcredit to small firms 金融部门发展和向小企业提供小额贷款
IF 5.4 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-10-01 DOI: 10.1016/j.intfin.2024.102063
Désiré Kanga , Issouf Soumare , Hubert Tchakoute Tchuigoua
This article investigates the relationship between countries’ financial sector development and the loans extended to micro, small, and medium-sized enterprises (MSMEs or small firms) by microfinance institutions (MFIs). Using 4,801 MFI-year observations worldwide, we find a negative relationship between financial sector development and MSME lending by microfinance institutions. In other words, improvement in financial development, defined as a combination of depth, access, and efficiency, decreases micro-lending to small firms due essentially to intense competition from banks. Moreover, looking at the ownership status of microfinance institutions, we find that the intense competition between profit-oriented microfinance institutions and banks mainly drives the observed negative relationship. For nonprofit microfinance institutions, financial sector development is not significantly associated with their lending to small firms. In a less developed financial sector, microfinance institutions lend more to small firms, fulfilling their social mission.
本文研究了各国金融业发展与小额信贷机构(MFIs)向微型、小型和中型企业(MSMEs 或小型公司)发放贷款之间的关系。通过对全球 4801 个小额信贷机构年的观察,我们发现金融业发展与小额信贷机构的中小微企业贷款之间存在负相关关系。换句话说,金融发展(定义为深度、准入和效率的组合)的改善会减少对小型企业的小额贷款,主要原因是来自银行的激烈竞争。此外,从小额信贷机构的所有制状况来看,我们发现以盈利为目的的小额信贷机构与银行之间的激烈竞争是导致观察到的负相关关系的主要原因。对于非营利性小额信贷机构而言,金融业的发展与其对小企业的贷款关系不大。在金融业欠发达的情况下,小额信贷机构会向小企业提供更多贷款,从而履行其社会使命。
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引用次数: 0
Dependence of green energy markets on big data and other fourth industrial revolution technologies 绿色能源市场依赖大数据和其他第四次工业革命技术
IF 5.4 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-10-01 DOI: 10.1016/j.intfin.2024.102061
Ramzi Benkraiem , Khaled Guesmi , Gideon Ndubuisi , Christian Urom , Samuel Vigne
This paper analyzes the dependence and connectedness among fourth-industrial revolution technology markets (including big data and artificial intelligence, blockchain, and financial technology) and global and regional (US, Europe, and Asia) green energy markets. In particular, we consider the dynamic dependence among these markets in terms of both returns and volatility across different market conditions and investment horizons using the cross-spectral coherence and Quantile-VAR connectedness approach. Three main results emerge from our analysis. First, the return dependence is relatively stronger than volatility dependence and is stronger across most time scales among the technology markets and the European and Asian regional green energy indexes. Second, the return and volatility connectedness is stronger during extreme than normal market conditions. Unless under bullish market times, volatility connectedness appears smaller than return connectedness, implying that market volatility risks spread less forcefully among these markets than return risks under normal and bearish market periods. Third, geopolitical risks, business environment, economic policy, fixed-income, and oil and gold markets’ uncertainties are significant predictors of the degree of return and volatility connectedness. Overall, our findings offer crucial insights for short- and long-term investors interested in portfolios with modern technology and green assets. They also emphasize the roles of market and macroeconomic factors in shock propagation and their implications for low-carbon transition.
本文分析了第四次工业革命技术市场(包括大数据和人工智能、区块链和金融技术)与全球和地区(美国、欧洲和亚洲)绿色能源市场之间的依赖性和关联性。特别是,我们使用跨谱一致性和Quantile-VAR连通性方法,考虑了这些市场在不同市场条件和投资期限下的收益和波动的动态依赖性。我们的分析得出了三个主要结果。首先,收益率依赖性相对强于波动率依赖性,而且在大多数时间尺度上,技术市场以及欧洲和亚洲地区绿色能源指数的收益率依赖性更强。其次,在极端市场条件下,收益率和波动率的关联性比正常市场条件下更强。除非在市场看涨的情况下,否则波动性的关联性似乎小于收益率的关联性,这意味着在正常和看跌的市场时期,市场波动性风险在这些市场中的扩散力度小于收益率风险。第三,地缘政治风险、商业环境、经济政策、固定收入以及石油和黄金市场的不确定性是回报率和波动率关联度的重要预测因素。总之,我们的研究结果为对现代技术和绿色资产投资组合感兴趣的短期和长期投资者提供了重要启示。研究还强调了市场和宏观经济因素在冲击传播中的作用及其对低碳转型的影响。
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引用次数: 0
Global uncertainty and exchange rate conditions: Assessing the impact of uncertainty shocks in emerging markets and advanced economies 全球不确定性与汇率状况:评估不确定性冲击对新兴市场和发达经济体的影响
IF 5.4 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-09-27 DOI: 10.1016/j.intfin.2024.102060
Helena Glebocki , Sujata Saha
Economic and financial conditions respond significantly to increased measures of uncertainty, particularly in economic policy, monetary policy, and financial markets. This research employs the global vector autoregression (global VAR) model to assess the response of bilateral exchange rates, exchange rate volatility, exchange market pressure, and nominal and real effective exchange rates to shocks in global economic and financial uncertainty, along with U.S. monetary policy uncertainty, U.S. equity market volatility, and U.S. financial stress indicators. Spikes in uncertainty correspond to immediate increases in exchange rate volatility, buildup of exchange market pressure, and depreciation for emerging markets. The results are compared to advanced economies, China, and Russia separately, identifying key differences across markets.
经济和金融条件对不确定性的增加做出了重大反应,特别是在经济政策、货币政策和金融市场方面。本研究采用全球向量自回归(Global VAR)模型来评估双边汇率、汇率波动性、汇市压力以及名义和实际有效汇率对全球经济和金融不确定性冲击以及美国货币政策不确定性、美国股市波动性和美国金融压力指标的反应。不确定性的飙升会导致新兴市场的汇率波动、汇市压力和贬值立即增加。研究结果分别与发达经济体、中国和俄罗斯进行了比较,找出了不同市场之间的主要差异。
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引用次数: 0
Social media as an amplifier of insider trading profits 社交媒体是内幕交易利润的放大器
IF 5.4 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-09-25 DOI: 10.1016/j.intfin.2024.102059
Yi Li , Wei Zhang , Pengfei Wang , John W. Goodell
Our study investigates the relationship between stock forum posts and insider trading profitability. Using regression analysis, we find a positive relationship between the number of posts on a firm’s stock forum and insider trading profitability, particularly for sales transactions. A difference-in-differences analysis based on the launch of the mobile app for stock forums further confirms these results. This profit-amplifying effect of stock forum posts is likely due to the pervasive noise on social media, as it weakens following the introduction of regulations aimed at cleaning up the internet’s information environment. Additionally, we observe distinctions in post tone around insider trades, with the profit-amplifying effect more pronounced in firms with high information asymmetry, substantial retail holdings, and less foreign ownership. Overall, our study highlights a potential dark side of social media in amplifying insider trading profits, emphasizing the need for regulatory measures.
我们的研究调查了股票论坛帖子与内幕交易盈利能力之间的关系。通过回归分析,我们发现公司股票论坛上的帖子数量与内幕交易盈利能力之间存在正相关关系,尤其是在销售交易方面。基于股票论坛移动应用程序发布时间的差异分析进一步证实了这些结果。股票论坛帖子的利润放大效应很可能是由于社交媒体上普遍存在的噪音造成的,因为在旨在净化互联网信息环境的法规出台后,这种效应会减弱。此外,我们还观察到围绕内幕交易的帖子基调有所不同,在信息高度不对称、大量散户持股和外资持股较少的公司中,利润放大效应更为明显。总之,我们的研究凸显了社交媒体在放大内幕交易利润方面潜在的阴暗面,强调了采取监管措施的必要性。
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引用次数: 0
Does ESG contracting align or compete with stakeholder interests? ESG 合同与利益相关者的利益是一致还是竞争?
IF 5.4 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-09-19 DOI: 10.1016/j.intfin.2024.102058
Maria Gaia Soana

The paper investigates whether ESG-linked managerial incentives, also known as ESG contracting, align or compete with stakeholder interests in the banking sector. The few related literature, focussed on non-financial companies, shows arguments both pro and against pay for sustainability. Using a panel data set of 595 worldwide listed banks for the period 2010–2021, the paper studies the effectiveness of ESG incentives in improving ESG performance and limiting ESG controversies. ESG contracting is shown to improve both ESG performance and ESG disputes, thus suggesting that it is more symbolic than substantial in meeting stakeholder interests. ESG strategy, ESG committee and managerial risk-taking are significant channels through which ESG incentives affect ESG performance and ESG controversies in the banking sector.

本文研究了与环境、社会和公司治理挂钩的管理激励机制(也称为环境、社会和公司治理契约)是与银行业利益相关者的利益相一致还是相竞争。为数不多的以非金融公司为研究对象的相关文献显示,支持和反对可持续发展薪酬的论点都有。本文利用 2010-2021 年期间全球 595 家上市银行的面板数据集,研究了 ESG 激励机制在提高 ESG 业绩和限制 ESG 争议方面的有效性。结果表明,ESG 合同既能提高 ESG 业绩,也能减少 ESG 争议,因此在满足利益相关者利益方面,ESG 合同的象征意义大于实质意义。ESG战略、ESG委员会和管理风险承担是ESG激励机制影响银行业ESG绩效和ESG争议的重要渠道。
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引用次数: 0
The Shock of US-China trade war and the job Market: Downstream shrinkage and upstream employment 中美贸易战的冲击与就业市场:下游萎缩与上游就业
IF 5.4 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-09-13 DOI: 10.1016/j.intfin.2024.102057
Yunqing Tao , Wei Yang , Yongwei Ye , Dongmin Kong

Using the 2018 US-China trade war as a quasi-natural experiment, we investigate how downstream shrinkage affects upstream employment. Utilizing a difference-in-differences (DID) approach, we reveal a negative effect of downstream shrinkage on upstream firm employment. Our mechanism analysis indicates that trade wars increase the tax burden, inventories, and accounts payable for downstream firms while reducing their employment. This shrinkage of downstream firms limits the scale of investment and operations for upstream firms through supply chain transmission, thereby decreasing employment of upstream firms. Moreover, our finding is more pronounced for specific types of firms, such as non-state-owned firms, firms operating across multiple industries. Our study provides an essential reference for firms in building resilient supply chain networks to better cope with potential negative shocks.

我们以 2018 年中美贸易战为准自然实验,研究了下游萎缩如何影响上游就业。利用差分法(DID),我们揭示了下游萎缩对上游企业就业的负面影响。我们的机制分析表明,贸易战会增加下游企业的税负、库存和应付账款,同时减少其就业。下游企业的萎缩通过供应链传导限制了上游企业的投资和经营规模,从而减少了上游企业的就业。此外,我们的发现对特定类型的企业更为明显,如非国有企业、跨行业经营的企业等。我们的研究为企业建立弹性供应链网络以更好地应对潜在负面冲击提供了重要参考。
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引用次数: 0
Beyond the target: The spillover effect of shareholder activism on corporate tax avoidance 目标之外:股东激进主义对企业避税的溢出效应
IF 5.4 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-09-06 DOI: 10.1016/j.intfin.2024.102054
Haowen Tian , Junkai Wang , Sirui Wu

This study explores how shareholder activism affects the behaviors of non-target companies with the same investment portfolio. Employing a matching-DiD methodology, we find that the portfolio non-target treatment firms tend to conduct greater tax avoidance compared to the control firms. This effect is stronger for firms facing financial constraints, under experienced activist scrutiny, involved in hostile campaigns, targeting financial and M&A matters, and with higher activist shareholdings. Increased tax avoidance is attributed to improved tax planning, enhancing firm value, and reducing future targeting risks. These findings align with the threat effect, where both fortification and fire-drill channels can be at play. Overall, this study sheds light on how companies balance financial demands of shareholders with the tax obligations to the government in their tax strategy decisions, which may provide valuable insights into how businesses keep the balance between multiple stakeholders.

本研究探讨了股东激进主义如何影响具有相同投资组合的非目标公司的行为。通过采用匹配-DiD 方法,我们发现与对照公司相比,投资组合中的非目标处理公司倾向于采取更多的避税行为。对于面临财务限制、受到激进分子审查、卷入敌对运动、针对财务和并购事项以及激进分子持股比例较高的公司,这种效应更强。避税行为的增加可归因于税收筹划的改善、公司价值的提高以及未来目标风险的降低。这些发现与威胁效应相吻合,在威胁效应中,强化和火力演练两种渠道都可能发挥作用。总之,本研究揭示了公司在税收战略决策中如何平衡股东的财务要求和对政府的纳税义务,这为企业如何在多个利益相关者之间保持平衡提供了有价值的见解。
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引用次数: 0
The bind and the slack of Basel III liquidity regulations: Evidence from Indonesia 巴塞尔协议 III》流动性法规的约束与松弛:印度尼西亚的证据
IF 5.4 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-09-05 DOI: 10.1016/j.intfin.2024.102046
Zaäfri A. Husodo, Arisyi F. Raz, Dwi Nastiti Danarsari

Liquidity regulation framework is one of the pillars of Basel III implementation. In this paper, we evaluate how Basel III liquidity regulations, namely the liquidity coverage ratio (LCR) and the net stable funding ratio (NSFR), as well as their interactions affect financial stability. Theory suggests that, in maintaining financial stability, liquidity regulations may not act as complements. If one regulation is a binding constraint, the other may become a slack. Using Indonesia, an early adopter of the LCR and the NSFR, as a testing ground, we find that the LCR significantly reduces bank systemic risk, thus acting as a binding liquidity regulation. Lower systemic risk reflects lower fire-sale spillover implications in the financial system after the implementation of the LCR. The NSFR, however, does not have a significant effect on systemic risk, confirming its role as a slack.

流动性监管框架是《巴塞尔协议 III》实施的支柱之一。在本文中,我们将评估《巴塞尔协议 III》的流动性监管规定(即流动性覆盖率和净稳定资金比率)及其相互作用如何影响金融稳定性。理论表明,在维护金融稳定的过程中,流动性法规可能无法起到互补作用。如果其中一项法规是约束性的,另一项法规就可能成为束缚性的。印度尼西亚是较早采用 LCR 和 NSFR 的国家,以印度尼西亚为试验场,我们发现 LCR 显著降低了银行的系统性风险,从而成为具有约束力的流动性法规。系统性风险的降低反映了在实施《流动性补偿条例》后,金融体系中的火灾溢出影响降低了。然而,《国家净资产收益率法》对系统风险的影响并不显著,这证实了它的松弛作用。
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引用次数: 0
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Journal of International Financial Markets Institutions & Money
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