Journal of International Financial Markets Institutions & Money最新文献

This study examines the relationship between institutional investors’ size and their inclination towards private equity investments, hypothesizing a U-shaped pattern. It also explores how this relationship is influenced by the institutional context. Using a dataset of 5668 firms across 52 countries from 1991 to 2017, we observe that small and large institutional investors exhibit a stronger preference for private equity compared to intermediate-sized counterparts. Smaller investors show heightened interest in private equity within favorable contexts, while larger investors pursue such opportunities in unfavorable contexts. Our research offers valuable insights for policymakers and investors of diffferent sizes making private equity investments in diverse institutional contexts.

This paper examines the impact of US monetary policy tightening on emerging markets, distinguishing between direct and indirect spillover effects using the global vector autoregression with stochastic volatility covering 32 countries. The paper shows that an increase in the US interest rate significantly reduces output for emerging markets, leading to larger, more prolonged, and persistent declines. Such an impact is further intensified by global trade integration, causing a sharper yet slightly quicker rebounding output drop. The spillover effects are significantly amplified when US monetary policy tightening is accompanied by an increase in monetary policy uncertainty. Finally, emerging markets exhibit considerable heterogeneity in their responses to US monetary policy shocks.

This study sketches how crypto speculators place their bets and investigates the impact of speculative behavior on cryptocurrency pricing. We conjecture that investors favor comparable alternatives to well-known, successful cryptocurrencies as compensation for missed get-rich-quick opportunities. Our verification begins with developing a composite lottery identification indicator that encapsulates the unique characteristics of cryptocurrencies. Intriguing findings involve the following: A low price effect exists in the cryptocurrency market; small and illiquid cryptocurrencies no longer exhibit superior performance within the most speculative portfolios; investors’ lottery-like preferences are time-varying and differ across cryptocurrencies with different features. Collectively, these findings corroborate our conjecture from various angles.

In this study, we revisit Uribe’s (2006) “fiscal theory of sovereign risk”, which suggests a trade-off between stabilizing inflation and suppressing default. Unlike Uribe (2006), we develop a class of dynamic stochastic general equilibrium models in which the production is endogenous with nominal rigidities but whereby the default mechanism follows Uribe (2006). This marginal change generates the New Keynesian Phillips curve that connects inflation and the output gap. Under the optimal monetary and fiscal (OMF) policy, the nominal interest rate and tax rate are both used as policy instruments. A change in the tax rate stabilizes inflation by stabilizing the output gap. Furthermore, this change in the tax rate stabilizes fiscal surplus. Therefore, a trade-off between stabilizing inflation and suppressing default is mitigated by the OMF policy. Note that the OMF policy is a de facto inflation stabilization policy; thus, the tax rate is viewed as a policy instrument for stabilizing inflation.

This study investigates how crowdfunding is influenced by “green” factors. The findings reveal that green factors have a significant effect on crowdfunding success. Moreover, the effect of green factors on crowdfunding success has become more pronounced since the emergence of the COVID-19 pandemic. The empirical results further show that there is significant heterogeneity in this effect among developed and developing countries. Finally, we reveal that green factors, in conjunction with metrics such as the number of comments and backers, contribute to crowdfunding success rates. Overall, this study underscores the importance of environmental elements as predictors of crowdfunding success.

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.