Journal of International Financial Markets Institutions & Money最新文献

We conduct a cross-country analysis to examine the impact of national culture on the vulnerability of European banks during the Covid-19 pandemic. Analyzing the stock market volatility of major banks, we explore differences in uncertainty avoidance and individualism levels across multiple European countries. Our results reveal that low uncertainty avoidance reduces the influence of Covid-19-related cases on bank volatility during the peak of the crisis. Even as the pandemic progresses and vaccinations become widespread, the effect of uncertainty avoidance remains significant. We also find that high individualism has a stabilizing effect on bank volatility, particularly after the start of vaccinations. This study contributes to understanding the role of national culture in shaping bank vulnerability to common stocks, such as the pandemic.

This paper investigates the interplay between two types of banking risk: market and credit. By verifying the volatility feedback loop hypothesis, we employ a multilayer information spillover network to explore information flow (risk spillover) between market and credit risks of European Global Systemically Important banks (G-SIBs). We analyse their role in transmitting market and credit risk, showing that capturing spillovers of both risks provides a more comprehensive perspective on financial risk contagion. Our findings have important implications for policymakers and risk managers, aiding in better risk assessment and timely crisis response, improving financial stability.

This paper investigates the price discovery relationships between FTT Token, issued by the cryptocurrency exchange FTX, and a set of assets and liabilities held by FTX amid a period of catastrophic financial decline by applying novel information flow measurement techniques. Results indicate that during key phases associated with the collapse of FTX, FTT Token had an informational lead over multiple assets, including cryptocurrencies such as Ethereum. Furthermore, we identify significant interactions between the FTT Token and both Robinhood shares and the token Serum, raising concerns about the direct influence of permissionless, technically valueless tokens on other assets and the potential challenges to market stability and investor protection. Our findings underscore the need for stronger policy-making, regulatory, and ethical considerations in cryptocurrency markets.

Depth of cross-country international trade engagement is an important source of (the strength of) stock-market connectedness, depicting how directional attributes of trade determine the magnitude of spillover of stock returns across economies. We premise and test this hypothesis for a group of eleven major economies during 2000 m1-2021 m6 using both system-wide and directional evidence. We exploit the input–output network of Bilgin and Yilmaz (2018) to construct a trade-network, and use Diebold and Yilmaz, 2009, Diebold and Yilmaz, 2012, Diebold and Yilmaz, 2014 Connectedness Index to proxy for stock-market connectedness among economies. We reveal China’s instrumental role in the trade-network and its rising influence in stock markets dominated by the US. Motivated by the fact that shocks on an economy’s imports and exports may lead to different magnitude of stock market spillover to its trade partner, we further carry out a pairwise directional level investigation. Once the directional dimensions of both the trade flows and the stock market influences are considered, we find that an economy’s stock return spillover to its trade partner is generated from its position as an importer and exporter. More importantly, being an importer is found to be a stronger source of such spillover than being an exporter.

This study investigates the impact of foreign institutional investors (FIIs) on stock price crash risk in India. Panel regression findings reveal that higher levels of FII holdings, signifying positional trading, exacerbate crash risk. Conversely, increased stability of FII holdings, indicative of active monitoring, diminishes crash risk. Notably, FIIs’ buying interest does not influence crash risk, affirming that their risk mitigation arises from active monitoring and not from curbing selling pressure. Further analysis reveals that FII stability reduces crash risk only when controlling shareholder (i.e., promoter) equity holding is low. This promoter effect is driven by domestic promoters and not foreign promoters.

We assess the impact of trade fragmentation in equity markets using volatility networks following the volatility-of-volatility (VoV) approach. VoV networks offer an original method for measuring and visualizing the common component of volatilities. We use topological distance and connectivity indicators describing their structure as alternative proxies of VoV. Further, we use panel tests to apply threshold effects regression models on French equity market data after the introduction of MiFID, both at portfolio level and asset level. We show that market fragmentation yields a reduction in VoV, corresponding to both a contraction of volatility networks and a change in their structure. This effect strengthens in the stabilizing fragmentation regime compared to the increased fragmentation regime. Since VoV has been shown to predict stock markets returns, this original finding is widely relevant to market operators, regulators and public authorities.

This study investigates the impact of the COVID-19 pandemic on East Asian financial markets, specifically China, Japan, Korea, Indonesia, Malaysia, and the Philippines, by introducing the innovative GVAR-GARCH model. Examining the period from November 2019 to August 2023, our findings show that while these economies initially absorbed pandemic-induced shocks, subsequent variations in daily death rates had no statistically significant effects on stock market returns or ten-year bond yields. This research deepens our understanding of market dynamics during crises and highlights the effectiveness of the proposed GVAR-GARCH model. In terms of policy implications, the study suggests that targeted measures addressing both public health and economic stability can enhance market resilience during crises. Policymakers can leverage these insights to formulate strategies that recognize the interconnectedness of health crises and financial markets, promoting economic stability in the face of unforeseen challenges.

There is an intricate relationship between the carbon, energy, and electricity markets, and it is essential to clarify the relationship between them to promote the sustainable development of the three markets. This paper focuses on Chinese carbon, energy, and electricity markets and uses the TVP-VAR model to explore the risk spillover effects among these markets. It also combines the QVAR model with the TVP-VAR model to assess the impact of COVID-19 on their connectedness. Additionally, an effective diversified portfolio is constructed to cope with inter-market risk spillover. The empirical testing is conducted using a sample of eight bellwether stocks from Chinese carbon, energy, and electricity markets, spanning from August 1, 2013, to December 30, 2022. Results show that: 1. Risk spillover among the three markets is particularly evident in the downside or upside market. 2. The carbon market and electricity market are the largest recipients and transmitters of net risk spillovers, respectively. 3. During COVID-19, the carbon market enhanced the spillovers on other markets under market downside periods. Our findings provide theoretical references for market participants and regulators to address inter-market volatility spillovers.

We contribute to the literature on herding in the cryptocurrency market by using a unique data set of trader transactions. Using popular metrics, we find significant evidence of herding, which is primarily driven by individuals mimicking their own past trades, given the sporadic nature of information as well as the ambiguity and anonymity inherent in this market. Herding is higher during bearish periods as traders react more similarly to negative news. We find evidence of intentional herding due to informational cascades in less liquid cryptocurrencies, where significant price movements may be interpreted as valuable information. Traders with larger accounts tend to mimic their own past trades. Mature traders trade similarly due to their lower tolerance for risk and experimentation. We find herding differentials among traders that arise due to the environment governing the local financial system in which they are located. Moreover, persistence in herding is lower compared to what has been reported in other markets due to the higher degree of ambiguity of cryptocurrencies and the individuals trading them. Finally, market factors such as volatility, have a significant effect on herding. Our results shed light on how trader characteristics and market factors impact an individual’s propensity to herd.

This paper investigates the relative influence of the United States, China, Japan and the European Union on Asian stock markets from the perspective of economic policy uncertainty (EPU). The empirical setting assumes that stock markets evolve through high- and low-volatility regimes with a probability driven by EPU in these leader countries. The main result of the paper indicates that Chinese EPU surpasses Japanese and US EPU as the main driver of Asian stock market volatility, except in the South Korean and Hong Kong stock markets. Moreover, Chinese policy-specific uncertainty indices, such as monetary, fiscal, trade and exchange rate policies play a significant role but in the most developed financial markets only. These result provides further evidence that China’s economic and financial ties with its near neighbors are deepening, which has important implications for the regional institutions tasked with promoting and monitoring regional financial stability.