International Review of Financial Analysis最新文献

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Vulnerable options under a Hawkes jump-diffusion model with two-factor stochastic volatility 具有两因素随机波动率的Hawkes跳-扩散模型下的脆弱期权

IF 9.8 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis

Pub Date : 2026-01-20 DOI: 10.1016/j.irfa.2026.105095

Puneet Pasricha , Xin-Jiang He

In this article, we address the valuation of a European vulnerable options within a structural framework. Specifically, we model the underlying asset and the asset of the option writer using a joint Hawkes jump-diffusion model with two-factor stochastic volatility. We derive a general analytical integral formula for prices of European options, applicable under any modeling framework as long as the joint characteristic function of asset prices associated with the underlying and option writer is available analytically. Distinguished from the pricing formulae in the literature, especially in a jump-diffusion framework, which is either in the form of the expectation over the jump process or requires evaluating several layers of infinite sums, our formula is significantly simplified and computationally efficient. Moreover, our model dynamics encompasses a wide range of commonly used models as special cases, for which we provide explicit analytical forms of the joint characteristic functions. Finally, we present numerical experiments demonstrating the accuracy and computational efficiency of our formula, along with sensitivity analysis to highlight the impact of various model parameters on the option prices.

在本文中，我们将在结构框架内解决欧洲脆弱期权的估值问题。具体来说，我们使用一个具有双因素随机波动率的联合Hawkes跳-扩散模型对标的资产和期权出权人的资产进行建模。我们推导了欧式期权价格的一般解析积分公式，只要与标的和期权出售者相关的资产价格的联合特征函数是可解析的，它就适用于任何建模框架。与文献中的定价公式不同，特别是在跳跃-扩散框架中，价格公式要么以跳跃过程的期望形式出现，要么需要评估几层无限和，我们的公式显着简化，计算效率高。此外，我们的模型动力学包含了广泛的常用模型作为特殊情况，为此我们提供了联合特征函数的显式分析形式。最后，我们通过数值实验证明了我们的公式的准确性和计算效率，并通过敏感性分析来突出各种模型参数对期权价格的影响。

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引用次数: 0

Retraction notice to “The impacts of climate policy uncertainty on stock markets: Comparison between China and the US” [FINANA 88 (2023) 102671] 关于“气候政策不确定性对股市的影响：中美比较”的撤回通知[finance 88 (2023) 102671]

IF 8.2 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis

Pub Date : 2026-01-15 DOI: 10.1016/j.irfa.2026.105075

Xin Xu, Shupei Huang, Brian M. Lucey, Haizhong An

引用次数: 0

The performance of low-carbon equity funds 低碳股票型基金的表现

IF 9.8 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis

Pub Date : 2026-01-15 DOI: 10.1016/j.irfa.2026.105096

Kevin Birk , Martin Rohleder , René Weh , Marco Wilkens

This study examines the performance of low-carbon equity funds by gaining a better understanding of what drove past performance, what opportunity costs arose from higher idiosyncratic risks, and which components would shape future expectations. Low-carbon funds outperformed medium- and high-carbon funds under traditional factor models, but this advantage declined after incorporating carbon-related factors and fund characteristics. Adjusting for the opportunity costs of idiosyncratic risk particularly weakened low-carbon fund performance. Considering factor premia, exposures, characteristics, and diversification costs, investors should expect lower returns relative to a passive market-wide benchmark and roughly comparable outcomes across low-, medium-, and high-carbon funds.

本研究通过更好地了解驱动过去业绩的因素、较高的特殊风险带来的机会成本以及哪些因素将影响未来预期，来检验低碳股票基金的业绩。在传统因子模型下，低碳基金优于中、高碳基金，但在纳入碳相关因子和基金特征后，这一优势有所下降。对特殊风险的机会成本进行调整，尤其削弱了低碳基金的表现。考虑到要素溢价、风险敞口、特征和多样化成本，投资者应该预期相对于被动的市场基准和低碳、中碳和高碳基金大致相当的结果而言，回报会更低。

引用次数: 0

Retraction notice to “Is Bitcoin a better safe-haven investment than gold and commodities?” [FINANA 63 (2019) 322–330] “比特币是比黄金和大宗商品更好的避险投资吗？”[finance 63 (2019) 322-330]

IF 8.2 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis

Pub Date : 2026-01-14 DOI: 10.1016/j.irfa.2026.105081

Syed Jawad Hussain Shahzad, Elie Bouri, David Roubaud, Ladislav Kristoufek, Brian Lucey

引用次数: 0

Gaussian Mixture systemic risk measures in international equity markets 国际股票市场的高斯混合系统风险测度

IF 9.8 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis

Pub Date : 2026-01-13 DOI: 10.1016/j.irfa.2026.105094

Sung Ik Kim

We develop a framework to measure systemic risk in international equity markets by integrating ARMA-GARCH dynamics with Dynamic Conditional Correlation (DCC) and Gaussian Mixture (GM) innovations. The specification captures heavy tails, regime dependence, and time-varying co-movement, and incorporates foreign exchange (FX) risk by modeling all equity returns in U.S. dollars. Using daily data for 10 major equity indices from 2000–2024, we estimate rolling joint predictive distributions and simulate conditional tail measures —

C o V a R

Δ C o V a R

C o A V a R

, and

Δ C o A V a R

. Out-of-sample backtests (Kupiec, Christoffersen, and Dynamic Quantiles tests) indicate strong tail calibration and conditional coverage. Empirically, systemic spillovers are highly time varying and intensify around major global stress episodes; adjusting for FX materially amplifies magnitudes and often reorders systemic risk contributors, especially in emerging markets. These results underscore the importance of modeling currency risk and non-Gaussian shocks when assessing cross-border vulnerabilities. The proposed GM-DCC framework provides a practical tool for investors, policymakers, and regulators to detect and monitor global financial fragility with greater precision.

我们开发了一个框架，通过将ARMA-GARCH动态与动态条件相关（DCC）和高斯混合（GM）创新相结合，来衡量国际股票市场的系统性风险。该规范捕获了重尾、制度依赖性和时变联合运动，并通过以美元为所有股权回报建模来合并外汇风险。使用2000-2024年10个主要股票指数的每日数据，我们估计滚动联合预测分布并模拟条件尾度量- CoVaR， ΔCoVaR， CoAVaR和ΔCoAVaR。样本外回测（Kupiec、Christoffersen和动态分位数测试）表明强尾校准和条件覆盖。从经验上看，系统性溢出具有高度时变性，并在重大全球压力事件发生时加剧；对外汇进行调整会极大地放大规模，并经常对系统性风险因素进行重新排序，尤其是在新兴市场。这些结果强调了在评估跨境脆弱性时建立货币风险和非高斯冲击模型的重要性。拟议的GM-DCC框架为投资者、政策制定者和监管机构更精确地发现和监测全球金融脆弱性提供了一个实用工具。

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引用次数: 0

Retraction notice to “Extreme spillovers across Asian-Pacific currencies: A quantile-based analysis” [FINANA 72 (2020) 101605] 对“亚太货币的极端溢出效应：基于分位数的分析”的撤回通知[finance] 72 (2020) 101605]

IF 8.2 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis

Pub Date : 2026-01-12 DOI: 10.1016/j.irfa.2026.105080

Elie Bouri, Brian Lucey, Tareq Saeed, Xuan Vinh Vo

引用次数: 0

Retraction notice to “Cryptocurrencies as a financial asset: A systematic analysis” [FINANA 62 (2019) 182–199] 对“加密货币作为金融资产：系统分析”的撤回通知[FINANA 62 (2019) 182-199]

IF 8.2 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis

Pub Date : 2026-01-12 DOI: 10.1016/j.irfa.2026.105078

Shaen Corbet, Brian Lucey, Andrew Urquhart, Larisa Yarovaya

引用次数: 0

Retraction notice to “Identifying the multiscale financial contagion in precious metal markets” [FINANA 63 (2019) 209–219] 关于“识别贵金属市场的多尺度金融传染”的撤回通知[FINANA 63 (2019) 209-219]

IF 8.2 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis

Pub Date : 2026-01-12 DOI: 10.1016/j.irfa.2026.105077

Xinya Wang, Huifang Liu, Shupei Huang, Brian Lucey

引用次数: 0

Retraction notice to “Financing Irish high-tech SMEs: The analysis of capital structure” [FINANA 83 (2022) 102219] 对《爱尔兰高新技术中小企业融资：资本结构分析》的撤回通知[finance] 83(2022) 102219。

IF 8.2 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis

Pub Date : 2026-01-12 DOI: 10.1016/j.irfa.2026.105079

Conor Neville, Brian M. Lucey

引用次数: 0

Motivated institutional investors and corporate debt choices: Do minority shareholders matter? 有动机的机构投资者与公司债务选择：小股东重要吗？

IF 9.8 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis

Pub Date : 2026-01-12 DOI: 10.1016/j.irfa.2026.105093

Michał Kałdoński, Tomasz Jewartowski

On the basis of 460 non-financial public companies listed on the Warsaw Stock Exchange, we find a negative relationship between the shareholdings of motivated institutional investors playing the role of minority shareholders and the firm's reliance on bank debt. The observed relation seems to reflect the substitution effect in monitoring insiders, between motivated institutional investors and banks. We find this relationship to hold mostly for transparent companies, as they do not benefit much from disclosing private information to banks and thus can easily replace bank debt with other sources of financing. Furthermore, it holds mostly for companies suffering from substantial agency problems stemming from potential conflicts of interest between controlling and minority shareholders (a typical problem in countries with concentrated ownership structure of listed companies) and thus having greater monitoring needs. The revealed relationship is also substantial for poorly performing firms, where effective institutional monitoring can reduce the debt renegotiation advantage of bank financing. We document that the observed effect is stronger for motivated institutions with higher monitoring effectiveness, i.e. independent, long-term institutional investors with multiple blockholdings. We confirm that firms with motivated institutional investors tend to have higher proportions of public debt. Additionally, we show that companies substituting bank monitoring with institutional monitoring experience an increase in firm value.

基于华沙证券交易所上市的460家非金融上市公司，我们发现扮演小股东角色的激励机构投资者的持股与公司对银行债务的依赖之间存在负相关关系。观察到的关系似乎反映了激励机构投资者和银行之间在监控内部人员方面的替代效应。我们发现，这种关系主要适用于透明的公司，因为它们不会从向银行披露私人信息中获得太多好处，因此可以很容易地用其他融资来源取代银行债务。此外，它主要适用于由于控股股东和少数股东之间潜在的利益冲突（上市公司所有权结构集中的国家的典型问题）而存在严重代理问题的公司，因此具有更大的监督需求。所揭示的关系对于表现不佳的公司也很重要，在这些公司中，有效的机构监督可以减少银行融资的债务重新谈判优势。我们的研究表明，对于具有更高监测有效性的激励机构，即拥有多个区块的独立长期机构投资者，观察到的效果更强。我们证实，有动机的机构投资者的公司往往有更高的公共债务比例。此外，我们还表明，用机构监督代替银行监督的公司，其企业价值有所增加。

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引用次数: 0

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