We investigate the impact of three crises on the power of Islamic banks in deposit markets: the Global Financial Crisis, 2007–2009 (GFC), the Arab Spring political crisis, 2011–2013, and the COVID‐19 health crisis, 2020–2022. Applying difference‐in‐difference (DID) and GMM techniques to panel data for 2004–2022, we find that the power of Islamic banks increased in countries most affected by the GFC, but only for oil‐exporters, as elevated oil prices inflated deposited liquidity. In contrast to the GFC, the market power of countries highly affected by the Arab Spring decreased as depositors withdrew en masse. For these countries, oil export status was irrelevant, and whilst government integrity is significant, it accounts for a small amount of heterogeneity in the country‐level cross‐section due to widely held public attitudes towards institutions during the crisis. For COVID‐19, the market power of Islamic banks initially increased at the outset of the pandemic due to a surge in precautionary deposits, but later decreased due to economic activity constraints. The stringency of lockdowns had little effect on market power in countries that suffered the highest COVID‐19 death rates. These and other findings specific to each crisis provide a rich array of private and public policy implications relevant to crises of different types for bank liquidity crisis management, financial conduct policies, and state‐backed lending stimulus packages.
{"title":"The impact of new millennium crises on the power of Islamic banks in deposit markets","authors":"Maryam Alhalboni, Kenneth Baldwin","doi":"10.1002/ijfe.3034","DOIUrl":"https://doi.org/10.1002/ijfe.3034","url":null,"abstract":"We investigate the impact of three crises on the power of Islamic banks in deposit markets: the Global Financial Crisis, 2007–2009 (GFC), the Arab Spring political crisis, 2011–2013, and the COVID‐19 health crisis, 2020–2022. Applying difference‐in‐difference (DID) and GMM techniques to panel data for 2004–2022, we find that the power of Islamic banks increased in countries most affected by the GFC, but only for oil‐exporters, as elevated oil prices inflated deposited liquidity. In contrast to the GFC, the market power of countries highly affected by the Arab Spring decreased as depositors withdrew <jats:italic>en masse</jats:italic>. For these countries, oil export status was irrelevant, and whilst government integrity is significant, it accounts for a small amount of heterogeneity in the country‐level cross‐section due to widely held public attitudes towards institutions during the crisis. For COVID‐19, the market power of Islamic banks initially increased at the outset of the pandemic due to a surge in precautionary deposits, but later decreased due to economic activity constraints. The stringency of lockdowns had little effect on market power in countries that suffered the highest COVID‐19 death rates. These and other findings specific to each crisis provide a rich array of private and public policy implications relevant to crises of different types for bank liquidity crisis management, financial conduct policies, and state‐backed lending stimulus packages.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"44 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142205579","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Mahyudin Ahmad, Stephen G. Hall, Siong Hook Law, Sabri Nayan
Despite extensive finance‐growth literature, the critical role of spatial interdependence between countries has often been overlooked. This paper addresses this gap by utilising spatial Durbin modelling on a 30‐year panel dataset of 56 emerging economies, examining the spillover effects of financial development (FD) and institutions on economic growth. The findings reveal FD has a significant positive within‐country impact on growth; on average, FD is expected to raise growth by approximately 5.8% holding other factors constant. Meanwhile, the FD spillover effect on growth is estimated to be around 10 times its within‐country effect, which is not surprising given that the 10‐nearest‐neighbour is the preferred matrix for conceptualising the spatial dependence between the countries under study. The results however show no evidence of significant threshold effect of FD. Political institutions emerge as the most influential in driving growth both within and across countries, whereas improvement in economic institutions moderates the growth‐effect of FD. FD's within‐country effect on growth is largely driven by financial institutions, while its spillover effect stems primarily from the neighbours' financial markets. The findings' robustness is confirmed through a battery of tests. In conclusion, this study offers valuable insights into the complex finance‐institutions‐growth nexus in emerging economies. By considering spatial interdependencies and the role of institutions, policymakers can craft effective strategies to harness FD's positive effects and foster an environment for sustained, inclusive economic growth.
{"title":"Spillover effects in the nexus of finance‐institutions‐growth: New insights from spatial Durbin analysis on emerging economies","authors":"Mahyudin Ahmad, Stephen G. Hall, Siong Hook Law, Sabri Nayan","doi":"10.1002/ijfe.3025","DOIUrl":"https://doi.org/10.1002/ijfe.3025","url":null,"abstract":"Despite extensive finance‐growth literature, the critical role of spatial interdependence between countries has often been overlooked. This paper addresses this gap by utilising spatial Durbin modelling on a 30‐year panel dataset of 56 emerging economies, examining the spillover effects of financial development (FD) and institutions on economic growth. The findings reveal FD has a significant positive within‐country impact on growth; on average, FD is expected to raise growth by approximately 5.8% holding other factors constant. Meanwhile, the FD spillover effect on growth is estimated to be around 10 times its within‐country effect, which is not surprising given that the 10‐nearest‐neighbour is the preferred matrix for conceptualising the spatial dependence between the countries under study. The results however show no evidence of significant threshold effect of FD. Political institutions emerge as the most influential in driving growth both within and across countries, whereas improvement in economic institutions moderates the growth‐effect of FD. FD's within‐country effect on growth is largely driven by financial institutions, while its spillover effect stems primarily from the neighbours' financial markets. The findings' robustness is confirmed through a battery of tests. In conclusion, this study offers valuable insights into the complex finance‐institutions‐growth nexus in emerging economies. By considering spatial interdependencies and the role of institutions, policymakers can craft effective strategies to harness FD's positive effects and foster an environment for sustained, inclusive economic growth.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"17 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141884501","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Wenjin Tang, Weichang Chen, Xiaorui Ma, Chengbo Fu
Since 2012, many central banks have implemented negative interest rate policies (NIRPs). While two opposing hypotheses about the effectiveness of NIRPs have emerged in the academic: the “de‐leverage effect” and the “search‐for‐yield effect.” The long‐term use of NIRPs provides a rare and important setting to re‐examine the relationship between interest rates and bank risk‐taking. We conduct an empirical analysis by using commercial banks' data from 2007 to 2020 for 23 countries (19 eurozone countries plus Japan, Denmark, Sweden, and Switzerland), which had adopted NIRPs. It indicates that 1% reduction in the policy rate would reduce bank risk‐taking by 4.9%. This result is stronger after the NIRPs implemented. Our results support the “de‐leverage effect” under NIRPs. We next show that the “de‐leverage effect” is greater for banks with more diversified income, smaller size or under more competitive environment. The findings help to make the debates around NIRPs effectiveness clearer as well as support for the central banks to make more effective monetary policy decisions in different economic situations.
{"title":"Negative interest rate policy and bank risk‐taking: Search for yield or de‐leverage?","authors":"Wenjin Tang, Weichang Chen, Xiaorui Ma, Chengbo Fu","doi":"10.1002/ijfe.3024","DOIUrl":"https://doi.org/10.1002/ijfe.3024","url":null,"abstract":"Since 2012, many central banks have implemented negative interest rate policies (NIRPs). While two opposing hypotheses about the effectiveness of NIRPs have emerged in the academic: the “de‐leverage effect” and the “search‐for‐yield effect.” The long‐term use of NIRPs provides a rare and important setting to re‐examine the relationship between interest rates and bank risk‐taking. We conduct an empirical analysis by using commercial banks' data from 2007 to 2020 for 23 countries (19 eurozone countries plus Japan, Denmark, Sweden, and Switzerland), which had adopted NIRPs. It indicates that 1% reduction in the policy rate would reduce bank risk‐taking by 4.9%. This result is stronger after the NIRPs implemented. Our results support the “de‐leverage effect” under NIRPs. We next show that the “de‐leverage effect” is greater for banks with more diversified income, smaller size or under more competitive environment. The findings help to make the debates around NIRPs effectiveness clearer as well as support for the central banks to make more effective monetary policy decisions in different economic situations.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"12 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141868086","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Manpreet Kaur Khurana, Shweta Sharma, Muhammad Shahin Miah
This study attempts to identify and compare the critical determinants and the speed of adjustment to optimal capital structure across various stages of the firm life cycle (FLC). Signifying the attitude of family firms (FFs) owing to risk aversion and the need to preserve firm control, the study differentiates the debt policies of family and non‐family firms (NFFs) in an emerging economy. We use a target adjustment model and two‐step system generalised method of moments to analyse panel data on a sample of 1435 listed non‐financial firms spanning from 2013 to 2022. We find that compared to NFFs, FFs are inherently more indebted and adjust faster towards achieving optimal capital structure. Next, we find that firm's profitability, liquidity and tangibility are the major factors that significantly impact the quantity of debt across different stages of the FLC in both FFs and NFFs. Our results are robust to a battery of sensitivity tests. Our study suggests the significance of appropriate capital structure at different stages of the FLC.
{"title":"The role of firm life cycle on capital structure of family firms over non‐family firms: Empirical evidence from India","authors":"Manpreet Kaur Khurana, Shweta Sharma, Muhammad Shahin Miah","doi":"10.1002/ijfe.3019","DOIUrl":"https://doi.org/10.1002/ijfe.3019","url":null,"abstract":"This study attempts to identify and compare the critical determinants and the speed of adjustment to optimal capital structure across various stages of the firm life cycle (FLC). Signifying the attitude of family firms (FFs) owing to risk aversion and the need to preserve firm control, the study differentiates the debt policies of family and non‐family firms (NFFs) in an emerging economy. We use a target adjustment model and two‐step system generalised method of moments to analyse panel data on a sample of 1435 listed non‐financial firms spanning from 2013 to 2022. We find that compared to NFFs, FFs are inherently more indebted and adjust faster towards achieving optimal capital structure. Next, we find that firm's profitability, liquidity and tangibility are the major factors that significantly impact the quantity of debt across different stages of the FLC in both FFs and NFFs. Our results are robust to a battery of sensitivity tests. Our study suggests the significance of appropriate capital structure at different stages of the FLC.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"22 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141771103","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper explores the influence of inflation targeting (IT) policy on macroeconomic performance in 24 Asian economies by taking a wide range of macroeconomic variables from 2001 to 2022. Specifically, the study seeks to evaluate the influence of IT on macroeconomic performance during the global financial crisis (GFC) and the COVID‐19 pandemic periods separately. The empirical analysis comprises three approaches: propensity score matching, difference‐in‐differences, and panel‐corrected standard error methods. The empirical investigation reveals that IT significantly impacts inflation and its volatility during the GFC. In contrast, the effect on the unemployment rate is not statistically significant. Further, IT statistically influences the inflation and unemployment rates throughout the COVID‐19 pandemic. In contrast, its impact on inflation volatility during the COVID‐19 pandemic is not evident. Our results have significant policy implications for the Asian economies. It may be suggested that low‐income countries could benefit from implementing IT policy as a tool to ensure stable inflation. However, there is a need for continuous policy adaptation and targeted interventions to address evolving economic challenges, especially in situations like crises.
{"title":"Is inflation targeting effective? Lessons from global financial crisis and COVID‐19 pandemic","authors":"Chandan Sethi, Bibhuti Ranjan Mishra","doi":"10.1002/ijfe.3018","DOIUrl":"https://doi.org/10.1002/ijfe.3018","url":null,"abstract":"This paper explores the influence of inflation targeting (IT) policy on macroeconomic performance in 24 Asian economies by taking a wide range of macroeconomic variables from 2001 to 2022. Specifically, the study seeks to evaluate the influence of IT on macroeconomic performance during the global financial crisis (GFC) and the COVID‐19 pandemic periods separately. The empirical analysis comprises three approaches: propensity score matching, difference‐in‐differences, and panel‐corrected standard error methods. The empirical investigation reveals that IT significantly impacts inflation and its volatility during the GFC. In contrast, the effect on the unemployment rate is not statistically significant. Further, IT statistically influences the inflation and unemployment rates throughout the COVID‐19 pandemic. In contrast, its impact on inflation volatility during the COVID‐19 pandemic is not evident. Our results have significant policy implications for the Asian economies. It may be suggested that low‐income countries could benefit from implementing IT policy as a tool to ensure stable inflation. However, there is a need for continuous policy adaptation and targeted interventions to address evolving economic challenges, especially in situations like crises.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"17 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141586461","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This study investigates the total, quantile, and frequency risk transmission among five widely traded metals namely copper, gold, lead, silver, and zinc using forecast error variance decomposition. The analysis spans from 1 January 2002, to 30 June 2023. Our findings reveal that the total connectedness index (TCI) changed over time, indicating sensitivity to time‐specific developments and major events during different periods. The TCI is influenced more by extreme positive or negative shocks, as the lower and upper quantile TCIs are higher compared to the medium quantile TCI. Furthermore, the short‐term TCIs exhibit higher values than the medium‐ and long‐term TCIs. These variations imply that the TCI is influenced by different types of shocks or mechanisms across different quantiles. Specifically, the short‐term TCIs are driven by global economic policy uncertainty, real global economic activity, and the geopolitical risk index (GPR). However, the medium‐ and long‐term TCIs are solely influenced by the GPR.
{"title":"Total, quantile, and frequency risk transmission among metal commodities","authors":"Huifu Nong, Qian Huang","doi":"10.1002/ijfe.3017","DOIUrl":"https://doi.org/10.1002/ijfe.3017","url":null,"abstract":"This study investigates the total, quantile, and frequency risk transmission among five widely traded metals namely copper, gold, lead, silver, and zinc using forecast error variance decomposition. The analysis spans from 1 January 2002, to 30 June 2023. Our findings reveal that the total connectedness index (TCI) changed over time, indicating sensitivity to time‐specific developments and major events during different periods. The TCI is influenced more by extreme positive or negative shocks, as the lower and upper quantile TCIs are higher compared to the medium quantile TCI. Furthermore, the short‐term TCIs exhibit higher values than the medium‐ and long‐term TCIs. These variations imply that the TCI is influenced by different types of shocks or mechanisms across different quantiles. Specifically, the short‐term TCIs are driven by global economic policy uncertainty, real global economic activity, and the geopolitical risk index (GPR). However, the medium‐ and long‐term TCIs are solely influenced by the GPR.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"15 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141515597","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Sawssen Araichi, Christian de Peretti, Lotfi Belkacem
In non‐life insurance, insurance companies aim to accurately assess their reserves in order to fulfil their future obligations. They are based on methods provided by the literature review to evaluate their reserve risk. However, these methods do not take all claim characteristics and ignore the temporal dependence structure of claims, which can affect reserve amounts and lead to delayed payments for policyholders. Therefore, the aim is to investigate the temporal dependence structure among claim amounts (losses) in order to evaluate the accurate amounts of reserves. To achieve this goal, a model called the Generalized Autoregressive Conditional Sinistrality Model is proposed, which considers the temporal dependence characteristics of claims. This model is used to estimate model parameters, so the consistency of such an estimate is proven. Additionally, a bootstrap method adjusted to the Generalized Autoregressive Conditional Sinistrality model is proposed for predicting reserves and errors. The results reveal that considering temporal dependence between losses improves reserve distribution estimation and enhances solvency capital requirement. This means that insurance companies will be able to ensure they have sufficient funds available to meet their obligations to policyholders, thereby enhancing customer satisfaction and trust. Additionally, this can assist insurance companies in maintaining better regulatory compliance.
{"title":"Forecasting reserve risk for temporal dependent losses in insurance","authors":"Sawssen Araichi, Christian de Peretti, Lotfi Belkacem","doi":"10.1002/ijfe.3014","DOIUrl":"https://doi.org/10.1002/ijfe.3014","url":null,"abstract":"In non‐life insurance, insurance companies aim to accurately assess their reserves in order to fulfil their future obligations. They are based on methods provided by the literature review to evaluate their reserve risk. However, these methods do not take all claim characteristics and ignore the temporal dependence structure of claims, which can affect reserve amounts and lead to delayed payments for policyholders. Therefore, the aim is to investigate the temporal dependence structure among claim amounts (losses) in order to evaluate the accurate amounts of reserves. To achieve this goal, a model called the Generalized Autoregressive Conditional Sinistrality Model is proposed, which considers the temporal dependence characteristics of claims. This model is used to estimate model parameters, so the consistency of such an estimate is proven. Additionally, a bootstrap method adjusted to the Generalized Autoregressive Conditional Sinistrality model is proposed for predicting reserves and errors. The results reveal that considering temporal dependence between losses improves reserve distribution estimation and enhances solvency capital requirement. This means that insurance companies will be able to ensure they have sufficient funds available to meet their obligations to policyholders, thereby enhancing customer satisfaction and trust. Additionally, this can assist insurance companies in maintaining better regulatory compliance.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"83 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141506366","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We investigate if green bonds can act as a safe‐haven asset for equity investors by analysing their relationship with stocks and other alternative safe havens, namely sovereign bonds and gold. Safe havens are defined as assets that exhibit zero or negative comovement with equity during a stock market downturn. We analyse the interrelationships between the asset classes using the Marginal Expected Shortfall of Acharya et al. (The Review of Financial Studies, 30(1), pp. 2–47, 2017) and by comparing the regime‐dependent GIRFs from a Markov‐switching VAR model. Our results suggest that green bonds are not safe haven assets for equity investors but rather show positive comovement during periods of market stress. The sovereign bond is the most consistent in delivering diversification benefits across market conditions, while gold acts as a safe‐haven asset during all regimes except during rare periods of extreme turbulence.
我们通过分析绿色债券与股票及其他替代避险资产（即主权债券和黄金）之间的关系，研究绿色债券能否成为股票投资者的避险资产。避险资产是指在股市低迷时与股票呈现零或负相关性的资产。我们使用 Acharya 等人的边际预期缺口（《金融研究评论》，30（1），第 2-47 页，2017 年），并通过比较马尔可夫切换 VAR 模型中与制度相关的 GIRF，分析了资产类别之间的相互关系。我们的研究结果表明，绿色债券并不是股票投资者的避风港资产，而是在市场压力时期表现出正相关性。在不同的市场条件下，主权债券在提供多样化收益方面最为一致，而黄金则在除极少数极端动荡时期以外的所有时期都是避险资产。
{"title":"Can green bonds be a safe haven for equity investors?","authors":"Thomas Flavin, Lisa Sheenan","doi":"10.1002/ijfe.3015","DOIUrl":"https://doi.org/10.1002/ijfe.3015","url":null,"abstract":"We investigate if green bonds can act as a safe‐haven asset for equity investors by analysing their relationship with stocks and other alternative safe havens, namely sovereign bonds and gold. Safe havens are defined as assets that exhibit zero or negative comovement with equity during a stock market downturn. We analyse the interrelationships between the asset classes using the Marginal Expected Shortfall of Acharya et al. (<jats:italic>The Review of Financial Studies</jats:italic>, 30(1), pp. 2–47, 2017) and by comparing the regime‐dependent GIRFs from a Markov‐switching VAR model. Our results suggest that green bonds are not safe haven assets for equity investors but rather show positive comovement during periods of market stress. The sovereign bond is the most consistent in delivering diversification benefits across market conditions, while gold acts as a safe‐haven asset during all regimes except during rare periods of extreme turbulence.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"8 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141506367","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We analyse the financial sector consolidation in Asia by using a comprehensive sample of bank M&As from 1995 to 2021. Our results show that M&A announcements by Asian domestic acquirers are associated with significant positive stock price returns to both acquirers and their rivals. In contrast, cross‐border acquirers and their rivals experience negative but insignificant returns, while targets and their rivals record gains, regardless whether it is a domestic or cross‐border transaction. Further analyses reveal that domestic acquirers obtaining larger relative increases in their market share benefit the most, indicating that market power considerations are the primary driver behind acquirers' positive returns. For cross‐border acquirers, neither cultural differences nor regulatory arbitrage considerations can explain return patterns surrounding M&A announcements.
{"title":"Banking market consolidation in Asia: Evidence from acquirers, targets, and rivals","authors":"Sascha Kolaric, Florian Kiesel, Dirk Schiereck","doi":"10.1002/ijfe.3012","DOIUrl":"https://doi.org/10.1002/ijfe.3012","url":null,"abstract":"We analyse the financial sector consolidation in Asia by using a comprehensive sample of bank M&As from 1995 to 2021. Our results show that M&A announcements by Asian domestic acquirers are associated with significant positive stock price returns to both acquirers and their rivals. In contrast, cross‐border acquirers and their rivals experience negative but insignificant returns, while targets and their rivals record gains, regardless whether it is a domestic or cross‐border transaction. Further analyses reveal that domestic acquirers obtaining larger relative increases in their market share benefit the most, indicating that market power considerations are the primary driver behind acquirers' positive returns. For cross‐border acquirers, neither cultural differences nor regulatory arbitrage considerations can explain return patterns surrounding M&A announcements.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"16 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141506368","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Are sovereign risk premia subject to heterogeneous effects from their drivers, associated with the risk class each sovereign bond belongs to? In the paper at hand, effects on sovereign bond risk premia stemming from macroeconomic, fiscal, and volatility factors, are examined by considering the classification of sovereign riskiness. Panel data estimation techniques are used, for 30 countries, with data in quarterly frequency for the period 2001Q1 to 2019Q4. Sovereign spreads are found to be subject to heterogeneous effects associated with their credit ratings; spreads on sovereign bonds considered low‐risk increase with higher growth rates and inflation, while spreads on highly risky bonds decrease with higher growth rates and are more sensitive to idiosyncratic and global volatility. Primary fiscal surpluses indeed lower spreads but cannot counterbalance the effects of volatility episodes and the prospects for low growth. Our results provide support for countercyclical fiscal policies, suggesting that spreads can be expected to be reduced by primary surpluses, under the condition that the economy expands and market volatility is low. Our main findings are robust to various alternative setups, samples, and control variables such as central banks' asset purchases.
{"title":"Sovereign bonds' risk‐based heterogeneity","authors":"Dimitris A. Georgoutsos, Petros M. Migiakis","doi":"10.1002/ijfe.3007","DOIUrl":"https://doi.org/10.1002/ijfe.3007","url":null,"abstract":"Are sovereign risk premia subject to heterogeneous effects from their drivers, associated with the risk class each sovereign bond belongs to? In the paper at hand, effects on sovereign bond risk premia stemming from macroeconomic, fiscal, and volatility factors, are examined by considering the classification of sovereign riskiness. Panel data estimation techniques are used, for 30 countries, with data in quarterly frequency for the period 2001Q1 to 2019Q4. Sovereign spreads are found to be subject to heterogeneous effects associated with their credit ratings; spreads on sovereign bonds considered low‐risk increase with higher growth rates and inflation, while spreads on highly risky bonds decrease with higher growth rates and are more sensitive to idiosyncratic and global volatility. Primary fiscal surpluses indeed lower spreads but cannot counterbalance the effects of volatility episodes and the prospects for low growth. Our results provide support for countercyclical fiscal policies, suggesting that spreads can be expected to be reduced by primary surpluses, under the condition that the economy expands and market volatility is low. Our main findings are robust to various alternative setups, samples, and control variables such as central banks' asset purchases.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"101-102 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141189809","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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