Nana Chai, Mohammad Zoynul Abedin, Xiaoling Wang, Baofeng Shi
This paper aims to design a model framework for farmer credit risk assessment based on machine learning. It reduces the degree of credit risk misjudgement caused by the weak correlation between evaluation indicators and default status and imbalanced data. Based on the empirical analysis of 8624 farmers' data from a commercial bank in China, the average rank of the OPSO‐GINI‐FS model designed from the feature dimension is 1.29, which is higher than that of the OPSO‐GINI‐IS model designed from the indicator dimension (1.57). This means that our model has a higher default risk identification ability than the traditional one. And the META‐SAMPLER method of processing imbalanced data is also promising. Moreover, we found the machine learning designed in this paper has a higher ability to identify farmers' loan default than the traditional econometric methods. These findings establish the potential of machine learning in credit risk identification from a micro perspective.
{"title":"Growth potential of machine learning in credit risk predicting of farmers in the industry 4.0 era","authors":"Nana Chai, Mohammad Zoynul Abedin, Xiaoling Wang, Baofeng Shi","doi":"10.1002/ijfe.3010","DOIUrl":"https://doi.org/10.1002/ijfe.3010","url":null,"abstract":"This paper aims to design a model framework for farmer credit risk assessment based on machine learning. It reduces the degree of credit risk misjudgement caused by the weak correlation between evaluation indicators and default status and imbalanced data. Based on the empirical analysis of 8624 farmers' data from a commercial bank in China, the average rank of the OPSO‐GINI‐FS model designed from the feature dimension is 1.29, which is higher than that of the OPSO‐GINI‐IS model designed from the indicator dimension (1.57). This means that our model has a higher default risk identification ability than the traditional one. And the META‐SAMPLER method of processing imbalanced data is also promising. Moreover, we found the machine learning designed in this paper has a higher ability to identify farmers' loan default than the traditional econometric methods. These findings establish the potential of machine learning in credit risk identification from a micro perspective.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"23 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141189992","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 aim to identify the determinants of non‐fungible tokens non‐fungible tokens (NFTs) returns. The 10 most popular NFTs based on their price, trading volume, and market capitalisation are examined. Twenty‐three potential drivers of the returns of each NFT are considered. We employ a Bayesian LASSO model which takes into account stochastic volatility and leverage effect. The results indicate that NFTs returns are primarily driven by volatility and ethereum returns. We find a weak connection between NFTs returns and conventional assets, such as stock, oil, and gold markets.
{"title":"A note on the determinants of non‐fungible tokens returns","authors":"Theodore Panagiotidis, Georgios Papapanagiotou","doi":"10.1002/ijfe.3008","DOIUrl":"https://doi.org/10.1002/ijfe.3008","url":null,"abstract":"We aim to identify the determinants of non‐fungible tokens non‐fungible tokens (NFTs) returns. The 10 most popular NFTs based on their price, trading volume, and market capitalisation are examined. Twenty‐three potential drivers of the returns of each NFT are considered. We employ a Bayesian LASSO model which takes into account stochastic volatility and leverage effect. The results indicate that NFTs returns are primarily driven by volatility and ethereum returns. We find a weak connection between NFTs returns and conventional assets, such as stock, oil, and gold markets.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"47 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141189811","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}
Tiago F. A. Matos, João C. A. Teixeira, Tiago M. Dutra
This study examines whether forcing banks to hold subordinated debt and enforcing market discipline could enhance the effectiveness of capital macroprudential policies in reducing banks' risk and contribute to bank stability. Using the system generalised method of moments and based on a sample of 322 banks across 18 countries during the period 2006–2020, we find that a higher level of subordinated debt leads banks to avoid moral‐hazard behaviours and engage in risk shifting when adapting to a tighter macroprudential framework, which in turn leads to a greater effectiveness of these policies. Furthermore, as robustness tests, we show that this effect is stronger in advanced economies and in the United States of America. These results also stand using a different proxy for banks' risk.
{"title":"The role of market discipline and macroprudential policies in achieving bank stability","authors":"Tiago F. A. Matos, João C. A. Teixeira, Tiago M. Dutra","doi":"10.1002/ijfe.3005","DOIUrl":"https://doi.org/10.1002/ijfe.3005","url":null,"abstract":"This study examines whether forcing banks to hold subordinated debt and enforcing market discipline could enhance the effectiveness of capital macroprudential policies in reducing banks' risk and contribute to bank stability. Using the system generalised method of moments and based on a sample of 322 banks across 18 countries during the period 2006–2020, we find that a higher level of subordinated debt leads banks to avoid moral‐hazard behaviours and engage in risk shifting when adapting to a tighter macroprudential framework, which in turn leads to a greater effectiveness of these policies. Furthermore, as robustness tests, we show that this effect is stronger in advanced economies and in the United States of America. These results also stand using a different proxy for banks' risk.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"13 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141189991","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}
In the rapidly growing world of sustainable finance, emerging markets saw a recent surge in their market share, which underscored the increasing investor appetite for environmental, social, and governance (ESG) products. In the literature on sustainable investing, most studies have focused on developed markets, and there are relatively few studies that have concentrated on emerging markets. To fill this research gap, we study sustainable investing in emerging markets, by examining the comparative performance of the sustainability indices in the partner exchanges of the Sustainable Stock Exchanges (SSE) initiative from emerging markets. In particular, we investigate three key issues that are of concern to most investors: (i) can the investment strategy of investing together in the themes of sustainability and emerging markets outperform the global sustainability benchmark? (ii) can this strategy outperform the global benchmark for emerging markets? (iii) can it improve portfolio diversification? Overall, our time series analysis and Monte Carlo simulation reveal the heterogeneity in sustainable investment performance across the world, and suggest the potential of obtaining superior risk‐adjusted returns in certain regions while benefiting from portfolio diversification.
{"title":"Sustainable investing in emerging markets: Evidence from the Sustainable Stock Exchanges initiative","authors":"Yuwen Dai","doi":"10.1002/ijfe.3004","DOIUrl":"https://doi.org/10.1002/ijfe.3004","url":null,"abstract":"In the rapidly growing world of sustainable finance, emerging markets saw a recent surge in their market share, which underscored the increasing investor appetite for environmental, social, and governance (ESG) products. In the literature on sustainable investing, most studies have focused on developed markets, and there are relatively few studies that have concentrated on emerging markets. To fill this research gap, we study sustainable investing in emerging markets, by examining the comparative performance of the sustainability indices in the partner exchanges of the Sustainable Stock Exchanges (SSE) initiative from emerging markets. In particular, we investigate three key issues that are of concern to most investors: (i) can the investment strategy of investing together in the themes of sustainability and emerging markets outperform the global sustainability benchmark? (ii) can this strategy outperform the global benchmark for emerging markets? (iii) can it improve portfolio diversification? Overall, our time series analysis and Monte Carlo simulation reveal the heterogeneity in sustainable investment performance across the world, and suggest the potential of obtaining superior risk‐adjusted returns in certain regions while benefiting from portfolio diversification.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"134 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141172763","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 determinants of firms' job‐cut decisions during the COVID‐19 pandemic, considering both firm‐level and country‐level factors. Data from 31 countries (a mix of developed and emerging) collected between May 2020 and May 2021 are analyzed using a multilevel Zero‐Inflated Negative Binomial (ZINB) model. The results reveal that firms that were operational, larger in size, received financial incentives, and arranged remote work for their workforce laid off a smaller proportion of workers. Conversely, firms that experienced significant sales reductions, input supply disruptions, and introduced delivery or carry‐out services laid off a larger proportion of workers. Moreover, among financial incentive‐recipient firms, smaller ones and those that introduced remote work and delivery or carry‐out services had smaller layoffs. At the country level, the human capital index (HCI) significantly influenced job‐cut decisions, with higher HCI scores associated with smaller layoffs. Classifying countries into “developed” and “emerging” yielded similar results, except for temporary closure having no significant impact on job cuts in developed countries and remote work showing no impact on job cuts in emerging countries. The robustness of the results was confirmed by a multilevel zero‐inflated Tobit model, which consistently reproduced the outcomes.
{"title":"Factors affecting firm‐level job cuts during the COVID‐19 pandemic: A cross‐country evidence","authors":"Bibhuti Sarker","doi":"10.1002/ijfe.2995","DOIUrl":"https://doi.org/10.1002/ijfe.2995","url":null,"abstract":"This study investigates the determinants of firms' job‐cut decisions during the COVID‐19 pandemic, considering both firm‐level and country‐level factors. Data from 31 countries (a mix of developed and emerging) collected between May 2020 and May 2021 are analyzed using a multilevel Zero‐Inflated Negative Binomial (ZINB) model. The results reveal that firms that were operational, larger in size, received financial incentives, and arranged remote work for their workforce laid off a smaller proportion of workers. Conversely, firms that experienced significant sales reductions, input supply disruptions, and introduced delivery or carry‐out services laid off a larger proportion of workers. Moreover, among financial incentive‐recipient firms, smaller ones and those that introduced remote work and delivery or carry‐out services had smaller layoffs. At the country level, the human capital index (HCI) significantly influenced job‐cut decisions, with higher HCI scores associated with smaller layoffs. Classifying countries into “developed” and “emerging” yielded similar results, except for temporary closure having no significant impact on job cuts in developed countries and remote work showing no impact on job cuts in emerging countries. The robustness of the results was confirmed by a multilevel zero‐inflated Tobit model, which consistently reproduced the outcomes.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"121 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140939975","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 examines the Bank of England's (BoE) communication on financial stability between 2013 and 2018. We apply an event study to determine the communication effect on financial institutions' stock market returns. We find that the BoE's announcements generate negative average abnormal returns for non‐banking and banking systems, including the Global Systemically Important Banks. The same effect emerges when we consider the communication's tone. Furthermore, we construct a macroprudential decision communication index and show that the negative impact of the BoE's tone is significant only when the decision communication index value is above average. Moreover, we find evidence that negative abnormal returns tend to appear after the Brexit referendum, while we find positive abnormal returns before that date. Besides, we do not identify a noticeable effect related to communication practices.
{"title":"Does financial stability communication affect financial asset prices? Evidence from the Bank of England's communication experiment","authors":"Hamdi Jbir","doi":"10.1002/ijfe.2991","DOIUrl":"https://doi.org/10.1002/ijfe.2991","url":null,"abstract":"This paper examines the Bank of England's (BoE) communication on financial stability between 2013 and 2018. We apply an event study to determine the communication effect on financial institutions' stock market returns. We find that the BoE's announcements generate negative average abnormal returns for non‐banking and banking systems, including the Global Systemically Important Banks. The same effect emerges when we consider the communication's tone. Furthermore, we construct a macroprudential decision communication index and show that the negative impact of the BoE's tone is significant only when the decision communication index value is above average. Moreover, we find evidence that negative abnormal returns tend to appear after the Brexit referendum, while we find positive abnormal returns before that date. Besides, we do not identify a noticeable effect related to communication practices.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"66 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140939574","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}
Chi Wei Su, Xin Yue Song, Meng Qin, Oana‐Ramona Lobonţ
The connections among fossil fuels, green bonds, and investors have undergone a substantial alteration due to the daunting difficulties posed by climate change risks and energy problems. This study employs quantile connection approaches to the dynamic spillover. The results indicate that extreme quantiles exhibit a higher degree of connectivity compared to the average quantile. In severe circumstances, risk spillover primarily emanates from fossil fuels, whereas investor sentiment (IS) is more vulnerable to the impact of related market hazards. The green bond (GBI) experiences a transition in its function, alternating between being a transmitter and a receiver. To summarise, comprehending the interrelation among these variables offers fresh perspectives for investment decision‐making and policy development to facilitate the shift towards sustainable energy and tackle the climate emergency.
{"title":"Green intent or black smoke: Exploring investor sentiment on sustainable development","authors":"Chi Wei Su, Xin Yue Song, Meng Qin, Oana‐Ramona Lobonţ","doi":"10.1002/ijfe.2998","DOIUrl":"https://doi.org/10.1002/ijfe.2998","url":null,"abstract":"The connections among fossil fuels, green bonds, and investors have undergone a substantial alteration due to the daunting difficulties posed by climate change risks and energy problems. This study employs quantile connection approaches to the dynamic spillover. The results indicate that extreme quantiles exhibit a higher degree of connectivity compared to the average quantile. In severe circumstances, risk spillover primarily emanates from fossil fuels, whereas investor sentiment (IS) is more vulnerable to the impact of related market hazards. The green bond (GBI) experiences a transition in its function, alternating between being a transmitter and a receiver. To summarise, comprehending the interrelation among these variables offers fresh perspectives for investment decision‐making and policy development to facilitate the shift towards sustainable energy and tackle the climate emergency.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"10 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140939674","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 analyses the impact of bilateral investment treaties (BITs) on sovereign default risk using monthly data for 29 emerging markets from 1996 to 2016. Under a BIT, foreign investors can use an international arbitration scheme to enforce compensation claims against the host country's government. We focus on the so far unexplored legal risk associated with BITs since a higher likelihood of government expropriations implicitly increases public debt. We do not find a significant unconditional effect of BITs on sovereign default risk (measured by the month‐over‐month percentage change in a country's Emerging Market Bond Index). Considering the heterogeneity of BITs and political risk, we find robust and strong negative effects of BITs on sovereign bond returns. In countries with high political risk of expropriation (measured by low executive constraints), we find that the implementation of BITs with strong investor protection is associated with a significantly negative impact on sovereign bond returns (−0.45 percentage points), which compares to roughly 11.7% of bond returns' monthly standard deviation.
{"title":"Bilateral investment treaties and sovereign default risk: Evidence for emerging markets","authors":"Stefan Eichler, Jannik André Nauerth","doi":"10.1002/ijfe.2984","DOIUrl":"https://doi.org/10.1002/ijfe.2984","url":null,"abstract":"This paper analyses the impact of bilateral investment treaties (BITs) on sovereign default risk using monthly data for 29 emerging markets from 1996 to 2016. Under a BIT, foreign investors can use an international arbitration scheme to enforce compensation claims against the host country's government. We focus on the so far unexplored legal risk associated with BITs since a higher likelihood of government expropriations implicitly increases public debt. We do not find a significant unconditional effect of BITs on sovereign default risk (measured by the month‐over‐month percentage change in a country's Emerging Market Bond Index). Considering the heterogeneity of BITs and political risk, we find robust and strong negative effects of BITs on sovereign bond returns. In countries with high political risk of expropriation (measured by low executive constraints), we find that the implementation of BITs with strong investor protection is associated with a significantly negative impact on sovereign bond returns (−0.45 percentage points), which compares to roughly 11.7% of bond returns' monthly standard deviation.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"12 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140939774","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}
Filipa Da Silva Fernandes, Alessandra Guariglia, Alexandros Kontonikas, Serafeim Tsoukas
We are the first to explore the role of inventories as a trade credit driver in an economic/financial crisis setting. To this end, we make use of a panel of 198,024 manufacturing firms from eleven euro‐area countries over the period 2006–2022. We find an inverse relationship between the stock of inventories and trade credit extended, which is magnified during the recent sovereign debt crisis. These results are robust to using different definitions of trade credit extended and of the crisis. Furthermore, we find that the association between inventories and trade credit extended is driven by financially constrained firms and firms producing differentiated products.
{"title":"Why do firms extend trade credit? The role of inventories","authors":"Filipa Da Silva Fernandes, Alessandra Guariglia, Alexandros Kontonikas, Serafeim Tsoukas","doi":"10.1002/ijfe.2975","DOIUrl":"https://doi.org/10.1002/ijfe.2975","url":null,"abstract":"We are the first to explore the role of inventories as a trade credit driver in an economic/financial crisis setting. To this end, we make use of a panel of 198,024 manufacturing firms from eleven euro‐area countries over the period 2006–2022. We find an inverse relationship between the stock of inventories and trade credit extended, which is magnified during the recent sovereign debt crisis. These results are robust to using different definitions of trade credit extended and of the crisis. Furthermore, we find that the association between inventories and trade credit extended is driven by financially constrained firms and firms producing differentiated products.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"31 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140939672","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 introduces a methodological framework for the examination of non‐performing loans (NPLs) as reverse outputs under the extended strong disposability assumption, which does not require NPLs to be jointly produced with net loans, as it is implied when they are modelled as undesirable outputs. A directional distance function model with reverse outputs is used and is compared with the models that treat NPLs as an undesirable output under the weak disposability and the constrained weak disposability assumptions with uniform and non‐uniform abatement factors. The model is applied at the case of European banks and for the sample to be representative the banks are chosen based on the European Banking Authority (EBA) stress test of 2021. The results indicate that the reverse output model have greater discriminatory power relative to all other models.
{"title":"On modelling non‐performing loans in bank efficiency analysis","authors":"Giannis Karagiannis, Stavros Kourtzidis","doi":"10.1002/ijfe.2986","DOIUrl":"https://doi.org/10.1002/ijfe.2986","url":null,"abstract":"This paper introduces a methodological framework for the examination of non‐performing loans (NPLs) as reverse outputs under the extended strong disposability assumption, which does not require NPLs to be jointly produced with net loans, as it is implied when they are modelled as undesirable outputs. A directional distance function model with reverse outputs is used and is compared with the models that treat NPLs as an undesirable output under the weak disposability and the constrained weak disposability assumptions with uniform and non‐uniform abatement factors. The model is applied at the case of European banks and for the sample to be representative the banks are chosen based on the European Banking Authority (EBA) stress test of 2021. The results indicate that the reverse output model have greater discriminatory power relative to all other models.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"58 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140827222","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}
京公网安备 11010802042870号
京ICP备2023020795号-1
扫码关注我们
求助内容：
应助结果提醒方式：