As a colossal developing economy, irrational, and inefficient trades broadly exist in China’s stock market and are intensified by the once-in-a-century COVID-19 pandemic. This atypical but prominent event enhances systemic risk and requires a more effective analysis tool that adapts to the investors’ sentiment and behavior. Based on the behavioral asset pricing model, this paper verifies the existence of noise traders in China’s stock market, measures the intensity of the noise with the NTR indicator, and examines the market noise with IANM. Furthermore, the mechanism of how COVID-19 influences the market noise through investors’ behaviors is analyzed with the event study method. The findings show that, based on 92 Chinese companies, the market noise significantly exists, and the noise is associated with psychological biases including over-confidence, herding effects and regret aversion. These biases are affected to varying degrees by COVID-19-related events, leading to notable implications for market stability and investor behavior during crises. Our study provides critical insights for policymakers and investors on managing market risks and understanding behavioral impacts during unprecedented events.
{"title":"China’s Stock Market under COVID-19: From the Perspective of Behavioral Finance","authors":"Kaizheng Li, Xiaowen Jiang","doi":"10.3390/ijfs12030070","DOIUrl":"https://doi.org/10.3390/ijfs12030070","url":null,"abstract":"As a colossal developing economy, irrational, and inefficient trades broadly exist in China’s stock market and are intensified by the once-in-a-century COVID-19 pandemic. This atypical but prominent event enhances systemic risk and requires a more effective analysis tool that adapts to the investors’ sentiment and behavior. Based on the behavioral asset pricing model, this paper verifies the existence of noise traders in China’s stock market, measures the intensity of the noise with the NTR indicator, and examines the market noise with IANM. Furthermore, the mechanism of how COVID-19 influences the market noise through investors’ behaviors is analyzed with the event study method. The findings show that, based on 92 Chinese companies, the market noise significantly exists, and the noise is associated with psychological biases including over-confidence, herding effects and regret aversion. These biases are affected to varying degrees by COVID-19-related events, leading to notable implications for market stability and investor behavior during crises. Our study provides critical insights for policymakers and investors on managing market risks and understanding behavioral impacts during unprecedented events.","PeriodicalId":505766,"journal":{"name":"International Journal of Financial Studies","volume":" 5","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141822758","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 examine the nonlinear relationship between interest rates on bank risk-taking behavior in South Africa between 2008:q1 and 2022:q3 using nonlinear autoregressive distributive lag (NARDL) and quantile autoregressive distributive lag (QARDL) models. Whilst the preliminary estimates from linear ARDL produce results adhering to conventional theory, the NARDL and QARDL analysis shows that the relationship between the variables is more complex. On one hand, the NARDL model shows that the phase of monetary policy (cyclical asymmetries) is important in determining the pass-through effects of interest rates on bank risk behavior. We find that both contractionary and expansionary monetary policy increases long-term risk through decreased liquidity for the former and increased non-performing loans for the latter. On the other hand, the QARDL model shows that the level of bank risk behavior (location asymmetries) is also important in determining the impact of interest rates on bank risk behavior. We find that interest rates affect bank risk behavior in ‘medium-to-high risk environments’ for unsecured loans and lending and in ‘medium-to-low risk environments’ for liquidity. Overall, these results enable us to recommend ways in which the SARB can strengthen its monitoring mechanisms given the multifaceted impact of interest rates on bank risk-taking.
{"title":"The Effects of Interest Rates on Bank Risk-Taking in South Africa: Do Cyclical and Location Asymmetries Matter?","authors":"C. Moyo, Andrew Phiri","doi":"10.3390/ijfs12020049","DOIUrl":"https://doi.org/10.3390/ijfs12020049","url":null,"abstract":"We examine the nonlinear relationship between interest rates on bank risk-taking behavior in South Africa between 2008:q1 and 2022:q3 using nonlinear autoregressive distributive lag (NARDL) and quantile autoregressive distributive lag (QARDL) models. Whilst the preliminary estimates from linear ARDL produce results adhering to conventional theory, the NARDL and QARDL analysis shows that the relationship between the variables is more complex. On one hand, the NARDL model shows that the phase of monetary policy (cyclical asymmetries) is important in determining the pass-through effects of interest rates on bank risk behavior. We find that both contractionary and expansionary monetary policy increases long-term risk through decreased liquidity for the former and increased non-performing loans for the latter. On the other hand, the QARDL model shows that the level of bank risk behavior (location asymmetries) is also important in determining the impact of interest rates on bank risk behavior. We find that interest rates affect bank risk behavior in ‘medium-to-high risk environments’ for unsecured loans and lending and in ‘medium-to-low risk environments’ for liquidity. Overall, these results enable us to recommend ways in which the SARB can strengthen its monitoring mechanisms given the multifaceted impact of interest rates on bank risk-taking.","PeriodicalId":505766,"journal":{"name":"International Journal of Financial Studies","volume":"70 23","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141121592","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}
The aim of this study is to analyse and assess the yields and liquidity of sovereign green bonds in selected countries and to compare the yields between sovereign green bonds and conventional bonds. Sovereign green bonds are issued by governments to finance environmental and social projects and represent a relatively new and growing asset class. This study seeks to analyse the financial performance of sovereign green bonds by examining yields and liquidity metrics, such as bid–ask spreads. The findings of this research suggest that the yield to maturity (YTM) of sovereign green bonds is influenced by conventional bond return, while conventional sovereign bonds are affected by the financial market return. Furthermore, the results confirm that the liquidity of sovereign green bonds can be explained by bond maturity.
{"title":"Sovereign Green Bond Market: Drivers of Yields and Liquidity","authors":"Kamila Tomczak","doi":"10.3390/ijfs12020048","DOIUrl":"https://doi.org/10.3390/ijfs12020048","url":null,"abstract":"The aim of this study is to analyse and assess the yields and liquidity of sovereign green bonds in selected countries and to compare the yields between sovereign green bonds and conventional bonds. Sovereign green bonds are issued by governments to finance environmental and social projects and represent a relatively new and growing asset class. This study seeks to analyse the financial performance of sovereign green bonds by examining yields and liquidity metrics, such as bid–ask spreads. The findings of this research suggest that the yield to maturity (YTM) of sovereign green bonds is influenced by conventional bond return, while conventional sovereign bonds are affected by the financial market return. Furthermore, the results confirm that the liquidity of sovereign green bonds can be explained by bond maturity.","PeriodicalId":505766,"journal":{"name":"International Journal of Financial Studies","volume":"7 5","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141120987","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}
Alireza Askarzadeh, Mostafa Kanaanitorshizi, Maryam Tabarhosseini, Dana Amiri
Despite the recent proliferation of research on internationalization, little attention has been paid to understanding the reasons behind the decrease in firm value accompanying international expansion. By delving into the underlying mechanisms and applying the concept of agency theory to a sample of US firms spanning from 2000 to 2022, we posit that an increased level of information asymmetry in internationally diversified firms incentivizes managers to prioritize their own interests. To protect their careers, CEOs of internationally diversified firms often suppress bad news. This behavior can lead to the accumulation of negative news and heighten the risk of a stock-price crash. Furthermore, we propose that higher levels of international experience, enhanced monitoring effectiveness, and efficient investment practices will negatively moderate the positive relationship between internationalization and stock-price crash risk.
{"title":"International Diversification and Stock-Price Crash Risk","authors":"Alireza Askarzadeh, Mostafa Kanaanitorshizi, Maryam Tabarhosseini, Dana Amiri","doi":"10.3390/ijfs12020047","DOIUrl":"https://doi.org/10.3390/ijfs12020047","url":null,"abstract":"Despite the recent proliferation of research on internationalization, little attention has been paid to understanding the reasons behind the decrease in firm value accompanying international expansion. By delving into the underlying mechanisms and applying the concept of agency theory to a sample of US firms spanning from 2000 to 2022, we posit that an increased level of information asymmetry in internationally diversified firms incentivizes managers to prioritize their own interests. To protect their careers, CEOs of internationally diversified firms often suppress bad news. This behavior can lead to the accumulation of negative news and heighten the risk of a stock-price crash. Furthermore, we propose that higher levels of international experience, enhanced monitoring effectiveness, and efficient investment practices will negatively moderate the positive relationship between internationalization and stock-price crash risk.","PeriodicalId":505766,"journal":{"name":"International Journal of Financial Studies","volume":"73 4","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140975934","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 this paper, we empirically examine the impact of venture capital investment on the dividend policy of the invested companies using a sample of list companies from China’s ChiNext market during the period 2014 to 2019. Our empirical results show that different types of VC investments have different impacts on the dividend policies of the invested companies. To be specific, we found independent venture capital companies (IVCs) promote the company’s dividend payment and increase the level of dividend payments while corporate venture capital (CVC) inhibits the company’s dividend payment. The joint participation of multiple types of venture capital investment (syndication) also increases the company’s dividend distribution. Our main contributions are two-fold. First, we provide a comprehensive analysis in the field of VC and dividend policy; second, we differentiate VC from the perspective of investment objectives and examine its different impacts on the dividend policies of the invested companies.
{"title":"Venture Capital and Dividend Policy","authors":"Yi Tan, Xiaoli Wang, Xiaoyu Fu","doi":"10.3390/ijfs12010027","DOIUrl":"https://doi.org/10.3390/ijfs12010027","url":null,"abstract":"In this paper, we empirically examine the impact of venture capital investment on the dividend policy of the invested companies using a sample of list companies from China’s ChiNext market during the period 2014 to 2019. Our empirical results show that different types of VC investments have different impacts on the dividend policies of the invested companies. To be specific, we found independent venture capital companies (IVCs) promote the company’s dividend payment and increase the level of dividend payments while corporate venture capital (CVC) inhibits the company’s dividend payment. The joint participation of multiple types of venture capital investment (syndication) also increases the company’s dividend distribution. Our main contributions are two-fold. First, we provide a comprehensive analysis in the field of VC and dividend policy; second, we differentiate VC from the perspective of investment objectives and examine its different impacts on the dividend policies of the invested companies.","PeriodicalId":505766,"journal":{"name":"International Journal of Financial Studies","volume":"16 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140229369","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 presents a novel financial performance forecasting method that combines the threshold technique with Artificial Neural Networks (ANN). It applies the threshold regression method to identify the factors within the board of directors that influence the financial performance of traditional industries in Taiwan. The findings indicate that the ANN method effectively predicts financial performance by using relevant board structure data. Furthermore, the empirical results suggest that boards with more members demonstrate increased profitability. Additionally, a more significant presence of board members with accounting expertise contributes to more consistent profits. In contrast, an increased presence of members with financial expertise has a more pronounced impact on profitability.
{"title":"Board Expertise Background and Firm Performance","authors":"Chiou-Yann Lee, Chun-Ru Wen, Binh Thi-Thanh-Nguyen","doi":"10.3390/ijfs12010017","DOIUrl":"https://doi.org/10.3390/ijfs12010017","url":null,"abstract":"This study presents a novel financial performance forecasting method that combines the threshold technique with Artificial Neural Networks (ANN). It applies the threshold regression method to identify the factors within the board of directors that influence the financial performance of traditional industries in Taiwan. The findings indicate that the ANN method effectively predicts financial performance by using relevant board structure data. Furthermore, the empirical results suggest that boards with more members demonstrate increased profitability. Additionally, a more significant presence of board members with accounting expertise contributes to more consistent profits. In contrast, an increased presence of members with financial expertise has a more pronounced impact on profitability.","PeriodicalId":505766,"journal":{"name":"International Journal of Financial Studies","volume":"98 3","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139779263","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}
Li Zhao, Nathee Naktnasukanjn, Ahmad Yahya Dawod, Bin Zhang
The efficient capital markets hypothesis (EMH) posits that security prices incorporate all available information in capital markets. Nevertheless, real stock markets often exhibit speculative behavior due to information asymmetry and the limited rationality of investors. This paper employs Thank you for your feedback. I've reviewed the changes, and the adjustment made to revise the year from 2019 to 2023 according to the reference information is accurate. statistical analysis, a multiple regression approach, and robustness tests to investigate the impact of investor attention and accounting information comparability on stock returns. We collected monthly data from all Chinese A-share stocks listed on the main board of the Shanghai Stock Exchange for the period 2017–2021. Our findings reveal a significant positive correlation between current investor attention and current monthly stock returns and a significant negative correlation between lagged investor attention and current monthly stock returns. Moreover, accounting information comparability serves as a substantial moderator, amplifying the positive effect of current investor attention on current stock returns and mitigating the negative impact of lagged investor attention. We investigate the indicator of accounting information comparability from the perspective of investor attention. Significantly, we use accounting information comparability as a moderating variable for the first time to assess its influence on stock returns. Our results demonstrate that accounting information comparability significantly contributes to mitigating excessive share price declines and stimulating share price increases. This discovery also acts as an internal driver for listed companies to proactively improve accounting information comparability.
有效资本市场假说（EMH）认为，证券价格包含了资本市场的所有可用信息。然而，由于信息不对称和投资者的有限理性，实际股票市场往往表现出投机行为。本文采用 谢谢您的反馈。我查看了修改内容，根据参考信息将年份从 2019 年修改为 2023 年的调整是准确的。本文采用统计分析、多元回归方法和稳健性检验来研究投资者关注度和会计信息可比性对股票收益的影响。我们收集了 2017-2021 年期间在上海证券交易所主板上市的所有中国 A 股股票的月度数据。我们的研究结果表明，当前投资者关注度与当前月度股票收益率之间存在显著的正相关关系，而滞后投资者关注度与当前月度股票收益率之间存在显著的负相关关系。此外，会计信息可比性在很大程度上起到了调节作用，放大了当期投资者关注度对当期股票收益率的正向影响，减轻了滞后投资者关注度的负向影响。我们从投资者关注度的角度研究了会计信息可比性指标。值得注意的是，我们首次将会计信息可比性作为调节变量来评估其对股票收益的影响。我们的研究结果表明，会计信息可比性在缓解股价过度下跌和刺激股价上涨方面做出了重大贡献。这一发现也成为上市公司主动提高会计信息可比性的内在动力。
{"title":"Impacts of Investor Attention and Accounting Information Comparability on Stock Returns: Empirical Evidence from Chinese Listed Companies","authors":"Li Zhao, Nathee Naktnasukanjn, Ahmad Yahya Dawod, Bin Zhang","doi":"10.3390/ijfs12010018","DOIUrl":"https://doi.org/10.3390/ijfs12010018","url":null,"abstract":"The efficient capital markets hypothesis (EMH) posits that security prices incorporate all available information in capital markets. Nevertheless, real stock markets often exhibit speculative behavior due to information asymmetry and the limited rationality of investors. This paper employs Thank you for your feedback. I've reviewed the changes, and the adjustment made to revise the year from 2019 to 2023 according to the reference information is accurate. statistical analysis, a multiple regression approach, and robustness tests to investigate the impact of investor attention and accounting information comparability on stock returns. We collected monthly data from all Chinese A-share stocks listed on the main board of the Shanghai Stock Exchange for the period 2017–2021. Our findings reveal a significant positive correlation between current investor attention and current monthly stock returns and a significant negative correlation between lagged investor attention and current monthly stock returns. Moreover, accounting information comparability serves as a substantial moderator, amplifying the positive effect of current investor attention on current stock returns and mitigating the negative impact of lagged investor attention. We investigate the indicator of accounting information comparability from the perspective of investor attention. Significantly, we use accounting information comparability as a moderating variable for the first time to assess its influence on stock returns. Our results demonstrate that accounting information comparability significantly contributes to mitigating excessive share price declines and stimulating share price increases. This discovery also acts as an internal driver for listed companies to proactively improve accounting information comparability.","PeriodicalId":505766,"journal":{"name":"International Journal of Financial Studies","volume":"32 4","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139777612","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 presents a novel financial performance forecasting method that combines the threshold technique with Artificial Neural Networks (ANN). It applies the threshold regression method to identify the factors within the board of directors that influence the financial performance of traditional industries in Taiwan. The findings indicate that the ANN method effectively predicts financial performance by using relevant board structure data. Furthermore, the empirical results suggest that boards with more members demonstrate increased profitability. Additionally, a more significant presence of board members with accounting expertise contributes to more consistent profits. In contrast, an increased presence of members with financial expertise has a more pronounced impact on profitability.
{"title":"Board Expertise Background and Firm Performance","authors":"Chiou-Yann Lee, Chun-Ru Wen, Binh Thi-Thanh-Nguyen","doi":"10.3390/ijfs12010017","DOIUrl":"https://doi.org/10.3390/ijfs12010017","url":null,"abstract":"This study presents a novel financial performance forecasting method that combines the threshold technique with Artificial Neural Networks (ANN). It applies the threshold regression method to identify the factors within the board of directors that influence the financial performance of traditional industries in Taiwan. The findings indicate that the ANN method effectively predicts financial performance by using relevant board structure data. Furthermore, the empirical results suggest that boards with more members demonstrate increased profitability. Additionally, a more significant presence of board members with accounting expertise contributes to more consistent profits. In contrast, an increased presence of members with financial expertise has a more pronounced impact on profitability.","PeriodicalId":505766,"journal":{"name":"International Journal of Financial Studies","volume":"519 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139838951","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}
Li Zhao, Nathee Naktnasukanjn, Ahmad Yahya Dawod, Bin Zhang
The efficient capital markets hypothesis (EMH) posits that security prices incorporate all available information in capital markets. Nevertheless, real stock markets often exhibit speculative behavior due to information asymmetry and the limited rationality of investors. This paper employs Thank you for your feedback. I've reviewed the changes, and the adjustment made to revise the year from 2019 to 2023 according to the reference information is accurate. statistical analysis, a multiple regression approach, and robustness tests to investigate the impact of investor attention and accounting information comparability on stock returns. We collected monthly data from all Chinese A-share stocks listed on the main board of the Shanghai Stock Exchange for the period 2017–2021. Our findings reveal a significant positive correlation between current investor attention and current monthly stock returns and a significant negative correlation between lagged investor attention and current monthly stock returns. Moreover, accounting information comparability serves as a substantial moderator, amplifying the positive effect of current investor attention on current stock returns and mitigating the negative impact of lagged investor attention. We investigate the indicator of accounting information comparability from the perspective of investor attention. Significantly, we use accounting information comparability as a moderating variable for the first time to assess its influence on stock returns. Our results demonstrate that accounting information comparability significantly contributes to mitigating excessive share price declines and stimulating share price increases. This discovery also acts as an internal driver for listed companies to proactively improve accounting information comparability.
有效资本市场假说（EMH）认为，证券价格包含了资本市场的所有可用信息。然而，由于信息不对称和投资者的有限理性，实际股票市场往往表现出投机行为。本文采用 谢谢您的反馈。我查看了修改内容，根据参考信息将年份从 2019 年修改为 2023 年的调整是准确的。本文采用统计分析、多元回归方法和稳健性检验来研究投资者关注度和会计信息可比性对股票收益的影响。我们收集了 2017-2021 年期间在上海证券交易所主板上市的所有中国 A 股股票的月度数据。我们的研究结果表明，当前投资者关注度与当前月度股票收益率之间存在显著的正相关关系，而滞后投资者关注度与当前月度股票收益率之间存在显著的负相关关系。此外，会计信息可比性在很大程度上起到了调节作用，放大了当期投资者关注度对当期股票收益率的正向影响，减轻了滞后投资者关注度的负向影响。我们从投资者关注度的角度研究了会计信息可比性指标。值得注意的是，我们首次将会计信息可比性作为调节变量来评估其对股票收益的影响。我们的研究结果表明，会计信息可比性在缓解股价过度下跌和刺激股价上涨方面做出了重大贡献。这一发现也成为上市公司主动提高会计信息可比性的内在动力。
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