Pub Date : 2022-09-23DOI: 10.1108/ijmf-04-2022-0173
Mohammad Hendijani Zadeh
PurposeThe purpose of this study is to examine whether audit quality influences auditees' liquidity policy.Design/methodology/approachThe author uses ordinary least squares (OLS) estimators, and we focus on a panel of US publicly traded companies (36,118 company-year observations) over the period of 2004–2019 to examine the effect of audit quality on auditees' cash reserves.FindingsThe author finds that high quality audits are negatively related to auditees' cash reserves. Additional analyses show that the potential channel by which audit quality influences these reserves is financial constraints (FC). Particularly, his results suggest that an auditee's FC serve as an intermediary in the association between audit quality and auditee's cash reserves. Ultimately, we show that high quality audits raise the market value relevance of an extra dollar in cash reserves.Originality/valueBy linking two distinct research lines of audit quality and corporate cash reserves, this study adds to both lines of literature, as it is a novel one (to the best of the author’s knowledge) to provide evidence about the effect of audit quality on the auditees' liquidity policy (a real economic decision and internal financial policy) that ultimately boosts the auditees' investment efficiency. The author’s findings are consistent with influential monitoring and an insurance-like function of high quality audits in reducing information asymmetry and its consequences. His results also support the argument that auditees' transparency through high quality audits can be a pivotal determinant of their liquidity policy.
{"title":"Audit quality and liquidity policy","authors":"Mohammad Hendijani Zadeh","doi":"10.1108/ijmf-04-2022-0173","DOIUrl":"https://doi.org/10.1108/ijmf-04-2022-0173","url":null,"abstract":"PurposeThe purpose of this study is to examine whether audit quality influences auditees' liquidity policy.Design/methodology/approachThe author uses ordinary least squares (OLS) estimators, and we focus on a panel of US publicly traded companies (36,118 company-year observations) over the period of 2004–2019 to examine the effect of audit quality on auditees' cash reserves.FindingsThe author finds that high quality audits are negatively related to auditees' cash reserves. Additional analyses show that the potential channel by which audit quality influences these reserves is financial constraints (FC). Particularly, his results suggest that an auditee's FC serve as an intermediary in the association between audit quality and auditee's cash reserves. Ultimately, we show that high quality audits raise the market value relevance of an extra dollar in cash reserves.Originality/valueBy linking two distinct research lines of audit quality and corporate cash reserves, this study adds to both lines of literature, as it is a novel one (to the best of the author’s knowledge) to provide evidence about the effect of audit quality on the auditees' liquidity policy (a real economic decision and internal financial policy) that ultimately boosts the auditees' investment efficiency. The author’s findings are consistent with influential monitoring and an insurance-like function of high quality audits in reducing information asymmetry and its consequences. His results also support the argument that auditees' transparency through high quality audits can be a pivotal determinant of their liquidity policy.","PeriodicalId":51698,"journal":{"name":"International Journal of Managerial Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2022-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46381109","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}
Pub Date : 2022-09-23DOI: 10.1108/ijmf-11-2021-0581
V. Dang, H. Nguyen
PurposeThe study examines the impact of uncertainty on bank opacity while particularly taking into account the moderating role of market structures.Design/methodology/approachUsing a sample of Vietnamese banks from 2007 to 2019, the paper measures uncertainty at the disaggregate level of the banking sector through the dispersion of bank shocks and capture bank opacity from the perspective of bank earnings management based on discretionary loan loss provisions. The authors apply both structural and non-structural proxies of bank competition/concentration to better explore the role of market structures. Empirical regressions are conducted using the fixed effect regressions with Driscoll–Kraay standard errors and the two-step system generalized method of moments (GMM) technique, and then verified by the least squares dummy variable corrected (LSDVC) estimator.FindingsBank earnings opacity is less severe in periods of higher uncertainty. Further analysis documents that the negative impact of uncertainty on bank earnings opacity is stronger when the level of bank competition increases or when bank market power decreases.Originality/valueThe finding highlighting the conditioning role of market structures is entirely novel in the uncertainty-bank opacity literature. Moreover, in providing additional evidence on the significant impact of uncertainty on bank opacity, while prior related studies explore economic policy uncertainty, the authors utilize micro uncertainty in banking that exhibits enormous superiority.
{"title":"Uncertainty, bank opacity, and market structure","authors":"V. Dang, H. Nguyen","doi":"10.1108/ijmf-11-2021-0581","DOIUrl":"https://doi.org/10.1108/ijmf-11-2021-0581","url":null,"abstract":"PurposeThe study examines the impact of uncertainty on bank opacity while particularly taking into account the moderating role of market structures.Design/methodology/approachUsing a sample of Vietnamese banks from 2007 to 2019, the paper measures uncertainty at the disaggregate level of the banking sector through the dispersion of bank shocks and capture bank opacity from the perspective of bank earnings management based on discretionary loan loss provisions. The authors apply both structural and non-structural proxies of bank competition/concentration to better explore the role of market structures. Empirical regressions are conducted using the fixed effect regressions with Driscoll–Kraay standard errors and the two-step system generalized method of moments (GMM) technique, and then verified by the least squares dummy variable corrected (LSDVC) estimator.FindingsBank earnings opacity is less severe in periods of higher uncertainty. Further analysis documents that the negative impact of uncertainty on bank earnings opacity is stronger when the level of bank competition increases or when bank market power decreases.Originality/valueThe finding highlighting the conditioning role of market structures is entirely novel in the uncertainty-bank opacity literature. Moreover, in providing additional evidence on the significant impact of uncertainty on bank opacity, while prior related studies explore economic policy uncertainty, the authors utilize micro uncertainty in banking that exhibits enormous superiority.","PeriodicalId":51698,"journal":{"name":"International Journal of Managerial Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2022-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43512786","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}
Pub Date : 2022-09-09DOI: 10.1108/ijmf-11-2020-0561
Omar Farooq, Neveen Ahmed
PurposeThis paper aims is to document the relationship between corporate ethics prevailing in the country and the dividend policies adopted by firms.Design/methodology/approachThe paper uses the data of non-financial firms from 61 countries to test the arguments presented in this paper. The data cover the period between 2010 and 2017.FindingsThis paper shows that dividend policies adopted by firms are sensitive to corporate ethics prevailing in the country. The firms headquartered in countries with relatively strong corporate ethics are less likely to pay dividends than firms headquartered in countries with relatively weak corporate ethics. These findings are robust across various proxies of dividend policy and across various estimation procedures. The paper, however, also shows that the relationship between corporate ethics and dividend policies is confined only to countries with strong institutional environment. This relationship breaks down in countries with weak institutional environment. Lastly, the paper shows that the value of dividend policy is more pronounced in countries with relatively weak corporate ethics.Originality/valueUnlike the attempts to relate firm-level ethics and dividend policy, this paper focuses on the relationship between country-level indicator of corporate ethics and dividend policies. The benefit of using the country-level indicator of corporate ethics is that it highlights the general attitude of corporations with respect to ethics.
{"title":"International evidence on the relationship between corporate ethics and dividend policy","authors":"Omar Farooq, Neveen Ahmed","doi":"10.1108/ijmf-11-2020-0561","DOIUrl":"https://doi.org/10.1108/ijmf-11-2020-0561","url":null,"abstract":"PurposeThis paper aims is to document the relationship between corporate ethics prevailing in the country and the dividend policies adopted by firms.Design/methodology/approachThe paper uses the data of non-financial firms from 61 countries to test the arguments presented in this paper. The data cover the period between 2010 and 2017.FindingsThis paper shows that dividend policies adopted by firms are sensitive to corporate ethics prevailing in the country. The firms headquartered in countries with relatively strong corporate ethics are less likely to pay dividends than firms headquartered in countries with relatively weak corporate ethics. These findings are robust across various proxies of dividend policy and across various estimation procedures. The paper, however, also shows that the relationship between corporate ethics and dividend policies is confined only to countries with strong institutional environment. This relationship breaks down in countries with weak institutional environment. Lastly, the paper shows that the value of dividend policy is more pronounced in countries with relatively weak corporate ethics.Originality/valueUnlike the attempts to relate firm-level ethics and dividend policy, this paper focuses on the relationship between country-level indicator of corporate ethics and dividend policies. The benefit of using the country-level indicator of corporate ethics is that it highlights the general attitude of corporations with respect to ethics.","PeriodicalId":51698,"journal":{"name":"International Journal of Managerial Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2022-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45523853","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}
Pub Date : 2022-09-08DOI: 10.1108/ijmf-02-2022-0081
Harshali Damle, R. Sinha
PurposeLiterature sparsely documents the association between the deviant behavior of a firm and its financial policies. Trade credit is one of the most critical financial policies of a firm. In this study, the authors examine the association between strategic deviance and trade credit.Design/methodology/approachThe authors explore a strategy-based explanation for trade credit by examining whether strategic deviance affects trade credit using a sample of 33 countries from 1996 to 2020. The authors test the hypothesis using static OLS regression models. To address autocorrelation and endogeneity issues, the authors use dynamic OLS models, lag models, and instrumental variable approach.FindingsThe authors find that an increase in strategic deviance reduces both demand and supply of trade credit, and the study’s results indicate that a one standard deviation increase in strategic deviance leads to a 1.34% decrease in the demand for trade credit. Also, a one standard deviation increase in strategic deviance leads to a 2.26% fall in the supply of trade credit.Practical implicationsThis study facilitates managers to formulate trade credit policies when choosing a deviant strategy.Originality/valueTo the best of the authors’ knowledge, this is the first study to explore the association between strategic deviance and trade credit policies.
{"title":"Strategic deviance and trade credit","authors":"Harshali Damle, R. Sinha","doi":"10.1108/ijmf-02-2022-0081","DOIUrl":"https://doi.org/10.1108/ijmf-02-2022-0081","url":null,"abstract":"PurposeLiterature sparsely documents the association between the deviant behavior of a firm and its financial policies. Trade credit is one of the most critical financial policies of a firm. In this study, the authors examine the association between strategic deviance and trade credit.Design/methodology/approachThe authors explore a strategy-based explanation for trade credit by examining whether strategic deviance affects trade credit using a sample of 33 countries from 1996 to 2020. The authors test the hypothesis using static OLS regression models. To address autocorrelation and endogeneity issues, the authors use dynamic OLS models, lag models, and instrumental variable approach.FindingsThe authors find that an increase in strategic deviance reduces both demand and supply of trade credit, and the study’s results indicate that a one standard deviation increase in strategic deviance leads to a 1.34% decrease in the demand for trade credit. Also, a one standard deviation increase in strategic deviance leads to a 2.26% fall in the supply of trade credit.Practical implicationsThis study facilitates managers to formulate trade credit policies when choosing a deviant strategy.Originality/valueTo the best of the authors’ knowledge, this is the first study to explore the association between strategic deviance and trade credit policies.","PeriodicalId":51698,"journal":{"name":"International Journal of Managerial Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2022-09-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44244984","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}
Pub Date : 2022-09-08DOI: 10.1108/ijmf-08-2021-0373
Feng Xie, H. Anderson, J. Chi, Jing Liao
PurposeThis paper examines the impact of state control on stock price crash risk given whether and how ownership structure affects stock price crash risk is relatively underexplored.Design/methodology/approachThe sample includes 2,285 Chinese firms listed in the Shanghai and Shenzhen Stock Exchanges. Panel data is used for conducting the analysis and endogeneity is addressed with instrumental variable estimation and by testing how stock price crash risk is affected when the ultimate controller changes from a private-owned company to a state-owned enterprise.FindingsThe authors find that state control is negatively associated with future stock price crash risk. The mechanism analysis shows that state control reduces stock price crash risk through the implementation of conservative corporate policies. Furthermore, the impact of state control is more pronounced with more intensive state involvement, e.g. in strategic industries and when a company's ultimate controller is a non-corporate government agency or the central government.Originality/valueThis paper enriches the literature on the controversy of the role of state control and the results of this study highlight the importance of the conservatism of state control on reducing stock return tail risk. The authors also add to the literature on the importance of the policy-risk sharing effect of state ownership.
{"title":"State control and stock price crash risk: new evidence of the conservatism of state-owned enterprises","authors":"Feng Xie, H. Anderson, J. Chi, Jing Liao","doi":"10.1108/ijmf-08-2021-0373","DOIUrl":"https://doi.org/10.1108/ijmf-08-2021-0373","url":null,"abstract":"PurposeThis paper examines the impact of state control on stock price crash risk given whether and how ownership structure affects stock price crash risk is relatively underexplored.Design/methodology/approachThe sample includes 2,285 Chinese firms listed in the Shanghai and Shenzhen Stock Exchanges. Panel data is used for conducting the analysis and endogeneity is addressed with instrumental variable estimation and by testing how stock price crash risk is affected when the ultimate controller changes from a private-owned company to a state-owned enterprise.FindingsThe authors find that state control is negatively associated with future stock price crash risk. The mechanism analysis shows that state control reduces stock price crash risk through the implementation of conservative corporate policies. Furthermore, the impact of state control is more pronounced with more intensive state involvement, e.g. in strategic industries and when a company's ultimate controller is a non-corporate government agency or the central government.Originality/valueThis paper enriches the literature on the controversy of the role of state control and the results of this study highlight the importance of the conservatism of state control on reducing stock return tail risk. The authors also add to the literature on the importance of the policy-risk sharing effect of state ownership.","PeriodicalId":51698,"journal":{"name":"International Journal of Managerial Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2022-09-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48469438","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}
Pub Date : 2022-09-06DOI: 10.1108/ijmf-02-2022-0079
Xiaoming Li, Mei Qiu
PurposeThe purpose of this paper is to investigate the mechanism of transmitting economic policy uncertainty (EPU) shocks to capital structure.Design/methodology/approachThe authors adopt a novel approach that bridges the asset pricing implications of EPU and the debt-financing decisions of Chinese firms by introducing a variable “policy-risk-induced equity return” (PRER). PRER is the product of the EPU beta and the EPU shock. Differentiating firms as per the signs of the EPU beta helps to shed light on the deep questions of whether their respective leverage targets and speeds of adjustment are different and how the targets and speeds are determined.FindingsThe empirical evidence shows that it is the equity market that channels EPU shocks to capital structure through PRER in China. Firms with positive (negative) EPU betas have PRER impact negatively (positively) the leverage target, conforming to the market-timing theory. EPU and non-policy uncertainty shocks cause the speed of adjustment to change over time. Overall, the intertemporal relation between EPU and leverage is negative. These results are robust to alternative leverage measures and after controlling for non-policy uncertainty shocks and conventional firm characteristics and have implications for academic research, policymaking, market stability, and corporate financing.Originality/valueThis study is the first to probe for, and provide insights into, the underlying reason why EPU impacts capital structure by connecting asset pricing to corporate financing for a large sample of Chinese publicly traded firms.
{"title":"How are economic policy uncertainty shocks transmitted to capital structure? Chinese evidence","authors":"Xiaoming Li, Mei Qiu","doi":"10.1108/ijmf-02-2022-0079","DOIUrl":"https://doi.org/10.1108/ijmf-02-2022-0079","url":null,"abstract":"PurposeThe purpose of this paper is to investigate the mechanism of transmitting economic policy uncertainty (EPU) shocks to capital structure.Design/methodology/approachThe authors adopt a novel approach that bridges the asset pricing implications of EPU and the debt-financing decisions of Chinese firms by introducing a variable “policy-risk-induced equity return” (PRER). PRER is the product of the EPU beta and the EPU shock. Differentiating firms as per the signs of the EPU beta helps to shed light on the deep questions of whether their respective leverage targets and speeds of adjustment are different and how the targets and speeds are determined.FindingsThe empirical evidence shows that it is the equity market that channels EPU shocks to capital structure through PRER in China. Firms with positive (negative) EPU betas have PRER impact negatively (positively) the leverage target, conforming to the market-timing theory. EPU and non-policy uncertainty shocks cause the speed of adjustment to change over time. Overall, the intertemporal relation between EPU and leverage is negative. These results are robust to alternative leverage measures and after controlling for non-policy uncertainty shocks and conventional firm characteristics and have implications for academic research, policymaking, market stability, and corporate financing.Originality/valueThis study is the first to probe for, and provide insights into, the underlying reason why EPU impacts capital structure by connecting asset pricing to corporate financing for a large sample of Chinese publicly traded firms.","PeriodicalId":51698,"journal":{"name":"International Journal of Managerial Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2022-09-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46498097","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}
Pub Date : 2022-08-31DOI: 10.1108/ijmf-04-2022-0177
Peterson K. Ozili, T. Arun
PurposeManagers are concerned about how the macroeconomic environment affects business profit. Focusing on banks, this study aims to investigate the effect of economic policy uncertainty (EPU) on bank profitability in 22 advanced countries.Design/methodology/approachThe study used the panel fixed effect regression methodology to assess the effect of EPU on several measures of bank profitability for 22 advanced countries from 1998 to 2017. The measures of bank profitability are net interest margin, lending-deposit spread, non-interest income (NII) ratio, after-tax return on asset, before-tax return on asset, after-tax return on equity and before-tax return on equity.FindingsThe findings reveal that high EPU negatively affects bank NII. Real gross domestic product growth rate, nonperforming loans and regulatory capital ratio are negatively related to profitability in times of high EPU. The findings also reveal that high EPU has a positive effect on bank profitability in Asia and the region of the Americas, as these regions witnessed high return on equity in times of high EPU.Practical implicationsThe implication of the findings is that, although EPU has a depressive effect on some indicators of bank profitability, regional characteristics can ameliorate the depressive effects of EPU on bank profitability.Originality/valueThis study contributes to the literature that examine the economic consequences of EPU on firms. To the best of the authors’ knowledge, this study is among the first to examine how regional characteristics affect the relationship between EPU and bank profitability using cross-country data.
{"title":"Does economic policy uncertainty affect bank profitability?","authors":"Peterson K. Ozili, T. Arun","doi":"10.1108/ijmf-04-2022-0177","DOIUrl":"https://doi.org/10.1108/ijmf-04-2022-0177","url":null,"abstract":"PurposeManagers are concerned about how the macroeconomic environment affects business profit. Focusing on banks, this study aims to investigate the effect of economic policy uncertainty (EPU) on bank profitability in 22 advanced countries.Design/methodology/approachThe study used the panel fixed effect regression methodology to assess the effect of EPU on several measures of bank profitability for 22 advanced countries from 1998 to 2017. The measures of bank profitability are net interest margin, lending-deposit spread, non-interest income (NII) ratio, after-tax return on asset, before-tax return on asset, after-tax return on equity and before-tax return on equity.FindingsThe findings reveal that high EPU negatively affects bank NII. Real gross domestic product growth rate, nonperforming loans and regulatory capital ratio are negatively related to profitability in times of high EPU. The findings also reveal that high EPU has a positive effect on bank profitability in Asia and the region of the Americas, as these regions witnessed high return on equity in times of high EPU.Practical implicationsThe implication of the findings is that, although EPU has a depressive effect on some indicators of bank profitability, regional characteristics can ameliorate the depressive effects of EPU on bank profitability.Originality/valueThis study contributes to the literature that examine the economic consequences of EPU on firms. To the best of the authors’ knowledge, this study is among the first to examine how regional characteristics affect the relationship between EPU and bank profitability using cross-country data.","PeriodicalId":51698,"journal":{"name":"International Journal of Managerial Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2022-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46184483","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}
Pub Date : 2022-08-26DOI: 10.1108/ijmf-03-2021-0161
H. Zeng, Abdullahi D. Ahmed
PurposeThis paper aims to provide new perspectives on the integration of East Asian stock markets and the dynamic volatility transmission to the Bitcoin market utilising daily data from 2014 to 2020.Design/methodology/approachThe authors undertake comprehensive analyses of the dependency dynamics, systemic risk and volatility spillover between major East Asian stock and Bitcoin markets. The authors employ a vine-copula-CoVaR framework and a VAR-BEKK-GARCH method with a Wald test.Findings(a) With exception of KS11 and N225; HSI and SSE; HSI and KS11, which have moderate dependence, dependencies among other markets are low. In terms of tail risk, the upper tail risk is more significant in capturing strong common variation. (b) Two-way and asymmetric risk spillover effects exist in all markets. The Hong Kong and Japanese stock markets have significant risk spillovers to other markets, and quite notably, the Chinese stock market is the largest recipient of systemic risk. However, the authors observe a more significant risk spillover from the Chinese stock market to the Bitcoin market. (c) The VAR-BEKK-GARCH results confirm that the Korean market is a significant emitter of volatility spillovers. The Bitcoin market does provide diversification benefits. Interestingly, the Chinese stock market has an intriguing relationship with Bitcoin. (d) An increase in spillovers in East Asia boosts spillovers to Bitcoin, but there is no intuitive effect of Bitcoin spillovers on East Asian spillovers.Originality/valueFor the first time, the authors examine the dynamic linkage between Bitcoin and the major East Asian stock markets.
{"title":"Market integration and volatility spillover across major East Asian stock and Bitcoin markets: an empirical assessment","authors":"H. Zeng, Abdullahi D. Ahmed","doi":"10.1108/ijmf-03-2021-0161","DOIUrl":"https://doi.org/10.1108/ijmf-03-2021-0161","url":null,"abstract":"PurposeThis paper aims to provide new perspectives on the integration of East Asian stock markets and the dynamic volatility transmission to the Bitcoin market utilising daily data from 2014 to 2020.Design/methodology/approachThe authors undertake comprehensive analyses of the dependency dynamics, systemic risk and volatility spillover between major East Asian stock and Bitcoin markets. The authors employ a vine-copula-CoVaR framework and a VAR-BEKK-GARCH method with a Wald test.Findings(a) With exception of KS11 and N225; HSI and SSE; HSI and KS11, which have moderate dependence, dependencies among other markets are low. In terms of tail risk, the upper tail risk is more significant in capturing strong common variation. (b) Two-way and asymmetric risk spillover effects exist in all markets. The Hong Kong and Japanese stock markets have significant risk spillovers to other markets, and quite notably, the Chinese stock market is the largest recipient of systemic risk. However, the authors observe a more significant risk spillover from the Chinese stock market to the Bitcoin market. (c) The VAR-BEKK-GARCH results confirm that the Korean market is a significant emitter of volatility spillovers. The Bitcoin market does provide diversification benefits. Interestingly, the Chinese stock market has an intriguing relationship with Bitcoin. (d) An increase in spillovers in East Asia boosts spillovers to Bitcoin, but there is no intuitive effect of Bitcoin spillovers on East Asian spillovers.Originality/valueFor the first time, the authors examine the dynamic linkage between Bitcoin and the major East Asian stock markets.","PeriodicalId":51698,"journal":{"name":"International Journal of Managerial Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2022-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49315089","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}
Pub Date : 2022-08-16DOI: 10.1108/ijmf-09-2021-0457
S. Solarin, Muhammed Sehid Gorus, Veli Yılancı
PurposeThis study seeks to investigate role of the coronavirus disease 2019 (COVID-19) pandemic on clean energy stocks for the United States for the period 21 January 2020–16 August 2021.Design/methodology/approachAt the empirical stage, the Fourier-augmented vector autoregression approach has been used.FindingsAccording to the empirical results, the response of the clean energy stocks to the feverish sentiment, lockdown stringency, oil volatility, dirty assets, and monetary policy dies out within a short period of time. In addition, the authors find that there is a unidirectional causality from the feverish sentiment index and the lockdown stringency index to the clean energy stock returns; and from the monetary policy to the clean energy stocks. At the same time, there is a bidirectional causality between the lockdown stringency index and the feverish sentiment index. The empirical findings can be helpful to both practitioners and policy-makers.Originality/valueAmong the COVID-19 variables used in this study is a new feverish sentiment index, which has been constructed using principal component analysis. The importance of the feverish sentiment index is that it allows us to examine the impact of the aggregate level of fear in the economy on clean energy stocks.
{"title":"Feverish sentiment, lockdown stringency, oil volatility, and clean energy stocks during COVID-19 pandemic","authors":"S. Solarin, Muhammed Sehid Gorus, Veli Yılancı","doi":"10.1108/ijmf-09-2021-0457","DOIUrl":"https://doi.org/10.1108/ijmf-09-2021-0457","url":null,"abstract":"PurposeThis study seeks to investigate role of the coronavirus disease 2019 (COVID-19) pandemic on clean energy stocks for the United States for the period 21 January 2020–16 August 2021.Design/methodology/approachAt the empirical stage, the Fourier-augmented vector autoregression approach has been used.FindingsAccording to the empirical results, the response of the clean energy stocks to the feverish sentiment, lockdown stringency, oil volatility, dirty assets, and monetary policy dies out within a short period of time. In addition, the authors find that there is a unidirectional causality from the feverish sentiment index and the lockdown stringency index to the clean energy stock returns; and from the monetary policy to the clean energy stocks. At the same time, there is a bidirectional causality between the lockdown stringency index and the feverish sentiment index. The empirical findings can be helpful to both practitioners and policy-makers.Originality/valueAmong the COVID-19 variables used in this study is a new feverish sentiment index, which has been constructed using principal component analysis. The importance of the feverish sentiment index is that it allows us to examine the impact of the aggregate level of fear in the economy on clean energy stocks.","PeriodicalId":51698,"journal":{"name":"International Journal of Managerial Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2022-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42342306","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}
Pub Date : 2022-07-20DOI: 10.1108/ijmf-10-2021-0522
Daniel Tut
PurposeThis paper addresses the following questions: Why do some firms employ multiple debt types? What explains debt heterogeneity? Is the choice of the source of debt a function of corporate governance?Design/methodology/approachThe author's paper is empirical and uses multiple regression analysis.FindingsFirms under weak corporate governance have a higher propensity to use multiple debt types and have a dispersed debt structure. Contrastingly, firms that are well-managed tend to concentrate debt and borrow predominantly from a few creditors. The author also found that while bank debt is negatively associated with debt concentration, market debt is positively associated with debt concentration.Research limitations/implicationsFirms under weak corporate governance have a higher propensity to use multiple debt types and have a dispersed debt structure. Well-managed firms tend to concentrate debt and borrow predominantly from a few creditors. Bank debt is negatively associated with debt concentration and market debt is positively associated with debt concentration.Practical implicationsPolicymakers and practitioners need to account not only for changes in the firm’s total debt level but also for changes within the firm’s debt composition. Understanding a manager’s choice of debt structure can incentivize creditors to effectively monitor and use debt concentration as a form of commitment device that transfers some control rights from the manager to creditors.Originality/valueWhile a vast body of corporate finance literature examines the conflict between shareholders and management, there is little empirical work on the conflict between creditors and management. In this paper, the author examines how managerial entrenchment affects debt structure. The results provide a comprehensive picture of how corporate governance influences debt choice(s).
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