International Journal of Finance & Economics
- Publication date:
- Nbr. 26-1, January 2021
- Nbr. 25-4, October 2020
- Nbr. 25-3, July 2020
- Nbr. 25-2, April 2020
- Nbr. 25-1, January 2020
- Nbr. 24-4, October 2019
- Nbr. 24-3, July 2019
- Nbr. 24-2, April 2019
- Nbr. 24-1, January 2019
- Nbr. 23-4, October 2018
- Nbr. 23-3, July 2018
- Nbr. 23-2, April 2018
- Nbr. 23-1, January 2018
- Nbr. 22-4, October 2017
- Nbr. 22-3, July 2017
- Nbr. 22-2, April 2017
- Nbr. 22-1, January 2017
- Nbr. 21-4, October 2016
- Nbr. 21-3, July 2016
- Nbr. 21-2, April 2016
- Determinants of financial crises—An early warning system based on panel logit regression
Despite the fact that different types of financial crises are rooted in similar weaknesses of economy or may have common determinants, the very transmission mechanism may determine one category as leading or lagging behind others. We are focused on financial crises that necessarily have the features of systemic banking crises and assess econometric early warning system of 64 systemic banking crises that occurred in the period from 1977 to 2013. The paper employs two different procedures, based on panel logit regression. The dynamic discrete‐choice (binary) early warning model clearly outperformed the static model. The set of significant explanatory variables changed relative to the findings of the static model. The most significant predictor of the crises in the better performing model is deposit insurance system, followed by international reserves, M2‐to‐international reserves ratio, M2 multiplier, bank deposits, and bank reserves ratio. The statistical significance of the lagged variable confirmed the necessity to take the effect of crisis persistence into account.
- Asset‐Liability Management and bank profitability: Statistical cost accounting analysis from an emerging market
This paper employs the Statistical Cost Accounting (SCA) model to examine the relationship between profit and Asset‐Liability Management (ALM) structure of 27 banks in Ghana over the period 2007–2015. The findings confirm the central hypothesis of the SCA model and provide evidence that profitability is linked to balance sheet items in Ghana. It also documents evidence that domestic banks have higher rate of return on assets than foreign banks over the study period. In addition, high profit banks were observed to have higher rate of return on assets as well as higher rate of cost on liabilities than low profit banks. These findings provide useful insights to bank management through the identification of the assets items that generate highest return on bank profitability.
- Analysing time difference and volatility linkages between China and the United States during financial crises and stable period using VARX‐DCC‐MEGARCH model
The study implies VARX‐DCC‐MEGARCH model to investigate the returns transmission, volatility spillovers, asymmetry effect and the dynamic correlation between China and U.S. stock markets, as well as their local stock markets. We found that daytime returns of U.S. stock markets affect the overnight returns of Chinese stock markets. However, overnight returns transmission from the United States to China (daytime) was insignificant. Returns transmissions from Chinese stock markets to the United States are not significant. Daytime volatility of U.S. stock markets significantly spillovers the overnight volatility of Chinese stock markets and daytime volatility of Chinese stock markets spillovers the overnight volatility of U.S. stock markets. Moreover, during financial crises period, negative daily returns of Chinese stock markets significantly transmit to U.S. stock markets. Additionally, returns and volatility spillovers between local markets of the United States was also significant. During the financial crisis, the volatility spillovers between local stocks market of China was significant on one hand and leverage effect for U.S. and Chinese stock markets were also significant on the other hand.
- Spillovers and financial integration in emerging markets: Analysis of BRICS economies within a VAR‐BEKK framework
This study estimates the return and volatility spillovers among the BRICS countries (internal) and between BRICS, gold, oil and US stock markets (external). We find that internal return and volatility spillovers are higher than their external spillover counterparts. Thus, investors would be better off diversifying their investments in gold, oil and US stock markets along with the emerging economies. Interestingly, we also find that the return spillovers are higher than their volatility spillover counterparts, thus presenting investors with an opportunity to diversify their portfolio risk. With respect to portfolio constitution, South Africa emerges as the top choice for investment within the BRICS, whereas gold is the preferred choice for investors outside the BRICS economies.
- Economic impact of monetary policy: Focus on real estate sector in Italy
This study investigates the nexus between financial market and real estate (RE) sector against the backdrop of ECB's unconventional monetary policy. A financial dynamic computable general equilibrium (DCGE) model is calibrated on the financial social accounting matrix (FSAM) of Italian economy. The findings confirm that the inclusion of financial intermediation into real economy affects the real estate sector's output, value added, and pricing.
- Viability of liberal professions' economic effectiveness in the context of the new fiscal changes in Romania
In the current economic flow generated context, the services provided by liberal professions have become a link between producers and suppliers of products, services and end‐users. The objective of the study is to delineate the fiscal debt sustainability threshold and its impact on liberal professions specific activities. A subsequent objective is to highlight the impact of the independent activities of the liberal professions at the micro and macroeconomic level by developing a model of circular interdependence, between the inputs and outputs of resources, services and the critical point from which it can produce value, continuity and growth in activity. The results of the study are based on the definition of the role of the liberal profession in the context of the current economy in Romania, as well as on the demarcation of the critical point from which the economic spiral can create added value and profitability.
- The impact of terrorism on formal and informal economy in African countries
This study examines the impact of terrorist attacks on the formal and informal economy for 47 African countries during the period 1996–2015. Four terrorism indicators are used, namely, domestic, transnational, uncertain and total terrorism. The empirical results are based on the two‐step Generalized Method of Moments in system. Three key findings are established. First, all terrorist indicators affect negatively the formal economy and positively the informal economy. This effect may be due not only to the size and maturity of the African economy, but also to the adoption of less conservative public policies. Second, an aggregate analysis identifying the impact of terrorism on various macroeconomic variables sheds light on the impact of terrorism on the overall situation of the African economy. Third, compared to domestic terrorism, transnational terrorism more significantly and negatively affects the formal economy and positively affects the informal economy. Political implications are discussed.
- Modelling the volatility of crude oil returns: Jumps and volatility forecasts
We contribute to the scarce literature on the oil market volatility index (OVX) by examining the presence of time‐varying jumps in OVX and by assessing the ability of OVX to predict the conditional variance of crude oil returns. Using a GARCH‐jump model, we find evidence that OVX is characterized by jump behaviour that tends to vary over time. Further analysis indicates that accounting for the jump behaviour of OVX helps improve the conditional variance forecasts of crude oil returns. Since the studied features of OVX play a crucial role in asset pricing and risk analyses, our findings have policy implications related to refining volatility prediction models and risk measures.
- Harvesting Islamic risk premium with long–short strategies: A time scale decomposition using the wavelet theory
The impact of the Islamic screening on the performance of stock and sukuk investments is subject of a serious debate. The aim of this paper is to contribute to the ongoing studies on Islamic markets by giving new insights about characteristics of the Islamic risk premium. To attempt this objective, we adopt a risk premia methodology using long–short strategies and a time scale decomposition to find out the scale and the intensity degree of this effect over time. Furthermore, we consider the Islamic risk premium as a market factor. Wavelet analysis results in Malaysia highlight the presence of the Islamic effect at low frequency bands and a higher intensity among the corporate debt market. However, this approach's effectiveness is conditioned to the existence of Islamic and conventional benchmarks.
- The term structure of sovereign credit default swap and the cross‐section of exchange rate predictability
We provide novel evidence on exchange rate predictability by using the term premia of the sovereign credit default swap (CDS). Using a sample of 29 countries, we find that the sovereign CDS term premia significantly predict the exchange rates out‐of‐sample. On average, a steeper CDS spread curve for a country predicts its currency appreciation against the U.S. dollar (USD). Empirically, although the sovereign CDS level mainly reflects global risk, the information in the term premia of the sovereign CDS spreads reveals country‐specific risk. Notably, the predictive power of the term premia is robust after controlling for the sovereign CDS level and other conventional global macroeconomic and financial factors. Further analysis shows that the information in the sovereign CDS term premia is also helpful for forecasting international stock market returns.
- The determinants of profitability of Indian commercial banks: A panel data approach
The current study examines the determinants of profitability of Indian commercial banks. The analysis is conducted over a period of 10 years in which the Indian banking sector has gone under different changes such as demonetization and issues related to banking sector sustainability and banking...
- What does unconventional monetary policy do to stock markets in the euro area?
This paper investigates the impact of the European Central Bank's unconventional monetary surprises on major European stock markets. Three measures for surprises are used: (a) the change in domestic 10‐year government bond yields, (b) the change in the spread between German and Italian (Spanish) 10‐...
- International Sentiment Spillovers in Equity Returns
This paper examines the extent of spillovers from US investor sentiment on G7 aggregate market, value and growth stock returns. As a proxy for investor sentiment, we include individual investor survey, measured by the University of Michigan consumer confidence index and market sentiment measured by ...
- Bank‐level and country‐level determinants of bank capital structure and funding sources
We examine the determinants of capital structure and funding sources of 347 large global banks between 1998 and 2016 from 57 countries around the world. We find that the capital structure of banks does not evolve only as a result of capital regulations, it is also affected by market forces. We find ...
- The relationship between political instability and financial inclusion: Evidence from Middle East and North Africa
What is the effect of political instability on financial inclusion (FI) in the Middle East and North Africa region? Using data for 2011, 2014, and 2017, from the Global Findex database, we test the asymmetry relationship between political instability and FI using the probit model with sample...
- The impacts of global economic policy uncertainty on stock market returns in regime switching environment: Evidence from sectoral perspectives
This study contributes in building emerging literature by investigating the impacts of global economic policy uncertainty on Malaysian sectoral stock performance. This study models sectoral stock returns as time‐varying transition probability Markovian processes and employs two‐stage Markov‐switchin...
- Does size matter in predicting SMEs failure?
This study acknowledges the diversity between micro, small, and medium‐sized firms while predicting bankruptcy and financial distress of the United States small and medium‐sized enterprises. Empirical findings suggest that survival (failure) probability increases (decreases) with increasing firm...
- Banks' profitability, institutions, and regulation in the context of the financial crisis
This paper empirically examines how banks' dividend policy, the institutional environment, and banking regulation affects banks' profitability using panel data of a sample of 567 banks, mainly from Organisation for Economic Cooperation and Development countries, for 2004–2015. It further examines...
- The simultaneous disclosure of shareholder and stakeholder corporate governance practices and their antecedents
In making corporate governance (CG)‐related disclosure, firms may solely focus on shareholders or may broaden their scope of disclosure to serve other stakeholders as well. This study examines whether there are differences in the disclosure of shareholder and stakeholder CG practices. Based on a...
- European trading volumes on cross‐market holidays
There is anecdotal evidence of reduced trading volume in equity markets when other external markets are not trading. This phenomenon can be called the “cross‐market holiday effect,” and this study investigates it in detail, providing evidence for the existence of a strong cross‐market holiday...