Studies in Economics and FinanceTable of Contents for Studies in Economics and Finance. List of articles from the current issue, including Just Accepted (EarlyCite)https://www.emerald.com/insight/publication/issn/1086-7376/vol/41/iss/1?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestStudies in Economics and FinanceEmerald Publishing LimitedStudies in Economics and FinanceStudies in Economics and Financehttps://www.emerald.com/insight/proxy/containerImg?link=/resource/publication/journal/4878bdae6c4c3679c1b54dadd8fc0053/urn:emeraldgroup.com:asset:id:binary:sef.cover.jpghttps://www.emerald.com/insight/publication/issn/1086-7376/vol/41/iss/1?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestEvolution of short-term contrarian profitshttps://www.emerald.com/insight/content/doi/10.1108/SEF-12-2022-0599/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThe purpose of this paper is to study the US stock market and try to explain why short-term contrarian profits have largely disappeared in the past two decades. In this work, the authors decompose the short-term contrarian profits into cross-sectional variations, firm-level overreactions and lead-lag effects to study the changes in their shares. Then, the authors study the behavior of the subgroups in the winner and loser subportfolios of contrarian investment strategies. The authors find that short-term contrarian profits have largely vanished since 2000. Changes in the shares of the three components of contrarian profits, which are cross-sectional variations, firm-level overreactions and lead-lag effects, are not the main reason for the disappearance of contrarian profits in the past two decades. Instead, the disappearance of short-term contrarian profits is primarily due to the heterogeneous evolution of subgroups in the portfolio, which leads to a decrease in the overall level of overreactions that drive the contrarian profit. The work explains the disappearance of short-term contrarian profits in the US stock market.Evolution of short-term contrarian profits
Xuebing Yang, Huilan Zhang
Studies in Economics and Finance, Vol. 41, No. 1, pp.1-27

The purpose of this paper is to study the US stock market and try to explain why short-term contrarian profits have largely disappeared in the past two decades.

In this work, the authors decompose the short-term contrarian profits into cross-sectional variations, firm-level overreactions and lead-lag effects to study the changes in their shares. Then, the authors study the behavior of the subgroups in the winner and loser subportfolios of contrarian investment strategies.

The authors find that short-term contrarian profits have largely vanished since 2000. Changes in the shares of the three components of contrarian profits, which are cross-sectional variations, firm-level overreactions and lead-lag effects, are not the main reason for the disappearance of contrarian profits in the past two decades. Instead, the disappearance of short-term contrarian profits is primarily due to the heterogeneous evolution of subgroups in the portfolio, which leads to a decrease in the overall level of overreactions that drive the contrarian profit.

The work explains the disappearance of short-term contrarian profits in the US stock market.

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Evolution of short-term contrarian profits10.1108/SEF-12-2022-0599Studies in Economics and Finance2023-07-04© 2023 Emerald Publishing LimitedXuebing YangHuilan ZhangStudies in Economics and Finance4112023-07-0410.1108/SEF-12-2022-0599https://www.emerald.com/insight/content/doi/10.1108/SEF-12-2022-0599/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Emerald Publishing Limited
Capital structure and momentum strategieshttps://www.emerald.com/insight/content/doi/10.1108/SEF-05-2023-0224/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThe paper aims to investigate whether or not a firm’s capital structure can interact with past stock returns to affect future stock returns. Specifically, the authors examine whether or not capital structure can help improve momentum profit. The authors use the US common stocks data from 1965 to 2022 to empirically examine the impact of capital structure on momentum profit. When capital structure is measured either as the ratio of debt to asset or the ratio of liability to asset, we all find out that momentum strategies tend to be more profitable for stocks with large capital structure. Besides documenting the empirical evidence of the impact of capital structure on momentum profit, the authors also present a simple explanation for their empirical results and show that their finding is consistent with the behavioral finance theory that characterizes investors’ increased psychological bias and the more limited arbitrage opportunity when the estimation of firm value becomes more difficult or less accurate.Capital structure and momentum strategies
George Li, Ming Li, Shuming Liu
Studies in Economics and Finance, Vol. 41, No. 1, pp.28-45

The paper aims to investigate whether or not a firm’s capital structure can interact with past stock returns to affect future stock returns. Specifically, the authors examine whether or not capital structure can help improve momentum profit.

The authors use the US common stocks data from 1965 to 2022 to empirically examine the impact of capital structure on momentum profit.

When capital structure is measured either as the ratio of debt to asset or the ratio of liability to asset, we all find out that momentum strategies tend to be more profitable for stocks with large capital structure.

Besides documenting the empirical evidence of the impact of capital structure on momentum profit, the authors also present a simple explanation for their empirical results and show that their finding is consistent with the behavioral finance theory that characterizes investors’ increased psychological bias and the more limited arbitrage opportunity when the estimation of firm value becomes more difficult or less accurate.

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Capital structure and momentum strategies10.1108/SEF-05-2023-0224Studies in Economics and Finance2024-01-11© 2024 Emerald Publishing LimitedGeorge LiMing LiShuming LiuStudies in Economics and Finance4112024-01-1110.1108/SEF-05-2023-0224https://www.emerald.com/insight/content/doi/10.1108/SEF-05-2023-0224/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2024 Emerald Publishing Limited
Feedback trading in the cryptocurrency markethttps://www.emerald.com/insight/content/doi/10.1108/SEF-02-2023-0096/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis paper aims to investigate feedback trading and autocorrelation behavior in the cryptocurrency market. It uses the GJR-GARCH model to investigate feedback trading in the cryptocurrency market. The findings show a negative relationship between trading volume and autocorrelation in the cryptocurrency market. The GJR-GARCH model shows that only the USD Coin and Binance USD show an asymmetric effect or leverage effect. Interestingly, other cryptocurrencies such as Ethereum, Binance Coin, Ripple, Solana, Cardano and Bitcoin Cash show the opposite behavior of the leverage effect. The findings of the GJR-GARCH model also show positive feedback trading for USD Coin, Binance USD, Ripple, Solana and Bitcoin Cash and negative feedback trading for Ethereum and Cardano only. This paper contributes to the literature by extending Sentana and Wadhwani (1992) to explore the presence of feedback trading in the cryptocurrency market using a sample of the most active cryptocurrencies other than Bitcoin, namely, Ethereum, USD coin, Binance Coin, Binance USD, Ripple, Cardano, Solana and Bitcoin Cash.Feedback trading in the cryptocurrency market
Mohamed Shaker Ahmed, Adel Alsamman, Kaouther Chebbi
Studies in Economics and Finance, Vol. 41, No. 1, pp.46-63

This paper aims to investigate feedback trading and autocorrelation behavior in the cryptocurrency market.

It uses the GJR-GARCH model to investigate feedback trading in the cryptocurrency market.

The findings show a negative relationship between trading volume and autocorrelation in the cryptocurrency market. The GJR-GARCH model shows that only the USD Coin and Binance USD show an asymmetric effect or leverage effect. Interestingly, other cryptocurrencies such as Ethereum, Binance Coin, Ripple, Solana, Cardano and Bitcoin Cash show the opposite behavior of the leverage effect. The findings of the GJR-GARCH model also show positive feedback trading for USD Coin, Binance USD, Ripple, Solana and Bitcoin Cash and negative feedback trading for Ethereum and Cardano only.

This paper contributes to the literature by extending Sentana and Wadhwani (1992) to explore the presence of feedback trading in the cryptocurrency market using a sample of the most active cryptocurrencies other than Bitcoin, namely, Ethereum, USD coin, Binance Coin, Binance USD, Ripple, Cardano, Solana and Bitcoin Cash.

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Feedback trading in the cryptocurrency market10.1108/SEF-02-2023-0096Studies in Economics and Finance2023-05-17© 2023 Emerald Publishing LimitedMohamed Shaker AhmedAdel AlsammanKaouther ChebbiStudies in Economics and Finance4112023-05-1710.1108/SEF-02-2023-0096https://www.emerald.com/insight/content/doi/10.1108/SEF-02-2023-0096/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Emerald Publishing Limited
The impact of bitcoin on gold, the volatility index (VIX), and dollar index (USDX): analysis based on VAR, SVAR, and wavelet coherencehttps://www.emerald.com/insight/content/doi/10.1108/SEF-04-2023-0187/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestSince 2008, bitcoin has continued to attract investors due to its growing capitalization and opportunity for speculation. The purpose of this paper is to analyze the impact of bitcoin (BTC) on gold, the volatility index (VIX) and the dollar index (USDX). The series used are weekly and cover the period from January 2016 to November 2022. To generate the results, the unrestricted vector autoregression (VAR), structural vector autoregression (SVAR) and wavelet coherence were performed. The findings are mixed as not all tests show the exact effects of BTC in the three asset classes. However, common to all the tests is the significant influence that BTC maintains on gold and vice versa. The positive shock in BTC significantly increases the gold prices, confirmed in three different tests. The effects on the VIX and USDX are still being determined, where in some tests, it appears to be influential while in others not. BTC’s diversification potential with equity stocks and USDX makes it a valuable security for portfolio managers. Furthermore, regulatory authorities should consider that BTC is not an isolated phenomenon and can significantly influence other asset classes such as gold.The impact of bitcoin on gold, the volatility index (VIX), and dollar index (USDX): analysis based on VAR, SVAR, and wavelet coherence
Florin Aliu, Alban Asllani, Simona Hašková
Studies in Economics and Finance, Vol. 41, No. 1, pp.64-87

Since 2008, bitcoin has continued to attract investors due to its growing capitalization and opportunity for speculation. The purpose of this paper is to analyze the impact of bitcoin (BTC) on gold, the volatility index (VIX) and the dollar index (USDX).

The series used are weekly and cover the period from January 2016 to November 2022. To generate the results, the unrestricted vector autoregression (VAR), structural vector autoregression (SVAR) and wavelet coherence were performed.

The findings are mixed as not all tests show the exact effects of BTC in the three asset classes. However, common to all the tests is the significant influence that BTC maintains on gold and vice versa. The positive shock in BTC significantly increases the gold prices, confirmed in three different tests. The effects on the VIX and USDX are still being determined, where in some tests, it appears to be influential while in others not.

BTC’s diversification potential with equity stocks and USDX makes it a valuable security for portfolio managers. Furthermore, regulatory authorities should consider that BTC is not an isolated phenomenon and can significantly influence other asset classes such as gold.

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The impact of bitcoin on gold, the volatility index (VIX), and dollar index (USDX): analysis based on VAR, SVAR, and wavelet coherence10.1108/SEF-04-2023-0187Studies in Economics and Finance2023-06-19© 2023 Emerald Publishing LimitedFlorin AliuAlban AsllaniSimona HaškováStudies in Economics and Finance4112023-06-1910.1108/SEF-04-2023-0187https://www.emerald.com/insight/content/doi/10.1108/SEF-04-2023-0187/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Emerald Publishing Limited
Financial risk tolerance of individuals from the lens of big five personality traits – a multigenerational perspectivehttps://www.emerald.com/insight/content/doi/10.1108/SEF-01-2023-0013/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis study aims to analyse the impact of the big five personality traits on the financial risk tolerance of individuals. Furthermore, it also examines the differences in personality traits and financial risk tolerance across four generations: baby boomers, Generation X, millennials and Generation Z. The data constituted 869 responses from Indian individuals, collected using a self-administered structured questionnaire using a convenience sampling technique. Structural equation modelling analysis showed that openness to experience, extraversion and neuroticism had a significant impact on financial risk tolerance. Multivariate analysis revealed the role of specific personality traits in predicting the financial risk tolerance of generational cohorts. Mean difference showed that millennials and Generation Z had the greatest risk tolerance, whereas the tolerance levels were lower for Generation X and baby boomers. This research provides insights into the role of personality on financial risk-taking among generational cohorts in India. Thus, these results cannot be generalised for other risk-taking domains or outside the Indian context. This study’s results align with the pulse rate hypothesis of generational theory and contribute to the growing field of behavioural economics and finance. It provides a perspective of the emerging economy of India, where behavioural finance studies are still at a nascent stage.Financial risk tolerance of individuals from the lens of big five personality traits – a multigenerational perspective
Crystal Glenda Rodrigues, Gopalakrishna B.V.
Studies in Economics and Finance, Vol. 41, No. 1, pp.88-101

This study aims to analyse the impact of the big five personality traits on the financial risk tolerance of individuals. Furthermore, it also examines the differences in personality traits and financial risk tolerance across four generations: baby boomers, Generation X, millennials and Generation Z.

The data constituted 869 responses from Indian individuals, collected using a self-administered structured questionnaire using a convenience sampling technique.

Structural equation modelling analysis showed that openness to experience, extraversion and neuroticism had a significant impact on financial risk tolerance. Multivariate analysis revealed the role of specific personality traits in predicting the financial risk tolerance of generational cohorts. Mean difference showed that millennials and Generation Z had the greatest risk tolerance, whereas the tolerance levels were lower for Generation X and baby boomers.

This research provides insights into the role of personality on financial risk-taking among generational cohorts in India. Thus, these results cannot be generalised for other risk-taking domains or outside the Indian context.

This study’s results align with the pulse rate hypothesis of generational theory and contribute to the growing field of behavioural economics and finance. It provides a perspective of the emerging economy of India, where behavioural finance studies are still at a nascent stage.

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Financial risk tolerance of individuals from the lens of big five personality traits – a multigenerational perspective10.1108/SEF-01-2023-0013Studies in Economics and Finance2023-04-17© 2023 Emerald Publishing LimitedCrystal Glenda RodriguesGopalakrishna B.V.Studies in Economics and Finance4112023-04-1710.1108/SEF-01-2023-0013https://www.emerald.com/insight/content/doi/10.1108/SEF-01-2023-0013/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Emerald Publishing Limited
Does the day-of-the-week effect exist in other asset classes? Investigation of the globally listed private equity marketshttps://www.emerald.com/insight/content/doi/10.1108/SEF-12-2021-0517/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis study aims to investigate the day-of-the-week (DoW) effect in globally listed private equity (LPE) markets using daily data covering the period 2004–2021. To investigate the existence of the DoW effect in globally LPE markets, ordinary least squares regression, generalised autoregressive conditional heteroscedasticity (GARCH) regression and robust regressions are used. In addition, robustness audits are conducted by subdividing the sampling period into two sub-periods: pre-financial and post-financial crisis. Limited statistically significant evidence is found for the DoW effect. By taking time-varying volatility into account, a statistically significant DoW effect can be observed, indicating that the DoW effect is driven by time-varying volatility. Economic significance is captured through visual inspection of average daily returns, which illustrate that Monday returns are lower than the other weekdays. The results have important implications on whether to adopt a DoW strategy for investors in LPE. The findings show that higher returns on selected days of the week for certain indices are possible. To the best of the author’s knowledge, this paper provides the first study to examine the DoW effect for globally LPE markets by using LPX indices and contributes valuable insights on this growing asset class.Does the day-of-the-week effect exist in other asset classes? Investigation of the globally listed private equity markets
Marcel Steinborn
Studies in Economics and Finance, Vol. 41, No. 1, pp.102-124

This study aims to investigate the day-of-the-week (DoW) effect in globally listed private equity (LPE) markets using daily data covering the period 2004–2021.

To investigate the existence of the DoW effect in globally LPE markets, ordinary least squares regression, generalised autoregressive conditional heteroscedasticity (GARCH) regression and robust regressions are used. In addition, robustness audits are conducted by subdividing the sampling period into two sub-periods: pre-financial and post-financial crisis.

Limited statistically significant evidence is found for the DoW effect. By taking time-varying volatility into account, a statistically significant DoW effect can be observed, indicating that the DoW effect is driven by time-varying volatility. Economic significance is captured through visual inspection of average daily returns, which illustrate that Monday returns are lower than the other weekdays.

The results have important implications on whether to adopt a DoW strategy for investors in LPE. The findings show that higher returns on selected days of the week for certain indices are possible.

To the best of the author’s knowledge, this paper provides the first study to examine the DoW effect for globally LPE markets by using LPX indices and contributes valuable insights on this growing asset class.

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Does the day-of-the-week effect exist in other asset classes? Investigation of the globally listed private equity markets10.1108/SEF-12-2021-0517Studies in Economics and Finance2023-04-26© 2023 Emerald Publishing LimitedMarcel SteinbornStudies in Economics and Finance4112023-04-2610.1108/SEF-12-2021-0517https://www.emerald.com/insight/content/doi/10.1108/SEF-12-2021-0517/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Emerald Publishing Limited
Exploring the relationship between digital trails of social signals and bitcoin returnshttps://www.emerald.com/insight/content/doi/10.1108/SEF-12-2022-0572/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis study aims to empirically investigate the linkages between digital trails of social signals (content and profile features of bitcoin-related tweets) and bitcoin price return using a VAR-BEKK-GARCH model. Bitcoin-related tweets were collected every hour for six months from September 1, 2020, to February 29, 2021. The analysis involved two steps: first, examining tweet content, profiles, sentiment and emotions; and second, investigating the relationship between social signal volatility and hourly bitcoin price return. Results indicate that bitcoin price changes can impact the sentiment expressed in tweets about bitcoin, and vice versa. While sadness exhibits a bidirectional volatility spillover with bitcoin, fear and anger display a one-period lag. Quartile analyses reveal that only fear in the second quartile shows a bidirectional spillover effect with bitcoin, while all other emotions except sadness demonstrate a unidirectional spillover effect in all remaining quartiles. The study uses a novel two-step approach to analyze volatility spillovers between social signals and bitcoin price returns. Findings can guide investors and portfolio managers in making better allocation decisions and assist policymakers and regulators in reducing the adverse effects of bitcoin’s volatility on financial system stability.Exploring the relationship between digital trails of social signals and bitcoin returns
Tezer Yelkenci, Birce Dobrucalı Yelkenci, Gülin Vardar, Berna Aydoğan
Studies in Economics and Finance, Vol. 41, No. 1, pp.125-147

This study aims to empirically investigate the linkages between digital trails of social signals (content and profile features of bitcoin-related tweets) and bitcoin price return using a VAR-BEKK-GARCH model.

Bitcoin-related tweets were collected every hour for six months from September 1, 2020, to February 29, 2021. The analysis involved two steps: first, examining tweet content, profiles, sentiment and emotions; and second, investigating the relationship between social signal volatility and hourly bitcoin price return.

Results indicate that bitcoin price changes can impact the sentiment expressed in tweets about bitcoin, and vice versa. While sadness exhibits a bidirectional volatility spillover with bitcoin, fear and anger display a one-period lag. Quartile analyses reveal that only fear in the second quartile shows a bidirectional spillover effect with bitcoin, while all other emotions except sadness demonstrate a unidirectional spillover effect in all remaining quartiles.

The study uses a novel two-step approach to analyze volatility spillovers between social signals and bitcoin price returns. Findings can guide investors and portfolio managers in making better allocation decisions and assist policymakers and regulators in reducing the adverse effects of bitcoin’s volatility on financial system stability.

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Exploring the relationship between digital trails of social signals and bitcoin returns10.1108/SEF-12-2022-0572Studies in Economics and Finance2023-06-09© 2023 Emerald Publishing LimitedTezer YelkenciBirce Dobrucalı YelkenciGülin VardarBerna AydoğanStudies in Economics and Finance4112023-06-0910.1108/SEF-12-2022-0572https://www.emerald.com/insight/content/doi/10.1108/SEF-12-2022-0572/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Emerald Publishing Limited
Corporate shareholder value creation as contributor to economic growthhttps://www.emerald.com/insight/content/doi/10.1108/SEF-06-2021-0255/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThe purpose of this paper is to determine if there is a link between corporate shareholder value creation and economic growth. The first objective of this paper is to determine which specific shareholder value measurement best explains shareholder value creation for a particular industry. The next objective of the study is to establish, for each of nine different categories of firms examined, a set of value drivers that are unique and significant in expressing shareholder value for that particular category of firms. Lastly, the relationship between shareholder value creation and economic growth is tested. To quantify and measure value creation, the paper investigates the various value creation measurements that are being applied. The next step is to ascertain whether various industries have different value creation measures that best explain value creation for the respective industries. Then, the value drivers of these specific value creation measures can be determined and their relationship with economic growth tested. The results of this study indicate that each industry does have a specific shareholder value creation measurement that best explains shareholder value creation for that industry; for example, for five of the nine categories (industries) that were analyzed, market value added was found to be the best shareholder value creation measurement, but for capital-intensive firms and manufacturing firms, the Qratio is the best measure, while for the food and beverage industry, the market to book ratio was found to be a better measure of shareholder value creation than other measures tested. It was further found that an increase in corporate shareholder value creation is to the detriment of economic growth. The contribution of the present study is its determination of a unique shareholder value creation measurement for particular industries. In addition, a specific set of variables per industry that create shareholder value is identified. Lastly, the important link between shareholder value creation and economic growth is exposed.Corporate shareholder value creation as contributor to economic growth
John Henry Hall
Studies in Economics and Finance, Vol. 41, No. 1, pp.148-176

The purpose of this paper is to determine if there is a link between corporate shareholder value creation and economic growth. The first objective of this paper is to determine which specific shareholder value measurement best explains shareholder value creation for a particular industry. The next objective of the study is to establish, for each of nine different categories of firms examined, a set of value drivers that are unique and significant in expressing shareholder value for that particular category of firms. Lastly, the relationship between shareholder value creation and economic growth is tested.

To quantify and measure value creation, the paper investigates the various value creation measurements that are being applied. The next step is to ascertain whether various industries have different value creation measures that best explain value creation for the respective industries. Then, the value drivers of these specific value creation measures can be determined and their relationship with economic growth tested.

The results of this study indicate that each industry does have a specific shareholder value creation measurement that best explains shareholder value creation for that industry; for example, for five of the nine categories (industries) that were analyzed, market value added was found to be the best shareholder value creation measurement, but for capital-intensive firms and manufacturing firms, the Qratio is the best measure, while for the food and beverage industry, the market to book ratio was found to be a better measure of shareholder value creation than other measures tested. It was further found that an increase in corporate shareholder value creation is to the detriment of economic growth.

The contribution of the present study is its determination of a unique shareholder value creation measurement for particular industries. In addition, a specific set of variables per industry that create shareholder value is identified. Lastly, the important link between shareholder value creation and economic growth is exposed.

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Corporate shareholder value creation as contributor to economic growth10.1108/SEF-06-2021-0255Studies in Economics and Finance2023-06-15© 2023 John Henry Hall.John Henry HallStudies in Economics and Finance4112023-06-1510.1108/SEF-06-2021-0255https://www.emerald.com/insight/content/doi/10.1108/SEF-06-2021-0255/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 John Henry Hall.http://creativecommons.org/licences/by/4.0/legalcode
Does uncertainty promote exchange rate volatility? Global evidencehttps://www.emerald.com/insight/content/doi/10.1108/SEF-12-2022-0579/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestExchange rate volatility is an important factor affecting investors and policymakers. This study aims to examine the impact of uncertainties, in terms of changes in economic policy, monetary policy and global financial markets, on exchange rate volatility. The study uses the GARCH (1,1) univariate model to calculate exchange rate volatility. Economic and monetary policy uncertainties are measured using news-based indices, while global financial market volatility is measured using the implied volatility index. Panel autoregressive distributed lag modeling is used to analyze the impact of uncertainty on exchange rate volatility in the short and long run. The sample consists of 26 developed and emerging markets from 2005 to 2020. The study finds that economic policy uncertainty significantly increases exchange rate volatility. Similarly, global financial market uncertainty leads to increased exchange rate volatility. The effect of US monetary policy uncertainty reduces exchange rate volatility. This research contributes to the existing literature on exchange rate fluctuations by examining the impact of uncertainties on exchange rate volatility. The study uses novel news-based indices for measuring economic and monetary policy uncertainties and includes a broader sample of emerging and advanced markets. The findings have important implications for investors and policymakers.Does uncertainty promote exchange rate volatility? Global evidence
Muhammad Aftab, Maham Naeem, Muhammad Tahir, Izlin Ismail
Studies in Economics and Finance, Vol. 41, No. 1, pp.177-191

Exchange rate volatility is an important factor affecting investors and policymakers. This study aims to examine the impact of uncertainties, in terms of changes in economic policy, monetary policy and global financial markets, on exchange rate volatility.

The study uses the GARCH (1,1) univariate model to calculate exchange rate volatility. Economic and monetary policy uncertainties are measured using news-based indices, while global financial market volatility is measured using the implied volatility index. Panel autoregressive distributed lag modeling is used to analyze the impact of uncertainty on exchange rate volatility in the short and long run. The sample consists of 26 developed and emerging markets from 2005 to 2020.

The study finds that economic policy uncertainty significantly increases exchange rate volatility. Similarly, global financial market uncertainty leads to increased exchange rate volatility. The effect of US monetary policy uncertainty reduces exchange rate volatility.

This research contributes to the existing literature on exchange rate fluctuations by examining the impact of uncertainties on exchange rate volatility. The study uses novel news-based indices for measuring economic and monetary policy uncertainties and includes a broader sample of emerging and advanced markets. The findings have important implications for investors and policymakers.

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Does uncertainty promote exchange rate volatility? Global evidence10.1108/SEF-12-2022-0579Studies in Economics and Finance2023-06-23© 2023 Emerald Publishing LimitedMuhammad AftabMaham NaeemMuhammad TahirIzlin IsmailStudies in Economics and Finance4112023-06-2310.1108/SEF-12-2022-0579https://www.emerald.com/insight/content/doi/10.1108/SEF-12-2022-0579/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Emerald Publishing Limited
Testing for sign and size symmetry between futures prices and spot prices in the markets of energy commodities: risk diversification and policy implicationshttps://www.emerald.com/insight/content/doi/10.1108/SEF-01-2023-0009/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThe purpose of this paper is to investigate for symmetries – in sign and size – between spot and futures prices in the markets of energy commodities. The aforementioned objective is pursued using daily observations of spot and futures prices for the commodities of crude oil, Brent, heating oil, gasoline and natural gas, along with local nonlinear regression. Symmetry in sign and size cannot be rejected. This means that, shocks of the same absolute magnitude, but of different sign, are transmitted from futures prices to spot prices with the same intensity. In addition, larger absolute value price shocks in the futures are transmitted to the spot markets with the same intensity compared with smaller ones. The findings of symmetry in the comovements among prices reveal a lack of those commodities on diversifying the investors’ investment risk. To the best of the authors’ knowledge, this is the first study to use local nonlinear regression to test for sign and size symmetry between futures and spot prices in the energy commodities markets.Testing for sign and size symmetry between futures prices and spot prices in the markets of energy commodities: risk diversification and policy implications
Dimitrios Panagiotou, Filio Naka
Studies in Economics and Finance, Vol. 41, No. 1, pp.192-220

The purpose of this paper is to investigate for symmetries – in sign and size – between spot and futures prices in the markets of energy commodities.

The aforementioned objective is pursued using daily observations of spot and futures prices for the commodities of crude oil, Brent, heating oil, gasoline and natural gas, along with local nonlinear regression.

Symmetry in sign and size cannot be rejected. This means that, shocks of the same absolute magnitude, but of different sign, are transmitted from futures prices to spot prices with the same intensity. In addition, larger absolute value price shocks in the futures are transmitted to the spot markets with the same intensity compared with smaller ones. The findings of symmetry in the comovements among prices reveal a lack of those commodities on diversifying the investors’ investment risk.

To the best of the authors’ knowledge, this is the first study to use local nonlinear regression to test for sign and size symmetry between futures and spot prices in the energy commodities markets.

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Testing for sign and size symmetry between futures prices and spot prices in the markets of energy commodities: risk diversification and policy implications10.1108/SEF-01-2023-0009Studies in Economics and Finance2023-09-01© 2023 Emerald Publishing LimitedDimitrios PanagiotouFilio NakaStudies in Economics and Finance4112023-09-0110.1108/SEF-01-2023-0009https://www.emerald.com/insight/content/doi/10.1108/SEF-01-2023-0009/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Emerald Publishing Limited
Does religion influence the household finance? Evidence from Europehttps://www.emerald.com/insight/content/doi/10.1108/SEF-02-2022-0107/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis paper aims to examine the influence of religious backgrounds and religiosity on three dimensions of household finance (the decision to hold secured debt, the likelihood of being in a state of financial distress and the likelihood of being in a state of financial well-being) across a large sample of European countries. The study uses data from the European Union Statistics on Income and Living Conditions (EU-SILC) data set, spanning from 2004 to 2018. The authors conduct regression analysis to examine the relationship between religion and household financial choices. The study finds that belonging to a predominantly Catholic or Orthodox (Protestant) country is negatively (positively) associated with the likelihood of holding a mortgage. Belonging to a mostly Catholic (Protestant) country is negatively (positively) associated with the likelihood of being in a state of financial distress. Belonging to a predominantly Catholic (Protestant) country is positively (negatively) associated with the likelihood of being in a state of financial well-being. These relationships remain robust after controlling for a large number of demographic and economic variables. In this paper, the authors analyze for the first time the impact of religion on household finance in a wide range of European countries. It is also the first time that the EU-SILC database, which aggregates data on more than three million European households, is used for the study of this topic.Does religion influence the household finance? Evidence from Europe
Rashed Isam Ashqar, Júlio Lobão
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

This paper aims to examine the influence of religious backgrounds and religiosity on three dimensions of household finance (the decision to hold secured debt, the likelihood of being in a state of financial distress and the likelihood of being in a state of financial well-being) across a large sample of European countries.

The study uses data from the European Union Statistics on Income and Living Conditions (EU-SILC) data set, spanning from 2004 to 2018. The authors conduct regression analysis to examine the relationship between religion and household financial choices.

The study finds that belonging to a predominantly Catholic or Orthodox (Protestant) country is negatively (positively) associated with the likelihood of holding a mortgage. Belonging to a mostly Catholic (Protestant) country is negatively (positively) associated with the likelihood of being in a state of financial distress. Belonging to a predominantly Catholic (Protestant) country is positively (negatively) associated with the likelihood of being in a state of financial well-being. These relationships remain robust after controlling for a large number of demographic and economic variables.

In this paper, the authors analyze for the first time the impact of religion on household finance in a wide range of European countries. It is also the first time that the EU-SILC database, which aggregates data on more than three million European households, is used for the study of this topic.

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Does religion influence the household finance? Evidence from Europe10.1108/SEF-02-2022-0107Studies in Economics and Finance2023-10-18© 2023 Emerald Publishing LimitedRashed Isam AshqarJúlio LobãoStudies in Economics and Financeahead-of-printahead-of-print2023-10-1810.1108/SEF-02-2022-0107https://www.emerald.com/insight/content/doi/10.1108/SEF-02-2022-0107/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Emerald Publishing Limited
How is the ECB’s quantitative easing transmitted to the financial markets?https://www.emerald.com/insight/content/doi/10.1108/SEF-02-2022-0108/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestOver the last few years, the European Central Bank (ECB) has adopted unconventional monetary policies. These measures aim to boost economic growth and increase inflation through the bond market. The purpose of this paper is to study the impact of the ECB’s quantitative easing (QE) on the investor’s behavior in the stock market. First, the authors theoretically identify the transmission channels of the QE shocks to the stock market. Then, the authors empirically assess the financial market’s responses to QE shocks in a data-rich environment using a factor augmented VAR (FAVAR). The results show that the ECB’s unconventional monetary policy positively affects the stock market. A QE shock leads to an increase in stock prices and a drop in the realized volatility and the implied risk premium. The authors also suggest that the ECB’s QE is transmitted to the stock market through five main channels: the liquidity, the expectation, the portfolio reallocation, the interest rates and the risk premium channels. The findings help to better understand the behavior of stock market assets in a data-rich economic context and guide investors and policymakers in the presence of unconventional monetary tools. For instance, decision-makers and investors should consider the short-term effect of the QE interventions and the changing behavior of the financial actors over time. In addition, high stock market returns can increase risk appetite. This can lead investors to underestimate the market risk. Decision-makers and market participants should take into consideration the impact of the large injection of money through the QE, which may raise the risk of a speculative bubble in the financial market. To the best of the authors’ knowledge, this is the first study that incorporates a theoretical and empirical analysis to explore QE transmission to the stock market in the European context. Unlike previous studies, the authors use the shadow rate proposed by Wu and Xia (2017) to quantify the effect of the ECB’s QE in a data-rich environment. The authors also include two key risk indicators – the stock market risk premium and the realized volatility – to capture investors’ behavior in the stock market following QE shocks.How is the ECB’s quantitative easing transmitted to the financial markets?
Donia Aloui, Abderrazek Ben Maatoug
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

Over the last few years, the European Central Bank (ECB) has adopted unconventional monetary policies. These measures aim to boost economic growth and increase inflation through the bond market. The purpose of this paper is to study the impact of the ECB’s quantitative easing (QE) on the investor’s behavior in the stock market.

First, the authors theoretically identify the transmission channels of the QE shocks to the stock market. Then, the authors empirically assess the financial market’s responses to QE shocks in a data-rich environment using a factor augmented VAR (FAVAR).

The results show that the ECB’s unconventional monetary policy positively affects the stock market. A QE shock leads to an increase in stock prices and a drop in the realized volatility and the implied risk premium. The authors also suggest that the ECB’s QE is transmitted to the stock market through five main channels: the liquidity, the expectation, the portfolio reallocation, the interest rates and the risk premium channels.

The findings help to better understand the behavior of stock market assets in a data-rich economic context and guide investors and policymakers in the presence of unconventional monetary tools. For instance, decision-makers and investors should consider the short-term effect of the QE interventions and the changing behavior of the financial actors over time. In addition, high stock market returns can increase risk appetite. This can lead investors to underestimate the market risk. Decision-makers and market participants should take into consideration the impact of the large injection of money through the QE, which may raise the risk of a speculative bubble in the financial market.

To the best of the authors’ knowledge, this is the first study that incorporates a theoretical and empirical analysis to explore QE transmission to the stock market in the European context. Unlike previous studies, the authors use the shadow rate proposed by Wu and Xia (2017) to quantify the effect of the ECB’s QE in a data-rich environment. The authors also include two key risk indicators – the stock market risk premium and the realized volatility – to capture investors’ behavior in the stock market following QE shocks.

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How is the ECB’s quantitative easing transmitted to the financial markets?10.1108/SEF-02-2022-0108Studies in Economics and Finance2024-03-26© 2024 Emerald Publishing LimitedDonia AlouiAbderrazek Ben MaatougStudies in Economics and Financeahead-of-printahead-of-print2024-03-2610.1108/SEF-02-2022-0108https://www.emerald.com/insight/content/doi/10.1108/SEF-02-2022-0108/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2024 Emerald Publishing Limited
The economic and environmental effects of an optimal emission reduction subsidy policy in the presence of business cycleshttps://www.emerald.com/insight/content/doi/10.1108/SEF-02-2022-0118/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestAs a by-product of the production process, emissions can follow output fluctuations. Hence, disregarding the relationship between economic fluctuations and emissions could result in undesirable environmental outcomes. This study aims to investigate the environmental and economic effects of abatement subsidies on overall emissions during business cycles in Australia. A real business cycle (RBC) model is devised and parameterised in this paper. RBC models have been recently introduced to environmental policy analysis, and this study contributes to the literature by investigating the effects of a potential subsidy policy in an RBC framework. The model is also calibrated and provides solutions for the Australian economy. The authors find that under a steady-state situation, supporting abatement can result in reducing emissions by 6.45% while it imposes welfare costs to the economy (by 0.61%). Simulation results show that an optimal abatement policy should be pro-cyclical, with the abatement subsidy increasing during expansions and decreasing during recessions. As well, in a subsidy policy setting, emissions would react pro-cyclically, i.e. emissions increase (decrease) when the gross domestic product increases (decreases). The abatement reaction by firms, however, is different, because when a positive productivity shock occurs, firms reduce abatement and allocate resources to production. Nonetheless, as time passes, the increased subsidy provides a strong enough incentive to allocate resources to abatement and, subsequently, abatement increases. This paper investigates how an emission reduction subsidy should be adapted to macroeconomic fluctuations so that it can limit variations in emissions.The economic and environmental effects of an optimal emission reduction subsidy policy in the presence of business cycles
Fariba Ramezani, Amir Arjomandi, Charles Harvie
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

As a by-product of the production process, emissions can follow output fluctuations. Hence, disregarding the relationship between economic fluctuations and emissions could result in undesirable environmental outcomes. This study aims to investigate the environmental and economic effects of abatement subsidies on overall emissions during business cycles in Australia.

A real business cycle (RBC) model is devised and parameterised in this paper. RBC models have been recently introduced to environmental policy analysis, and this study contributes to the literature by investigating the effects of a potential subsidy policy in an RBC framework. The model is also calibrated and provides solutions for the Australian economy.

The authors find that under a steady-state situation, supporting abatement can result in reducing emissions by 6.45% while it imposes welfare costs to the economy (by 0.61%). Simulation results show that an optimal abatement policy should be pro-cyclical, with the abatement subsidy increasing during expansions and decreasing during recessions. As well, in a subsidy policy setting, emissions would react pro-cyclically, i.e. emissions increase (decrease) when the gross domestic product increases (decreases). The abatement reaction by firms, however, is different, because when a positive productivity shock occurs, firms reduce abatement and allocate resources to production. Nonetheless, as time passes, the increased subsidy provides a strong enough incentive to allocate resources to abatement and, subsequently, abatement increases.

This paper investigates how an emission reduction subsidy should be adapted to macroeconomic fluctuations so that it can limit variations in emissions.

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The economic and environmental effects of an optimal emission reduction subsidy policy in the presence of business cycles10.1108/SEF-02-2022-0118Studies in Economics and Finance2022-10-19© 2022 Emerald Publishing LimitedFariba RamezaniAmir ArjomandiCharles HarvieStudies in Economics and Financeahead-of-printahead-of-print2022-10-1910.1108/SEF-02-2022-0118https://www.emerald.com/insight/content/doi/10.1108/SEF-02-2022-0118/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2022 Emerald Publishing Limited
Do financial innovations influence bank performance? Evidence from Chinahttps://www.emerald.com/insight/content/doi/10.1108/SEF-02-2022-0119/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThe rapid growth of Fintech presents a growing challenge for banking institutions, particularly those with more traditional, service backgrounds. This paper aims to examine the relationship between Fintech innovation and bank performance by exploiting novel Chinese market data. Guided by the work of Dietrich and Wanzenried (2011, 2014) and Phan et al. (2019), the authors construct a regression model to investigate the effect of Fintech innovation on the profitability of Chinese listed banks. The authors include their measures of Fintech innovation in each of their selected structures. Results indicate that Fintech innovation is negatively associated with bank performance and that state-owned banks, joint-stock commercial banks and long-established banks are more negatively impacted by Fintech innovation relative to city and rural commercial banks and younger banks. Risk tolerance levels, internal structure and efficiency and recent debt repayment performance channels are each shown to be significant, robust explanatory factors underpinning such results.Do financial innovations influence bank performance? Evidence from China
Shaen Corbet, Yang (Greg) Hou, Yang Hu, Les Oxley, Mengxuan Tang
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

The rapid growth of Fintech presents a growing challenge for banking institutions, particularly those with more traditional, service backgrounds. This paper aims to examine the relationship between Fintech innovation and bank performance by exploiting novel Chinese market data.

Guided by the work of Dietrich and Wanzenried (2011, 2014) and Phan et al. (2019), the authors construct a regression model to investigate the effect of Fintech innovation on the profitability of Chinese listed banks. The authors include their measures of Fintech innovation in each of their selected structures.

Results indicate that Fintech innovation is negatively associated with bank performance and that state-owned banks, joint-stock commercial banks and long-established banks are more negatively impacted by Fintech innovation relative to city and rural commercial banks and younger banks.

Risk tolerance levels, internal structure and efficiency and recent debt repayment performance channels are each shown to be significant, robust explanatory factors underpinning such results.

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Do financial innovations influence bank performance? Evidence from China10.1108/SEF-02-2022-0119Studies in Economics and Finance2023-09-08© 2023 Emerald Publishing LimitedShaen CorbetYang (Greg) HouYang HuLes OxleyMengxuan TangStudies in Economics and Financeahead-of-printahead-of-print2023-09-0810.1108/SEF-02-2022-0119https://www.emerald.com/insight/content/doi/10.1108/SEF-02-2022-0119/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Emerald Publishing Limited
The relevance of carbon performance and board characteristics on carbon disclosurehttps://www.emerald.com/insight/content/doi/10.1108/SEF-02-2023-0056/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThe purpose of this study is to examine the impact of carbon performance on carbon disclosure among nonfinancial French-listed firms, while also considering the corporate board’s characteristics as a secondary objective. This study uses a sample of Société des Bourses Françaises 120 Index (SBF-120) French-listed firms to investigate the effect of multiple carbon performance proxies on carbon disclosure based on random effects models for the period 2010–2021. Generalized method of moments regressions are used to encounter endogeneity problems. Drawing on stakeholder theory, this paper finds that greater carbon performance leads to greater carbon disclosure. Given the growing societal awareness about climate-change issues, carbon-responsible firms are likely to disseminate relevant carbon-related information through disclosures to respond to the information demands of a varied stakeholder group. Coherent with signaling theory, large firms that undertake carbon-reduction initiatives tend to disclose more information about their enhanced carbon performance to equity participants to distinguish themselves and highlight their decarbonization efforts. This study offers significant insights given that SBF-120 firms are involved in climate-change activities as a response to the growing institutional and societal pressure to perform better and disclose reliable environmental information in their sustainability reports.The relevance of carbon performance and board characteristics on carbon disclosure
Ghassan H. Mardini, Fathia Elleuch Lahyani
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

The purpose of this study is to examine the impact of carbon performance on carbon disclosure among nonfinancial French-listed firms, while also considering the corporate board’s characteristics as a secondary objective.

This study uses a sample of Société des Bourses Françaises 120 Index (SBF-120) French-listed firms to investigate the effect of multiple carbon performance proxies on carbon disclosure based on random effects models for the period 2010–2021. Generalized method of moments regressions are used to encounter endogeneity problems.

Drawing on stakeholder theory, this paper finds that greater carbon performance leads to greater carbon disclosure. Given the growing societal awareness about climate-change issues, carbon-responsible firms are likely to disseminate relevant carbon-related information through disclosures to respond to the information demands of a varied stakeholder group. Coherent with signaling theory, large firms that undertake carbon-reduction initiatives tend to disclose more information about their enhanced carbon performance to equity participants to distinguish themselves and highlight their decarbonization efforts.

This study offers significant insights given that SBF-120 firms are involved in climate-change activities as a response to the growing institutional and societal pressure to perform better and disclose reliable environmental information in their sustainability reports.

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The relevance of carbon performance and board characteristics on carbon disclosure10.1108/SEF-02-2023-0056Studies in Economics and Finance2023-10-05© 2023 Emerald Publishing LimitedGhassan H. MardiniFathia Elleuch LahyaniStudies in Economics and Financeahead-of-printahead-of-print2023-10-0510.1108/SEF-02-2023-0056https://www.emerald.com/insight/content/doi/10.1108/SEF-02-2023-0056/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Emerald Publishing Limited
A cross-quantile correlation and causality-in-quantile analysis on the relationship between green investments and energy commodities during the COVID-19 pandemic periodhttps://www.emerald.com/insight/content/doi/10.1108/SEF-02-2023-0070/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis paper aims to examine the cross-quantile correlation and causality-in-quantiles between green investments and energy commodities during the outbreak of COVID-19. To be specific, the authors aim to address the following questions: Is there any distributional predictability among green bonds and energy commodities during COVID-19? Is there exist any directional predictability between green investments and energy commodities during the global pandemic? Can green bonds hedge the risk of energy commodities during a period of the financial crisis. The authors use the nonparametric causality in quantile and cross-quantilogram (CQ) correlation approaches as the estimation techniques to investigate the distributional and directional predictability between green investments and energy commodities respectively using daily spot prices from January 1, 2020, to March 26, 2021. The study uses daily closing price indices S&P Green Bond Index as a representative of the green bond market. In the case of energy commodities, the authors use S&P GSCI Natural Gas Spot, S&P GSCI Biofuel Spot, S&P GSCI Unleaded Gasoline Spot, S&P GSCI Gas Oil Spot, S&P GSCI Brent Crude Spot, S&P GSCI WTI, OPEC Oil Basket Price, Crude Oil Oman, Crude Oil Dubai Cash, S&P GSCI Heating Oil Spot, S&P Global Clean Energy, US Gulf Coast Kerosene and Los Angeles Low Sulfur CARB Diesel Spot. From the CQ correlation results, there exists an overall negative directional predictability between green bonds and natural gas. The authors find that the directional predictability between green bonds and S&P GSCI Biofuel Spot, S&P GSCI Gas Oil Spot, S&P GSCI Brent Crude Spot, S&P GSCI WTI Spot, OPEC Oil Basket Spot, Crude Oil Oman Spot, Crude Oil Dubai Cash Spot, S&P GSCI Heating Oil Spot, US Gulf Coast Kerosene-Type Jet Fuel Spot Price and Los Angeles Low Sulfur CARB Diesel Spot Price is negative during normal market conditions and positive during extreme market conditions. Results from the non-parametric causality in the quantile approach show strong evidence of asymmetry in causality across quantiles and strong variations across markets. The quantile time-varying dependence and predictability results documented in this paper can help market participants with different investment targets and horizons adopt better hedging strategies and portfolio diversification to aid optimal policy measures during volatile market conditions. The outcome of this study will promote awareness regarding the environment and also increase investor’s participation in the green bond market. Further, it allows corporate institutions to fulfill their social commitment through the issuance of green bonds. This paper differs from these previous studies in several aspects. First, the authors have included a wide range of energy commodities, comprising three green bond indices and 14 energy commodity indices. Second, the authors have explored the dependency between the two markets, particularly during COVID-19 pandemic. Third, the authors have applied CQ and causality-in-quantile methods on the given data set. Since the market of green and sustainable finance is growing drastically and the world is transmitting toward environment-friendly practices, it is essential and vital to understand the impact of green bonds on other financial markets. In this regard, the study contributes to the literature by documenting an in-depth connectedness between green bonds and crude oil, natural gas, petrol, kerosene, diesel, crude, heating oil, biofuels and other energy commodities.A cross-quantile correlation and causality-in-quantile analysis on the relationship between green investments and energy commodities during the COVID-19 pandemic period
Aarzoo Sharma, Aviral Kumar Tiwari, Emmanuel Joel Aikins Abakah, Freeman Brobbey Owusu
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

This paper aims to examine the cross-quantile correlation and causality-in-quantiles between green investments and energy commodities during the outbreak of COVID-19. To be specific, the authors aim to address the following questions: Is there any distributional predictability among green bonds and energy commodities during COVID-19? Is there exist any directional predictability between green investments and energy commodities during the global pandemic? Can green bonds hedge the risk of energy commodities during a period of the financial crisis.

The authors use the nonparametric causality in quantile and cross-quantilogram (CQ) correlation approaches as the estimation techniques to investigate the distributional and directional predictability between green investments and energy commodities respectively using daily spot prices from January 1, 2020, to March 26, 2021. The study uses daily closing price indices S&P Green Bond Index as a representative of the green bond market. In the case of energy commodities, the authors use S&P GSCI Natural Gas Spot, S&P GSCI Biofuel Spot, S&P GSCI Unleaded Gasoline Spot, S&P GSCI Gas Oil Spot, S&P GSCI Brent Crude Spot, S&P GSCI WTI, OPEC Oil Basket Price, Crude Oil Oman, Crude Oil Dubai Cash, S&P GSCI Heating Oil Spot, S&P Global Clean Energy, US Gulf Coast Kerosene and Los Angeles Low Sulfur CARB Diesel Spot.

From the CQ correlation results, there exists an overall negative directional predictability between green bonds and natural gas. The authors find that the directional predictability between green bonds and S&P GSCI Biofuel Spot, S&P GSCI Gas Oil Spot, S&P GSCI Brent Crude Spot, S&P GSCI WTI Spot, OPEC Oil Basket Spot, Crude Oil Oman Spot, Crude Oil Dubai Cash Spot, S&P GSCI Heating Oil Spot, US Gulf Coast Kerosene-Type Jet Fuel Spot Price and Los Angeles Low Sulfur CARB Diesel Spot Price is negative during normal market conditions and positive during extreme market conditions. Results from the non-parametric causality in the quantile approach show strong evidence of asymmetry in causality across quantiles and strong variations across markets.

The quantile time-varying dependence and predictability results documented in this paper can help market participants with different investment targets and horizons adopt better hedging strategies and portfolio diversification to aid optimal policy measures during volatile market conditions.

The outcome of this study will promote awareness regarding the environment and also increase investor’s participation in the green bond market. Further, it allows corporate institutions to fulfill their social commitment through the issuance of green bonds.

This paper differs from these previous studies in several aspects. First, the authors have included a wide range of energy commodities, comprising three green bond indices and 14 energy commodity indices. Second, the authors have explored the dependency between the two markets, particularly during COVID-19 pandemic. Third, the authors have applied CQ and causality-in-quantile methods on the given data set. Since the market of green and sustainable finance is growing drastically and the world is transmitting toward environment-friendly practices, it is essential and vital to understand the impact of green bonds on other financial markets. In this regard, the study contributes to the literature by documenting an in-depth connectedness between green bonds and crude oil, natural gas, petrol, kerosene, diesel, crude, heating oil, biofuels and other energy commodities.

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A cross-quantile correlation and causality-in-quantile analysis on the relationship between green investments and energy commodities during the COVID-19 pandemic period10.1108/SEF-02-2023-0070Studies in Economics and Finance2023-07-26© 2023 Emerald Publishing LimitedAarzoo SharmaAviral Kumar TiwariEmmanuel Joel Aikins AbakahFreeman Brobbey OwusuStudies in Economics and Financeahead-of-printahead-of-print2023-07-2610.1108/SEF-02-2023-0070https://www.emerald.com/insight/content/doi/10.1108/SEF-02-2023-0070/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Emerald Publishing Limited
Uncovering time and frequency co-movement among green bonds, energy commodities and stock markethttps://www.emerald.com/insight/content/doi/10.1108/SEF-03-2023-0126/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis paper aims to examine the comovement among green bonds, energy commodities and stock market to determine the advantages of adding green bonds to a diversified portfolio. Generic 1 Natural Gas and Energy Select SPDR Fund are used as proxies to measure energy commodities, bonds index of S&P Dow Jones and Bloomberg Barclays MSCI are used to represent green bonds and the New York Stock Exchange is considered to measure the stock market. Granger causality test, wavelet analysis and network analysis are applied to daily price for the select markets from August 26, 2014, to March 30, 2021. Results from the Granger causality test indicate no causality between any pair of variables, while cross wavelet transform and wavelet coherence analysis confirm strong coherence at a high scale during the pandemic, validating comovement among the three asset classes. In addition, network analysis further corroborates this connectedness, implying a strong association of the stock market with the energy commodity market. This study offers new evidence of the temporal association among the US stock market, energy commodities and green bonds during the COVID-19 crisis. It presents a novel approach that measures and evaluates comovement among the constituent series, simultaneously using both wavelet and network analysis.Uncovering time and frequency co-movement among green bonds, energy commodities and stock market
Miklesh Prasad Yadav, Shruti Ashok, Farhad Taghizadeh-Hesary, Deepika Dhingra, Nandita Mishra, Nidhi Malhotra
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

This paper aims to examine the comovement among green bonds, energy commodities and stock market to determine the advantages of adding green bonds to a diversified portfolio.

Generic 1 Natural Gas and Energy Select SPDR Fund are used as proxies to measure energy commodities, bonds index of S&P Dow Jones and Bloomberg Barclays MSCI are used to represent green bonds and the New York Stock Exchange is considered to measure the stock market. Granger causality test, wavelet analysis and network analysis are applied to daily price for the select markets from August 26, 2014, to March 30, 2021.

Results from the Granger causality test indicate no causality between any pair of variables, while cross wavelet transform and wavelet coherence analysis confirm strong coherence at a high scale during the pandemic, validating comovement among the three asset classes. In addition, network analysis further corroborates this connectedness, implying a strong association of the stock market with the energy commodity market.

This study offers new evidence of the temporal association among the US stock market, energy commodities and green bonds during the COVID-19 crisis. It presents a novel approach that measures and evaluates comovement among the constituent series, simultaneously using both wavelet and network analysis.

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Uncovering time and frequency co-movement among green bonds, energy commodities and stock market10.1108/SEF-03-2023-0126Studies in Economics and Finance2023-10-03© 2023 Miklesh Prasad Yadav, Shruti Ashok, Farhad Taghizadeh-Hesary, Deepika Dhingra, Nandita Mishra and Nidhi Malhotra.Miklesh Prasad YadavShruti AshokFarhad Taghizadeh-HesaryDeepika DhingraNandita MishraNidhi MalhotraStudies in Economics and Financeahead-of-printahead-of-print2023-10-0310.1108/SEF-03-2023-0126https://www.emerald.com/insight/content/doi/10.1108/SEF-03-2023-0126/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Miklesh Prasad Yadav, Shruti Ashok, Farhad Taghizadeh-Hesary, Deepika Dhingra, Nandita Mishra and Nidhi Malhotra.
Is short-term firm performance an indicator of a sustainable financial performance? Empirical evidencehttps://www.emerald.com/insight/content/doi/10.1108/SEF-03-2023-0136/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis study aims to thoroughly examine and understand the relationship between working capital management (WCM) and the sustainable financial performance (FP) in the context of the New Zealand companies listed on stock exchange. This study has applied various regression techniques to examine WCM and the sustainable FP relationship. The data set period is from 2009 to 2019. The results are robust upon various layers of robustness parameters. The system-generalized method of moments is applied for managing endogeneity issue. The research reveals compelling evidence of a meaningful connection between WCM and sustainable FP indicators. The study specifically highlights the significant negative associations between the cash conversion cycle, average collection period and average age of inventory with the firm’s sustainable FP. Through robust analyses and various parameter adjustments, the study ensures the credibility and reliability of its conclusions, further reinforcing the impact of WCM on the financial health of New Zealand-listed firms. This study provides future directions for researchers to explore the dynamic relationship between WCM and a firm sustainable FP because it is still a demanding and challenging area. Future research may care to explore the optimal way to reduce the cash conversion cycle, average collection period and average age of inventory for New Zealand firms. The current study does provide insights to NZ financial managers, which is useful for improving sustainable FP by efficiently managing WCM. WCM is problematic and constitutes a notable challenge; it requires further research, especially in small economies such as New Zealand. Hence, it is an updated and fresh attempt based on a larger data set to measure the empirical relationship between WCM and the sustainable performance of New Zealand-listed firms. Furthermore, the current study uses dynamic panel data estimation techniques in addition to multiple regression techniques.Is short-term firm performance an indicator of a sustainable financial performance? Empirical evidence
Umar Nawaz Kayani, Christopher Gan, Mustafa Raza Rabbani, Yousra Trichilli
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

This study aims to thoroughly examine and understand the relationship between working capital management (WCM) and the sustainable financial performance (FP) in the context of the New Zealand companies listed on stock exchange.

This study has applied various regression techniques to examine WCM and the sustainable FP relationship. The data set period is from 2009 to 2019. The results are robust upon various layers of robustness parameters. The system-generalized method of moments is applied for managing endogeneity issue.

The research reveals compelling evidence of a meaningful connection between WCM and sustainable FP indicators. The study specifically highlights the significant negative associations between the cash conversion cycle, average collection period and average age of inventory with the firm’s sustainable FP. Through robust analyses and various parameter adjustments, the study ensures the credibility and reliability of its conclusions, further reinforcing the impact of WCM on the financial health of New Zealand-listed firms.

This study provides future directions for researchers to explore the dynamic relationship between WCM and a firm sustainable FP because it is still a demanding and challenging area. Future research may care to explore the optimal way to reduce the cash conversion cycle, average collection period and average age of inventory for New Zealand firms. The current study does provide insights to NZ financial managers, which is useful for improving sustainable FP by efficiently managing WCM.

WCM is problematic and constitutes a notable challenge; it requires further research, especially in small economies such as New Zealand. Hence, it is an updated and fresh attempt based on a larger data set to measure the empirical relationship between WCM and the sustainable performance of New Zealand-listed firms. Furthermore, the current study uses dynamic panel data estimation techniques in addition to multiple regression techniques.

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Is short-term firm performance an indicator of a sustainable financial performance? Empirical evidence10.1108/SEF-03-2023-0136Studies in Economics and Finance2023-08-29© 2023 Emerald Publishing LimitedUmar Nawaz KayaniChristopher GanMustafa Raza RabbaniYousra TrichilliStudies in Economics and Financeahead-of-printahead-of-print2023-08-2910.1108/SEF-03-2023-0136https://www.emerald.com/insight/content/doi/10.1108/SEF-03-2023-0136/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Emerald Publishing Limited
Impacts of climate pact on global oil and gas sector stockshttps://www.emerald.com/insight/content/doi/10.1108/SEF-03-2023-0149/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThe purpose of this study is to examine the impacts of the Glasgow Climate Pact on global oil and gas sector stocks. Further, this study also examines if the nations' Climate Change Performance Index (CCPI) and World Energy Trilemma Index (WETI) drive the abnormal returns around the event. The authors apply the event study analysis to 691 global oil and gas firms across 52 countries. Further, they apply the cross-sectional examination of cumulative abnormal returns (CARs) across 502 firms. The emerging markets experienced significant negative abnormal returns on the event day. The CCPI negatively affects longer pre-event CARs, while WETI significantly negatively associates with CARs during longer pre- and post-event windows. Volatility is negatively related to pre- and post-event abnormal returns, while past returns positively drive pre-event period CARs but negatively drive post-event window CARs. This study finds an interesting association between liquidity (CACL) and CARs, as CACL positively drives pre-event CARs, but post-event CARs are negatively associated with CACL. The CARs do not significantly correlate with leverage, size and book-to-market ratio. This study's findings on the impact of climate risks on financial markets have significant implications for global regulatory bodies. Policymakers should reduce stock volatility and enhance environmental disclosures by publicly traded companies to accurately price and assess the potential impacts of climate risks. Governments should examine the effects of environmental restrictions on investor behavior, especially in developing countries with limited access to capital. Therefore, policymakers need to consider the far-reaching impacts of environmental regulations while introducing them. Climate risks are expected to impact the global financial market significantly. Prior studies provide limited evidence on how such climate pacts impact the oil and gas sector. Hence, this study, while bridging this gap, provides important implications for policymakers and stakeholders, particularly the emerging markets that are more sensitive.Impacts of climate pact on global oil and gas sector stocks
Vineeta Kumari, Rima Assaf, Faten Moussa, Dharen Kumar Pandey
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

The purpose of this study is to examine the impacts of the Glasgow Climate Pact on global oil and gas sector stocks. Further, this study also examines if the nations' Climate Change Performance Index (CCPI) and World Energy Trilemma Index (WETI) drive the abnormal returns around the event.

The authors apply the event study analysis to 691 global oil and gas firms across 52 countries. Further, they apply the cross-sectional examination of cumulative abnormal returns (CARs) across 502 firms.

The emerging markets experienced significant negative abnormal returns on the event day. The CCPI negatively affects longer pre-event CARs, while WETI significantly negatively associates with CARs during longer pre- and post-event windows. Volatility is negatively related to pre- and post-event abnormal returns, while past returns positively drive pre-event period CARs but negatively drive post-event window CARs. This study finds an interesting association between liquidity (CACL) and CARs, as CACL positively drives pre-event CARs, but post-event CARs are negatively associated with CACL. The CARs do not significantly correlate with leverage, size and book-to-market ratio.

This study's findings on the impact of climate risks on financial markets have significant implications for global regulatory bodies. Policymakers should reduce stock volatility and enhance environmental disclosures by publicly traded companies to accurately price and assess the potential impacts of climate risks. Governments should examine the effects of environmental restrictions on investor behavior, especially in developing countries with limited access to capital. Therefore, policymakers need to consider the far-reaching impacts of environmental regulations while introducing them.

Climate risks are expected to impact the global financial market significantly. Prior studies provide limited evidence on how such climate pacts impact the oil and gas sector. Hence, this study, while bridging this gap, provides important implications for policymakers and stakeholders, particularly the emerging markets that are more sensitive.

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Impacts of climate pact on global oil and gas sector stocks10.1108/SEF-03-2023-0149Studies in Economics and Finance2023-07-11© 2023 Emerald Publishing LimitedVineeta KumariRima AssafFaten MoussaDharen Kumar PandeyStudies in Economics and Financeahead-of-printahead-of-print2023-07-1110.1108/SEF-03-2023-0149https://www.emerald.com/insight/content/doi/10.1108/SEF-03-2023-0149/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Emerald Publishing Limited
Drivers of the next-minute Bitcoin price using sparse regressionshttps://www.emerald.com/insight/content/doi/10.1108/SEF-04-2023-0182/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis paper aims to investigate the role of price-based information from major cryptocurrencies, foreign exchange, equity markets and key commodities in predicting the next-minute Bitcoin (BTC) price. This study answers the following research questions: What is the best sparse regression model to predict the next-minute price of BTC? What are the key drivers of the BTC price in high-frequency trading? Least absolute shrinkage and selection operator and Ridge regressions are adopted using minute-based open-high-low-close prices, volume and trade count for eight major cryptos, global stock market indices, foreign currency pairs, crude oil and gold price information for February 2020–March 2021. This study also examines whether there was any significant break and how the accuracy of the selected models was impacted. Findings suggest that Ridge regression is the most effective model for predicting next-minute BTC prices based on BTC-related covariates such as BTC-open, BTC-high and BTC-low, with a moderate amount of regularization. While BTC-based covariates BTC-open and BTC-low were most significant in predicting BTC closing prices during stable periods, BTC-open and BTC-high were most important during volatile periods. Overall findings suggest that BTC’s price information is the most helpful to predict its next-minute closing price after considering various other asset classes’ price information. To the best of the authors’ knowledge, this is the first paper to identify the covariates of major cryptocurrencies and predict the next-minute BTC crypto price, with a focus on both crypto-asset and cross-market information.Drivers of the next-minute Bitcoin price using sparse regressions
Ikhlaas Gurrib, Firuz Kamalov, Olga Starkova, Elgilani Eltahir Elshareif, Davide Contu
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

This paper aims to investigate the role of price-based information from major cryptocurrencies, foreign exchange, equity markets and key commodities in predicting the next-minute Bitcoin (BTC) price. This study answers the following research questions: What is the best sparse regression model to predict the next-minute price of BTC? What are the key drivers of the BTC price in high-frequency trading?

Least absolute shrinkage and selection operator and Ridge regressions are adopted using minute-based open-high-low-close prices, volume and trade count for eight major cryptos, global stock market indices, foreign currency pairs, crude oil and gold price information for February 2020–March 2021. This study also examines whether there was any significant break and how the accuracy of the selected models was impacted.

Findings suggest that Ridge regression is the most effective model for predicting next-minute BTC prices based on BTC-related covariates such as BTC-open, BTC-high and BTC-low, with a moderate amount of regularization. While BTC-based covariates BTC-open and BTC-low were most significant in predicting BTC closing prices during stable periods, BTC-open and BTC-high were most important during volatile periods. Overall findings suggest that BTC’s price information is the most helpful to predict its next-minute closing price after considering various other asset classes’ price information.

To the best of the authors’ knowledge, this is the first paper to identify the covariates of major cryptocurrencies and predict the next-minute BTC crypto price, with a focus on both crypto-asset and cross-market information.

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Drivers of the next-minute Bitcoin price using sparse regressions10.1108/SEF-04-2023-0182Studies in Economics and Finance2023-10-13© 2023 Emerald Publishing LimitedIkhlaas GurribFiruz KamalovOlga StarkovaElgilani Eltahir ElshareifDavide ContuStudies in Economics and Financeahead-of-printahead-of-print2023-10-1310.1108/SEF-04-2023-0182https://www.emerald.com/insight/content/doi/10.1108/SEF-04-2023-0182/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Emerald Publishing Limited
The dynamic trade-off theory of capital structure: evidence from a panel of US industrial companieshttps://www.emerald.com/insight/content/doi/10.1108/SEF-04-2023-0200/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis paper aims to test the empirical validity of the dynamic trade-off theory in its symmetric and asymmetric versions in explaining the capital structure of a panel of publicly listed US industrial firms over the period from 2013 to 2019. It analyzes the existence of an adjustment of leverage toward its target level and whether the speed of this adjustment is influenced by the debt measure, the model specification or/and the fact that the actual debt ratio is higher or lower than its long-term target level. This paper uses a quantitative research methodology using panel data analysis under the partial adjustment model and the error correction model using the generalized moment method in first differences and in systems to explore the dynamic nature of firms’ capital structure behavior. The results show that the effects of the conventional determinants of leverage are globally consistent with the trade-off theory predictions. The dynamic versions confirm that firms exhibit leverage-targeting behavior. Although this speed of adjustment (SOA) depends on the debt and model specifications, it is around 60% on average. The estimated SOA is higher for the market leverage measure compared to the book leverage. The asymmetric adjustment model reveals that firms are more sensitive to reducing leverage than increasing it when they are away from their target; overleveraged firms exhibit approximately 5% faster adjustment than underleveraged firms when book leverage is used. The originality of this research paper lies in its development and test of an asymmetric model to allow the leverage adjustment speed to vary depending on whether the firm’s debt ratio is above or below its target level and the methodological approach as well as the different model specifications used and the insights generated through the application of rigorous econometric techniques.The dynamic trade-off theory of capital structure: evidence from a panel of US industrial companies
Ridha Esghaier
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

This paper aims to test the empirical validity of the dynamic trade-off theory in its symmetric and asymmetric versions in explaining the capital structure of a panel of publicly listed US industrial firms over the period from 2013 to 2019. It analyzes the existence of an adjustment of leverage toward its target level and whether the speed of this adjustment is influenced by the debt measure, the model specification or/and the fact that the actual debt ratio is higher or lower than its long-term target level.

This paper uses a quantitative research methodology using panel data analysis under the partial adjustment model and the error correction model using the generalized moment method in first differences and in systems to explore the dynamic nature of firms’ capital structure behavior.

The results show that the effects of the conventional determinants of leverage are globally consistent with the trade-off theory predictions. The dynamic versions confirm that firms exhibit leverage-targeting behavior. Although this speed of adjustment (SOA) depends on the debt and model specifications, it is around 60% on average. The estimated SOA is higher for the market leverage measure compared to the book leverage. The asymmetric adjustment model reveals that firms are more sensitive to reducing leverage than increasing it when they are away from their target; overleveraged firms exhibit approximately 5% faster adjustment than underleveraged firms when book leverage is used.

The originality of this research paper lies in its development and test of an asymmetric model to allow the leverage adjustment speed to vary depending on whether the firm’s debt ratio is above or below its target level and the methodological approach as well as the different model specifications used and the insights generated through the application of rigorous econometric techniques.

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The dynamic trade-off theory of capital structure: evidence from a panel of US industrial companies10.1108/SEF-04-2023-0200Studies in Economics and Finance2023-08-18© 2023 Emerald Publishing LimitedRidha EsghaierStudies in Economics and Financeahead-of-printahead-of-print2023-08-1810.1108/SEF-04-2023-0200https://www.emerald.com/insight/content/doi/10.1108/SEF-04-2023-0200/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Emerald Publishing Limited
Conviction, diversification or something else: constructing optimal portfolios with additional attributeshttps://www.emerald.com/insight/content/doi/10.1108/SEF-04-2023-0207/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThe purpose of this paper is to provide theory for some popular models and strategies used by practitioners in constructing optimal portfolios. King (2007), for example, advocated adding a diversification term to mean-variance problems to create better portfolios and provided clear empirical evidence that this is beneficial. The authors provide an analytical framework to help us understand different portfolio construction practices that may incorporate diversification and conviction strategies; this allows us to connect our analysis to ideas in psychophysics and behavioural finance. The critical psychological ideas are cognitive dissonance and entropy; the economics are based on expected utility theory. The empirical section uses the theory outlined and provides the basis for constructing such portfolios. The model presented allows the incorporation of different strategies within a mean-variance framework, ranging from diversification and conviction strategies to more ESG-oriented ones. The empirical analysis provides a practical application. To the best of the authors’ knowledge, this model is the first to bridge the gap between portfolio optimisation and the psychological ideas mentioned in a coherent analytical framework.Conviction, diversification or something else: constructing optimal portfolios with additional attributes
Muhammad Farid Ahmed, Stephen Satchell
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

The purpose of this paper is to provide theory for some popular models and strategies used by practitioners in constructing optimal portfolios. King (2007), for example, advocated adding a diversification term to mean-variance problems to create better portfolios and provided clear empirical evidence that this is beneficial.

The authors provide an analytical framework to help us understand different portfolio construction practices that may incorporate diversification and conviction strategies; this allows us to connect our analysis to ideas in psychophysics and behavioural finance. The critical psychological ideas are cognitive dissonance and entropy; the economics are based on expected utility theory. The empirical section uses the theory outlined and provides the basis for constructing such portfolios.

The model presented allows the incorporation of different strategies within a mean-variance framework, ranging from diversification and conviction strategies to more ESG-oriented ones. The empirical analysis provides a practical application.

To the best of the authors’ knowledge, this model is the first to bridge the gap between portfolio optimisation and the psychological ideas mentioned in a coherent analytical framework.

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Conviction, diversification or something else: constructing optimal portfolios with additional attributes10.1108/SEF-04-2023-0207Studies in Economics and Finance2023-08-23© 2023 Emerald Publishing LimitedMuhammad Farid AhmedStephen SatchellStudies in Economics and Financeahead-of-printahead-of-print2023-08-2310.1108/SEF-04-2023-0207https://www.emerald.com/insight/content/doi/10.1108/SEF-04-2023-0207/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Emerald Publishing Limited
Estimating the excess of interests paid by consumers when applying an upper rate. The case of Spainhttps://www.emerald.com/insight/content/doi/10.1108/SEF-05-2023-0216/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThe framework of this paper is financial mathematics and, more specifically, the control of data fraud and manipulation with their subsequent economic effects, namely, in financial markets. The purpose of this paper is to calculate the global loss or gain, which supposes, for the borrower, a change of the interest rate while the contracted loan is in force or, in another case, the loan has finished. The methodology used in this work has been, in the first place, a review of the existing literature on the topic of manipulability and abusiveness of the loan interest rates applied by banks; in the second place, the introduction of a mathematical-financial analysis to calculate the interests paid in excess; and, finally, the compilation of several sentences issued on the application of the so-called mortgage loan reference index (MLRI) to mortgage loans in Spain. There are three main contributions in this paper. First, the calculation of the interests paid in excess in the amortization of mortgage loans referenced to an overvalued interest rate. Second, an empirical application shows the amount to be refunded to a Spanish consumer when amortizing his/her mortgage loan referenced to the MLRI instead of the Euro InterBank Offered Rate (EURIBOR). Third, consideration has been made to the effects and the possible solutions to the legal problems arising from this type of contract. This research is a useful tool capable of implementing the financial calculation needed to find out overpaid interests in mortgage loans and to execute the sentences dealing with this topic. However, a limitation of this study is the lack of enough sentences on mortgage loans referenced to the MLRI to get some additional information about the number of borrowers affected by these legal sentences and the amount refunded by the financial institutions. To the best of the authors’ knowledge, this is the first time that deviations in the payment of interests have been calculated when amortizing a mortgage.Estimating the excess of interests paid by consumers when applying an upper rate. The case of Spain
Salvador Cruz Rambaud, Paula Ortega Perals
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

The framework of this paper is financial mathematics and, more specifically, the control of data fraud and manipulation with their subsequent economic effects, namely, in financial markets. The purpose of this paper is to calculate the global loss or gain, which supposes, for the borrower, a change of the interest rate while the contracted loan is in force or, in another case, the loan has finished.

The methodology used in this work has been, in the first place, a review of the existing literature on the topic of manipulability and abusiveness of the loan interest rates applied by banks; in the second place, the introduction of a mathematical-financial analysis to calculate the interests paid in excess; and, finally, the compilation of several sentences issued on the application of the so-called mortgage loan reference index (MLRI) to mortgage loans in Spain.

There are three main contributions in this paper. First, the calculation of the interests paid in excess in the amortization of mortgage loans referenced to an overvalued interest rate. Second, an empirical application shows the amount to be refunded to a Spanish consumer when amortizing his/her mortgage loan referenced to the MLRI instead of the Euro InterBank Offered Rate (EURIBOR). Third, consideration has been made to the effects and the possible solutions to the legal problems arising from this type of contract.

This research is a useful tool capable of implementing the financial calculation needed to find out overpaid interests in mortgage loans and to execute the sentences dealing with this topic. However, a limitation of this study is the lack of enough sentences on mortgage loans referenced to the MLRI to get some additional information about the number of borrowers affected by these legal sentences and the amount refunded by the financial institutions.

To the best of the authors’ knowledge, this is the first time that deviations in the payment of interests have been calculated when amortizing a mortgage.

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Estimating the excess of interests paid by consumers when applying an upper rate. The case of Spain10.1108/SEF-05-2023-0216Studies in Economics and Finance2024-01-09© 2023 Salvador Cruz Rambaud and Paula Ortega Perals.Salvador Cruz RambaudPaula Ortega PeralsStudies in Economics and Financeahead-of-printahead-of-print2024-01-0910.1108/SEF-05-2023-0216https://www.emerald.com/insight/content/doi/10.1108/SEF-05-2023-0216/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Salvador Cruz Rambaud and Paula Ortega Perals.http://creativecommons.org/licences/by/4.0/legalcode
Hidden truncation model with heteroskedasticity: S&P 500 index returns reexaminedhttps://www.emerald.com/insight/content/doi/10.1108/SEF-05-2023-0232/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis paper aims to introduce a heteroskedastic hidden truncation normal (HTN) model that allows for conditional volatilities, skewness and kurtosis, which evolve over time and are linked to economic dynamics and have economic interpretations. The model consists of the HTN distribution introduced by Arnold et al. (1993) coupled with the NGARCH type (Engle and Ng, 1993). The HTN distribution nests two well-known distributions: the skew-normal family (Azzalini, 1985) and the normal distributions. The HTN family of distributions depends on a hidden truncation and has four parameters having economic interpretations in terms of conditional volatilities, kurtosis and correlations between the observed variable and the hidden truncated variable. The model parameters are estimated using the maximum likelihood estimator. An empirical application to market data indicates the HTN-NGARCH model captures stylized facts manifested in financial market data, specifically volatility clustering, leverage effect, conditional skewness and kurtosis. The authors also compare the performance of the HTN-NGARCH model to the mixed normal (MN) heteroskedastic MN-NGARCH model. The paper presents a structure dynamic, allowing us to explore the volatility spillover between the observed and the hidden truncated variable. The conditional volatilities and skewness have the ability at modeling persistence in volatilities and the leverage effects as well as conditional kurtosis of the S&P 500 index.Hidden truncation model with heteroskedasticity: S&P 500 index returns reexamined
Rachid Belhachemi
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

This paper aims to introduce a heteroskedastic hidden truncation normal (HTN) model that allows for conditional volatilities, skewness and kurtosis, which evolve over time and are linked to economic dynamics and have economic interpretations.

The model consists of the HTN distribution introduced by Arnold et al. (1993) coupled with the NGARCH type (Engle and Ng, 1993). The HTN distribution nests two well-known distributions: the skew-normal family (Azzalini, 1985) and the normal distributions. The HTN family of distributions depends on a hidden truncation and has four parameters having economic interpretations in terms of conditional volatilities, kurtosis and correlations between the observed variable and the hidden truncated variable.

The model parameters are estimated using the maximum likelihood estimator. An empirical application to market data indicates the HTN-NGARCH model captures stylized facts manifested in financial market data, specifically volatility clustering, leverage effect, conditional skewness and kurtosis. The authors also compare the performance of the HTN-NGARCH model to the mixed normal (MN) heteroskedastic MN-NGARCH model.

The paper presents a structure dynamic, allowing us to explore the volatility spillover between the observed and the hidden truncated variable. The conditional volatilities and skewness have the ability at modeling persistence in volatilities and the leverage effects as well as conditional kurtosis of the S&P 500 index.

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Hidden truncation model with heteroskedasticity: S&P 500 index returns reexamined10.1108/SEF-05-2023-0232Studies in Economics and Finance2024-02-29© 2024 Emerald Publishing LimitedRachid BelhachemiStudies in Economics and Financeahead-of-printahead-of-print2024-02-2910.1108/SEF-05-2023-0232https://www.emerald.com/insight/content/doi/10.1108/SEF-05-2023-0232/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2024 Emerald Publishing Limited
Does board gender diversity affect firms’ expected risk?https://www.emerald.com/insight/content/doi/10.1108/SEF-05-2023-0245/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis study aims to explore the impact of board gender diversity on firms’ forward-looking risk, as perceived by both the firm’s management and its investors. The authors seek to understand whether the presence of female directors and the consequent enhancement of board dynamics can influence a firm’s risk profile. The authors use firms’ cash holdings and option implied volatility as proxies for future risk. The approach involves a rigorous analysis that accounts for potential concerns related to selection bias, endogeneity, heteroskedasticity and serial correlation. The authors further substantiate the findings through robustness checks, including a dynamic panel system general method of moment test and a Heckman correction model. The results reveal an inverse relationship between board gender diversity and firms’ expected risk. The findings suggest that the primary driver of this risk reduction is the improvement in the group dynamics of the board that comes with increased gender diversity. This implies that gender diverse boards can significantly influence a firm’s risk management and financial performance. The results indicate that gender diverse firms have economically and statistically significantly less expected risk and have better financial performance than firms with less board gender diversity. This has important implications for the organization of corporate boards. If the addition of female directors alters the risk aversion of the board, then management may be compelled to alter their investment and production decisions that, ultimately, affects firms’ profitability. In addition, the authors investigate whether changes to firm risk is due to gender differences in risk preferences or to an improvement in the group dynamics of the board. The empirical results suggest that the effect of board gender diversity on firms’ expected risk and financial performance may be due to an improvement in the collective intelligence of the board, as a result of more gender diversity, and not due to gender differences in risk preferences. To the best of the authors’ knowledge, this work is the first to study the effect of board gender diversity on firms’ future risk.Does board gender diversity affect firms’ expected risk?
Jodonnis Rodriguez, Krishnan Dandapani, Edward R. Lawrence
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

This study aims to explore the impact of board gender diversity on firms’ forward-looking risk, as perceived by both the firm’s management and its investors. The authors seek to understand whether the presence of female directors and the consequent enhancement of board dynamics can influence a firm’s risk profile.

The authors use firms’ cash holdings and option implied volatility as proxies for future risk. The approach involves a rigorous analysis that accounts for potential concerns related to selection bias, endogeneity, heteroskedasticity and serial correlation. The authors further substantiate the findings through robustness checks, including a dynamic panel system general method of moment test and a Heckman correction model.

The results reveal an inverse relationship between board gender diversity and firms’ expected risk. The findings suggest that the primary driver of this risk reduction is the improvement in the group dynamics of the board that comes with increased gender diversity. This implies that gender diverse boards can significantly influence a firm’s risk management and financial performance.

The results indicate that gender diverse firms have economically and statistically significantly less expected risk and have better financial performance than firms with less board gender diversity. This has important implications for the organization of corporate boards.

If the addition of female directors alters the risk aversion of the board, then management may be compelled to alter their investment and production decisions that, ultimately, affects firms’ profitability. In addition, the authors investigate whether changes to firm risk is due to gender differences in risk preferences or to an improvement in the group dynamics of the board.

The empirical results suggest that the effect of board gender diversity on firms’ expected risk and financial performance may be due to an improvement in the collective intelligence of the board, as a result of more gender diversity, and not due to gender differences in risk preferences.

To the best of the authors’ knowledge, this work is the first to study the effect of board gender diversity on firms’ future risk.

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Does board gender diversity affect firms’ expected risk?10.1108/SEF-05-2023-0245Studies in Economics and Finance2023-09-15© 2023 Emerald Publishing LimitedJodonnis RodriguezKrishnan DandapaniEdward R. LawrenceStudies in Economics and Financeahead-of-printahead-of-print2023-09-1510.1108/SEF-05-2023-0245https://www.emerald.com/insight/content/doi/10.1108/SEF-05-2023-0245/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Emerald Publishing Limited
Are there other fish in the sea? Exploring the hedge, diversifier and safe-haven features of ESG investmentshttps://www.emerald.com/insight/content/doi/10.1108/SEF-05-2023-0255/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis study aims to conduct an empirical investigation to assess the hedge, diversifier and safe-haven properties of different environmental, social and governance (ESG) assets (i.e. green bonds and ESG equity index) vis-à-vis conventional investments (namely, equity index, gold and commodities). The authors examine the sample period 2007–2021 using the bivariate cross-quantilogram (CQG) analysis and a dynamic conditional correlation (DCC) multivariate generalized autoregressive conditional heteroskedasticity (GARCH) experiment with several extensions. The evidence shows that the analyzed ESG investments exhibit mainly diversifying features depending on the asset class taken as a reference, with some potential hedging/safe-haven qualities (for the green bond) in peculiar timespans. Therefore, the results suggest that investors might consider sustainable investing as a new measure of risk reduction, which has interesting implications for both portfolio allocation and policy design. To the best of the authors’ knowledge, this study is the first that empirically investigates at once the dependence between different ESG investments (i.e. equity and green bond) with different conventional investments such as gold, equity and commodity market indices over a large sample period (2007–2021). Well-suited methodologies like the bivariate CQG and the DCC multivariate GARCH are used to capture the spillover effect and the hedging/diversifying nature, even in temporary contexts. Finally, a global perspective is used.Are there other fish in the sea? Exploring the hedge, diversifier and safe-haven features of ESG investments
Luca Pedini, Sabrina Severini
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

This study aims to conduct an empirical investigation to assess the hedge, diversifier and safe-haven properties of different environmental, social and governance (ESG) assets (i.e. green bonds and ESG equity index) vis-à-vis conventional investments (namely, equity index, gold and commodities).

The authors examine the sample period 2007–2021 using the bivariate cross-quantilogram (CQG) analysis and a dynamic conditional correlation (DCC) multivariate generalized autoregressive conditional heteroskedasticity (GARCH) experiment with several extensions.

The evidence shows that the analyzed ESG investments exhibit mainly diversifying features depending on the asset class taken as a reference, with some potential hedging/safe-haven qualities (for the green bond) in peculiar timespans. Therefore, the results suggest that investors might consider sustainable investing as a new measure of risk reduction, which has interesting implications for both portfolio allocation and policy design.

To the best of the authors’ knowledge, this study is the first that empirically investigates at once the dependence between different ESG investments (i.e. equity and green bond) with different conventional investments such as gold, equity and commodity market indices over a large sample period (2007–2021). Well-suited methodologies like the bivariate CQG and the DCC multivariate GARCH are used to capture the spillover effect and the hedging/diversifying nature, even in temporary contexts. Finally, a global perspective is used.

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Are there other fish in the sea? Exploring the hedge, diversifier and safe-haven features of ESG investments10.1108/SEF-05-2023-0255Studies in Economics and Finance2024-02-26© 2024 Luca Pedini and Sabrina Severini.Luca PediniSabrina SeveriniStudies in Economics and Financeahead-of-printahead-of-print2024-02-2610.1108/SEF-05-2023-0255https://www.emerald.com/insight/content/doi/10.1108/SEF-05-2023-0255/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2024 Luca Pedini and Sabrina Severini.http://creativecommons.org/licences/by/4.0/legalcode
A collective decision-making model of p2p lending platforms compared to bank lendinghttps://www.emerald.com/insight/content/doi/10.1108/SEF-05-2023-0260/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis study aims to develop a theoretical model that uses the decision-making theory in a financial intermediation setting to provide insights into the differences between the outcomes of the decision-making process for a bank and for a peer-to-peer (p2p) lending platform to explain the role of p2p lending versus bank lending in the credit market. This study develops a novel approach to explaining the differences between p2p lending and bank lending by using the decision-making theory. In particular, it analyzes the likelihood of a risky borrower being able to obtain a loan from a p2p lending platform versus the likelihood of being able to obtain a loan from a bank. The results contribute a theoretical understanding of factors that can determine the role of p2p lending platforms versus that of banks in the credit market, with implications for recovery from an economic crisis. p2p lending platforms have the potential for contributing to economic recovery when they are subject to less regulations and are able to offer a faster and less costly lending process than do banks and when they are used by a large number of lenders. However, the potential role of p2p lending platforms in recovery might be reduced when banks have access to anticyclical measures that reduce banks’ capital requirements or provide them with low-cost funds. This study provides a novel approach to explaining the differences between p2p lending and bank lending by using the decision-making theory. The results contribute a theoretical understanding of factors that can determine the role of p2p lending platforms versus that of banks in the credit market.A collective decision-making model of p2p lending platforms compared to bank lending
Ruth Ben-Yashar, Miriam Krausz
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

This study aims to develop a theoretical model that uses the decision-making theory in a financial intermediation setting to provide insights into the differences between the outcomes of the decision-making process for a bank and for a peer-to-peer (p2p) lending platform to explain the role of p2p lending versus bank lending in the credit market.

This study develops a novel approach to explaining the differences between p2p lending and bank lending by using the decision-making theory. In particular, it analyzes the likelihood of a risky borrower being able to obtain a loan from a p2p lending platform versus the likelihood of being able to obtain a loan from a bank. The results contribute a theoretical understanding of factors that can determine the role of p2p lending platforms versus that of banks in the credit market, with implications for recovery from an economic crisis.

p2p lending platforms have the potential for contributing to economic recovery when they are subject to less regulations and are able to offer a faster and less costly lending process than do banks and when they are used by a large number of lenders. However, the potential role of p2p lending platforms in recovery might be reduced when banks have access to anticyclical measures that reduce banks’ capital requirements or provide them with low-cost funds.

This study provides a novel approach to explaining the differences between p2p lending and bank lending by using the decision-making theory. The results contribute a theoretical understanding of factors that can determine the role of p2p lending platforms versus that of banks in the credit market.

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A collective decision-making model of p2p lending platforms compared to bank lending10.1108/SEF-05-2023-0260Studies in Economics and Finance2023-09-15© 2023 Emerald Publishing LimitedRuth Ben-YasharMiriam KrauszStudies in Economics and Financeahead-of-printahead-of-print2023-09-1510.1108/SEF-05-2023-0260https://www.emerald.com/insight/content/doi/10.1108/SEF-05-2023-0260/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Emerald Publishing Limited
Country-level governance and sustainable development goals: implications for firms’ sustainability performancehttps://www.emerald.com/insight/content/doi/10.1108/SEF-05-2023-0272/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThe purpose of this study is to examine the impact of country-level governance on sustainability performance, taking into account the effect of sustainable development goals (SDGs) and board characteristics. This study uses panel data analysis using fixed effect models to investigate the influence of country-level governance on sustainability performance while considering the effect of SDGs and board characteristics. The sample comprises 8,273 firms across 41 countries during the period spanning from 2016 to 2021. The sample is divided into two categories based on the score of SDGs. The findings of this study show that countries with high SDGs score have better overall country-level governance and board attributes which have a statistically significant positive impact on sustainability performance. However, for those countries with low SDGs, political stability shows a statistically insignificant and negative impact on sustainability performance, while government effectiveness indicates a statistically insignificant positive impact on sustainability performance. This study contributes to the literature by providing empirical evidence on the relationship between country-level governance, SDGs, board characteristics and sustainability performance. The study also highlights the importance of considering the effect of SDGs on the relationship between country-level governance and sustainability performance. The findings of this study could be useful for policymakers and firms in improving their sustainability performance and contributing to sustainable development.Country-level governance and sustainable development goals: implications for firms’ sustainability performance
Faozi A. Almaqtari, Tamer Elsheikh, Khaled Hussainey, Mohammed A. Al-Bukhrani
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

The purpose of this study is to examine the impact of country-level governance on sustainability performance, taking into account the effect of sustainable development goals (SDGs) and board characteristics.

This study uses panel data analysis using fixed effect models to investigate the influence of country-level governance on sustainability performance while considering the effect of SDGs and board characteristics. The sample comprises 8,273 firms across 41 countries during the period spanning from 2016 to 2021. The sample is divided into two categories based on the score of SDGs.

The findings of this study show that countries with high SDGs score have better overall country-level governance and board attributes which have a statistically significant positive impact on sustainability performance. However, for those countries with low SDGs, political stability shows a statistically insignificant and negative impact on sustainability performance, while government effectiveness indicates a statistically insignificant positive impact on sustainability performance.

This study contributes to the literature by providing empirical evidence on the relationship between country-level governance, SDGs, board characteristics and sustainability performance. The study also highlights the importance of considering the effect of SDGs on the relationship between country-level governance and sustainability performance. The findings of this study could be useful for policymakers and firms in improving their sustainability performance and contributing to sustainable development.

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Country-level governance and sustainable development goals: implications for firms’ sustainability performance10.1108/SEF-05-2023-0272Studies in Economics and Finance2023-12-26© 2023 Emerald Publishing LimitedFaozi A. AlmaqtariTamer ElsheikhKhaled HussaineyMohammed A. Al-BukhraniStudies in Economics and Financeahead-of-printahead-of-print2023-12-2610.1108/SEF-05-2023-0272https://www.emerald.com/insight/content/doi/10.1108/SEF-05-2023-0272/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Emerald Publishing Limited
Cost efficiency of municipal green bonds’ measures: a marginal abatement cost curves approachhttps://www.emerald.com/insight/content/doi/10.1108/SEF-06-2023-0294/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestWith more cities aiming to achieve climate neutrality, identifying the funding to support these plans is essential. The purpose of this paper is to exploit the present of a structured green bonds framework in Sweden to investigate the typology of abatement projects Swedish municipalities invested in and understand their effectiveness. Marginal abatement cost curves of the green bond measures are constructed by using the financial and abatement data provided by municipalities on an annual basis. The results highlight the economic competitiveness of clean energy production, measured in abatement potential per unit of currency, even when compared to other emerging technologies that have attracted the interest of policymakers. A comparison with previous studies on the cost efficiency of carbon capture storage reveals that clean energy projects, especially wind energy production, can contribute to the reduction of emissions in a more efficient way. The Swedish carbon tax is a good incentive tool for investments in clean energy projects. The improvement concerning previous applications is twofold: the authors expand the financial considerations to include the whole life-cycle costs, and the authors consider all the greenhouse gases. This research constitutes a prime in using financial and environmental data produced by local governments to assess the effectiveness of their environmental measures.Cost efficiency of municipal green bonds’ measures: a marginal abatement cost curves approach
Tommaso Piseddu, Fedra Vanhuyse
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

With more cities aiming to achieve climate neutrality, identifying the funding to support these plans is essential. The purpose of this paper is to exploit the present of a structured green bonds framework in Sweden to investigate the typology of abatement projects Swedish municipalities invested in and understand their effectiveness.

Marginal abatement cost curves of the green bond measures are constructed by using the financial and abatement data provided by municipalities on an annual basis.

The results highlight the economic competitiveness of clean energy production, measured in abatement potential per unit of currency, even when compared to other emerging technologies that have attracted the interest of policymakers. A comparison with previous studies on the cost efficiency of carbon capture storage reveals that clean energy projects, especially wind energy production, can contribute to the reduction of emissions in a more efficient way. The Swedish carbon tax is a good incentive tool for investments in clean energy projects.

The improvement concerning previous applications is twofold: the authors expand the financial considerations to include the whole life-cycle costs, and the authors consider all the greenhouse gases. This research constitutes a prime in using financial and environmental data produced by local governments to assess the effectiveness of their environmental measures.

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Cost efficiency of municipal green bonds’ measures: a marginal abatement cost curves approach10.1108/SEF-06-2023-0294Studies in Economics and Finance2023-12-08© 2023 Tommaso Piseddu and Fedra Vanhuyse.Tommaso PisedduFedra VanhuyseStudies in Economics and Financeahead-of-printahead-of-print2023-12-0810.1108/SEF-06-2023-0294https://www.emerald.com/insight/content/doi/10.1108/SEF-06-2023-0294/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Tommaso Piseddu and Fedra Vanhuyse.http://creativecommons.org/licences/by/4.0/legalcode
Stock market indices and interest rates in the US and Europe: persistence and long-run linkageshttps://www.emerald.com/insight/content/doi/10.1108/SEF-06-2023-0304/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis paper aims to analyse the persistence of the S&P500 and DAX 30 stock indices as well as of the Fed’s Effective Federal Funds rate and of the European Central Bank’s Marginal Lending Facility rate, and the long-run linkages between stock prices and interest rates in the USA and Europe, respectively. The methodology is based on the concepts of fractional integration and cointegration. Using monthly data from January 1999 to December 2022, the results can be summarised as follows. All series examined are non-stationary: stock prices are found to be I(1) while interest rates display orders of integration substantially above 1, which implies a rejection of the hypothesis of mean reversion in all cases examined. This paper uses an appropriate econometric framework to obtain new, reliable empirical evidence. All four series are highly persistent, and mean reversion does not occur in any single case. Moreover, the fractional cointegration analysis suggests that stock prices and interest rates are not linked in the long run.Stock market indices and interest rates in the US and Europe: persistence and long-run linkages
Guglielmo Maria Caporale, Luis Alberiko Gil-Alana, Eduard Melnicenco
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

This paper aims to analyse the persistence of the S&P500 and DAX 30 stock indices as well as of the Fed’s Effective Federal Funds rate and of the European Central Bank’s Marginal Lending Facility rate, and the long-run linkages between stock prices and interest rates in the USA and Europe, respectively.

The methodology is based on the concepts of fractional integration and cointegration.

Using monthly data from January 1999 to December 2022, the results can be summarised as follows. All series examined are non-stationary: stock prices are found to be I(1) while interest rates display orders of integration substantially above 1, which implies a rejection of the hypothesis of mean reversion in all cases examined.

This paper uses an appropriate econometric framework to obtain new, reliable empirical evidence. All four series are highly persistent, and mean reversion does not occur in any single case. Moreover, the fractional cointegration analysis suggests that stock prices and interest rates are not linked in the long run.

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Stock market indices and interest rates in the US and Europe: persistence and long-run linkages10.1108/SEF-06-2023-0304Studies in Economics and Finance2024-02-23© 2024 Emerald Publishing LimitedGuglielmo Maria CaporaleLuis Alberiko Gil-AlanaEduard MelnicencoStudies in Economics and Financeahead-of-printahead-of-print2024-02-2310.1108/SEF-06-2023-0304https://www.emerald.com/insight/content/doi/10.1108/SEF-06-2023-0304/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2024 Emerald Publishing Limited
Co-volatility dynamics in global cryptocurrency and conventional asset classes: a multivariate stochastic factor volatility approachhttps://www.emerald.com/insight/content/doi/10.1108/SEF-06-2023-0339/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis study aims to investigate the co-volatility patterns between cryptocurrencies and conventional asset classes across global markets, encompassing 26 global indices ranging from equities, commodities, real estate, currencies and bonds. It used a multivariate factor stochastic volatility model to capture the dynamic changes in covariance and volatility correlation, thus offering empirical insights into the co-volatility dynamics. Unlike conventional research on price or return transmission, this study directly models the time-varying covariance and volatility correlation. The study uncovers pronounced co-volatility movements between cryptocurrencies and specific indices such as GSCI Energy, GSCI Commodity, Dow Jones 1 month forward and U.S. 10-year TIPS. Notably, these movements surpass those observed with precious metals, industrial metals and global equity indices across various regions. Interestingly, except for Japan, equity indices in the USA, Canada, Australia, France, Germany, India and China exhibit a co-volatility movement. These findings challenge the existing literature on cryptocurrencies and provide intriguing evidence regarding their co-volatility dynamics. This study significantly contributes to applying asset pricing models in cryptocurrency markets by explicitly addressing price and volatility dynamics aspects. Using the stochastic volatility model, the research adding methodological contribution effectively captures cryptocurrency volatility's inherent fluctuations and time-varying nature. While previous literature has primarily focused on bitcoin and a few other cryptocurrencies, this study examines the stochastic volatility properties of a wide range of cryptocurrency indices. Furthermore, the study expands its scope by examining global asset markets, allowing for a comprehensive analysis considering the broader context in which cryptocurrencies operate. It bridges the gap between traditional asset pricing models and the unique characteristics of cryptocurrencies.Co-volatility dynamics in global cryptocurrency and conventional asset classes: a multivariate stochastic factor volatility approach
Shalini Velappan
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

This study aims to investigate the co-volatility patterns between cryptocurrencies and conventional asset classes across global markets, encompassing 26 global indices ranging from equities, commodities, real estate, currencies and bonds.

It used a multivariate factor stochastic volatility model to capture the dynamic changes in covariance and volatility correlation, thus offering empirical insights into the co-volatility dynamics. Unlike conventional research on price or return transmission, this study directly models the time-varying covariance and volatility correlation.

The study uncovers pronounced co-volatility movements between cryptocurrencies and specific indices such as GSCI Energy, GSCI Commodity, Dow Jones 1 month forward and U.S. 10-year TIPS. Notably, these movements surpass those observed with precious metals, industrial metals and global equity indices across various regions. Interestingly, except for Japan, equity indices in the USA, Canada, Australia, France, Germany, India and China exhibit a co-volatility movement. These findings challenge the existing literature on cryptocurrencies and provide intriguing evidence regarding their co-volatility dynamics.

This study significantly contributes to applying asset pricing models in cryptocurrency markets by explicitly addressing price and volatility dynamics aspects. Using the stochastic volatility model, the research adding methodological contribution effectively captures cryptocurrency volatility's inherent fluctuations and time-varying nature. While previous literature has primarily focused on bitcoin and a few other cryptocurrencies, this study examines the stochastic volatility properties of a wide range of cryptocurrency indices. Furthermore, the study expands its scope by examining global asset markets, allowing for a comprehensive analysis considering the broader context in which cryptocurrencies operate. It bridges the gap between traditional asset pricing models and the unique characteristics of cryptocurrencies.

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Co-volatility dynamics in global cryptocurrency and conventional asset classes: a multivariate stochastic factor volatility approach10.1108/SEF-06-2023-0339Studies in Economics and Finance2024-01-15© 2024 Emerald Publishing LimitedShalini VelappanStudies in Economics and Financeahead-of-printahead-of-print2024-01-1510.1108/SEF-06-2023-0339https://www.emerald.com/insight/content/doi/10.1108/SEF-06-2023-0339/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2024 Emerald Publishing Limited
Politics, integration of ESG in CEO compensation, and firm credit ratings: evidence from the USAhttps://www.emerald.com/insight/content/doi/10.1108/SEF-06-2023-0350/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis paper aims to investigate how a US firm’s political landscape affects the integration of environmental, social and governance (hereafter ESG) measures in CEO compensation contracts, thereby affecting the firm’s ESG performance and credit rating. Based on the results of state senatorial and presidential elections and the location of a US firm’s headquarters, the authors categorize whether a firm has a political environment that is predominantly Democratic (blue) or Republican (red). The empirical analyses are based on a sample of US firms in the period 2014–2021. The authors find that firms in blue states are more likely to link CEO compensation to ESG performance measures. Further, the results show that firms in blue states with ESG-linked compensation contracts have better ESG performance. Lastly, the authors find evidence that a firm’s ESG performance has a positive impact on its credit rating, but the impact is weakened if firms in red states link ESG performance to executive compensation. To the best of the authors’ knowledge, this is the first research that explores how a firm’s political environment affects the use of ESG performance measures in CEO compensation contracts. Furthermore, the authors contribute to the literature by showing evidence that the political environment interacts with the impact of ESG-linked compensation incentives on the firm’s ESG performance and, thus, its credit rating.Politics, integration of ESG in CEO compensation, and firm credit ratings: evidence from the USA
Emma Y. Peng, William Smith III
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

This paper aims to investigate how a US firm’s political landscape affects the integration of environmental, social and governance (hereafter ESG) measures in CEO compensation contracts, thereby affecting the firm’s ESG performance and credit rating.

Based on the results of state senatorial and presidential elections and the location of a US firm’s headquarters, the authors categorize whether a firm has a political environment that is predominantly Democratic (blue) or Republican (red). The empirical analyses are based on a sample of US firms in the period 2014–2021.

The authors find that firms in blue states are more likely to link CEO compensation to ESG performance measures. Further, the results show that firms in blue states with ESG-linked compensation contracts have better ESG performance. Lastly, the authors find evidence that a firm’s ESG performance has a positive impact on its credit rating, but the impact is weakened if firms in red states link ESG performance to executive compensation.

To the best of the authors’ knowledge, this is the first research that explores how a firm’s political environment affects the use of ESG performance measures in CEO compensation contracts. Furthermore, the authors contribute to the literature by showing evidence that the political environment interacts with the impact of ESG-linked compensation incentives on the firm’s ESG performance and, thus, its credit rating.

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Politics, integration of ESG in CEO compensation, and firm credit ratings: evidence from the USA10.1108/SEF-06-2023-0350Studies in Economics and Finance2023-11-24© 2023 Emerald Publishing LimitedEmma Y. PengWilliam Smith IIIStudies in Economics and Financeahead-of-printahead-of-print2023-11-2410.1108/SEF-06-2023-0350https://www.emerald.com/insight/content/doi/10.1108/SEF-06-2023-0350/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Emerald Publishing Limited
Leading and lagging role between financial stress and crude oilhttps://www.emerald.com/insight/content/doi/10.1108/SEF-06-2023-0351/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThe crude oil market plays a key role in addressing the issue of energy economics. This paper aims to detect the causality relationship between the crude oil market and economy based on the financial system. This paper used the static and dynamic Hatemi-J Bootstrap Toda–Yamamoto and Diebold–Yilmaz connectedness index. The Hatemi-J Bootstrap Toda-Yamamoto approach allows researchers to use nonstationary data and that method is robust to nonnormal distribution and heteroscedasticity. The Diebold–Yilmaz connectedness index model provides researchers to detect the power of connectedness besides linkage direction. The analyzed period is the span from January 3, 2005 to October 3, 2022. The results show bidirectional causality in the full sample but unidirectional causality before and after the 2008 financial crisis. During the 2008 financial crisis period and the COVID-19 period, there was a bidirectional and unidirectional causality, respectively. The connectedness approach indicates that the crude oil market affects financial stress through investors’ risk preferences. The Diebold–Yilmaz spillover index model is based on vector autoregression methods with a stationarity precondition. However, some of the five dimensions that constitute the financial stress index (FSI) are nonstationary in level. Therefore, the authors takes the first difference of the nonstationary data. The linkage between the crude oil market and the FSI provides useful information for investors and policymakers. For instance, this paper indicates that an investor wanted to forecast future value of the crude oil (financial stress) should consider the current and past values of financial stress (crude oil). Moreover, policymaker should consider the crude oil market (FSI) to make a policy proposal for financial system (crude oil market). Recently, indicators of economic activity levels (economic policy uncertainty, implied volatility index) have begun to be considered to analyze the relationship between energy and the economy but very little is known in the literature about the leading and lagging roles of data in subsample periods and the linkage channel. The other originality of this research is using the new econometric approaches.Leading and lagging role between financial stress and crude oil
Ahmet Galip Gençyürek
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

The crude oil market plays a key role in addressing the issue of energy economics. This paper aims to detect the causality relationship between the crude oil market and economy based on the financial system.

This paper used the static and dynamic Hatemi-J Bootstrap Toda–Yamamoto and Diebold–Yilmaz connectedness index. The Hatemi-J Bootstrap Toda-Yamamoto approach allows researchers to use nonstationary data and that method is robust to nonnormal distribution and heteroscedasticity. The Diebold–Yilmaz connectedness index model provides researchers to detect the power of connectedness besides linkage direction. The analyzed period is the span from January 3, 2005 to October 3, 2022.

The results show bidirectional causality in the full sample but unidirectional causality before and after the 2008 financial crisis. During the 2008 financial crisis period and the COVID-19 period, there was a bidirectional and unidirectional causality, respectively. The connectedness approach indicates that the crude oil market affects financial stress through investors’ risk preferences.

The Diebold–Yilmaz spillover index model is based on vector autoregression methods with a stationarity precondition. However, some of the five dimensions that constitute the financial stress index (FSI) are nonstationary in level. Therefore, the authors takes the first difference of the nonstationary data.

The linkage between the crude oil market and the FSI provides useful information for investors and policymakers. For instance, this paper indicates that an investor wanted to forecast future value of the crude oil (financial stress) should consider the current and past values of financial stress (crude oil). Moreover, policymaker should consider the crude oil market (FSI) to make a policy proposal for financial system (crude oil market).

Recently, indicators of economic activity levels (economic policy uncertainty, implied volatility index) have begun to be considered to analyze the relationship between energy and the economy but very little is known in the literature about the leading and lagging roles of data in subsample periods and the linkage channel. The other originality of this research is using the new econometric approaches.

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Leading and lagging role between financial stress and crude oil10.1108/SEF-06-2023-0351Studies in Economics and Finance2023-10-09© 2023 Emerald Publishing LimitedAhmet Galip GençyürekStudies in Economics and Financeahead-of-printahead-of-print2023-10-0910.1108/SEF-06-2023-0351https://www.emerald.com/insight/content/doi/10.1108/SEF-06-2023-0351/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Emerald Publishing Limited
Balancing prosperity and sustainability: unraveling financial risks and green finance through a COP27 lenshttps://www.emerald.com/insight/content/doi/10.1108/SEF-06-2023-0353/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis study aims to examine the relationship between financial development (FD), financial risk, green finance and innovation related to carbon emissions in the G7 economies. This quantitative study examines the roles that financial development [FD: Domestic credit to private sector by banks as percentage of gross domestic product (GDP)], economic growth (GDP: Constant US$ 2015), financial risk index (FRI), green finance (GFIN: Renewable energy public research development and demonstration (RD&D) budget as percentage of total RD&D budget), development of environment-related technologies (DERTI: percentage of all technologies) and human capital (HCI: index) have on the environmental quality of developed economies. Based on panel data, the study uses a novel approach method of moments quantile regression as a main method to tackle the issue of cross-sectional dependency, slope heterogeneity and nonnormality of the data. The study confirms that increasing economic development increases emissions and negatively impacts the environment. However, efficient resource allocation, improved financial systems, and green innovation are likely to contribute to emission mitigation and the overall development of a sustainable viable economy. Furthermore, the study highlights the importance of risk management in financial systems for future emissions prevention. The study uses a reliable estimation procedure, which extends the discussion on climate policy from a COP-27 perspective and offers practical implications for policymakers in developing more effective emission mitigation strategies. The study offers policy suggestions for a sustainable economy, focusing on both COP-27 and the G7 countries. Recommendations include implementing carbon pricing, developing carbon capture and storage technologies, investing in renewables and energy efficiency and introducing financial instruments for emission mitigation. From a COP-27 standpoint, the G7 should prioritize transitioning to low-carbon economies and supporting developing nations in their sustainability efforts to address the pressing challenges of climate change and global warming. In comparison to the literature, this study examines the importance of financial risk for G7 economies in promoting a sustainable environment. More specifically, in the context of FD and national income with carbon emissions, previous researchers have disregarded the importance of green innovation and human capital, so the current study fills the gap in the literature related to G7 economies by exploring the link between the identified variables related to carbon emissions.Balancing prosperity and sustainability: unraveling financial risks and green finance through a COP27 lens
Shakeel Sajjad, Rubaiyat Ahsan Bhuiyan, Rocky J. Dwyer, Adnan Bashir, Changyong Zhang
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

This study aims to examine the relationship between financial development (FD), financial risk, green finance and innovation related to carbon emissions in the G7 economies.

This quantitative study examines the roles that financial development [FD: Domestic credit to private sector by banks as percentage of gross domestic product (GDP)], economic growth (GDP: Constant US$ 2015), financial risk index (FRI), green finance (GFIN: Renewable energy public research development and demonstration (RD&D) budget as percentage of total RD&D budget), development of environment-related technologies (DERTI: percentage of all technologies) and human capital (HCI: index) have on the environmental quality of developed economies. Based on panel data, the study uses a novel approach method of moments quantile regression as a main method to tackle the issue of cross-sectional dependency, slope heterogeneity and nonnormality of the data.

The study confirms that increasing economic development increases emissions and negatively impacts the environment. However, efficient resource allocation, improved financial systems, and green innovation are likely to contribute to emission mitigation and the overall development of a sustainable viable economy. Furthermore, the study highlights the importance of risk management in financial systems for future emissions prevention.

The study uses a reliable estimation procedure, which extends the discussion on climate policy from a COP-27 perspective and offers practical implications for policymakers in developing more effective emission mitigation strategies.

The study offers policy suggestions for a sustainable economy, focusing on both COP-27 and the G7 countries. Recommendations include implementing carbon pricing, developing carbon capture and storage technologies, investing in renewables and energy efficiency and introducing financial instruments for emission mitigation. From a COP-27 standpoint, the G7 should prioritize transitioning to low-carbon economies and supporting developing nations in their sustainability efforts to address the pressing challenges of climate change and global warming.

In comparison to the literature, this study examines the importance of financial risk for G7 economies in promoting a sustainable environment. More specifically, in the context of FD and national income with carbon emissions, previous researchers have disregarded the importance of green innovation and human capital, so the current study fills the gap in the literature related to G7 economies by exploring the link between the identified variables related to carbon emissions.

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Balancing prosperity and sustainability: unraveling financial risks and green finance through a COP27 lens10.1108/SEF-06-2023-0353Studies in Economics and Finance2024-02-08© 2024 Emerald Publishing LimitedShakeel SajjadRubaiyat Ahsan BhuiyanRocky J. DwyerAdnan BashirChangyong ZhangStudies in Economics and Financeahead-of-printahead-of-print2024-02-0810.1108/SEF-06-2023-0353https://www.emerald.com/insight/content/doi/10.1108/SEF-06-2023-0353/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2024 Emerald Publishing Limited
ESG and the performance of energy and utility portfolios: evidence from Australiahttps://www.emerald.com/insight/content/doi/10.1108/SEF-06-2023-0366/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis study aims to establish the effect of environmental, social and governance (ESG) practices on Australian energy and utility investment performance. Conventional and ESG-rated portfolios are constructed using monthly returns and ESG scores of S&P/ASX 300 listed energy and utility firms from 2014 to 2022. Portfolio performance is estimated using a four-factor regression model, controlling for any economic shocks associated with the COVID-19 pandemic. The findings show that the lower the ESG score associated with the overall ESG and environmental portfolios, the greater the performance compared to the market (but not the conventional and other ESG portfolios). High ESG scores do not appear to influence the performance of the energy and utility portfolios, which contrasts expectations that the uptake of ESG should deliver superior risk-return outcomes for investors. The findings also indicate that a contrarian investment approach may be a reasonable performance indicator for high-rated ESG portfolios. ESG practices did not impact portfolio performance during the COVID-19 pandemic. This research has contributed to the literature by offering ESG investment insights for policymakers, regulators, fund managers and investors. Consistent with the agency perspective on ESG practices and efficient market hypothesis, the evidence implies that, regardless of ESG scores (either high or low), investors should consider investing passively in diversified energy and utility portfolios or low-cost index fund equivalents.ESG and the performance of energy and utility portfolios: evidence from Australia
Scott J. Niblock
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

This study aims to establish the effect of environmental, social and governance (ESG) practices on Australian energy and utility investment performance.

Conventional and ESG-rated portfolios are constructed using monthly returns and ESG scores of S&P/ASX 300 listed energy and utility firms from 2014 to 2022. Portfolio performance is estimated using a four-factor regression model, controlling for any economic shocks associated with the COVID-19 pandemic.

The findings show that the lower the ESG score associated with the overall ESG and environmental portfolios, the greater the performance compared to the market (but not the conventional and other ESG portfolios). High ESG scores do not appear to influence the performance of the energy and utility portfolios, which contrasts expectations that the uptake of ESG should deliver superior risk-return outcomes for investors. The findings also indicate that a contrarian investment approach may be a reasonable performance indicator for high-rated ESG portfolios. ESG practices did not impact portfolio performance during the COVID-19 pandemic.

This research has contributed to the literature by offering ESG investment insights for policymakers, regulators, fund managers and investors. Consistent with the agency perspective on ESG practices and efficient market hypothesis, the evidence implies that, regardless of ESG scores (either high or low), investors should consider investing passively in diversified energy and utility portfolios or low-cost index fund equivalents.

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ESG and the performance of energy and utility portfolios: evidence from Australia10.1108/SEF-06-2023-0366Studies in Economics and Finance2024-01-25© 2024 Emerald Publishing LimitedScott J. NiblockStudies in Economics and Financeahead-of-printahead-of-print2024-01-2510.1108/SEF-06-2023-0366https://www.emerald.com/insight/content/doi/10.1108/SEF-06-2023-0366/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2024 Emerald Publishing Limited
ESG consideration in venture capital: drivers, strategies and barriershttps://www.emerald.com/insight/content/doi/10.1108/SEF-06-2023-0380/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThere is an increasing awareness of environmental, social and governance (ESG) factors in the private equity (PE) environment. While many studies deal with the implementation of ESG in the field of PE, only little is known about how the subcategory venture capital. Therefore, this study aims to answer the questions: What are the motivations for venture capitalists to consider ESG in their investment decisions? How do they implement it and what are the barriers that hinder them? An inductive study based on semi-structured interviews with 11 investors of venture capital firms (VCs) was conducted to explore the drivers, the barriers and the strategies to implement ESG in the investment decision-making. All investors perceive that ESG will play a major role in investment decisions in the long term. VCs have seen benefits primarily in terms of performance and commercialization of startups that incorporate the ESG aspect. Limited partners are a driving force for change in this process. No standardized framework and lack of resources for implementation are mainly assumed as barriers. Politics and industry might support particularly smaller VCs in their implementation by providing standardized frameworks. Owing to increasing awareness and interest of ESG criteria among VCs, startups should also address these criteria. This paper contributes to the literature by examining how ESG is currently considered in VCs’ decisions and what challenges they face. Therefore, this research contributes to the understanding of the decision-making process among venture capitalists.ESG consideration in venture capital: drivers, strategies and barriers
Elfi M. Lange, Niloofar Ghotbedini Banadaki
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

There is an increasing awareness of environmental, social and governance (ESG) factors in the private equity (PE) environment. While many studies deal with the implementation of ESG in the field of PE, only little is known about how the subcategory venture capital. Therefore, this study aims to answer the questions: What are the motivations for venture capitalists to consider ESG in their investment decisions? How do they implement it and what are the barriers that hinder them?

An inductive study based on semi-structured interviews with 11 investors of venture capital firms (VCs) was conducted to explore the drivers, the barriers and the strategies to implement ESG in the investment decision-making.

All investors perceive that ESG will play a major role in investment decisions in the long term. VCs have seen benefits primarily in terms of performance and commercialization of startups that incorporate the ESG aspect. Limited partners are a driving force for change in this process. No standardized framework and lack of resources for implementation are mainly assumed as barriers.

Politics and industry might support particularly smaller VCs in their implementation by providing standardized frameworks. Owing to increasing awareness and interest of ESG criteria among VCs, startups should also address these criteria.

This paper contributes to the literature by examining how ESG is currently considered in VCs’ decisions and what challenges they face. Therefore, this research contributes to the understanding of the decision-making process among venture capitalists.

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ESG consideration in venture capital: drivers, strategies and barriers10.1108/SEF-06-2023-0380Studies in Economics and Finance2023-11-30© 2023 Emerald Publishing LimitedElfi M. LangeNiloofar Ghotbedini BanadakiStudies in Economics and Financeahead-of-printahead-of-print2023-11-3010.1108/SEF-06-2023-0380https://www.emerald.com/insight/content/doi/10.1108/SEF-06-2023-0380/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Emerald Publishing Limited
Spillover effects and transmission of shocks in Visegrad equity marketshttps://www.emerald.com/insight/content/doi/10.1108/SEF-07-2023-0395/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestPaper aims to investigate the interdependencies and spillover effects that the Visegrad (V4 hereafter) Equity Markets hold on each other. The V4 group stands for the political alliance of four Central European countries: Poland, the Czech Republic, Hungary and Slovakia. The study uses Wavelet coherence, dynamic conditional correlation GARCH (1, 1) and unrestricted vector autoregression (VAR) methodologies. Daily data series (covering the period from January 2, 2006, to February 2, 2023) are analyzed to assess coherence, time-varying conditional correlation and shock transmission among the V4 Equity Markets. Wavelet analysis reveals that the Slovak equity market does not maintain coherence with three other equity markets. The time-varying conditional correlation documents for the high interdependence during the COVID-19 outbreak of the four indexes. The VAR estimates reveal that shocks in the Warsaw equity market are easily transmitted in Prague and Budapest exchanges but not in Bratislava. The results show that the Slovak equity market tends to be isolated from the influence of other three V4 exchanges. This isolation is attributed to its size, limited volume and adoption of the euro in 2009. The study emphasizes the Slovak financial system’s gravitation toward the Eurozone after euro adoption. Notably, the findings provide important signals for local and international investors as the results cover four significant international shocks. The global meltdown of 2008/09, the Greek debt crisis of 2010/11, the COVID-19 pandemic and the Russia-Ukraine war.Spillover effects and transmission of shocks in Visegrad equity markets
Florin Aliu, Vincenzo Asero, Alban Asllani, Jiří Kučera
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

Paper aims to investigate the interdependencies and spillover effects that the Visegrad (V4 hereafter) Equity Markets hold on each other. The V4 group stands for the political alliance of four Central European countries: Poland, the Czech Republic, Hungary and Slovakia.

The study uses Wavelet coherence, dynamic conditional correlation GARCH (1, 1) and unrestricted vector autoregression (VAR) methodologies. Daily data series (covering the period from January 2, 2006, to February 2, 2023) are analyzed to assess coherence, time-varying conditional correlation and shock transmission among the V4 Equity Markets.

Wavelet analysis reveals that the Slovak equity market does not maintain coherence with three other equity markets. The time-varying conditional correlation documents for the high interdependence during the COVID-19 outbreak of the four indexes. The VAR estimates reveal that shocks in the Warsaw equity market are easily transmitted in Prague and Budapest exchanges but not in Bratislava. The results show that the Slovak equity market tends to be isolated from the influence of other three V4 exchanges. This isolation is attributed to its size, limited volume and adoption of the euro in 2009. The study emphasizes the Slovak financial system’s gravitation toward the Eurozone after euro adoption.

Notably, the findings provide important signals for local and international investors as the results cover four significant international shocks. The global meltdown of 2008/09, the Greek debt crisis of 2010/11, the COVID-19 pandemic and the Russia-Ukraine war.

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Spillover effects and transmission of shocks in Visegrad equity markets10.1108/SEF-07-2023-0395Studies in Economics and Finance2023-12-14© 2023 Emerald Publishing LimitedFlorin AliuVincenzo AseroAlban AsllaniJiří KučeraStudies in Economics and Financeahead-of-printahead-of-print2023-12-1410.1108/SEF-07-2023-0395https://www.emerald.com/insight/content/doi/10.1108/SEF-07-2023-0395/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Emerald Publishing Limited
How does fear spread across asset classes? Evidence from quantile connectednesshttps://www.emerald.com/insight/content/doi/10.1108/SEF-07-2023-0408/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis study aims to investigate the connectivity among four principal implied volatility (“fear”) markets in the USA. The empirical analysis relies on daily data (“fear gauge indices”) for the period 2017–2023 and the quantile vector autoregressive (QVAR) approach that allows connectivity (that is, the network topology of interrelated markets) to be quantile-dependent and time-varying. Extreme increases in fear are transmitted with higher intensity relative to extreme decreases in it. The implied volatility markets for gold and for stocks are the main risk connectors in the network and also net transmitters of shocks to the implied volatility markets for crude oil and for the euro-dollar exchange rate. Major events such as the COVID-19 pandemic and the war in Ukraine increase connectivity; this increase, however, is likely to be more pronounced at the median than the extremes of the joint distribution of the four fear indices. This is the first work that uses the QVAR approach to implied volatility markets. The empirical results provide useful insights into how fear spreads across stock and commodities markets, something that is important for risk management, option pricing and forecasting.How does fear spread across asset classes? Evidence from quantile connectedness
Panos Fousekis
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

This study aims to investigate the connectivity among four principal implied volatility (“fear”) markets in the USA.

The empirical analysis relies on daily data (“fear gauge indices”) for the period 2017–2023 and the quantile vector autoregressive (QVAR) approach that allows connectivity (that is, the network topology of interrelated markets) to be quantile-dependent and time-varying.

Extreme increases in fear are transmitted with higher intensity relative to extreme decreases in it. The implied volatility markets for gold and for stocks are the main risk connectors in the network and also net transmitters of shocks to the implied volatility markets for crude oil and for the euro-dollar exchange rate. Major events such as the COVID-19 pandemic and the war in Ukraine increase connectivity; this increase, however, is likely to be more pronounced at the median than the extremes of the joint distribution of the four fear indices.

This is the first work that uses the QVAR approach to implied volatility markets. The empirical results provide useful insights into how fear spreads across stock and commodities markets, something that is important for risk management, option pricing and forecasting.

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How does fear spread across asset classes? Evidence from quantile connectedness10.1108/SEF-07-2023-0408Studies in Economics and Finance2023-09-15© 2023 Emerald Publishing LimitedPanos FousekisStudies in Economics and Financeahead-of-printahead-of-print2023-09-1510.1108/SEF-07-2023-0408https://www.emerald.com/insight/content/doi/10.1108/SEF-07-2023-0408/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Emerald Publishing Limited
Can mutual fund characteristics predict future performance? Evidence from Portugalhttps://www.emerald.com/insight/content/doi/10.1108/SEF-07-2023-0441/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis paper aims to investigate not only the performance of Portuguese mutual funds investing in domestic and international equities but also which fund characteristics, such as age, size, family size, expense ratios and flows, influence future performance. Fund performance is evaluated over the 2005–2022 period by a robust six-factor model, while the impact of fund characteristics on performance is assessed by a set of fixed-effects panel data regressions with two-way cluster-robust standard errors. The results show that, while funds investing in domestic equities predominantly exhibit neutral performance, most international equity funds have significantly negative alphas. The authors document a negative and statistically significant relationship between fund age and performance for all fund categories. Total expense ratios have an inverse relationship with domestic equity fund performance but do not impact the performance of international equity funds significantly. Though fund flows have a neutral effect on performance across the overall period, they are important determinants of both domestic and international funds’ performance in more recent years. The authors contribute to the literature by carrying out a comprehensive analysis, based on recent and robust methodologies, of the impact of mutual fund characteristics on the future performance of Portuguese equity funds. The research findings serve as a premise for advising investors on how to choose the top-performing funds.Can mutual fund characteristics predict future performance? Evidence from Portugal
Maria Inês Sá, Paulo Leite, Maria Carmo Correia
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

This paper aims to investigate not only the performance of Portuguese mutual funds investing in domestic and international equities but also which fund characteristics, such as age, size, family size, expense ratios and flows, influence future performance.

Fund performance is evaluated over the 2005–2022 period by a robust six-factor model, while the impact of fund characteristics on performance is assessed by a set of fixed-effects panel data regressions with two-way cluster-robust standard errors.

The results show that, while funds investing in domestic equities predominantly exhibit neutral performance, most international equity funds have significantly negative alphas. The authors document a negative and statistically significant relationship between fund age and performance for all fund categories. Total expense ratios have an inverse relationship with domestic equity fund performance but do not impact the performance of international equity funds significantly. Though fund flows have a neutral effect on performance across the overall period, they are important determinants of both domestic and international funds’ performance in more recent years.

The authors contribute to the literature by carrying out a comprehensive analysis, based on recent and robust methodologies, of the impact of mutual fund characteristics on the future performance of Portuguese equity funds. The research findings serve as a premise for advising investors on how to choose the top-performing funds.

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Can mutual fund characteristics predict future performance? Evidence from Portugal10.1108/SEF-07-2023-0441Studies in Economics and Finance2024-03-21© 2024 Emerald Publishing LimitedMaria Inês SáPaulo LeiteMaria Carmo CorreiaStudies in Economics and Financeahead-of-printahead-of-print2024-03-2110.1108/SEF-07-2023-0441https://www.emerald.com/insight/content/doi/10.1108/SEF-07-2023-0441/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2024 Emerald Publishing Limited
Measuring the degree of connection between currency futures: Empirical dive into higher momentshttps://www.emerald.com/insight/content/doi/10.1108/SEF-08-2022-0408/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThe purpose of this study is to unfold the existing information channel in the higher moments of currency futures for different time horizons. The authors use a quasi-Bayesian local likelihood approach within a time-varying parameter vector autoregression (TVP-VAR) framework and a dynamic connectedness measure to study the volatility, skewness and kurtosis of most traded currency futures. The authors’ results suggest a time-varying presence of dynamic connectedness within higher moments of currency futures. Most spillovers pertain to shorter time horizons. The authors find that in net terms, CHF, EUR and JPY are the most important contributors to the system, while the authors emphasize that the role of being a transmitter or a receiver varies for pairwise interactions and time windows. To the best of the authors’ knowledge, this is the first study that looks upon the connectivity vis-á-vis uncertainty, asymmetry and fat tails in currency futures within a dynamic Bayesian paradigm. The authors extend the current literature by proposing new insights into asset distributions.Measuring the degree of connection between currency futures: Empirical dive into higher moments
Murat Donduran, Muhammad Ali Faisal
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

The purpose of this study is to unfold the existing information channel in the higher moments of currency futures for different time horizons.

The authors use a quasi-Bayesian local likelihood approach within a time-varying parameter vector autoregression (TVP-VAR) framework and a dynamic connectedness measure to study the volatility, skewness and kurtosis of most traded currency futures.

The authors’ results suggest a time-varying presence of dynamic connectedness within higher moments of currency futures. Most spillovers pertain to shorter time horizons. The authors find that in net terms, CHF, EUR and JPY are the most important contributors to the system, while the authors emphasize that the role of being a transmitter or a receiver varies for pairwise interactions and time windows.

To the best of the authors’ knowledge, this is the first study that looks upon the connectivity vis-á-vis uncertainty, asymmetry and fat tails in currency futures within a dynamic Bayesian paradigm. The authors extend the current literature by proposing new insights into asset distributions.

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Measuring the degree of connection between currency futures: Empirical dive into higher moments10.1108/SEF-08-2022-0408Studies in Economics and Finance2023-12-14© 2023 Emerald Publishing LimitedMurat DonduranMuhammad Ali FaisalStudies in Economics and Financeahead-of-printahead-of-print2023-12-1410.1108/SEF-08-2022-0408https://www.emerald.com/insight/content/doi/10.1108/SEF-08-2022-0408/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Emerald Publishing Limited
American option evaluations using higher momentshttps://www.emerald.com/insight/content/doi/10.1108/SEF-08-2023-0458/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestBy using higher moments, this paper extends the quadratic local risk-minimizing approach in a general discrete incomplete financial market. The local optimization subproblems are convex or nonconvex, depending on the moment variants used in the modeling. Inspired by Lai et al. (2006), the authors propose a new multiobjective approach for the combination of moments that is transformed into a multigoal programming problem. The authors evaluate financial derivatives with American features using local risk-minimizing strategies. The financial structure is in line with Schweizer (1988): the market is discrete, self-financing is not guaranteed, but deviations are controlled and reduced by minimizing the second moment. As for the quadratic approach, the algorithm proceeds backwardly. In the context of evaluating American option, a transposition of this multigoal programming leads not only to nonconvex optimization subproblems but also to the undesirable fact that local zero deviations from self-financing are penalized. The analysis shows that issuers should consider some higher moments when evaluating contingent claims because they help reshape the distribution of global cumulative deviations from self-financing. A detailed numerical analysis that compares all the moments or some combinations of them is performed. The quadratic approach is extended by exploring other higher moments, positive combinations of moments and variants to enforce asymmetry. This study also investigates the impact of two types of exercise decisions and multiple assets.American option evaluations using higher moments
Patrice Gaillardetz, Saeb Hachem
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

By using higher moments, this paper extends the quadratic local risk-minimizing approach in a general discrete incomplete financial market. The local optimization subproblems are convex or nonconvex, depending on the moment variants used in the modeling. Inspired by Lai et al. (2006), the authors propose a new multiobjective approach for the combination of moments that is transformed into a multigoal programming problem.

The authors evaluate financial derivatives with American features using local risk-minimizing strategies. The financial structure is in line with Schweizer (1988): the market is discrete, self-financing is not guaranteed, but deviations are controlled and reduced by minimizing the second moment. As for the quadratic approach, the algorithm proceeds backwardly.

In the context of evaluating American option, a transposition of this multigoal programming leads not only to nonconvex optimization subproblems but also to the undesirable fact that local zero deviations from self-financing are penalized. The analysis shows that issuers should consider some higher moments when evaluating contingent claims because they help reshape the distribution of global cumulative deviations from self-financing.

A detailed numerical analysis that compares all the moments or some combinations of them is performed.

The quadratic approach is extended by exploring other higher moments, positive combinations of moments and variants to enforce asymmetry. This study also investigates the impact of two types of exercise decisions and multiple assets.

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American option evaluations using higher moments10.1108/SEF-08-2023-0458Studies in Economics and Finance2023-11-21© 2023 Emerald Publishing LimitedPatrice GaillardetzSaeb HachemStudies in Economics and Financeahead-of-printahead-of-print2023-11-2110.1108/SEF-08-2023-0458https://www.emerald.com/insight/content/doi/10.1108/SEF-08-2023-0458/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Emerald Publishing Limited
Does banning cryptocurrencies affect stock markets?https://www.emerald.com/insight/content/doi/10.1108/SEF-08-2023-0506/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis paper aims to investigate the impact of banning cryptocurrencies on stock markets. The paper uses an event study approach and data from stock market indices in nine countries that imposed a ban. It uses the constant mean model and the market model, with two different benchmarks for global returns, to analyze if any of the stock indices show abnormal returns on or around the announcement of a cryptocurrency ban. The analysis shows that banning cryptocurrencies did not affect the returns of stock markets in any of the countries studied, indicating that the cryptocurrency market and stock markets are decoupled from each other, or the ban was not effectively implemented. To the best of the author’s knowledge, this paper is the first to explore the potential spillover effect of a cryptocurrency ban on stock markets. It also bridges two strands of literature: the relationship between cryptocurrencies and traditional assets, and the impact of cryptocurrency regulation on their returns.Does banning cryptocurrencies affect stock markets?
Ahmed W. Elroukh
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

This paper aims to investigate the impact of banning cryptocurrencies on stock markets.

The paper uses an event study approach and data from stock market indices in nine countries that imposed a ban. It uses the constant mean model and the market model, with two different benchmarks for global returns, to analyze if any of the stock indices show abnormal returns on or around the announcement of a cryptocurrency ban.

The analysis shows that banning cryptocurrencies did not affect the returns of stock markets in any of the countries studied, indicating that the cryptocurrency market and stock markets are decoupled from each other, or the ban was not effectively implemented.

To the best of the author’s knowledge, this paper is the first to explore the potential spillover effect of a cryptocurrency ban on stock markets. It also bridges two strands of literature: the relationship between cryptocurrencies and traditional assets, and the impact of cryptocurrency regulation on their returns.

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Does banning cryptocurrencies affect stock markets?10.1108/SEF-08-2023-0506Studies in Economics and Finance2023-11-07© 2023 Emerald Publishing LimitedAhmed W. ElroukhStudies in Economics and Financeahead-of-printahead-of-print2023-11-0710.1108/SEF-08-2023-0506https://www.emerald.com/insight/content/doi/10.1108/SEF-08-2023-0506/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Emerald Publishing Limited
Precious metal prices: a tale of four US recessionshttps://www.emerald.com/insight/content/doi/10.1108/SEF-09-2023-0550/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThe purpose of this paper is to examine the degree of persistence in four precious metal prices (i.e. gold, palladium, platinum and silver) during the last four US recessions. Using daily price data for gold, palladium, platinum and silver running from July 2, 1990, to March 21, 2022, and dating of business cycles in the USA provided by NBER (2022), the paper uses fractional integration to test the degree of persistence of precious metal prices. The empirical analysis shows the unrelenting prominence of gold in relation to other precious metals (palladium, platinum and silver) as a hedge against market uncertainty in the post-pandemic new era. Two are the main contributions of the paper. Firstly, the authors contribute to the commodity markets and finance literature on precious metal price modelling. Secondly, the authors also contribute to the literature on commodity markets and business cycles with a special focus on recessionary periods.Precious metal prices: a tale of four US recessions
Pablo Agnese, Pedro Garcia del Barrio, Luis Alberiko Gil-Alana, Fernando Perez de Gracia
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

The purpose of this paper is to examine the degree of persistence in four precious metal prices (i.e. gold, palladium, platinum and silver) during the last four US recessions.

Using daily price data for gold, palladium, platinum and silver running from July 2, 1990, to March 21, 2022, and dating of business cycles in the USA provided by NBER (2022), the paper uses fractional integration to test the degree of persistence of precious metal prices.

The empirical analysis shows the unrelenting prominence of gold in relation to other precious metals (palladium, platinum and silver) as a hedge against market uncertainty in the post-pandemic new era.

Two are the main contributions of the paper. Firstly, the authors contribute to the commodity markets and finance literature on precious metal price modelling. Secondly, the authors also contribute to the literature on commodity markets and business cycles with a special focus on recessionary periods.

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Precious metal prices: a tale of four US recessions10.1108/SEF-09-2023-0550Studies in Economics and Finance2024-03-21© 2024 Emerald Publishing LimitedPablo AgnesePedro Garcia del BarrioLuis Alberiko Gil-AlanaFernando Perez de GraciaStudies in Economics and Financeahead-of-printahead-of-print2024-03-2110.1108/SEF-09-2023-0550https://www.emerald.com/insight/content/doi/10.1108/SEF-09-2023-0550/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2024 Emerald Publishing Limited
Return and volatility transmission among economic policy uncertainty, geopolitical risk and precious metalshttps://www.emerald.com/insight/content/doi/10.1108/SEF-10-2023-0586/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis paper aims to examine the return and volatility transmission among economic policy uncertainty (EPU), geopolitical risk (GPR), their interaction (EPGR) and five tradable precious metals: gold, silver, platinum, palladium and rhodium. Applying time-varying parameter vector autoregression (TVP-VAR) frequency-based connectedness approach to a data set spanning from January 1997 to February 2023, the study analyzes return and volatility connectedness separately, providing insights into how the data, in return and volatility forms, differ across time and frequency. The results of the return connectedness show that gold, palladium and silver are affected more by EPU in the short term, while all precious metals are influenced by GPR in the short term. EPGR exhibits strong contributions to the system due to its elevated levels of policy uncertainty and extreme global risks. Palladium shows the highest reaction to EPGR, while silver shows the lowest. Return spillovers are generally time-varying and spike during critical global events. The volatility connectedness is long-term driven, suggesting that uncertainty and risk factors influence market participants’ long-term expectations. Notable peaks in total connectedness occurred during the Global Financial Crisis and the COVID-19 pandemic, with the latter being the highest. Using the recently updated news-based uncertainty indicators, the study examines the time and frequency connectedness between key uncertainty measures and precious metals in their returns and volatility forms using the TVP-VAR frequency-based connectedness approach.Return and volatility transmission among economic policy uncertainty, geopolitical risk and precious metals
Opeoluwa Adeniyi Adeosun, Suhaib Anagreh, Mosab I. Tabash, Xuan Vinh Vo
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

This paper aims to examine the return and volatility transmission among economic policy uncertainty (EPU), geopolitical risk (GPR), their interaction (EPGR) and five tradable precious metals: gold, silver, platinum, palladium and rhodium.

Applying time-varying parameter vector autoregression (TVP-VAR) frequency-based connectedness approach to a data set spanning from January 1997 to February 2023, the study analyzes return and volatility connectedness separately, providing insights into how the data, in return and volatility forms, differ across time and frequency.

The results of the return connectedness show that gold, palladium and silver are affected more by EPU in the short term, while all precious metals are influenced by GPR in the short term. EPGR exhibits strong contributions to the system due to its elevated levels of policy uncertainty and extreme global risks. Palladium shows the highest reaction to EPGR, while silver shows the lowest. Return spillovers are generally time-varying and spike during critical global events. The volatility connectedness is long-term driven, suggesting that uncertainty and risk factors influence market participants’ long-term expectations. Notable peaks in total connectedness occurred during the Global Financial Crisis and the COVID-19 pandemic, with the latter being the highest.

Using the recently updated news-based uncertainty indicators, the study examines the time and frequency connectedness between key uncertainty measures and precious metals in their returns and volatility forms using the TVP-VAR frequency-based connectedness approach.

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Return and volatility transmission among economic policy uncertainty, geopolitical risk and precious metals10.1108/SEF-10-2023-0586Studies in Economics and Finance2024-01-26© 2024 Emerald Publishing LimitedOpeoluwa Adeniyi AdeosunSuhaib AnagrehMosab I. TabashXuan Vinh VoStudies in Economics and Financeahead-of-printahead-of-print2024-01-2610.1108/SEF-10-2023-0586https://www.emerald.com/insight/content/doi/10.1108/SEF-10-2023-0586/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2024 Emerald Publishing Limited
The impact of the COVID-19 pandemic on regional inflation in Indonesiahttps://www.emerald.com/insight/content/doi/10.1108/SEF-12-2022-0550/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis paper aims to examine the impact of COVID-19 on inflation in Indonesia. There are two questions in this study: (1) Is there an impact of COVID-19 on inflation in Indonesia? and (2) whether there are differences in the impact of COVID-19 on regional inflation in Indonesia, considering the different intensities associated with COVID-19. The estimation technique showing the impact of the COVID-19 pandemic on inflation uses the difference-in-differences (DID) method described by Pischke (2008). The core idea of the estimation above is continuous DID using panel data. No province was affected by COVID-19 before 2020:Q1. Once COVID-19 hits the economy, the effects vary from one district to the other. The authors find that the severity of the COVID-19 pandemic negatively affects inflation – the more severe the pandemic, the lower the inflation. This finding conforms with several studies suggesting higher demand pressures than supply during the pandemic. Compared with supply-side indicators such as production index, demand-side indicators – such as consumer confidence index and real sales index – fell more sharply. In the Introduction section, the authors have added a discussion that indeed the COVID-19 pandemic affects inflation through both the demand- and supply-side shocks. While factors driving regional differences in inflation rate are important research and policy questions, the analysis of these factors is outside the scope of this study. The study focuses on the COVID-19 impact on inflation and whether the pandemic disproportionately affects some regions than the others. This research is important to provide an understanding of the nature of the pandemic on inflation in the context of the Indonesian economy, which is essential to policy formulation, especially for the Central Bank in carrying out the mandate to maintain rupiah stability. This issue is due to the implications of different policy responses between demand- and supply-side shocks. As a novelty in this study and research gap, the authors use a continuous DID method to account for the varying intensity of COVID-19 across the provinces. In particular, the authors use the number of positive cases of COVID-19 per 1,000 population as opposed to just a binary indicator of before-and-during COVID-19 across provinces.The impact of the COVID-19 pandemic on regional inflation in Indonesia
Iqbal Reza Nugraha, Gumilang Aryo Sahadewo, Sekar Utami Setiastuti
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

This paper aims to examine the impact of COVID-19 on inflation in Indonesia. There are two questions in this study: (1) Is there an impact of COVID-19 on inflation in Indonesia? and (2) whether there are differences in the impact of COVID-19 on regional inflation in Indonesia, considering the different intensities associated with COVID-19.

The estimation technique showing the impact of the COVID-19 pandemic on inflation uses the difference-in-differences (DID) method described by Pischke (2008). The core idea of the estimation above is continuous DID using panel data. No province was affected by COVID-19 before 2020:Q1. Once COVID-19 hits the economy, the effects vary from one district to the other.

The authors find that the severity of the COVID-19 pandemic negatively affects inflation – the more severe the pandemic, the lower the inflation. This finding conforms with several studies suggesting higher demand pressures than supply during the pandemic. Compared with supply-side indicators such as production index, demand-side indicators – such as consumer confidence index and real sales index – fell more sharply.

In the Introduction section, the authors have added a discussion that indeed the COVID-19 pandemic affects inflation through both the demand- and supply-side shocks. While factors driving regional differences in inflation rate are important research and policy questions, the analysis of these factors is outside the scope of this study. The study focuses on the COVID-19 impact on inflation and whether the pandemic disproportionately affects some regions than the others.

This research is important to provide an understanding of the nature of the pandemic on inflation in the context of the Indonesian economy, which is essential to policy formulation, especially for the Central Bank in carrying out the mandate to maintain rupiah stability. This issue is due to the implications of different policy responses between demand- and supply-side shocks.

As a novelty in this study and research gap, the authors use a continuous DID method to account for the varying intensity of COVID-19 across the provinces. In particular, the authors use the number of positive cases of COVID-19 per 1,000 population as opposed to just a binary indicator of before-and-during COVID-19 across provinces.

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The impact of the COVID-19 pandemic on regional inflation in Indonesia10.1108/SEF-12-2022-0550Studies in Economics and Finance2024-01-02© 2023 Emerald Publishing LimitedIqbal Reza NugrahaGumilang Aryo SahadewoSekar Utami SetiastutiStudies in Economics and Financeahead-of-printahead-of-print2024-01-0210.1108/SEF-12-2022-0550https://www.emerald.com/insight/content/doi/10.1108/SEF-12-2022-0550/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Emerald Publishing Limited
Excess cash or excess headache? Demonetisation and bank behaviour in Indiahttps://www.emerald.com/insight/content/doi/10.1108/SEF-12-2022-0552/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestSudden and unannounced policy changes by the government that provide banks with windfall deposits creates a challenge in terms of resource deployment. In the process, there is an impact on their risk and returns. Using data on domestic Indian commercial banks, this study aims to examine the impact of such an announcement – the 2016 demonetisation episode – on bank behaviour. Using data on domestic Indian commercial banks during 2010–2020, the paper investigates the effect of a sudden and unannounced policy change on their risk and returns. Using the demonetisation undertaken in November 2016 as a natural experiment, the paper applies the difference-in-differences methodology to tease out the causal impact. The findings reveal a decline in risk and an increase in returns of state-owned banks, consistent with a flight-to-safety. The response differed in terms of market and accounting measures and across state-owned banks with differing levels of capital and asset quality. Although several aspects of the demonetisation episode have been well analysed, its impact on banks – the main conduits of the exercise – and in particular on their risk and returns, is an unaddressed area of research. Viewed from this standpoint, this is one of the early studies to undertake a comprehensive empirical analysis on this aspect.Excess cash or excess headache? Demonetisation and bank behaviour in India
Saumen Majumdar, Swati Agarwal, Saibal Ghosh
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

Sudden and unannounced policy changes by the government that provide banks with windfall deposits creates a challenge in terms of resource deployment. In the process, there is an impact on their risk and returns. Using data on domestic Indian commercial banks, this study aims to examine the impact of such an announcement – the 2016 demonetisation episode – on bank behaviour.

Using data on domestic Indian commercial banks during 2010–2020, the paper investigates the effect of a sudden and unannounced policy change on their risk and returns. Using the demonetisation undertaken in November 2016 as a natural experiment, the paper applies the difference-in-differences methodology to tease out the causal impact.

The findings reveal a decline in risk and an increase in returns of state-owned banks, consistent with a flight-to-safety. The response differed in terms of market and accounting measures and across state-owned banks with differing levels of capital and asset quality.

Although several aspects of the demonetisation episode have been well analysed, its impact on banks – the main conduits of the exercise – and in particular on their risk and returns, is an unaddressed area of research. Viewed from this standpoint, this is one of the early studies to undertake a comprehensive empirical analysis on this aspect.

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Excess cash or excess headache? Demonetisation and bank behaviour in India10.1108/SEF-12-2022-0552Studies in Economics and Finance2023-08-31© 2023 Emerald Publishing LimitedSaumen MajumdarSwati AgarwalSaibal GhoshStudies in Economics and Financeahead-of-printahead-of-print2023-08-3110.1108/SEF-12-2022-0552https://www.emerald.com/insight/content/doi/10.1108/SEF-12-2022-0552/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Emerald Publishing Limited
COVID-19, stability and regulation: evidence from Indonesian bankshttps://www.emerald.com/insight/content/doi/10.1108/SEF-12-2022-0569/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis study aims to investigate the effect of credit relaxation policy during the COVID-19 pandemic and its efficacy as a countercyclical policy on bank risk and stability. Using a sample of 39 listed Indonesian banks, the authors investigate the effect of credit relaxation policy on banks’ risk and stability. Data were retrieved from Eikon DataStream from monthly financial statements from June 2019 to December 2020. The authors use panel data analysis with a fixed-effect estimator to estimate the model. The authors find that the credit relaxation policy affects banks’ stability. The authors also find no significant relationship between the policy and bank risk measured by non-performing loans. The authors also find that the policy mainly affects small banks and both state-owned and private banks. This research has some policy implications that issuing prompt regulations to respond to urgent situations is needed and is very important to face crisis conditions and reduce the negative impact of such crises.COVID-19, stability and regulation: evidence from Indonesian banks
Putra Pamungkas, Taufiq Arifin, Irwan Trinugroho, Evan Lau, Bruno S. Sergi
Studies in Economics and Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

This study aims to investigate the effect of credit relaxation policy during the COVID-19 pandemic and its efficacy as a countercyclical policy on bank risk and stability.

Using a sample of 39 listed Indonesian banks, the authors investigate the effect of credit relaxation policy on banks’ risk and stability. Data were retrieved from Eikon DataStream from monthly financial statements from June 2019 to December 2020. The authors use panel data analysis with a fixed-effect estimator to estimate the model.

The authors find that the credit relaxation policy affects banks’ stability. The authors also find no significant relationship between the policy and bank risk measured by non-performing loans. The authors also find that the policy mainly affects small banks and both state-owned and private banks.

This research has some policy implications that issuing prompt regulations to respond to urgent situations is needed and is very important to face crisis conditions and reduce the negative impact of such crises.

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COVID-19, stability and regulation: evidence from Indonesian banks10.1108/SEF-12-2022-0569Studies in Economics and Finance2023-07-10© 2023 Emerald Publishing LimitedPutra PamungkasTaufiq ArifinIrwan TrinugrohoEvan LauBruno S. SergiStudies in Economics and Financeahead-of-printahead-of-print2023-07-1010.1108/SEF-12-2022-0569https://www.emerald.com/insight/content/doi/10.1108/SEF-12-2022-0569/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Emerald Publishing Limited