Journal of Risk FinanceTable of Contents for Journal of Risk Finance. List of articles from the current issue, including Just Accepted (EarlyCite)https://www.emerald.com/insight/publication/issn/1526-5943/vol/25/iss/2?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestJournal of Risk FinanceEmerald Publishing LimitedJournal of Risk FinanceJournal of Risk Financehttps://www.emerald.com/insight/proxy/containerImg?link=/resource/publication/journal/4dcf7a6923a36e837854f6988b80d8fb/urn:emeraldgroup.com:asset:id:binary:jrf.cover.jpghttps://www.emerald.com/insight/publication/issn/1526-5943/vol/25/iss/2?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestExamining the white and dark sides of digitalisation effects on corruption: unveiling research patterns and insights for future researchhttps://www.emerald.com/insight/content/doi/10.1108/JRF-10-2023-0256/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis study aims to review the current literature on the positive and negative effects of digitalisation in preventing corruption. It analyses existing research patterns and provides recommendations for future studies. This paper employed bibliometric analysis and systematic review to scrutinise 190 papers from the Web of Science database from 2000 to 2023. Biblioshiny on R Studio was used for advanced bibliometric analysis to determine publication dynamics, influential journals, publications and impactful authors and a three-field plot to analyse relationships among countries, keywords and journals. This study provides a bibliometric analysis of the past and actual developments in the field related to the effects of digitalisation on corruption. Based on the systematic literature review on a sample of the 50 most influential articles, this study identified background theories employed, the primary research methodologies adopted and valuable insights into both the positive and negative aspects of the impact of digitalisation on corruption. This study provides an extended overview of the effects of digitalisation on corruption and advances new avenues for further research related to this field. The white and dark sides of the effects of digitalisation on corruption are highlighted. Furthermore, the study identifies the need for further research in this field to gain a more in-depth understanding of the nexus between digitalisation and corruption.Examining the white and dark sides of digitalisation effects on corruption: unveiling research patterns and insights for future research
Cristina Boța-Avram
Journal of Risk Finance, Vol. 25, No. 2, pp.181-223

This study aims to review the current literature on the positive and negative effects of digitalisation in preventing corruption. It analyses existing research patterns and provides recommendations for future studies.

This paper employed bibliometric analysis and systematic review to scrutinise 190 papers from the Web of Science database from 2000 to 2023. Biblioshiny on R Studio was used for advanced bibliometric analysis to determine publication dynamics, influential journals, publications and impactful authors and a three-field plot to analyse relationships among countries, keywords and journals.

This study provides a bibliometric analysis of the past and actual developments in the field related to the effects of digitalisation on corruption. Based on the systematic literature review on a sample of the 50 most influential articles, this study identified background theories employed, the primary research methodologies adopted and valuable insights into both the positive and negative aspects of the impact of digitalisation on corruption.

This study provides an extended overview of the effects of digitalisation on corruption and advances new avenues for further research related to this field. The white and dark sides of the effects of digitalisation on corruption are highlighted. Furthermore, the study identifies the need for further research in this field to gain a more in-depth understanding of the nexus between digitalisation and corruption.

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Examining the white and dark sides of digitalisation effects on corruption: unveiling research patterns and insights for future research10.1108/JRF-10-2023-0256Journal of Risk Finance2024-01-04© 2023 Emerald Publishing LimitedCristina Boța-AvramJournal of Risk Finance2522024-01-0410.1108/JRF-10-2023-0256https://www.emerald.com/insight/content/doi/10.1108/JRF-10-2023-0256/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2023 Emerald Publishing Limited
Cyber insurance risk analysis framework considerationshttps://www.emerald.com/insight/content/doi/10.1108/JRF-10-2023-0245/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestIn recent years, the frequency and severity of cybersecurity incidents have prompted customers to seek out specialized insurance products. However, this has also presented insurers with operational challenges and increased costs. The assessment of risks for health systems and cyber–physical systems (CPS) necessitates a heightened degree of attention. The significant values of potential damages and claims request a solid insurance system, part of cyber-resilience. This research paper focuses on the emerging cyber insurance market that is currently in the process of standardizing and improving its risk analysis concerning the potential insured entity. The authors' approach involves a quantitative analysis utilizing a Likert-style questionnaire designed to survey cyber insurance professionals. The authors' aim is to identify the current methods used in gathering information from potential clients, as well as the manner in which this information is analyzed by the insurers. Additionally, the authors gather insights on potential improvements that could be made to this process. The study the authors elaborated it has a particularly important cyber and risk components for insurance area, because it addresses a “niche” area not yet proper addressed in specialized literature – cyber insurance. Cyber risk management approaches are not uniform at the international level, nor at the insurer level. Also, not all insurers can perform solid assessments, especially since their companies should first prove that they are fully compliant with international cyber security standards. This research has concentrated on analyzing the current practices in terms of gathering information about the insured entity before issuing the cyber insurance policy, level of details concerning the cyber security posture of the insured entity and way such information should be analyzed in a standardized and useful manner. The novelty of this research resides in the analysis performed as detailed above and the proposals in terms of information gathered, depth of analysis and standardization of approach made. Future work on the topic can focus on the standardization process for analyzing cyber risk for insurance clients, to improve the proposal based also on historical elements and trends in the market. Thus, future research can further refine the standardization process to analyze in more depth the way this can be implemented and included in relevant legislation at the EU level. Proposed improvements include proposals in terms of the level of detail and the usefulness of an independent centralized approach for information gathering and analysis, especially given the re-insurance and brokerage activities. The authors also propose a common practical procedural approach in risk management, with the involvement of insurance companies and certification institutions of cyber security auditors. The study investigates the information gathered by insurers from potential clients of cyber insurance and the way this is analyzed and updated for issuance of the insurance policy.Cyber insurance risk analysis framework considerations
Călin Mihail Rangu, Leonardo Badea, Mircea Constantin Scheau, Larisa Găbudeanu, Iulian Panait, Valentin Radu
Journal of Risk Finance, Vol. 25, No. 2, pp.224-252

In recent years, the frequency and severity of cybersecurity incidents have prompted customers to seek out specialized insurance products. However, this has also presented insurers with operational challenges and increased costs. The assessment of risks for health systems and cyber–physical systems (CPS) necessitates a heightened degree of attention. The significant values of potential damages and claims request a solid insurance system, part of cyber-resilience. This research paper focuses on the emerging cyber insurance market that is currently in the process of standardizing and improving its risk analysis concerning the potential insured entity.

The authors' approach involves a quantitative analysis utilizing a Likert-style questionnaire designed to survey cyber insurance professionals. The authors' aim is to identify the current methods used in gathering information from potential clients, as well as the manner in which this information is analyzed by the insurers. Additionally, the authors gather insights on potential improvements that could be made to this process.

The study the authors elaborated it has a particularly important cyber and risk components for insurance area, because it addresses a “niche” area not yet proper addressed in specialized literature – cyber insurance. Cyber risk management approaches are not uniform at the international level, nor at the insurer level. Also, not all insurers can perform solid assessments, especially since their companies should first prove that they are fully compliant with international cyber security standards.

This research has concentrated on analyzing the current practices in terms of gathering information about the insured entity before issuing the cyber insurance policy, level of details concerning the cyber security posture of the insured entity and way such information should be analyzed in a standardized and useful manner. The novelty of this research resides in the analysis performed as detailed above and the proposals in terms of information gathered, depth of analysis and standardization of approach made. Future work on the topic can focus on the standardization process for analyzing cyber risk for insurance clients, to improve the proposal based also on historical elements and trends in the market. Thus, future research can further refine the standardization process to analyze in more depth the way this can be implemented and included in relevant legislation at the EU level.

Proposed improvements include proposals in terms of the level of detail and the usefulness of an independent centralized approach for information gathering and analysis, especially given the re-insurance and brokerage activities. The authors also propose a common practical procedural approach in risk management, with the involvement of insurance companies and certification institutions of cyber security auditors.

The study investigates the information gathered by insurers from potential clients of cyber insurance and the way this is analyzed and updated for issuance of the insurance policy.

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Cyber insurance risk analysis framework considerations10.1108/JRF-10-2023-0245Journal of Risk Finance2024-01-16© 2024 Emerald Publishing LimitedCălin Mihail RanguLeonardo BadeaMircea Constantin ScheauLarisa GăbudeanuIulian PanaitValentin RaduJournal of Risk Finance2522024-01-1610.1108/JRF-10-2023-0245https://www.emerald.com/insight/content/doi/10.1108/JRF-10-2023-0245/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2024 Emerald Publishing Limited
Exploring the uncharted territories: a structured literature review on cryptocurrency accounting and auditinghttps://www.emerald.com/insight/content/doi/10.1108/JRF-10-2023-0258/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThe objective of this study is to systematically review the current body of literature in order to gain insights into the progress of research in accounting and auditing of cryptocurrencies, while also highlighting the associated risks and identifying gaps for future exploration. To achieve this, a structured literature review was carried out, presenting a thorough and critical assessment of the available studies focused on cryptocurrencies within the accounting and auditing domain. The analysis reveals that the majority of the research has concentrated on the reporting and measurement aspects of cryptocurrencies, neglecting the auditing aspect. Regarding the methodology, future investigations should incorporate both theoretical and empirical manners to address this gap. Various spheres require further exploration, as they have the potential to significantly impact practitioners and academics. The significance of this paper lies in its comprehensive examination of the existing literature, synthesizing and organizing information pertaining to accounting and auditing considerations of crypto transactions. Moreover, it provides valuable insights into best practices and prompts identifying avenues for further research in this field.Exploring the uncharted territories: a structured literature review on cryptocurrency accounting and auditing
Adriana Tiron-Tudor, Stefania Mierlita, Francesca Manes Rossi
Journal of Risk Finance, Vol. 25, No. 2, pp.253-276

The objective of this study is to systematically review the current body of literature in order to gain insights into the progress of research in accounting and auditing of cryptocurrencies, while also highlighting the associated risks and identifying gaps for future exploration.

To achieve this, a structured literature review was carried out, presenting a thorough and critical assessment of the available studies focused on cryptocurrencies within the accounting and auditing domain.

The analysis reveals that the majority of the research has concentrated on the reporting and measurement aspects of cryptocurrencies, neglecting the auditing aspect. Regarding the methodology, future investigations should incorporate both theoretical and empirical manners to address this gap. Various spheres require further exploration, as they have the potential to significantly impact practitioners and academics.

The significance of this paper lies in its comprehensive examination of the existing literature, synthesizing and organizing information pertaining to accounting and auditing considerations of crypto transactions. Moreover, it provides valuable insights into best practices and prompts identifying avenues for further research in this field.

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Exploring the uncharted territories: a structured literature review on cryptocurrency accounting and auditing10.1108/JRF-10-2023-0258Journal of Risk Finance2024-02-02© 2024 Emerald Publishing LimitedAdriana Tiron-TudorStefania MierlitaFrancesca Manes RossiJournal of Risk Finance2522024-02-0210.1108/JRF-10-2023-0258https://www.emerald.com/insight/content/doi/10.1108/JRF-10-2023-0258/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2024 Emerald Publishing Limited
The determinants of compliance VAT gaphttps://www.emerald.com/insight/content/doi/10.1108/JRF-10-2023-0255/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis paper aims to analyze the potential variables explaining the compliance value added tax (VAT) gap, which basically represents an estimate of the unpaid VAT in the economy. A major component of compliance VAT Gap is represented by tax fraud; there exist other causes too, like insolvencies, bankruptcies, optimizations practices and maladministration. The objective of our paper is to revisit the main determinants of the VAT compliance gap for the European Union (EU)-27 member states. Using econometric modeling, our study identifies the relationship between the VAT gap and various determinants of it. Our work focuses on the shadow economy, final consumption, VAT revenues, standard VAT rates, differences between the standard and reduced rates, economic prosperity, press freedom, political stability and others, as determinants of European VAT compliance gaps, for the 2005–2020 time interval. The methods include panel data analysis through simple and multiple regression modeling, the combinatorial approach, fixed and random effects. Our study validates the direct impact of shadow economy and the indirect impact of VAT revenues, economic prosperity and press freedom, upon VAT compliance gaps. Upon subsampling of EU member states within old and new ones, our results estimate a larger positive impact of shadow economy upon old member states, compared to new ones. The policy implications include leverage effects of governments acting upon a reduction in shadow economy phenomena and boosts of economic development, political stability and press freedom, in order to attain the contraction of compliance VAT gaps. Our paper sheds light in a poorly explored scientific area, that of the determinants of VAT gap, especially in relationship with financial and economic crime phenomena.The determinants of compliance VAT gap
Ionuţ Constantin Cuceu, Decebal Remus Florescu, Viorela Ligia Văidean
Journal of Risk Finance, Vol. 25, No. 2, pp.277-292

This paper aims to analyze the potential variables explaining the compliance value added tax (VAT) gap, which basically represents an estimate of the unpaid VAT in the economy. A major component of compliance VAT Gap is represented by tax fraud; there exist other causes too, like insolvencies, bankruptcies, optimizations practices and maladministration. The objective of our paper is to revisit the main determinants of the VAT compliance gap for the European Union (EU)-27 member states. Using econometric modeling, our study identifies the relationship between the VAT gap and various determinants of it.

Our work focuses on the shadow economy, final consumption, VAT revenues, standard VAT rates, differences between the standard and reduced rates, economic prosperity, press freedom, political stability and others, as determinants of European VAT compliance gaps, for the 2005–2020 time interval. The methods include panel data analysis through simple and multiple regression modeling, the combinatorial approach, fixed and random effects.

Our study validates the direct impact of shadow economy and the indirect impact of VAT revenues, economic prosperity and press freedom, upon VAT compliance gaps. Upon subsampling of EU member states within old and new ones, our results estimate a larger positive impact of shadow economy upon old member states, compared to new ones.

The policy implications include leverage effects of governments acting upon a reduction in shadow economy phenomena and boosts of economic development, political stability and press freedom, in order to attain the contraction of compliance VAT gaps.

Our paper sheds light in a poorly explored scientific area, that of the determinants of VAT gap, especially in relationship with financial and economic crime phenomena.

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The determinants of compliance VAT gap10.1108/JRF-10-2023-0255Journal of Risk Finance2024-02-13© 2024 Emerald Publishing LimitedIonuţ Constantin CuceuDecebal Remus FlorescuViorela Ligia VăideanJournal of Risk Finance2522024-02-1310.1108/JRF-10-2023-0255https://www.emerald.com/insight/content/doi/10.1108/JRF-10-2023-0255/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2024 Emerald Publishing Limited
The impact of climate change news on the US stock markethttps://www.emerald.com/insight/content/doi/10.1108/JRF-06-2023-0133/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis paper aims to investigate the impact of climate change news on the dynamics of US stock indices. The empirical basis of the study was 3,209 news articles. Sentiment analysis was performed by a pre-trained bidirectional FinBERT neural network. Thematic modeling is based on the neural network, BERTopic. The results show that news sentiment can influence the dynamics of stock indices. In addition, five main news topics (finance and politics natural disasters and consequences industrial sector and Innovations activism and culture coronavirus pandemic) were identified, which showed a significant impact on the financial market. First, we extend the theoretical concepts. This study applies signaling theory and overreaction theory to the US stock market in the context of climate change. Second, in addition to the news sentiment, the impact of major news topics on US stock market returns is examined. Third, we examine the impact of sentimental and thematic news variables on US stock market indicators of economic sectors. Previous works reveal the impact of climate change news on specific sectors of the economy. This paper includes stock indices of the economic sectors most related to the topic of climate change. Fourth, the research methodology consists of modern algorithms. An advanced textual analysis method for sentiment classification is applied: a pre-trained bidirectional FinBERT neural network. Modern thematic modeling is carried out using a model based on the neural network, BERTopic. The most extensive topics are “finance and politics of climate change” and “natural disasters and consequences.”The impact of climate change news on the US stock market
Elena Fedorova, Polina Iasakova
Journal of Risk Finance, Vol. 25, No. 2, pp.293-320

This paper aims to investigate the impact of climate change news on the dynamics of US stock indices.

The empirical basis of the study was 3,209 news articles. Sentiment analysis was performed by a pre-trained bidirectional FinBERT neural network. Thematic modeling is based on the neural network, BERTopic.

The results show that news sentiment can influence the dynamics of stock indices. In addition, five main news topics (finance and politics natural disasters and consequences industrial sector and Innovations activism and culture coronavirus pandemic) were identified, which showed a significant impact on the financial market.

First, we extend the theoretical concepts. This study applies signaling theory and overreaction theory to the US stock market in the context of climate change. Second, in addition to the news sentiment, the impact of major news topics on US stock market returns is examined. Third, we examine the impact of sentimental and thematic news variables on US stock market indicators of economic sectors. Previous works reveal the impact of climate change news on specific sectors of the economy. This paper includes stock indices of the economic sectors most related to the topic of climate change. Fourth, the research methodology consists of modern algorithms. An advanced textual analysis method for sentiment classification is applied: a pre-trained bidirectional FinBERT neural network. Modern thematic modeling is carried out using a model based on the neural network, BERTopic. The most extensive topics are “finance and politics of climate change” and “natural disasters and consequences.”

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The impact of climate change news on the US stock market10.1108/JRF-06-2023-0133Journal of Risk Finance2024-02-13© 2024 Emerald Publishing LimitedElena FedorovaPolina IasakovaJournal of Risk Finance2522024-02-1310.1108/JRF-06-2023-0133https://www.emerald.com/insight/content/doi/10.1108/JRF-06-2023-0133/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2024 Emerald Publishing Limited
Time–frequency correlation and risk spillovers between Euramerican mature and Asian emerging crude oil futures marketshttps://www.emerald.com/insight/content/doi/10.1108/JRF-04-2023-0096/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis paper aims to empirically investigate time–frequency linkages between Euramerican mature and Asian emerging crude oil futures markets in terms of correlation and risk spillovers. With daily data, the authors first undertake the MODWT method to decompose yield series into four different timescales, and then use the R-Vine Copula-CoVaR to analyze correlation and risk spillovers between Euramerican mature and Asian emerging crude oil futures markets. The empirical results are as follows: (a) short-term trading is the primary driver of price volatility in crude oil futures markets. (b) The crude oil futures markets exhibit certain regional aggregation characteristics, with the Indian crude oil futures market playing an important role in connecting Euramerican mature and Asian emerging crude oil futures markets. What’s more, Oman crude oil serves as a bridge to link Asian emerging crude oil futures markets. (c) There are significant tail correlations among different futures markets, making them susceptible to “same fall but different rise” scenarios. The volatility behavior of the Indian and Euramerican markets is highly correlated in extreme incidents. (d) Those markets exhibit asymmetric bidirectional risk spillovers. Specifically, the Euramerican mature crude oil futures markets demonstrate significant risk spillovers in the extreme short term, with a relatively larger spillover effect observed on the Indian crude oil futures market. Compared with India and Japan in Asian emerging crude oil futures markets, China's crude oil futures market places more emphasis on changes in market fundamentals and prefers to hold long-term positions rather than short-term technical factors. The MODWT model is utilized to capture the multiscale coordinated motion characteristics of the data in the time–frequency perspective. What’s more, compared to traditional methods, the R-Vine Copula model exhibits greater flexibility and higher measurement accuracy, enabling it to more accurately capture correlation structures among multiple markets. The proposed methodology can provide evidence for whether crude oil futures markets exhibit integration characteristics and can deepen our understanding of connections among crude oil futures prices.Time–frequency correlation and risk spillovers between Euramerican mature and Asian emerging crude oil futures markets
Shuifeng Hong, Yimin Luo, Mengya Li, Duoping Yang
Journal of Risk Finance, Vol. 25, No. 2, pp.321-336

This paper aims to empirically investigate time–frequency linkages between Euramerican mature and Asian emerging crude oil futures markets in terms of correlation and risk spillovers.

With daily data, the authors first undertake the MODWT method to decompose yield series into four different timescales, and then use the R-Vine Copula-CoVaR to analyze correlation and risk spillovers between Euramerican mature and Asian emerging crude oil futures markets.

The empirical results are as follows: (a) short-term trading is the primary driver of price volatility in crude oil futures markets. (b) The crude oil futures markets exhibit certain regional aggregation characteristics, with the Indian crude oil futures market playing an important role in connecting Euramerican mature and Asian emerging crude oil futures markets. What’s more, Oman crude oil serves as a bridge to link Asian emerging crude oil futures markets. (c) There are significant tail correlations among different futures markets, making them susceptible to “same fall but different rise” scenarios. The volatility behavior of the Indian and Euramerican markets is highly correlated in extreme incidents. (d) Those markets exhibit asymmetric bidirectional risk spillovers. Specifically, the Euramerican mature crude oil futures markets demonstrate significant risk spillovers in the extreme short term, with a relatively larger spillover effect observed on the Indian crude oil futures market. Compared with India and Japan in Asian emerging crude oil futures markets, China's crude oil futures market places more emphasis on changes in market fundamentals and prefers to hold long-term positions rather than short-term technical factors.

The MODWT model is utilized to capture the multiscale coordinated motion characteristics of the data in the time–frequency perspective. What’s more, compared to traditional methods, the R-Vine Copula model exhibits greater flexibility and higher measurement accuracy, enabling it to more accurately capture correlation structures among multiple markets. The proposed methodology can provide evidence for whether crude oil futures markets exhibit integration characteristics and can deepen our understanding of connections among crude oil futures prices.

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Time–frequency correlation and risk spillovers between Euramerican mature and Asian emerging crude oil futures markets10.1108/JRF-04-2023-0096Journal of Risk Finance2024-02-21© 2024 Emerald Publishing LimitedShuifeng HongYimin LuoMengya LiDuoping YangJournal of Risk Finance2522024-02-2110.1108/JRF-04-2023-0096https://www.emerald.com/insight/content/doi/10.1108/JRF-04-2023-0096/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2024 Emerald Publishing Limited
Impact of specific liquidity shocks on the bank's solvencyhttps://www.emerald.com/insight/content/doi/10.1108/JRF-05-2023-0124/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis study aims to demonstrate and measure the impact of liquidity shocks on a bank’s solvency, especially when the bank does not hold sufficient liquid assets. The proposed model is an extension of Merton’s (1974) model. It assesses the bank’s probability of default over one or two (short) periods relative to liquidity shocks. The shock scenarios are materialised by different net demands for the withdrawal of funds (NDWF) and may lead the bank to sell illiquid assets at a depreciated value. We consider the possibility of second-round effects at the beginning of the second period by introducing the probability of their occurrence. This probability depends on the proportion of illiquid assets put up for sale following the initial shock in different dependency scenarios. We observe a positive relationship between the initial NDWF and the bank’s probability of default (particularly over the second period, which is conditional on the second-round effects). However, this relationship is not linear, and a significant proportion of liquid assets makes it possible to attenuate or even eliminate the effects of shock scenarios on bank solvency. The proposed model enables banks to determine the necessary level of liquid assets, allowing them to resist (i.e. remain solvent) different liquidity shock scenarios for both periods (including eventual second-round effects) under the assumptions considered. Therefore, it can contribute to complementing or improving current internal liquidity adequacy assessment processes (ILAAPs). The proposed microprudential approach consists of measuring the impact of liquidity risk on a bank’s solvency, complementing the current prudential framework in which these two topics are treated separately. It also complements the existing literature, in which the impact of liquidity risk on solvency risk has not been sufficiently studied. Finally, our model allows banks to manage liquidity using a solvency approach.Impact of specific liquidity shocks on the bank's solvency
Julien Dhima, Catherine Bruneau
Journal of Risk Finance, Vol. 25, No. 2, pp.337-365

This study aims to demonstrate and measure the impact of liquidity shocks on a bank’s solvency, especially when the bank does not hold sufficient liquid assets.

The proposed model is an extension of Merton’s (1974) model. It assesses the bank’s probability of default over one or two (short) periods relative to liquidity shocks. The shock scenarios are materialised by different net demands for the withdrawal of funds (NDWF) and may lead the bank to sell illiquid assets at a depreciated value. We consider the possibility of second-round effects at the beginning of the second period by introducing the probability of their occurrence. This probability depends on the proportion of illiquid assets put up for sale following the initial shock in different dependency scenarios.

We observe a positive relationship between the initial NDWF and the bank’s probability of default (particularly over the second period, which is conditional on the second-round effects). However, this relationship is not linear, and a significant proportion of liquid assets makes it possible to attenuate or even eliminate the effects of shock scenarios on bank solvency.

The proposed model enables banks to determine the necessary level of liquid assets, allowing them to resist (i.e. remain solvent) different liquidity shock scenarios for both periods (including eventual second-round effects) under the assumptions considered. Therefore, it can contribute to complementing or improving current internal liquidity adequacy assessment processes (ILAAPs).

The proposed microprudential approach consists of measuring the impact of liquidity risk on a bank’s solvency, complementing the current prudential framework in which these two topics are treated separately. It also complements the existing literature, in which the impact of liquidity risk on solvency risk has not been sufficiently studied. Finally, our model allows banks to manage liquidity using a solvency approach.

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Impact of specific liquidity shocks on the bank's solvency10.1108/JRF-05-2023-0124Journal of Risk Finance2024-02-27© 2024 Emerald Publishing LimitedJulien DhimaCatherine BruneauJournal of Risk Finance2522024-02-2710.1108/JRF-05-2023-0124https://www.emerald.com/insight/content/doi/10.1108/JRF-05-2023-0124/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2024 Emerald Publishing Limited
Asymmetry risk and herding behavior: a quantile regression study of the Egyptian mutual fundshttps://www.emerald.com/insight/content/doi/10.1108/JRF-10-2023-0252/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis paper deeply investigates the herd behavior of the Egyptian mutual funds under changing and different conditions of the market pre- and post-events and compares the impact of asymmetric risk conditions on the herding behavior of the Egyptian mutual funds in both up and down markets. We test for the existence of herding for the whole period from 2003 to 2022, as well as for the pre-and post-different Egyptian uprising periods. We employ two well-known models, namely the cross-sectional standard deviation (CSSD) and cross-sectional absolute deviation (CSAD) models. Additionally, we use the quantile regression approach. We find that the behavior of mutual funds does not change following the different political and social events. For the whole period, we find evidence of herding behavior using only the model of CSAD in down-market conditions. We generalize our finding to be evidence of the existence herding behavior in different quantiles, under only the down market in specific points’ pre, post or both given events throughout the whole series. Conversely, during the upper market, we show a full absence of herding behavior considering all different quantiles. When the market is down, managers are afraid of the condition of uncertainty, neglecting their own private information, avoid acting independently and consequently, following other mutual funds. When the market is up, managers become rational and act fully independent. Future research should delve deeper into the drivers of herding behavior, assess its longer-term effects, develop risk management strategies and consider regulatory measures to mitigate the potential negative impact on mutual fund performance and investor outcomes. The study reveals that the behavior of mutual funds remains consistent despite various political and social events, suggesting a degree of resilience in their investment strategies. The research uncovers evidence of herding behavior in both high and low quantiles, but exclusively in down markets. In such conditions of market decline, fund managers appear to forsake their private information, exhibiting a tendency to follow the crowd rather than acting independently. The study reveals that the behavior of mutual funds remains consistent despite various political and social events, suggesting a degree of resilience in their investment strategies. The research uncovers evidence of herding behavior in both high and low quantiles, but exclusively in down markets. In such conditions of market decline, fund managers appear to forsake their private information, exhibiting a tendency to follow the crowd rather than acting independently. Future research should delve deeper into the drivers of herding behavior, assess its longer-term effects, develop risk management strategies and consider regulatory measures to mitigate the potential negative impact on mutual fund performance and investor outcomes. The paper investigates the herd behavior of the Egyptian mutual funds under asymmetric risk conditions, the study follows the spectrum of the herding behavior analysis and Egyptian mutual funds, extending the research with imperial analysis of market conditions pre- and post-events including currency floating, COVID-19 and political elections. The study gives substantial recommendations for policymakers and investors in emerging markets mutual funds.Asymmetry risk and herding behavior: a quantile regression study of the Egyptian mutual funds
Noura Metawa, Saad Metawa, Maha Metawea, Ahmed El-Gayar
Journal of Risk Finance, Vol. 25, No. 2, pp.366-381

This paper deeply investigates the herd behavior of the Egyptian mutual funds under changing and different conditions of the market pre- and post-events and compares the impact of asymmetric risk conditions on the herding behavior of the Egyptian mutual funds in both up and down markets.

We test for the existence of herding for the whole period from 2003 to 2022, as well as for the pre-and post-different Egyptian uprising periods. We employ two well-known models, namely the cross-sectional standard deviation (CSSD) and cross-sectional absolute deviation (CSAD) models. Additionally, we use the quantile regression approach.

We find that the behavior of mutual funds does not change following the different political and social events. For the whole period, we find evidence of herding behavior using only the model of CSAD in down-market conditions. We generalize our finding to be evidence of the existence herding behavior in different quantiles, under only the down market in specific points’ pre, post or both given events throughout the whole series. Conversely, during the upper market, we show a full absence of herding behavior considering all different quantiles. When the market is down, managers are afraid of the condition of uncertainty, neglecting their own private information, avoid acting independently and consequently, following other mutual funds. When the market is up, managers become rational and act fully independent.

Future research should delve deeper into the drivers of herding behavior, assess its longer-term effects, develop risk management strategies and consider regulatory measures to mitigate the potential negative impact on mutual fund performance and investor outcomes.

The study reveals that the behavior of mutual funds remains consistent despite various political and social events, suggesting a degree of resilience in their investment strategies. The research uncovers evidence of herding behavior in both high and low quantiles, but exclusively in down markets. In such conditions of market decline, fund managers appear to forsake their private information, exhibiting a tendency to follow the crowd rather than acting independently.

The study reveals that the behavior of mutual funds remains consistent despite various political and social events, suggesting a degree of resilience in their investment strategies. The research uncovers evidence of herding behavior in both high and low quantiles, but exclusively in down markets. In such conditions of market decline, fund managers appear to forsake their private information, exhibiting a tendency to follow the crowd rather than acting independently. Future research should delve deeper into the drivers of herding behavior, assess its longer-term effects, develop risk management strategies and consider regulatory measures to mitigate the potential negative impact on mutual fund performance and investor outcomes.

The paper investigates the herd behavior of the Egyptian mutual funds under asymmetric risk conditions, the study follows the spectrum of the herding behavior analysis and Egyptian mutual funds, extending the research with imperial analysis of market conditions pre- and post-events including currency floating, COVID-19 and political elections. The study gives substantial recommendations for policymakers and investors in emerging markets mutual funds.

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Asymmetry risk and herding behavior: a quantile regression study of the Egyptian mutual funds10.1108/JRF-10-2023-0252Journal of Risk Finance2024-02-16© 2024 Emerald Publishing LimitedNoura MetawaSaad MetawaMaha MetaweaAhmed El-GayarJournal of Risk Finance2522024-02-1610.1108/JRF-10-2023-0252https://www.emerald.com/insight/content/doi/10.1108/JRF-10-2023-0252/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2024 Emerald Publishing Limited
Downside risk in Dow Jones equity markets: hedging and portfolio management during COVID-19 pandemic and the Russia–Ukraine warhttps://www.emerald.com/insight/content/doi/10.1108/JRF-07-2023-0157/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis paper aims to examine the dynamic conditional correlation (DCC) and hedging ratios between Dow Jones markets and oil, gold and bitcoin. Using daily data, including the COVID-19 pandemic and the Russia–Ukraine war. We employ the DCC-generalized autoregressive conditional heteroskedasticity (GARCH) and asymmetric DCC (ADCC)-GARCH models. DCC-GARCH and ADCC-GARCH models. The most of DCCs among market pairs are positive during COVID-19 period, implying the existence of volatility spillovers (Contagion-effects). This implies the lack of additional economic gains of diversification. So, COVID-19 represents a systematic risk that resists diversification. However, during the Russia–Ukraine war the DCCs are negative for most pairs that include Oil and Gold, implying investors may benefit from portfolio-diversification. Our hedging analysis carries significant implications for investors seeking higher returns while hedging their Dow Jones portfolios: keeping their portfolios unhedged is better than hedging them. This is because Islamic stocks have the ability to mitigate risks. Our paper may make a valuable contribution to the existing literature by examining the hedging of financial assets, including both conventional and Islamic assets, during periods of stability and crisis, such as the COVID-19 pandemic and the Russia–Ukraine war.Downside risk in Dow Jones equity markets: hedging and portfolio management during COVID-19 pandemic and the Russia–Ukraine war
Amira Said, Chokri Ouerfelli
Journal of Risk Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

This paper aims to examine the dynamic conditional correlation (DCC) and hedging ratios between Dow Jones markets and oil, gold and bitcoin. Using daily data, including the COVID-19 pandemic and the Russia–Ukraine war. We employ the DCC-generalized autoregressive conditional heteroskedasticity (GARCH) and asymmetric DCC (ADCC)-GARCH models.

DCC-GARCH and ADCC-GARCH models.

The most of DCCs among market pairs are positive during COVID-19 period, implying the existence of volatility spillovers (Contagion-effects). This implies the lack of additional economic gains of diversification. So, COVID-19 represents a systematic risk that resists diversification. However, during the Russia–Ukraine war the DCCs are negative for most pairs that include Oil and Gold, implying investors may benefit from portfolio-diversification. Our hedging analysis carries significant implications for investors seeking higher returns while hedging their Dow Jones portfolios: keeping their portfolios unhedged is better than hedging them. This is because Islamic stocks have the ability to mitigate risks.

Our paper may make a valuable contribution to the existing literature by examining the hedging of financial assets, including both conventional and Islamic assets, during periods of stability and crisis, such as the COVID-19 pandemic and the Russia–Ukraine war.

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Downside risk in Dow Jones equity markets: hedging and portfolio management during COVID-19 pandemic and the Russia–Ukraine war10.1108/JRF-07-2023-0157Journal of Risk Finance2024-03-22© 2024 Emerald Publishing LimitedAmira SaidChokri OuerfelliJournal of Risk Financeahead-of-printahead-of-print2024-03-2210.1108/JRF-07-2023-0157https://www.emerald.com/insight/content/doi/10.1108/JRF-07-2023-0157/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2024 Emerald Publishing Limited
How do gender diversity and CEO profile impact dividend policy in banking? Evidence from Islamic and conventional bankshttps://www.emerald.com/insight/content/doi/10.1108/JRF-09-2023-0217/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis paper aims to examine the determinants of the dividend distribution policy in a banking setting. Using a sample of 48 Islamic banks and 94 conventional banks from 15 Islamic countries over a period spanning from 2012 to 2019, we document the effect of board gender diversity, executive director profile and governance mechanisms on dividend payment decisions. We also analyze the moderating effect of Islamic banks on the relationship between gender diversity and dividend policy. We find new evidence on the role of women directors in determining dividend distribution policy and confirm the risk aversion hypothesis, hence contributing to the ongoing debate on gender diversity literature. Our results show that the moderating role of Islamic banks is effective only for small banks. Our findings have practical implications for shareholders, managers and financial analysts as they suggest rationalizing dividend distribution strategies. Our study contributes to the growing body of knowledge on dividend policy, gender diversity and Islamic banks.How do gender diversity and CEO profile impact dividend policy in banking? Evidence from Islamic and conventional banks
Hicham Sbai, Ines Kahloul, Jocelyn Grira
Journal of Risk Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

This paper aims to examine the determinants of the dividend distribution policy in a banking setting.

Using a sample of 48 Islamic banks and 94 conventional banks from 15 Islamic countries over a period spanning from 2012 to 2019, we document the effect of board gender diversity, executive director profile and governance mechanisms on dividend payment decisions. We also analyze the moderating effect of Islamic banks on the relationship between gender diversity and dividend policy.

We find new evidence on the role of women directors in determining dividend distribution policy and confirm the risk aversion hypothesis, hence contributing to the ongoing debate on gender diversity literature. Our results show that the moderating role of Islamic banks is effective only for small banks.

Our findings have practical implications for shareholders, managers and financial analysts as they suggest rationalizing dividend distribution strategies.

Our study contributes to the growing body of knowledge on dividend policy, gender diversity and Islamic banks.

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How do gender diversity and CEO profile impact dividend policy in banking? Evidence from Islamic and conventional banks10.1108/JRF-09-2023-0217Journal of Risk Finance2024-03-26© 2024 Emerald Publishing LimitedHicham SbaiInes KahloulJocelyn GriraJournal of Risk Financeahead-of-printahead-of-print2024-03-2610.1108/JRF-09-2023-0217https://www.emerald.com/insight/content/doi/10.1108/JRF-09-2023-0217/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2024 Emerald Publishing Limited
Twitter sentiment analysis and bitcoin price forecasting: implications for financial risk managementhttps://www.emerald.com/insight/content/doi/10.1108/JRF-09-2023-0241/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThe present study distinguishes itself by pioneering an innovative framework that integrates key elements of prospect theory and the fundamental principles of electronic word of mouth (EWOM) to forecast Bitcoin/USD price fluctuations using Twitter sentiment analysis. We utilized Twitter data as our primary data source. We meticulously collected a dataset consisting of over 3 million tweets spanning a nine-year period, from 2013 to 2022, covering a total of 3,215 days with an average daily tweet count of 1,000. The tweets were identified by utilizing the “bitcoin” and/or “btc” keywords through the snscrape python library. Diverging from conventional approaches, we introduce four distinct variables, encompassing normalized positive and negative sentiment scores as well as sentiment variance. These refinements markedly enhance sentiment analysis within the sphere of financial risk management. Our findings highlight the substantial impact of negative sentiments in driving Bitcoin price declines, in contrast to the role of positive sentiments in facilitating price upswings. These results underscore the critical importance of continuous, real-time monitoring of negative sentiment shifts within the cryptocurrency market. Our study holds substantial significance for both risk managers and investors, providing a crucial tool for well-informed decision-making in the cryptocurrency market. The implications drawn from our study hold notable relevance for financial risk management. We present an innovative framework combining prospect theory and core principles of EWOM to predict Bitcoin price fluctuations through analysis of Twitter sentiment. Unlike conventional methods, we incorporate distinct positive and negative sentiment scores instead of relying solely on a single compound score. Notably, our pioneering sentiment analysis framework dissects sentiment into separate positive and negative components, advancing our comprehension of market sentiment dynamics. Furthermore, it equips financial institutions and investors with a more detailed and actionable insight into the risks associated not only with Bitcoin but also with other assets influenced by sentiment-driven market dynamics.Twitter sentiment analysis and bitcoin price forecasting: implications for financial risk management
Tauqeer Saleem, Ussama Yaqub, Salma Zaman
Journal of Risk Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

The present study distinguishes itself by pioneering an innovative framework that integrates key elements of prospect theory and the fundamental principles of electronic word of mouth (EWOM) to forecast Bitcoin/USD price fluctuations using Twitter sentiment analysis.

We utilized Twitter data as our primary data source. We meticulously collected a dataset consisting of over 3 million tweets spanning a nine-year period, from 2013 to 2022, covering a total of 3,215 days with an average daily tweet count of 1,000. The tweets were identified by utilizing the “bitcoin” and/or “btc” keywords through the snscrape python library. Diverging from conventional approaches, we introduce four distinct variables, encompassing normalized positive and negative sentiment scores as well as sentiment variance. These refinements markedly enhance sentiment analysis within the sphere of financial risk management.

Our findings highlight the substantial impact of negative sentiments in driving Bitcoin price declines, in contrast to the role of positive sentiments in facilitating price upswings. These results underscore the critical importance of continuous, real-time monitoring of negative sentiment shifts within the cryptocurrency market.

Our study holds substantial significance for both risk managers and investors, providing a crucial tool for well-informed decision-making in the cryptocurrency market. The implications drawn from our study hold notable relevance for financial risk management.

We present an innovative framework combining prospect theory and core principles of EWOM to predict Bitcoin price fluctuations through analysis of Twitter sentiment. Unlike conventional methods, we incorporate distinct positive and negative sentiment scores instead of relying solely on a single compound score. Notably, our pioneering sentiment analysis framework dissects sentiment into separate positive and negative components, advancing our comprehension of market sentiment dynamics. Furthermore, it equips financial institutions and investors with a more detailed and actionable insight into the risks associated not only with Bitcoin but also with other assets influenced by sentiment-driven market dynamics.

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Twitter sentiment analysis and bitcoin price forecasting: implications for financial risk management10.1108/JRF-09-2023-0241Journal of Risk Finance2024-02-19© 2024 Emerald Publishing LimitedTauqeer SaleemUssama YaqubSalma ZamanJournal of Risk Financeahead-of-printahead-of-print2024-02-1910.1108/JRF-09-2023-0241https://www.emerald.com/insight/content/doi/10.1108/JRF-09-2023-0241/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2024 Emerald Publishing Limited
Political stability and corruption nexus: an international perspective on European and Asian countrieshttps://www.emerald.com/insight/content/doi/10.1108/JRF-10-2023-0261/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestThis paper aims to investigate the impact of political stability on corruption by drawing upon a sample encompassing both developed and developing European and Asian countries. The dataset, sourced from the Refinitiv database, spans from July 2014 to May 2022. Panel data techniques, specifically pooled estimation and dynamic panel data [generalized method of moments (GMM)] are employed. The analysis encompasses both fixed and random effects models to capture country-specific cross-sectional effects. To validate our findings, we perform a robustness test by including in the investigation four control variables, namely poverty, type of governance, economic freedom and inflation. To test heterogeneity, the dataset is further divided into two distinct subsamples based on the countries’ locations. Empirical findings substantiate that political stability (viewed as the risk of government destabilization) has a positive and significant impact on corruption in all analyzed samples of European and Asian countries, though some differences are observed in various subsamples. When we take into account the control variables, these analysis results are robust. This research provided a panel data analysis with GMM, while other empirical methodologies could also be used, like the difference-in-difference approach. However, our results should be validated by extending the time and the sample to a worldwide sample and using alternative measures of corruption and political stability. Moreover, our focus was on a linear and unidirectional relationship between the considered variables, but it would be interesting to test in our further research a non-linear and bidirectional correlation between them. Furthermore, we have introduced in the robustness test only four economic variables, but to consolidate our findings, we plan to include socioeconomic and demographic variables in future studies. These outcomes imply that authorities should be aware of the necessity of implementing anti-corruption policies designed to establish effective agencies and enforcement structures for combating systemic corruption, to improve the political environment and the quality of institutions and to apply coherent economic strategies to accelerate economic growth because higher political stability and sustainable development determine a decrease in levels of corruption. At the microeconomic level, the survival of organizations may be in danger from new types of corruption and money laundering. Therefore, in order to prevent financial harm, the top businesses worldwide should respond to instances of corruption through strengthened supervisory procedures. This calls for the creation of a mechanism inside the code of conduct where correct reporting of suspected situations of corruption would have a prompt procedure to be notified of. To avoid corruption in operational procedures, national plans and policies should be developed by government officials, executives and legislators on a national level, as well as by senior management and the board of directors on an organizational level. This might lower organizations' extra corruption-related expenses, assure economic growth and improve global welfare. A novel feature of our research resides in its broad examination of a sizable sample of European and Asian countries regarding the nexus between corruption and political stability. The paper also investigates a less explored topic in economic literature, namely the impact of political stability on corruption. Furthermore, the study depicts policy recommendations, outlining effective and reasonable measures aimed at improving the political landscape and combating corruption.Political stability and corruption nexus: an international perspective on European and Asian countries
Daniela-Georgeta Beju, Maria-Lenuta Ciupac-Ulici, Vasile Paul Bresfelean
Journal of Risk Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

This paper aims to investigate the impact of political stability on corruption by drawing upon a sample encompassing both developed and developing European and Asian countries.

The dataset, sourced from the Refinitiv database, spans from July 2014 to May 2022. Panel data techniques, specifically pooled estimation and dynamic panel data [generalized method of moments (GMM)] are employed. The analysis encompasses both fixed and random effects models to capture country-specific cross-sectional effects. To validate our findings, we perform a robustness test by including in the investigation four control variables, namely poverty, type of governance, economic freedom and inflation. To test heterogeneity, the dataset is further divided into two distinct subsamples based on the countries’ locations.

Empirical findings substantiate that political stability (viewed as the risk of government destabilization) has a positive and significant impact on corruption in all analyzed samples of European and Asian countries, though some differences are observed in various subsamples. When we take into account the control variables, these analysis results are robust.

This research provided a panel data analysis with GMM, while other empirical methodologies could also be used, like the difference-in-difference approach. However, our results should be validated by extending the time and the sample to a worldwide sample and using alternative measures of corruption and political stability. Moreover, our focus was on a linear and unidirectional relationship between the considered variables, but it would be interesting to test in our further research a non-linear and bidirectional correlation between them. Furthermore, we have introduced in the robustness test only four economic variables, but to consolidate our findings, we plan to include socioeconomic and demographic variables in future studies.

These outcomes imply that authorities should be aware of the necessity of implementing anti-corruption policies designed to establish effective agencies and enforcement structures for combating systemic corruption, to improve the political environment and the quality of institutions and to apply coherent economic strategies to accelerate economic growth because higher political stability and sustainable development determine a decrease in levels of corruption.

At the microeconomic level, the survival of organizations may be in danger from new types of corruption and money laundering. Therefore, in order to prevent financial harm, the top businesses worldwide should respond to instances of corruption through strengthened supervisory procedures. This calls for the creation of a mechanism inside the code of conduct where correct reporting of suspected situations of corruption would have a prompt procedure to be notified of. To avoid corruption in operational procedures, national plans and policies should be developed by government officials, executives and legislators on a national level, as well as by senior management and the board of directors on an organizational level. This might lower organizations' extra corruption-related expenses, assure economic growth and improve global welfare.

A novel feature of our research resides in its broad examination of a sizable sample of European and Asian countries regarding the nexus between corruption and political stability. The paper also investigates a less explored topic in economic literature, namely the impact of political stability on corruption. Furthermore, the study depicts policy recommendations, outlining effective and reasonable measures aimed at improving the political landscape and combating corruption.

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Political stability and corruption nexus: an international perspective on European and Asian countries10.1108/JRF-10-2023-0261Journal of Risk Finance2024-02-27© 2024 Emerald Publishing LimitedDaniela-Georgeta BejuMaria-Lenuta Ciupac-UliciVasile Paul BresfeleanJournal of Risk Financeahead-of-printahead-of-print2024-02-2710.1108/JRF-10-2023-0261https://www.emerald.com/insight/content/doi/10.1108/JRF-10-2023-0261/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2024 Emerald Publishing Limited
Diversity as value driver in Euro Stoxx 50 companieshttps://www.emerald.com/insight/content/doi/10.1108/JRF-12-2023-0310/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatestCorporate diversity encompasses the different talents, knowledge, cultures, experiences and values of its employees. This diversity is reflected in multiple characteristics, such as race, age, gender, social class, religion, sexual orientation, ethnicity, culture and disability. The objective of this study is to identify if diversity is a value driver. We take the diversity score from the Diversity Leaders Index 2023 published by Financial Times (FT) and Statista; this will be our independent variable in linear regression models whose objective variables are relevant fundamental indicators of the Euro Stoxx 50 companies. It is, therefore, a cross-sectional sample with financial data taken as of the current date. We have 37 Euro Stoxx 50 components included in the diversity ranking. The results indicate that diversity is not a value driver for trading volume, for its revenue, or for systematic risk measured by the beta parameter. However, it is observed, in a confidence interval of 90%, that the most diverse companies are larger (according to their market capitalization). In addition, the most diverse companies are more profitable [return on assets (ROA)] and valued by the market [price to earnings ratio (PER)] in a confidence interval of 95%. These results indicate that companies should promote corporate diversity as a management strategy, as it is observed that more diverse companies are more profitable and valued by the market. This study provides a quantitative vision in the context of homogeneous companies such as the Euro Stoxx 50 Index on the aspects in which diversity is a value driver.Diversity as value driver in Euro Stoxx 50 companies
Raul Gomez-Martinez, María Luisa Medrano-Garcia
Journal of Risk Finance, Vol. ahead-of-print, No. ahead-of-print, pp.-

Corporate diversity encompasses the different talents, knowledge, cultures, experiences and values of its employees. This diversity is reflected in multiple characteristics, such as race, age, gender, social class, religion, sexual orientation, ethnicity, culture and disability. The objective of this study is to identify if diversity is a value driver.

We take the diversity score from the Diversity Leaders Index 2023 published by Financial Times (FT) and Statista; this will be our independent variable in linear regression models whose objective variables are relevant fundamental indicators of the Euro Stoxx 50 companies. It is, therefore, a cross-sectional sample with financial data taken as of the current date. We have 37 Euro Stoxx 50 components included in the diversity ranking.

The results indicate that diversity is not a value driver for trading volume, for its revenue, or for systematic risk measured by the beta parameter. However, it is observed, in a confidence interval of 90%, that the most diverse companies are larger (according to their market capitalization). In addition, the most diverse companies are more profitable [return on assets (ROA)] and valued by the market [price to earnings ratio (PER)] in a confidence interval of 95%.

These results indicate that companies should promote corporate diversity as a management strategy, as it is observed that more diverse companies are more profitable and valued by the market. This study provides a quantitative vision in the context of homogeneous companies such as the Euro Stoxx 50 Index on the aspects in which diversity is a value driver.

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Diversity as value driver in Euro Stoxx 50 companies10.1108/JRF-12-2023-0310Journal of Risk Finance2024-03-19© 2024 Emerald Publishing LimitedRaul Gomez-MartinezMaría Luisa Medrano-GarciaJournal of Risk Financeahead-of-printahead-of-print2024-03-1910.1108/JRF-12-2023-0310https://www.emerald.com/insight/content/doi/10.1108/JRF-12-2023-0310/full/html?utm_source=rss&utm_medium=feed&utm_campaign=rss_journalLatest© 2024 Emerald Publishing Limited