ABSTRACT This paper aims to analyze whether the liquidity risk is priced in Latin-American emerging stock markets. For that, we test the performance of the liquidity augmented version of Fama-French three and five factor models and Carhart four factor model since there is not yet a consensus about their suitability for these markets. Two versions of a liquidity factor were constructed based on two

ABSTRACT This paper analyzes the home bias of Korean resident bond investors, as their overseas bond investments have rapidly increased after 2000. For this purpose, we introduce the Won/invested currency swap basis (interest rate differential adjusted FX swap return) and the Won/invested currency uncovered basis (interest rate differential adjusted expected FX spot return) along with the interest

ABSTRACT The paper examines if COVID-19 crisis has brought changes in companies’ approach on corporate reporting, with focus on annual reports. The research method is based on text mining techniques in order to build measures of readability and tone of uncertainty of annual reports, given the information published by the companies listed on four stock exchanges from Europe, namely the Bucharest Stock

ABSTRACT We analyzed the effects of accruals-based earnings management practices and institutional-financial qualities of countries on the financing policy of Latin American companies. We used panel data on a sample of 983 companies between 1995 and 2017. Our results indicate that positive discretionary accruals reduce leverage and increase debt maturity. These findings suggest that accounting manipulation

ABSTRACT We apply novel spatial econometric techniques to investigate spillovers in sovereign risk for 41 advanced and emerging economies during 2004–2019. We find that sovereign risk spillover channels that play major roles in various periods are different. Real linkages (trade, financial, and geography) and information channel both play major roles in spillover effects during the full sample period

ABSTRACT This study investigates the effects of planned and unplanned production suspension on firm value. We find that the increased business risk caused by the production suspension negatively affects firm value. Additionally, good corporate governance alleviates the negative effect of planned suspensions, while only firm-specific factors affect unplanned suspensions. Moreover, among firms facing

ABSTRACT We forecast real stock returns of South Africa over the monthly period of 1915:01 to 2021:03 using real oil, gold and silver prices, based on an autoregressive type distributed lag model that controls for persistence and endogeneity bias. Oil price proxies for fundamentals, while gold and silver prices capture sentiments. We find that the metrics for fundamentals and sentiments both predict

ABSTRACT In order to further alleviate the financing constraints on SMEs and to reduce financing costs incurred following the outbreak of COVID-19, this article introduces an innovative financial arrangement called equity for guarantee swaps (EGS), which are based on widely used credit guarantee schemes (CGS). EGS can reduce information asymmetry and increase credit to SMEs, so that they can obtain

ABSTRACT This paper deciphers the correlation of volatility between Bitcoin, stock and gold, in the context of uncertainty. The wavelet analysis results indicate that the selected assets are primarily positively correlated with each other, specifically in periods when the economic policy uncertainty (EPU) is high. Furthermore, the logit regression confirms that the EPU and categorial EPU indices have

ABSTRACT Facing with the enormous economic loss resulting from the unexpected outburst of the COVID-19 pandemic, central banks around the world began to show a great activeness and implement numerous monetary policies to help mitigate the negative shocks and recover the economy. This paper aims at investigating the impact of the COVID-19 pandemic on the macroeconomy and whether central bank activeness

ABSTRACT According to standard theoretical frameworks such as Real Business Cycle (RBC’s) models or new-Keynesian theories, the real exchange rate should appreciate in response to an increase in government spending. However, the empirical literature finds mixed results. We offer an answer to this puzzle by analyzing the impact of the composition of the fiscal deficit. Using a dynamic stochastic general

ABSTRACT Trade facilitation, by reducing trade costs and raising the efficiency of moving goods across borders, is integral to international trade. Using novel data on bilateral time and cost measures for trade facilitation in the Central Asia Regional Economic Cooperation (CAREC) Program, this study estimates the trade impact of reducing time and costs at border crossing points within CAREC. The gravity

ABSTRACT This study develops a contingent framework to examine the contract issuance of alternative unit-linked insurance plans (ULIPs) considering policy surrender. We show that the extension of the aggressive/conservative-plan policy surrender date enhances policyholder protection and insurer default risk when the two optimal guaranteed rates of the programs remain fixed. Increasing aggressive-plan

ABSTRACT Zombie firms have strong negative effects on society. This paper empirically investigates the effects of zombie firms on the financial information transparency of normal firms and finds that zombie firms significantly reduce the financial information transparency of these normal firms, thus also reducing their performance. Further analysis reveals that zombie firms have more obvious negative

ABSTRACT In this study, we investigate the degree to which inflation-rate movements for countries in the East African Community (EAC) have become more similar, which is an important issue for the EAC’s goal of creating a common currency. For the five EAC countries (excluding South Sudan), we find that comovements in inflation rates generally became more similar between 1995 and 2018. A decrease in

ABSTRACT Although managerial ability is important for credit risk assessment, it is unclear whether local credit rating agencies consider it an independent risk factor. We examine how Korean agencies evaluate the impact of managerial ability on bond rating depending on controlling shareholders’ ownership structure. We identify controlling shareholders using family-owned businesses (chaebols). The results

ABSTRACT We examine the relationship between oil prices, foreign exchange (FX) swaps and local interbank offered rates in the six Gulf Cooperation Council (GCC) countries. We also investigate the potential hedging and diversification benefits from adding oil positions to portfolios containing GCC FX swaps or interest rate positions. Our findings confirm that oil predicts, and in some cases causes,

ABSTRACT This paper develops a contingent claim model of a risk-averse life insurer’s equity with various borrowing-firm credit risk features. The insurer’s lending function with various financial technology involvements creates the need to model equity as a capped/naked call option in insurer-borrowing firms. As a result, the insurer benefits from the capped-risk lending strategy yielding a higher

ABSTRACT This paper uses the exogenous shock- Thailand military coup on May 22, 2014-as a natural experiment to test the impact of military political connections on the value of Thai’s listed firms. Results show that the military coup will bring significant benefits to the share price of listed firms with military political connections. Moreover, the DID estimations show that the military rule can

ABSTRACT This paper examines how firms change debt financing channels in line with the development of financial markets. In this aim, a data set of Japanese listed firms from 1965 (with more than 10% of annual GDP growth) to 2015 (almost 0% GDP growth) is used. We find a long-term change in the debt mix from internal debt financing (e.g., trade credits) to external debt financing (e.g., public bonds)

ABSTRACT This study investigates the relationship between earnings management (EM) and capitalization of research and development (R&D) expenditure from the perspective of major shareholders expropriation, using Modified Jones Model and Bidirectional Fixed Effect Model for the period 2009–2018. And the study further discusses the moderating effect of ownership concentration on the relationship between

ABSTRACT In this paper, a monthly economic activity indicator is constructed for the Turkish economy for the period of 1988–2020. A dynamic factor modeling framework is utilized in the process. The variables are first categorized into five types as activity (hard data), activity (survey-based data or soft data), trade, employment, and financial variables. After determining the candidate variables for

ABSTRACT We empirically examine the impact of economic growth on air pollution and the regulating effect of urban governance. The results show that there is an inverse “U” relationship between economic growth (GDP) and regional sulfur dioxide(SO2) emissions, and urban governance have a weak regulating effect. Further research has found that extensive growth at the expense of the environment can cause

ABSTRACT This research empirically analyzes the impact of foreign exchange futures volatility on macroeconomic variables by using data of ten trading markets from 2011 to 2020.1 Our findings illustrate that the volatility of foreign exchange futures significantly affects various macroeconomic indicators. In particular, as the volatility of foreign exchange futures increases, it reduces government budget

ABSTRACT This study uses the social network analysis to construct the value-added trade networks of 42 countries from 2008 to 2014 and studies the impact of trade facilitation on the value-added trade networks from different perspectives. At the macro level, trade facilitation contributes to the increase of the density of value-added trade networks. At the micro level, trade facilitation of a country

ABSTRACT This paper examines the impacts of economic policy uncertainty (EPU) on the trade flow of 143 countries, considering the EPU of exporter and importer countries and the income heterogeneity of the sample countries for over 2000–2019. Besides, it considered the mediating role of regional trade agreements (RTAs) in the EPU-trade nexus. Our results of the two-step Heckman sample selection model

ABSTRACT We examine the impact of the COVID-19 pandemic on seven emerging stock markets by focusing on the value effect. Our results show that there are significant differences in the value premia before and during the pandemic. Furthermore, the traditional value proxies are no longer good predictors of future stock returns. To further capture the impact the pandemic’s progress on stock returns, we

ABSTRACT This study analyses the market response of listed companies’ Targeted poverty alleviation information disclosure on the basis of equity financing cost. Results show investors’ positive feedback to such disclosure and reduced equity financing cost. Moreover, mediation effect tests show that the decrease of information asymmetry between investors and companies plays a part of the mediating role

ABSTRACT Debts have risen rapidly since the global financial crisis. While the literature acknowledges that rapid debt buildups can harm the economy and exacerbate recessions, their impact on currency vulnerability is still empirically under-investigated. This study examines how public and private debt buildups are related to currency depreciation pressure by analyzing the evidence from 59 advanced

ABSTRACT We investigate how political unrest affects asset prices in the context of the Arab Spring. Abnormal returns in the major stock-market indices of Arab Spring countries average −1.1% on key days of Arab Spring and abnormal changes in credit default spreads average 1.4%. There is significant reaction to region wide as well as local protests indicating a spillover with protests in neighboring

ABSTRACT The study investigates the short-run and long-run asymmetric effects of the global economic policy uncertainty, real oil prices, and country-specific geopolitical risk on real stock returns in Turkey by using the nonlinear autoregressive distributed lag (NARDL) framework over the pre-COVID-19 period of 1997:01–2019:12 and full-sample period of 1997:01–2020:12. The empirical findings indicate

ABSTRACT This paper constructs a large-scale computable general equilibrium model with 26 countries and regions. The model is embedded in the global value chain, trade costs are introduced, and the trade effects of the Regional Comprehensive Economic Partnership Agreement (RCEP) and the Comprehensive and Progressive Trans-Pacific Partnership Agreement (CPTPP) under three different scenarios are simulated

ABSTRACT This paper provides new empirical evidence on the wage and leverage relationship, which supports the notion of strategic leverage. Unlike in previous papers, I use worker-firm matched data of Korea and find a significant negative relationship between wage and leverage. I argue that this negative relationship stems from Korean labor market conditions closer to the price-taking workers and price-setting

ABSTRACT We investigate how the financialization of nonfinancial corporations (NFCs) affects corporate risk-taking. We find that NFCs’ financialization has an adverse effect on corporate risk-taking, supporting the “crowding-out” effect. Short-term financial investments undermine firms’ incentives to chase risky but profitable investment projects. The negative association between NFCs’ financialization

ABSTRACT We develop a two-stage contingent claim model to evaluate a life insurer’s equity. The model sequentially determines the optimal guaranteed rate and the optimal technology choice for strategic asset-liability matching management. We show that increases in policy loans decrease the insurance businesses at a reduced guaranteed rate. The shrinking life insurance businesses discourage the insurer

ABSTRACT We identify an unexplored attribute of the CEO associated with corporate investment efficiency – military experience. We hypothesize that military experienced CEOs tend to reduce agency conflicts, are less likely to be self-interested, and have a higher tendency to take value-enhancing projects which lead to higher investment efficiency. We test our core hypotheses using a sample of Pakistani

ABSTRACT We investigate the effect of the governments’ responses to fighting the COVID-19 pandemic on the returns in the stock market index. Panel data of 20 countries are used spanning January 2 to July 21, 2020, for the dynamic panel model. The results indicate that the overall government response, containment and health, and stringency indices have a significantly positive effect on stock market

ABSTRACT This article examines the nature of time-varying systematic risk for both Islamic and non-Islamic sectoral indices during COVID-19. The novelty lies in the analysis of behavioral changes in beta as the global health crisis moved from an epidemic to a pandemic. Using daily stock market return data on 10 different industry sectors, we show that both Islamic and conventional indices depict a

ABSTRACT This research examines the impact of government ideology on fighting the COVID-19 pandemic based on the daily data of 143 countries from January 1, 2020 to January 31, 2021. By using the panel corrected standard errors model, the results show that a right-wing ruling party is linked with a greater number of new daily confirmed cases and deaths of COVID-19. This impact also appears in the samples

ABSTRACT This study investigates the impact of bank concentration and financial development on economic volatility for the Organization of Islamic Cooperation (OIC) member countries. Employing dynamic panel models, we find no evidence that bank concentration is significantly related to economic volatility when it is entered independently in the models. Meanwhile, financial development lowers economic

ABSTRACT The effects of personal bankruptcy law on the activities of traditional credit markets have attracted significant interests in many studies. In this study, we focus on the online Peer-to-Peer (P2P) lending market, and empirically investigate whether and to what extent personal bankruptcy law may affect the borrowing and lending activities in the P2P market. We find that state bankruptcy exemptions

ABSTRACT This paper aims to investigate whether the International Financial Reporting Standards (IFRS) used as an exogenous information shock relates to a firm’s dividend policy as a result of the improved information environment in the emerging Korean market. More specifically, utilizing a large sample of KOSPI-listed firms over the period 2000–2018, we examine whether the propensity and the level

ABSTRACT This paper presents a multilayer and parallel-connected graph convolutional networks (MPGCNs) method to explore whether a debtor–creditor relationship network helps to detect the default risk in peer-to-peer (P2P) lending. Results show that: (1) The debtor–creditor relationship network reflects lenders’ risk preference and borrowers’ successful loan information. (2) The proposed MPGCNs method

ABSTRACT This research examines the shock of a government response to COVID-19 on the stock prices of 30 international energy enterprises spanning from January 1, 2020 to December 31, 2020. Overall, the empirical results denote that a government response stringency index, containment and health index, and economic support index all have a statistically significant negative impact on their stock prices

(2021). Special Issue on the Pandemic Research. Emerging Markets Finance and Trade: Vol. 57, Research on Pandemics, pp. 1543-1546.

ABSTRACT This paper empirically analyzes the impact of the COVID-19 pandemic on economic sentiment by constructing an econometric model using monthly data from 36 countries from December 2019 to October 2020. The results of this study show: (1) After the outbreak of the COVID-19 pandemic, economic sentiment fluctuated greatly, and even turned pessimistic. (2) It has a significant negative impact on

ABSTRACT This study adds to the inconclusive debate on safe-haven properties of cryptocurrencies during Covid-19 by analyzing the use of wavelet coherence framework on the global Covid-19 fear index, cryptocurrency implied volatility index (VCRIX), and cryptocurrency returns. Our findings show that a non-financial market-based proxy of market stress that represents fear of households and retail investors

ABSTRACT This research examines the short- or long-term relationship between epidemics and atmospheric quality via panel data of 69 countries over the period 1990–2019. By employing the panel univariate LM unit root test, panel cointegration tests with multiple structural breaks, and FMOLS estimations as well as the panel vector error correction model (VECM), we find that a bi-directional relationship

ABSTRACT Unlike the dominant theories based on the rigid assumption that “technology standards must contain only essential patents”, this paper discusses the standard alliances that are engaged in their cumulative innovation. Its focus is particularly on a more realistic setting that a standard alliance should contain both the essential and the non-essential patents. We use the essential-patent’s ratio

ABSTRACT Using balanced panel data of 62 countries (regions) from 1995 to 2011, we explore the linkage between a country’s participation in global value chains (GVC) and its carbon emissions using spatial panel econometric models. We find: First, positive spatial dependency does exist between countries. Second, forward and backward GVC participation has different spatial spillover effects, with the

ABSTRACT This paper investigates the impact of deep preferential trade agreements (PTAs) on total and global value chain (GVC) trade flows. We employ an augmented gravity equation that includes three-dimensional fixed effects, using a panel dataset covering the 1995–2015 period that includes newly available data for the policy areas covered by existing PTAs. Results show that the presence of PTAs has

ABSTRACT Through a survey of literature in the measurement of financial integration (FI), this study explores the historical footprints on the measurement of financial integration, key issues, and challenges. We document the evolution of measurements during 1980–2018 and extend the measurement classification with specific criteria associated with the measurements. Furthermore, this study identifies

ABSTRACT The rapid accumulation of private debt is widely viewed as a major risk to financial and economic stability. This article systematically and comprehensively assesses the effect of private debt buildup on economic growth. In the spirit of the existing study that separately examines the effects of two types of private debt – household debt and corporate debt – on growth in advanced economies

ABSTRACT This paper tests the superimposed negative market reaction of listed companies with high-level share pledging by controlling shareholders to the coronavirus disease 2019 (COVID-19) pandemic and finds that it is alleviated in the pharmaceutical industry and when the share pledge funds are obtained from a brokerage firm or flow back to the listed companies. Furthermore, a low-quality information

ABSTRACT This paper investigates the presence of asymmetry in correlations, betas and covariances between the market excess return and the excess return on each of the eleven industry, ten size, ten momentum and ten book-to-market portfolios. We arrive at three main findings. First, there is strong evidence of asymmetric covariance while the evidence for asymmetric correlations is weakest during COVID-19

ABSTRACT This article investigates how the COVID-19 pandemic affected home and host countries’ FDI margins. Heckman estimation of monthly bilateral FDI data indicates the following: (1) The pandemic reduced both the FDI margins. (2) COVID-19 mortality in home countries reduced extensive FDI margin. (3) FDI was more sensitive to host countries’ pandemic situation for both OECD and emerging countries;

ABSTRACT This paper studies the impact of terrorist attacks on the returns and volatility of Colombian stock returns using an event study methodology in a GARCH model framework. It also investigates the impact of the 2016 peace accord between the Colombian government and the FARC, an army of leftist narco-guerrillas, on the same characteristics of the financial market. Results show that the COLCAP

ABSTRACT This paper explores the dynamic relationship between global economic factors and emerging stock returns within a factor-augmented VAR model. I find that favorable global growth and stock market shocks have significant positive effects on emerging equity returns, whereas global uncertainty and US dollar exchange rate shocks cause a substantial fall in the returns. Global oil shocks lead to

ABSTRACT The aim of this empirical study was to estimate and compare the term structure of risk factor premiums in developed and emerging markets. Most studies use dividend and variance swap data, but as that information is not available for all markets, we use wavelet decomposition of the observed return to calculate sensitivity to risk factors and obtain a term structure for risk factor premiums

ABSTRACT In this study, we examine the relation between corruption and corporate cash holding policy using data from 35,288 firms in 44 countries. The results indicate a non-linear relation between corruption and corporate cash holdings with a negative coefficient of the cubic term of corruption. Specifically, in developed (frontier) countries with low (high) level of corruption, we find a negative