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 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 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 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 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

ABSTRACT This study examines the implications of board interlocks on stock liquidity using a sample of listed Brazilian firms. The instrumental variable two-stage least squares estimation is used to minimize endogeneity concerns. This study provides evidence that board interlocks are positively related to stock liquidity. Our cross-sectional study findings reveal that the impact of board interlocks

ABSTRACT We run an experiment to test how consumers of banking services value stress tests performed by their banks. We query respondents about the extent to which they would be willing to trade profitability if banks conduct stress tests, maybe for greater bank financial stability. Our paper connects and innovates in the banking literature by providing empirical evidence of the value of communicating

ABSTRACT The article aims to explore the heterogeneous feature in the determination of Bitcoin volatility using a Markov regime-switching model and test its forecasting ability. The forecasting methodology of the risk measurement of Bitcoin’s returns is based on the Conditional Autoregressive Value at Risk models (CAViaR) approach. Our results show that Bitcoin’s volatility is significantly related

ABSTRACT This article examines the association between media attention and debt financing through a number of channels associated with information asymmetry reduction and whether this relationship changes with cross-country institutional environment characteristics. Focusing on a comprehensive international dataset, we find that overall media coverage is negatively related to firm leverage levels.

ABSTRACT This study investigates whether ownership concentration improves or impedes firm innovation using a sample of small and medium-sized enterprises (SMEs) spanning 95 countries worldwide. We find that higher ownership concentration is associated with a lower likelihood of introducing innovative activities. Further, results reveal that concentrated ownership has detrimental impacts on innovation

(2021). Guest Editor’s Introduction - Exchange Rate Pass-Through, Fiscal Decentralization, and the Gender Wealth Gap: Policy Implications for Vietnam. Emerging Markets Finance and Trade: Vol. 57, No. 1, pp. 1-4.

ABSTRACT We employ time series data to empirically determine the causal relationship between economic policy uncertainty and the GDP growth rates of seven emerging market economies while controlling for the effect of oil price, interest rates, and the CPI. Due to differences in sampling frequencies between the GDP series and other variables, a multi-horizon mixed frequency VAR model is specified. This

ABSTRACT Using cross-country data for 1999–2019, we investigate how bank capital structure and institutional environment affect bank competition. Banks with a higher Tier 1 ratio have greater market power, and lowering activity restrictions and bank entry requirements enhances competition. Banking systems with greater capital stringency and official supervisory power tend to be more competitive. During

(2020). Part A: Special Section on COVID-19 Research. Emerging Markets Finance and Trade: Vol. 56, No. 15, pp. 3551-3553.

ABSTRACT This article investigates the performance of the industrial structure in different emerging markets under exogenous shocks during the COVID-19. Based on the ICIO database, we use System Dynamics to simulate the evaluation of the economic system under different types of exogenous shocks (instantaneous shocks like entertainment restrictions, and continuous shocks like trade controls). We find

ABSTRACT This research aims at investigating the response of the stock market to the WHO announcement on 11th of March 2020 which officially declares the spread of the COVID-19 virus as a global pandemic. A total of 77 countries’ major indices have been examined by this research. The results show that (1) the pandemic announcement provides considerable negative shock on the global stock market; (2)

ABSTRACT Missing data has become an increasingly serious problem in credit risk classification. A one-hot encoding-based data preprocessing method is proposed to solve the missing data problem in credit classification. In this paradigm, the proposed missing-data preprocessing method is first used to deal with missing values to fill in the incomplete dataset. Then the classification and regression tree

ABSTRACT This article develops a new index to monitor financial stability in South Africa over the period 1995–2017. Rather than selecting indicators based on deemed relevance, the novelty of our index lies in the selection and aggregation of financial indicators based on their incremental informational content, achieving the best balance between parsimony and efficacy. In addition, market sub-indices

ABSTRACT This study investigates the associations between investment efficiency and both the existence of a board investment committee (IC) and its expertise. Using a sample of industrial firms from six Gulf Cooperation Council (GCC) countries across the 2005–2018 period, we find that IC existence reduces both under- and overinvestment by these firms. We also find that financial expertise among committee

ABSTRACT This study investigates the relation between firm-specific attributes and future equity returns in 23 emerging markets. Equal-weighted portfolio returns reveal strong evidence of short-term momentum (rather than reversal) and medium-term return momentum. We also find evidence that market beta, book-to-market ratio and downside risk metrics predict equity returns, however, these relations get

ABSTRACT This article analyzes the effect of oil prices on real stock returns in the MENA countries. We use a panel of stock indexes from nine MENA countries: Saudi Arabia, Kuwait, Qatar, Oman, Egypt, Tunisia, Israel, Jordan, and Morocco. We employ extended version of the arbitrage pricing theory by using the linear and nonlinear panel autoregressive distributed lag (ARDL) models, and the data consist

ABSTRACT Motivated by the rise of state capitalism, the paper investigates the relationship between ownership identity and the performance of firms in terms of profitability and solvency. Using cross-sectional data covering over 25,000 firms worldwide and by employing various empirical methods, we find robust evidence that state-owned enterprises (SOEs) tend to be less profitable than private-owned

ABSTRACT The issue of banks’ loss-absorbing capacity (LAC) has been extensively discussed in recent years. That debate was triggered by the idea of a “bail in”: the use of certain bank’s liabilities to cover losses and recapitalization when it is failing or likely to fail. The objective of this article is to determine the volume of a bank’s equity and liabilities available for bail in that would ensure

ABSTRACT We empirically prove that the negative listing effect of mergers and acquisitions (M&A) is more pronounced in target countries with high gross domestic product (GDP) growth rate uncertainty than in countries without such uncertainty. We examine a sample of 343 non-financial firms that disclosed cross-border M&A between 2000 and 2019 in the Korea Exchange stock market and 49 countries where

ABSTRACT We investigate the valuation effects of debt issues on the issuing firms’ common stock using a sample of Turkish issuers. For the sample of non-financial firms, we find no significant wealth effects for debt issues around the announcement dates. However, market reactions are more positive when information asymmetry between firm managers and outside investors is low, agency costs are high,

(2020). Research on Pandemics Special Issue of the Journal Emerging Markets Finance and Trade. Emerging Markets Finance and Trade: Vol. 56, Special Issue: Research on Pandemics, pp. 2133-2137.

ABSTRACT We investigate the impact of COVID-19 on the Indian financial market and compare it with the outcomes of two recent structural changes of the Indian economy: demonetization and implementation of the Goods and Services Tax (GST). Using daily stock return, net foreign institutional investment, and exchange rate data from January 3, 2003 to April 20, 2020, we find negative stock returns for all

ABSTRACT As the coronavirus pandemic (COVID-19) has amplified so has country responses to it. With COVID-19 taking its toll on humans, as reflected in the number of people infected by, and deaths from, COVID-19, countries responded by locking down economic activity and peoples movement, imposing travel bans, and implementing stimulus packages to cushion the unprecedented slowdown in economic activity

ABSTRACT This paper offers two main innovations. First, we construct a global fear index (GFI) for the COVID-19 pandemic to support economic, financial, and policy analyses in this area. Second, we demonstrate the application of the index to stock return predictability using OECD data. The panel data predictability results reveal the significance of the index as a good predictor of stock returns during

ABSTRACT This paper studies the impact of fear sentiment caused by the coronavirus pandemic on Bitcoin price dynamics. We construct a new proxy for coronavirus fear sentiment using hourly Google search queries on coronavirus-related words. The results show that market volatility has been exacerbated by fear sentiment as the result of an increase in search interest in coronavirus. Moreover, we find

ABSTRACT In this study, we focus on two dimensions of COVID-19 pandemic and their impact on liquidity in emerging equity markets, the real human costs and the government response. Using a sample of 23 emerging markets across three regions, our findings suggest that decreasing (increasing) trend in the number of confirmed coronavirus cases is associated with improving (deteriorating) liquidity in financial

ABSTRACT We provide novel evidence that disease outbreaks contain valuable information that can be used to enhance exchange rate return and volatility predictions. Our analysis exploits the novel coronavirus (COVID-19) outbreak as a good experimental setup to test our intuition. Data show that the COVID-19 outbreak has been rapid and deadly. Using the total number of infections per million, we demonstrate

ABSTRACT The COVID-19 outbreak seriously affected all economies, especially the operations of listed companies, around the world. This article studies the impact of COVID-19 on firm-level cash holdings using the difference-in-differences method. It finds that COVID-19 has a significant positive impact on cash holdings in serious-impact industries. Goodwill and goodwill impairment can weaken this positive

ABSTRACT Coupled with data on the occurrence of historical epidemics, this study examines the impact of an epidemic on the labor force participation rate of the affected country. We find robust evidence that the outbreak of an epidemic alters human behavior and negatively affects the labor force participation rate. The negative impact could be attributed to cultural attitudes toward uncertainty avoidance

ABSTRACT This study investigates whether the impact of firm-level corruption on growth varies based on origin of the firm. More specifically, I examine how corruption in the business environment affects growth for privatized former state-owned enterprises (SOEs) and originally private firms in transition economies. Employing Business Environment and Enterprise Performance Survey (BEEPS) data and using

ABSTRACT In the presence of non-normally distributed asset returns, an optimal portfolio selection should consider higher-order (co-)moments when no sampling errors exist. However, the curse of dimensionality has already been a serious concern in mean-variance analyses; higher-order (co-)moments also face the same dilemma. This study uses mixed-frequency (MF) data under the assumption that stock returns

ABSTRACT The paper investigates a unique phenomenon where triple rating gained popularity while dual rating is required in Korea. Triple rating may improve information production by introducing increased competition among CRAs (credit rating agencies) while it may exacerbate rating inflation through more rating shopping and rating catering on the ground of greater bargaining power shifted toward the

ABSTRACT We examine the impact of share pledging (SP) on management earnings forecasts (MEFs). Our findings suggest that an SP firm has more optimistic MEFs than a non-SP firm, suggesting that SP contributes to more optimistically biased MEFs. In addition, an SP firm is more likely to provide less specific MEFs than a non-SP firm. The results are robust to alternative measures of SP and MEFs and accounting

ABSTRACT The aim of this article is to compare financial performance of the largest non-financial state-owned enterprises (SOEs) and privately owned enterprises in the years 2013–2015. We performed a univariate as well as discriminant analysis using various indicators assessing profitability, financial liquidity, and financial operational efficiency. When observing several aspects of financial performance

ABSTRACT This study assesses the nonlinearities in the nexus between exchange rate and interest rate differential in emerging economies of BRICS. We employ Panel Nonlinear Autoregressive Distributed Lag and Panel Threshold Regression (PTR) models. The study finds mixed result for asymmetry in the nexus. It also shows evidence for time-variation and the positive impact of interest rate differential

ABSTRACT The main goal of this article is to investigate empirically the Kalman approach to estimate the time-varying beta parameter as a systematic investment risk market in Poland, Czech Republic, and Hungary. In our research, we investigate the assessments of beta on the basis of seven specifications of time-varying beta for the 12 largest companies listed on the Warsaw Stock Exchange (Poland),

ABSTRACT Behavior Finance Theory explains the short-term deviations of futures price. However, the previous studies generally view sentiment as one-time dimension. This article, on a larger basis, captures both long-term and short-term investor sentiment. In such case, short-term predictive power of investor sentiment on index futures returns can be analyzed in two prospects. On the one hand, the spot

ABSTRACT The existence of the scale effect puzzle of cross-border mergers and acquisitions (M&As) erodes the foundation of antitrust supervision and reduces large enterprises’ enthusiasm for pursuing cross-border M&As. This study investigates the puzzle of the scale effect from the perspective of economic development and institutional quality. Through the meta-analysis mean value technique and the

ABSTRACT This paper tests for the ability of a variety of technical indicators to generate excess returns at the individual stock level in the seven emerging and frontier markets of the Gulf region. While technical indicators show some early profitability promise, after controlling for the data snooping bias using the False Discovery Rate (FDR) methodology and non-synchronous trading, we fail to find

ABSTRACT Practical experience and research on microfinance in various countries around the world show that microfinance institutions (MFIs) have had a profound impact on poverty alleviation, addressing the difficulty of lending in rural areas and promoting the development of small and medium-size enterprises. Based on data covering a hundred MFIs in twenty-two countries along the Belt and Road (In

ABSTRACT This paper develops a Melitz-style trade model to consider how trade policy uncertainty (TPU) affects the export mode of heterogeneous firms. With the reduction of TPU, firms are more likely to engage in ordinary exports, and the proportion of ordinary exports relative to processing exports increases. This effect is more pronounced for firms with medium productivity. Based on highly disaggregated

ABSTRACT The literature is largely silent on questions pertaining to the long-term physical asset investment behavior of Shariah-compliant (SC) firms. In this paper, using a unique dataset of SC firms constructed from the S&P’s Compustat Global database, we examine the investment patterns of Shariah-compliant (SC) versus non-Shariah-compliant (NSC) firms in six Gulf Cooperation Council (GCC) countries

ABSTRACT A sukuk is an Islamic financial asset structured to offer investors a cash flow equivalent to that of a bond. The difference between them is in their contractual mechanism: a bond constitutes a lender–borrower relationship between the holders and issuers whereas a sukuk constitutes a lessor-lessee, buyer-seller, or a partnership relationship. Therefore, we examine whether they are different

ABSTRACT The paper empirically examines the validity of purchasing power parity (PPP) in Pakistan. For this purpose, unit root properties of real exchange rates (RERs) of Pakistan against its 21 major trading partners are examined using Fourier ADF (FADF) and Fourier KPSS (FKPSS) unit root tests for the period 1983Q1 to 2014Q4. Fourier unit root tests are used as they consider multiple temporary structural

ABSTRACT This paper introduces household financial decision-making process into the classic financial intermediation model, which allows us to study the impact of households’ portfolio choice on the behavior of financial intermediation and the real economy. Our numerical results show that the incorporation of household financial decision helps stabilize the aggregate economy through the following channel

ABSTRACT Given the importance of crude oil prices in the world economy, accurate price prediction has drawn extensive attention. Nevertheless, because of the complexity of the crude oil market, most traditional forecasting algorithms fail to meet the accuracy requirements. To achieve higher precision, this paper proposes a novel hybrid model for crude oil price forecasting by combining a Hodrick-Prescott

ABSTRACT The purpose of this paper is to examine the impact of directors’ & officers’ (D&O) liability insurance on the number of key audit matters (KAMs) presented in the company’s financial statements, which are employed as a measure of the risk from the corporate governance of firms. Our empirical results show a significant positive relationship between the number of KAMs and the amount of D&O liability

ABSTRACT This paper proposes a non-linear factor-augmented vector autoregressive model to evaluate spillovers to Asia from an unexpected rate cut in the euro area. We focus on potential asymmetries in the transmission of the shock that could arise due to prevailing negative interest rates in the euro area. Our findings indicate significant and negative effects on short-and long-term interest rates

ABSTRACT Copper is considered one of the most important minerals in the world; however, most of the finance literature focus on determining the relationship between changes in gold spot prices and mining stock returns. To fill this literature gap, we analyze the impact of changes in copper spot and futures prices on the stock returns of copper mining firms. Considering a sample of high market-cap firms

ABSTRACT It is widely believed that local currency bond markets (LCBMs) can promote financial stability in emerging markets. In this article, we empirically test such conventional wisdom by analyzing and comparing six measures of financial vulnerability of emerging markets during two episodes of financial stress – global financial crisis and taper tantrum. We find that emerging markets, which experienced