Cross-Exchange Crypto Risk: A High-Frequency Dynamic Network Perspective, 2024 Singapore Management University
Cross-Exchange Crypto Risk: A High-Frequency Dynamic Network Perspective, Yifu Wang, Wanbo Lu, Min-Bin Liu, Rui Ren, Wolfgang Karl Hardle
Sim Kee Boon Institute for Financial Economics
Cross-exchange crypto trading presents inherent risks, particularly for centralized exchanges. Investors observe exacerbating crypto volatility and counterparty risk and would like to quantify these elements of crypto trades. The multiple exchanges require a multivariate view on the structures of risk spillover across exchanges. Here, a Multivariate Heterogeneous AutoRegression (MHAR) model is designed and analyzed, accommodating the stylized facts of crypto markets, including 24/7 trading and the long-memory effect on return variations. The proposed MHAR approach clearly reveals the intensity of interconnectedness among exchanges during extreme events, e.g., the Bitcoin market. Additionally, one observes extremely volatile eigenvector centralities of Futures Exchange …
Bubbly Booms And Welfare, 2024 Singapore Management University
Bubbly Booms And Welfare, Feng Dong, Yang Jiao, Haoning Sun
Research Collection School Of Economics
We show the competing effects of a housing bubble on the real economy by developing a multi-sector dynamic model with housing production. On the one hand, firms can sell or collateralize their housing, so a housing bubble helps firms obtain credit to finance their investment and expand production. On the other hand, a boom in the housing sector crowds out labor in the non-housing sector. We show that housing booms can reduce social welfare both in the steady state and in the transitional dynamics only when the production externalities in the non-housing sector are sufficiently large. We quantitatively evaluate our …
Can Corporate Sustainability Performance (Csp) Overcome Indonesia's Corporate Debt Problems?, 2024 Sekolah Tinggi Manajemen PPM, Indonesia
Can Corporate Sustainability Performance (Csp) Overcome Indonesia's Corporate Debt Problems?, Johnson Ferry Febrian, Nora Sri Hendriyeni
Jurnal Akuntansi dan Keuangan Indonesia
Based on IMF publications (2022), Indonesian companies have a risky debt level that may cause bankruptcy, so companies are required to make leverage adjustments to return the debt to its optimal level. In recent years, corporate sustainability performance (CSP) practices have been proven to improve performance and overcome financial problems such as debt by integrating sustainability aspects into business processes. Based on stakeholder theory and trade-off theory, this study aims to examine the effect of CSP on leverage adjustment and the role of competitive advantage, equity mispricing, profitability, and firm size in moderating this relationship. This study used a sample …
Policy Frameworks And Citizens’ Use Of Fintech Solutions: The Pros And Cons In Egypt, 2024 American University in Cairo
Policy Frameworks And Citizens’ Use Of Fintech Solutions: The Pros And Cons In Egypt, Salma Al-Mohamady
Theses and Dissertations
This thesis provides a comprehensive analysis of the significant influence of financial technology (FinTech) on the banking industry, consumer finance, and economic growth. It specifically concentrates on the swiftly changing FinTech environment in Egypt. The study investigates the impact of incorporating advanced technologies on worldwide financial practices, which has significantly transformed traditional banking models and facilitated the emergence of inventive financial services. The transition is clearly apparent in Egypt, where the expansion of FinTech has been driven by advances in regulations, adaptation to technology, and a population that is becoming more comfortable with digital solutions.
Using a combination of quantitative …
Dreams And Livelihoods In Rural Areas Require Capital, Too: An Investigation Into The Role Of Diminishing Community Banks, Financial Education, And Access To Capital In Rural Areas, 2024 University of Arkansas, Fayetteville
Dreams And Livelihoods In Rural Areas Require Capital, Too: An Investigation Into The Role Of Diminishing Community Banks, Financial Education, And Access To Capital In Rural Areas, Jackson Walton
Finance Undergraduate Honors Theses
Individuals in rural communities face unprecedented economic challenges due to a lack of financial education and a decline in the prevalence of community banks. These problems have continuously grown exponentially without successful attempt at remedy. The community banks that once served as the center of economic activity and prevalence in rural communities are leaving these communities quickly- leaving many without access to lines of credit, personal relationship banking, and without necessary financial education in a world with more financial options than ever. Access to banking and higher financial literacy proficiency rates are almost directly linked to better financial outcomes like …
Bundling In Advance Sales: Theory And Evidence From Round-Trip Versus Two One-Way Tickets*, 2024 The University of Texas Rio Grande Valley
Bundling In Advance Sales: Theory And Evidence From Round-Trip Versus Two One-Way Tickets*, Diego Escobari, Paan Jindapon, Nicholas G. Rupp
Economics and Finance Faculty Publications and Presentations
We theoretically derive an optimal price for a bundle of two goods that are sold in advance to risk-averse buyers. The theory predicts that a round-trip ticket is less expensive than two one-way tickets when demands for the outbound and the inbound are uncertain and positively correlated. Using a unique airlines dataset, we find evidence that is consistent with the theory; round-trip bundle discounts exist and they are larger for passengers who buy early in advance, stay on a Saturday night, and have higher valuations. We also find that the bundle discounts decrease with competition.
Get Smart About Your Money, 2024 Atlanta University Center Robert W. Woodruff Library
Get Smart About Your Money, Sharonda Singleton Brown, Imani Beverly, Jacquelyn J. Daniel
Georgia Library Quarterly
“Get Smart About Your Money” was an event held at the Atlanta University Center (AUC) Robert W. Woodruff Library for Money Smart Week 2023. The goal of the event was to introduce the new business librarian, promote financial literacy in the Atlanta University Center community, and participate in National Money Smart Week.
How To Get Away With Insider Trading And How To Stop It?, 2024 University of Tennessee Chattanooga
How To Get Away With Insider Trading And How To Stop It?, Blade H. Kisler
Honors Theses
The realm of investing, while promising, is often clouded by complexity and opacity, exacerbated by the prevalence of insider trading. This unethical practice allows select individuals to amass vast fortunes by exploiting confidential information unavailable to the public. Particularly alarming is the possibility of insider trading within Congress, where lawmakers wield privileged access to non-public information and could possibly engage in lucrative stock transactions. This paper delves into specific coincidences of Congressional stock trading to underscore the systemic nature of this phenomenon among influential figures.
Jargon To Jackpot: The Financial Impact Of Infusing Pop Culture References In Social Media, 2024 Ursinus College
Jargon To Jackpot: The Financial Impact Of Infusing Pop Culture References In Social Media, Madelynn Solow
Business and Economics Honors Papers
This research explores the impact of incorporating pop culture references in a company's Twitter feed on the company's stock price. Pop culture is integral to people's everyday lives, providing a sense of familiarity and fun between individuals. Many companies have started leveraging pop culture references on social media platforms like Twitter to establish a relatable and engaging connection with diverse consumer demographics. The primary purpose of this research is to investigate whether this strategy is beneficial within the stock market. It is hypothesized that incorporating pop culture references on Twitter can lead to increased sales and higher stock prices, as …
Green Transition And Financial Stability: The Role Of Green Monetary And Macroprudential Policies And Vouchers, 2024 Beijing Normal University
Green Transition And Financial Stability: The Role Of Green Monetary And Macroprudential Policies And Vouchers, Ying Tung Chan, Maria Teresa Punzi, Hong Zhao
Sim Kee Boon Institute for Financial Economics
This paper analyzes a mix of alternative policies in supporting the green transition and the phase-out of fossil fuels, without compromising financial stability. An environmental dynamic stochastic general equilibrium (E-DSGE) model with two sectors (green and brown) and endogenous default is developed to assess potential climate-induced financial stability threats that can be mainly generated through physical and transition risks mechanism. Those risks are evaluated through a compound capital depreciation shock and a carbon tax shock. The paper offers several findings. First of all, a too stringent carbon tax would increase the medium-term default rate in both sectors, harming financial stability …
Did Covid-19 Disrupt The Stock Market Return And Volatility? A Meta-Analytic Approach, 2024 Bank Indonesia Institute, Bank Indonesia
Did Covid-19 Disrupt The Stock Market Return And Volatility? A Meta-Analytic Approach, Masagus M. Ridhwan, Solikin M. Juhro, Affandi Ismail, Peter Nijkamp, Kelvin Ramadhan Hidayat
Bulletin of Monetary Economics and Banking
We provide a quantitative synthesis of the literature utilizing meta-regression analysis on the measurable effect of the combined health and economic crisis due to the COVID-19 pandemic on stock market returns and volatility. This study is conducted based on 104 studies published during the period 2020 to 2022. We find strong evidence of a negative publication bias for COVID-19 impacts on stock market returns and a positive bias on volatility. We document that COVID-19 has a moderate negative effect on stock market returns. Estimates based on intraday stock returns show a greater effect compared to those using daily returns, whereas …
Capital Expenditure Dynamics In Asean: Unveiling Determinants And The Impact Of The Covid-19 Pandemic On Non-Financial Corporations, 2024 Bank Indonesia - Indonesia
Capital Expenditure Dynamics In Asean: Unveiling Determinants And The Impact Of The Covid-19 Pandemic On Non-Financial Corporations, Solikin M. Juhro, Dhaha Praviandi Kuantan, Charvin Lim
Bulletin of Monetary Economics and Banking
This study investigates the intricate determinants influencing the capital expenditure behavior of Non-Financial Corporations (NFCs) in major ASEAN countries over the past decade. Employing a fixed effect panel analysis encompassing 1,488 NFCs in Indonesia, Malaysia, Thailand, and the Philippines, our study unveils a robust and statistically significant relationship between corporate financial performance and capital expenditure. Notably, indicators such as profitability, market value, and cash flow rate demonstrate a positive association with heightened capital expenditure. Furthermore, macroeconomic conditions and policy-related variables emerge as influential factors affecting capital expenditure decisions. Stringent financial conditions tend to hamper firm investment decisions, whilst interest rate …
Historical Perspectives In Volatility Forecasting Methods With Machine Learning, 2024 Pepperdine University
Historical Perspectives In Volatility Forecasting Methods With Machine Learning, Zhiang Qiu, Clemens Kownatzki, Fabien Scalzo, Eun Sang Cha
Seaver College Research And Scholarly Achievement Symposium
Volatility forecasting in the financial market plays a pivotal role across a spectrum of disciplines, such as risk management, option pricing, and market making. However, volatility forecasting is challenging because volatility can only be estimated, and different factors influence volatility, ranging from macroeconomic indicators to investor sentiments. While recent works suggest advances in machine learning and artificial intelligence for volatility forecasting, a comprehensive benchmark of current statistical and learning-based methods for such purposes is lacking. Thus, this paper aims to provide a comprehensive survey of the historical evolution of volatility forecasting with a comparative benchmark of key landmark models. We …
Covid-19 And Its Impact On Multinational Enterprises: A Modified Value At Risk Approach, 2024 Salisbury University
Covid-19 And Its Impact On Multinational Enterprises: A Modified Value At Risk Approach, Kashi Khazeh, Leonard Arvi, Robert C. Winder
Journal of Global Business Insights
Multinational enterprises (MNEs) operating across different currencies are exposed to exchange rate risk. They may utilize a variety of tools to mitigate that risk. While there are different types of exchange rate risk, this study focuses specifically on the ongoing exposure of cash flow transactions denominated in the currencies of seven different developed countries. Since other types of risk (i.e., economic and translation) are evaluated based on yearly results, they are not considered in this study. The modified value-at-risk (MVaR) model is employed to estimate the maximum one-period losses during the eighteen months before the onset of the COVID-19 pandemic …
“Safe” Annuity Retirement Products And A Possible Us Retirement Crisis, 2024 University of Louisville
“Safe” Annuity Retirement Products And A Possible Us Retirement Crisis, Thomas E. Lambert, Christopher B. Tobe
Faculty Scholarship
This paper examines a looming possible crisis in many Americans’ retirement plans due to the proliferation of annuity products in their retirement investment portfolios. As defined benefit pension plans have almost completely disappeared as a means of retirement savings and have been replaced by defined contribution retirement plans over the last 40 to 50 years, a great number of private and public sector defined contribution retirement plans have become laden with insurance contracts called annuities. Of the remaining solid defined benefit plans many, through a process called Pension Risk Transfer are being converted to high-risk single entity annuities. Such products …
Cost Of Capital And Climate Risk In The Indonesian Bonds Market, 2024 NEOMA Business School, France
Cost Of Capital And Climate Risk In The Indonesian Bonds Market, Maulana Harris Harris Muhajir
Bulletin of Monetary Economics and Banking
This study analyzes the impact of climate risk, cost of capital, and macroeconomic variables on the Indonesian bond market, focusing on non-ESG aware and ESG-aware bonds. Using a regression analysis, we found that the cost of capital has a significant negative effect on bond yields, highlighting the importance of policymakers focusing on initiatives that can lower the cost of capital for investors. Inflation rate was also found to have a significant positive effect on non-ESG aware bonds, which is a unique feature of the Indonesian bond market. We found that ESG-aware bond yields were negatively significant, indicating that investors are …
Digitalization And Economies Of Oic Countries, 2024 Monash University Malaysia
Digitalization And Economies Of Oic Countries, Mohsin Ali, Urooj Anwar, Mudeer Ahmed Khattak, Muhammad Umar Islam
Bulletin of Monetary Economics and Banking
This paper studies the impact of digitalization on the Organization of Islamic countries (OIC) economies. The study is conducted to see whether digitalization is playing its role in enhancing economic growth. We employ a panel dataset consisting of twenty-one years from 2000 to 2020 for 57 OIC countries. We use the system generalized method of moments (GMM) estimator. The results indicate that digitalization positively impacts the economies of OIC countries. As for policy implication, this study recommends governments of OIC member countries to invest in digital infrastructure in order to foster economic growth.
Firm-Level Political Risk And The Cash Flow Sensitivity Of Cash, 2024 University of Texas at Tyler
Firm-Level Political Risk And The Cash Flow Sensitivity Of Cash, Hui Liang James, Hongxia Wang, Nilakshi Borah
Finance and Economics
We examine the impact of firm-level political risk on the cash flow sensitivity of cash. Using a large sample of U.S. firms from 2003 to 2018, we find that the cash flow sensitivity of cash decreases in political uncertainty and the impact of political risk is asymmetric to cash flow types (positive versus negative). Intensified political uncertainty induces positive/negative cash flow firms to reduce savings out of cash flows to finance investment opportunities/terminate unprofitable projects to retrieve cash. The results are robust to various model specifications, alternative variable definitions, and the control for non-political risks. In addition, we show that …
From Canonical Law To Offshore Finance: Confessing To Priests And Bankers In Luxembourg, 2024 Thomas Jefferson University
From Canonical Law To Offshore Finance: Confessing To Priests And Bankers In Luxembourg, Samuel Weeks
Journal of Global Catholicism
In this article, I address two recurring tendencies that I heard during a recent period of research on banking secrecy in Luxembourg. First, my banker interviewees frequently mentioned personal transgressions for why many of their clients hide assets “offshore.” The wrongdoings my interlocutors cited included not only clients’ tax evasion, bankruptcy, and avoidance of liability – but also divorce, adultery, and the existence of out-of-wedlock children. Second, with a similar frequency, my interviewees drew parallels between the secrecy laws covering bankers and those afforded to other professionals in the country. Article 458 of Luxembourg’s Penal Code, dating from the nineteenth …
Assessing Energy Mutual Funds: Performance, Risks, And Managerial Skills, 2024 Thomas Jefferson University
Assessing Energy Mutual Funds: Performance, Risks, And Managerial Skills, Davinder K. Malhotra, Srinivas Nippani
School of Business Faculty Papers
This study investigates the risk-adjusted performance of energy equity mutual funds across a 23-year period, employing the Cumulative Wealth Index (CWI) to gauge their long-term performance relative to benchmark indices. Despite inherent volatility due to the energy sector’s cyclical nature, these funds consistently outperformed benchmarks based on monthly returns, showcasing resilience amid market fluctuations. However, challenges emerged during the COVID-19 pandemic, with notable improvements post-vaccination. Utilizing a multi-factor model, the research highlights the interconnectivity of energy equity mutual funds with broader market movements and systemic factors. Despite their primary focus on the energy sector, these funds exhibit sensitivity to larger …