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Volume 15
Issue 3
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J. Risk Financial Manag., Volume 15, Issue 3 (March 2022) – 50 articles

Cover Story (view full-size image): This is the first study combining both a machine learning approach and a MGARCH-BEKK to identify volatility spillover and transmission across S&P500 and the cryptocurrency market using intraday data. More importantly, the study explores the application of new GA2M technology in finance beyond classical time series approaches. We discovered a lack of interdependence in volatility, indicating a possible portfolio diversification advantage for investors. Asset allocation or hedging will be useful to portfolio managers. Our results also provide a theoretical framework for policymakers when creating regulations. View this paper
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14 pages, 517 KiB  
Article
Intended Use of IPO Proceeds and Survival of Listed Companies in Malaysia
by Siti Sarah Alyasa-Gan and Norliza Che-Yahya
J. Risk Financial Manag. 2022, 15(3), 145; https://doi.org/10.3390/jrfm15030145 - 18 Mar 2022
Cited by 2 | Viewed by 3074
Abstract
In the context of Malaysian companies’ survival, the potential role of intended use of proceeds as an influential factor remains unfamiliar. This study examines the link between the intended use of IPO proceeds and the survival of 423 Malaysian listed companies over the [...] Read more.
In the context of Malaysian companies’ survival, the potential role of intended use of proceeds as an influential factor remains unfamiliar. This study examines the link between the intended use of IPO proceeds and the survival of 423 Malaysian listed companies over the period of 2000–2014. This study distinguishes the use of IPO proceeds into three segregations: growth opportunities, debt repayment, and working capital. Employing the Accelerated Failure Time (AFT) survival model, the overall evidence shows a statistically significant effect of the intended use of IPO proceeds for growth opportunities and debt repayment on companies’ post-IPO survival. Furthermore, company survival was found to be consistently improved when they allocated less than 50% of their IPO proceeds, regardless of the purposes (growth, repay debt or general). These results highlight the importance of the intended use of IPO proceeds on the survival of newly listed companies, and provide insights for policymakers on the management of IPO proceeds for long-term survival. Full article
(This article belongs to the Special Issue Empirical Corporate Finance: Opportunities and Challenges)
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21 pages, 731 KiB  
Article
Market Misreaction? Leverage and Mergers and Acquisitions
by C. N. V. Krishnan and Vasiliy Yakimenko
J. Risk Financial Manag. 2022, 15(3), 144; https://doi.org/10.3390/jrfm15030144 - 18 Mar 2022
Cited by 2 | Viewed by 3454
Abstract
Using a large database of U.S. mergers and acquisitions (M&As) announced from 2010 through 2017, we examine the effects of capital ratio (leverage) on the announcement period stock price reaction as well as on longer-term stock returns and performance, for banks, making comparisons [...] Read more.
Using a large database of U.S. mergers and acquisitions (M&As) announced from 2010 through 2017, we examine the effects of capital ratio (leverage) on the announcement period stock price reaction as well as on longer-term stock returns and performance, for banks, making comparisons with non-banks. We compare announcement period reactions (computed in different ways) for lower (lower than sample median) capitalized banks and non-banks with that for higher capitalized banks and non-banks. We confirm our results using multivariate analyses—after controlling for year and industry fixed effects—and we check the associations of capital ratio with announcement period abnormal returns, longer-term performance, as well as certain bank-specific and non-bank specific performance measures. For banks, we find that a lower capital ratio of acquirers at the time of the announcement of the M&A is significantly associated with negative announcement period abnormal returns. However, for these banks, the longer-run abnormal returns and performance are positive. The opposite is true for non-bank M&A announcements: higher equity ratios (lower leverage) of acquirers as at the time of the announcement is significantly associated with negative announcement period abnormal returns. Yet, for such non-banks, the longer-run abnormal returns and performance are positive. This shows that the market may misreact, on average, to both bank and non-bank M&A announcements based on the acquirer’s leverage at the time of the announcement. Full article
(This article belongs to the Section Business and Entrepreneurship)
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19 pages, 347 KiB  
Article
Optimal Control Strategies for the Premium Policy of an Insurance Firm with Jump Diffusion Assets and Stochastic Interest Rate
by Dalila Guerdouh, Nabil Khelfallah and Josep Vives
J. Risk Financial Manag. 2022, 15(3), 143; https://doi.org/10.3390/jrfm15030143 - 17 Mar 2022
Cited by 1 | Viewed by 1898
Abstract
In this paper, we present a stochastic optimal control model to optimize an insurance firm problem in the case where its cash-balance process is assumed to be described by a stochastic differential equation driven by Teugels martingales. Noticing that the insurance firm is [...] Read more.
In this paper, we present a stochastic optimal control model to optimize an insurance firm problem in the case where its cash-balance process is assumed to be described by a stochastic differential equation driven by Teugels martingales. Noticing that the insurance firm is able to control its cash-balance dynamics by regulating the underlying premium rate, the aim of the policy maker is to select an appropriate premium in order to minimize the total deviation of the state process to some pre-set target level. As a part of stochastic maximum principle approach, a verification theorem is used to fulfill this achievement. Full article
(This article belongs to the Special Issue Mathematical Finance with Applications)
22 pages, 3896 KiB  
Article
A 3-Dimensional Frame of Reference for Prevention of Risk in Supply Chain
by Han-Khanh Nguyen
J. Risk Financial Manag. 2022, 15(3), 142; https://doi.org/10.3390/jrfm15030142 - 16 Mar 2022
Cited by 1 | Viewed by 2433
Abstract
Businesses have to deal with many potential risks in the supply chain, especially during the COVID-19 pandemic. The retail market in Vietnam has great potential for long-term development with the birth and rapid development of domestic supermarkets. However, market opening policies have resulted [...] Read more.
Businesses have to deal with many potential risks in the supply chain, especially during the COVID-19 pandemic. The retail market in Vietnam has great potential for long-term development with the birth and rapid development of domestic supermarkets. However, market opening policies have resulted in fierce competition from a large number of foreign supermarkets. At the same time, customers have become more professional in their approach to shopping and carefully consider any decisions about shopping and the use of services at supermarkets. In this study, the authors use three models (i.e., the SERVQUAL model, the binary logistic model, and the Grey model) corresponding to a three-dimensional frame of reference (i.e., past, present, and future) to provide supermarket managers with a multi-dimensional view of the supermarket business situation. The results identify four factors−namely, quality of goods, personnel, safety, and facilities and equipment−that significantly impact customer satisfaction. The second frame of reference shows that factors such as age, academic level, and income affect the decision to reuse any service at the supermarket. The third frame of reference provides supermarket managers with forecast data about the supermarket business situation for 2021 to 2024. These results provide a solid foundation for supermarket managers seeking to develop strategies and take measures to adjust business activities to achieve the best business efficiency and avoid potential risks in the company’s supply chain. In addition, the results of this study are valuable references for researchers in the fields of customer service, supply chain management, and customer behavior. In particular, the factors obtained in this study will greatly strengthen the scientific value of the service sector and the model of retail supermarkets in Vietnam and other countries around the world. In fact, the business strategy of supermarkets still depends on the spread of COVID-19. Therefore, in the future, it is necessary to combine the results of this study with the experience of managers to develop the right business strategies and achieve further results and sustainable development. Full article
(This article belongs to the Special Issue Enterprise Risk Management)
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12 pages, 1085 KiB  
Article
Semiparametric Time-Series Model Using Local Polynomial: An Application on the Effects of Financial Risk Factors on Crop Yield
by Syed Ejaz Ahmed, Dursun Aydin and Ersin Yilmaz
J. Risk Financial Manag. 2022, 15(3), 141; https://doi.org/10.3390/jrfm15030141 - 16 Mar 2022
Cited by 1 | Viewed by 1801
Abstract
This paper proposes a semiparametric local polynomial estimator for modelling agricultural time-series. We consider the modelling of the crop yield variable according to determined financial risk factors in Turkey. The derivation of a semiparametric local polynomial estimator is provided with its fundamental statistical [...] Read more.
This paper proposes a semiparametric local polynomial estimator for modelling agricultural time-series. We consider the modelling of the crop yield variable according to determined financial risk factors in Turkey. The derivation of a semiparametric local polynomial estimator is provided with its fundamental statistical properties to estimate the semiparametric time-series model. This paper attaches importance to precision agriculture (PA) and therefore a local polynomial technique is considered due to some advantages it has over alternative methods. The introduced estimator provides less estimation risk, involving both parametric and nonparametric components that allow the estimator to represent the data structure better. From that, it can be said that the proposed estimator and model is beneficial to agricultural researchers for financial decision-making processes. Full article
(This article belongs to the Special Issue Technical Analysis in Financial Markets)
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18 pages, 646 KiB  
Article
Monetization of the Economies as a Priority of the New Monetary Policy in the Face of Economic Sanctions
by Svetlana Zenchenko, Wadim Strielkowski, Luboš Smutka, Tomáš Vacek, Yana Radyukova and Vladislav Sutyagin
J. Risk Financial Manag. 2022, 15(3), 140; https://doi.org/10.3390/jrfm15030140 - 16 Mar 2022
Cited by 8 | Viewed by 3941
Abstract
The purpose of this paper is to conduct a comparative analysis of monetization as a priority of the new monetary growth of the economies using the example of the Russian economy, identifying new trends in global practices of monetary factor management, as well [...] Read more.
The purpose of this paper is to conduct a comparative analysis of monetization as a priority of the new monetary growth of the economies using the example of the Russian economy, identifying new trends in global practices of monetary factor management, as well as the search for ways to stimulate economic growth using the best international experience. Our paper tackles the novel research question of whether changing the priorities of monetary policy from targeting (and curbing) inflation to stimulating economic growth might yield more favorable economic results and what best world practices should be appropriately introduced in Russia to improve the effectiveness of monetary policy. The key results of the paper are focused on a comparative analysis of the economies’ development under the influence of monetary factors in comparison with the most progressive economies, the study of the best practices for increasing the monetization of national economies, and the identification of recommendations for determining the most optimal way to increase economic growth through the monetization of the economy. Monetarist views on the decisive role of fiat money in the development of the real sector of the economy, capital markets, payment and settlement systems, the standard of living of the population, and other important aspects of macro- and microeconomics have become the mainstream of government regulation. It seemed that by finding the right indicators of the relationship between interest rates, GDP, and inflation, all problems of economic growth could be solved. By increasing the amount of money faster than the achieved economic growth, it was believed that it was possible to stimulate GDP growth through monetary investments and credit, i.e., more money was issued than the value produced represented by the goods and services. Accordingly, new money that had no value had to create new value. We argue that monetization can be seen as the main factor in providing such incentives. Our results can be useful for central bankers, policymakers, and stakeholders in the banking and financial sector. The conclusions and recommendations of the authors are based on studies conducted using such research methods as content analysis, logical analysis, and statistical analysis. Full article
(This article belongs to the Section Economics and Finance)
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25 pages, 20706 KiB  
Article
Spatial Analysis and Modeling of the Housing Value Changes in the U.S. during the COVID-19 Pandemic
by Xinba Li and Chihwa Kao
J. Risk Financial Manag. 2022, 15(3), 139; https://doi.org/10.3390/jrfm15030139 - 15 Mar 2022
Cited by 9 | Viewed by 4229
Abstract
COVID-19 has affected almost all sectors of the economy, including the real estate markets across different countries in the world. A rich body of literature has emerged in analyzing real estate market trends and revealing important information. However, few studies have used a [...] Read more.
COVID-19 has affected almost all sectors of the economy, including the real estate markets across different countries in the world. A rich body of literature has emerged in analyzing real estate market trends and revealing important information. However, few studies have used a spatial perspective to investigate the impact of COVID-19 on property values. The main purposes of this study are as follows: (1) to explore the spatial distribution and spatial patterns of housing price changes during the COVID-19 pandemic crisis in the U.S. real estate market and (2) to model the spatially nonstationary relationships between the housing price change and COVID-19 characteristics. We find that housing price changes differ across space and appear associated with the spatial distribution of the COVID-19 case rates. The housing market volatility is amplified by the uneven distribution of some socioeconomic factors. The spatially uneven housing price changes may bring an uneven spillover effect to the rest of the economy and lead to divergence in economic growth across different areas. Full article
(This article belongs to the Special Issue Economic and Financial Implications of COVID-19)
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29 pages, 1310 KiB  
Article
The Crowdfunding of Altruism
by Luisa Faust, Maura Kolbe, Sasan Mansouri and Paul P. Momtaz
J. Risk Financial Manag. 2022, 15(3), 138; https://doi.org/10.3390/jrfm15030138 - 15 Mar 2022
Cited by 6 | Viewed by 3103
Abstract
This paper introduces a machine learning approach to quantify altruism from the linguistic style of textual documents. We apply our method to a central question in (social) entrepreneurship: How does altruism impact entrepreneurial success? Specifically, we examine the effects of altruism on crowdfunding [...] Read more.
This paper introduces a machine learning approach to quantify altruism from the linguistic style of textual documents. We apply our method to a central question in (social) entrepreneurship: How does altruism impact entrepreneurial success? Specifically, we examine the effects of altruism on crowdfunding outcomes in Initial Coin Offerings (ICOs). The main result suggests that altruism and ICO firm valuation are negatively related. We, then, explore several channels to shed some light on whether the negative altruism-valuation relation is causal. Our findings suggest that it is not altruism that causes lower firm valuation; rather, low-quality entrepreneurs select into altruistic projects, while the marginal effect of altruism on high-quality entrepreneurs is actually positive. Altruism increases the funding amount in ICOs in the presence of high-quality projects, low asymmetric information, and strong corporate governance. Full article
(This article belongs to the Special Issue Token Offerings, Cryptocurrencies and Blockchain Technology)
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23 pages, 794 KiB  
Article
Further Tests of the ZCAPM Asset Pricing Model
by James W. Kolari, Jianhua Z. Huang, Wei Liu and Huiling Liao
J. Risk Financial Manag. 2022, 15(3), 137; https://doi.org/10.3390/jrfm15030137 - 15 Mar 2022
Cited by 1 | Viewed by 2384
Abstract
In a recent book, Kolari et al. developed a new theoretical capital asset pricing model dubbed the ZCAPM. Based on out-of-sample cross-sectional tests using U.S. stocks, the ZCAPM consistently outperformed well-known multifactor models popular in the finance literature. This paper presents further [...] Read more.
In a recent book, Kolari et al. developed a new theoretical capital asset pricing model dubbed the ZCAPM. Based on out-of-sample cross-sectional tests using U.S. stocks, the ZCAPM consistently outperformed well-known multifactor models popular in the finance literature. This paper presents further evidence that expands their sample period from 1927 to 2020. Results are provided for the subperiods 1927 to 1964 and 1965 to 2020. Our results corroborate those of KLH. In cross-sectional tests, the ZCAPM outperforms the CAPM as well as the Fama and French three-factor model and Carhart four-factor model. Outperformance is found in terms of both higher goodness of fit and the statistical significance of factor loadings. Interestingly, the earlier subperiod results highlight problems with the endogeneity of test assets in cross-sectional tests of multifactor models. Full article
(This article belongs to the Special Issue Frontiers of Asset Pricing)
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21 pages, 3006 KiB  
Article
Influence of Senior Executives Characteristics on Corporate Environmental Disclosures: A Bibliometric Analysis
by Hafiz Muhammad Arslan, Ye Chengang, Bilal, Muhammad Siddique and Yusra Yahya
J. Risk Financial Manag. 2022, 15(3), 136; https://doi.org/10.3390/jrfm15030136 - 11 Mar 2022
Cited by 19 | Viewed by 3923
Abstract
This study aims to synthesize the literature on the top management team (TMT) characteristics influence on environmental disclosures of public organizations and identify recent trends, key themes, influential journals, and authors. Our study recruited 88 research articles on the relationship of TMT characteristics [...] Read more.
This study aims to synthesize the literature on the top management team (TMT) characteristics influence on environmental disclosures of public organizations and identify recent trends, key themes, influential journals, and authors. Our study recruited 88 research articles on the relationship of TMT characteristics and environmental disclosures from 54 academic journals published from 2010 to 2021 for bibliometric analysis. Our study has identified three influential streams: (1) Role of Politically connections of TMT, good governance in environmental disclosures; (2) Significance of environmental disclosures and performance; and (3) institutional investors and environmental disclosures. Thematic map classifies the TMT characteristics and environmental disclosures relationship themes into four categories: Niche theme (e.g., financial expertise, CFO characteristics, CEO tenure, and board backgrounds); motor themes (e.g., environmental sustainability and climate change); emerging/declining themes (e.g., Environmental disclosure, managerial ownership, and CEO tenure); and basic/transversal themes (e.g., CEO characteristics, upper echelon theory, corporate governance). This study assists academicians, policymakers, managers, and consultants in the corporate sector to understand the role of different dimensions of TMT characteristics regarding environmental disclosures. Our study concludes with important practical implications and future research directions. Full article
(This article belongs to the Special Issue Sustainable Development and CSR – Perfect Match?)
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23 pages, 2376 KiB  
Article
The Interplay between Digitalization, Education and Financial Development: A European Case Study
by Alexandra Horobet, Irina Mnohoghitnei, Emanuela Marinela Luminita Zlatea and Lucian Belascu
J. Risk Financial Manag. 2022, 15(3), 135; https://doi.org/10.3390/jrfm15030135 - 11 Mar 2022
Cited by 5 | Viewed by 3251
Abstract
The paper explores the relationship between education, digitalization, and financial development between 1996 and 2019 with the aim of showcasing the differences between developed and emerging economies in Europe. We use a Bayesian VAR framework that includes variables related to education, digitalization, and [...] Read more.
The paper explores the relationship between education, digitalization, and financial development between 1996 and 2019 with the aim of showcasing the differences between developed and emerging economies in Europe. We use a Bayesian VAR framework that includes variables related to education, digitalization, and financial development, as well as several endogenous variables to control for differences between countries in terms of nominal GDP growth, unemployment rate, and trade openness. Our findings clearly demonstrate the dynamic interdependence between financial development—including its two main components, financial institutions, and financial markets, digitalization, and education. Furthermore, we find that education is a leading variable in the financial development–education–digitalization nexus, whereas financial development and digitalization are laggard variables. These findings open possibilities for influencing joint policies on digitalization, education, and financial development, particularly in emerging European countries. Full article
(This article belongs to the Section Economics and Finance)
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42 pages, 2862 KiB  
Article
Measures of Volatility, Crises, Sentiment and the Role of U.S. ‘Fear’ Index (VIX) on Herding in BRICS (2007–2021)
by Hang Zhang and Evangelos Giouvris
J. Risk Financial Manag. 2022, 15(3), 134; https://doi.org/10.3390/jrfm15030134 - 11 Mar 2022
Cited by 5 | Viewed by 27119
Abstract
We look into determinants (volatility, crises, sentiment and the U.S. ‘fear’ index) of herding using BRICS as our sample. Investors herd selectively to crises and herding is a short-lived phenomenon. Herding was highest during the global financial crisis (only China was affected). There [...] Read more.
We look into determinants (volatility, crises, sentiment and the U.S. ‘fear’ index) of herding using BRICS as our sample. Investors herd selectively to crises and herding is a short-lived phenomenon. Herding was highest during the global financial crisis (only China was affected). There was no herding during the European debt crisis and COVID. With regard to the relationship between volatility and CSAD (cross sectional absolute deviation)/herding, a lower CSAD (movement in a specific direction) brings about less volatility. However, a high volatility amplifies herding (reduces CSAD), especially in China. Russia and South Africa are unresponsive to volatility levels (low/high) and herding. We also observe volatility heterogeneity. Different volatility measures have different effects on different markets. There is limited evidence to suggest that sentiment (based on principal component) Granger causes herding/CSAD. Herding is a period and market variant and unrelated to crises. The U.S. ‘fear’ index has a short-lived, limited effect on CSAD/herding (during COVID only) for all countries except China. In addition, Granger causality analysis indicates a two-way relationship between the U.S. ‘fear’ index and CSAD/herding, unrelated to crises. Full article
(This article belongs to the Special Issue Financial Markets in Times of Crisis)
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15 pages, 563 KiB  
Article
Examining Farm Financial Management: How Do Small US Farms Meet Their Agricultural Expenses?
by Omobolaji Omobitan and Aditya R. Khanal
J. Risk Financial Manag. 2022, 15(3), 133; https://doi.org/10.3390/jrfm15030133 - 10 Mar 2022
Cited by 4 | Viewed by 4941
Abstract
Small farms in the US have significant challenges in financial management. This study examines how small farmers undertake farm financial management to meet their agricultural and farm-related spending and expenses. Using primary survey data from Tennessee, the study investigates the factors influencing the [...] Read more.
Small farms in the US have significant challenges in financial management. This study examines how small farmers undertake farm financial management to meet their agricultural and farm-related spending and expenses. Using primary survey data from Tennessee, the study investigates the factors influencing the extent of use of five financing sources to meet the spending and expenses: cash/fund directly generated from the sale of agricultural products, farmer’s past savings, farm household’s off-farm income, income/incentives from government payments, and external loans. Using negative binomial regression estimation of generalized linear models, findings suggest that the decision on the use of financing sources is significantly influenced in general by age, education, income and land acreage holdings, off-farm work, and risk factors related to farmer or farm household. However, the associated factors and their effects on the extent of use are different depending on the financing source. Full article
(This article belongs to the Section Applied Economics and Finance)
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20 pages, 633 KiB  
Article
Copulas and Portfolios in the Electric Vehicle Sector
by Andrej Stenšin and Daumantas Bloznelis
J. Risk Financial Manag. 2022, 15(3), 132; https://doi.org/10.3390/jrfm15030132 - 10 Mar 2022
Viewed by 2154
Abstract
How can investors unlock the returns on the electric vehicle industry? Available investment choices range from individual stocks to exchange traded funds. We select six representative assets and characterize the time-varying joint distribution of their returns by copula-GARCH models. They facilitate portfolio optimization [...] Read more.
How can investors unlock the returns on the electric vehicle industry? Available investment choices range from individual stocks to exchange traded funds. We select six representative assets and characterize the time-varying joint distribution of their returns by copula-GARCH models. They facilitate portfolio optimization targeted at a chosen combination of risk and reward. With daily data from 2012 to 2020, we illustrate the models’ applicability by building a minimum expected shortfall portfolio and comparing its performance to that of an equally weighted benchmark. Our results should be of interest to investors and risk managers seeking or facing exposure to the electric vehicle sector. Full article
(This article belongs to the Section Mathematics and Finance)
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29 pages, 6780 KiB  
Article
Corporate Failure Risk Assessment for Knowledge-Intensive Services Using the Evidential Reasoning Approach
by Meng-Meng Tan, Dong-Ling Xu and Jian-Bo Yang
J. Risk Financial Manag. 2022, 15(3), 131; https://doi.org/10.3390/jrfm15030131 - 10 Mar 2022
Cited by 4 | Viewed by 2601
Abstract
In this study, a new risk assessment model is developed and the evidence reasoning (ER) approach is applied to assess failure risk of knowledge-intensive services (KIS) corporates in the UK. General quantitative financial indicators alone (e.g., operational capability or profitability) cannot comprehensively evaluate [...] Read more.
In this study, a new risk assessment model is developed and the evidence reasoning (ER) approach is applied to assess failure risk of knowledge-intensive services (KIS) corporates in the UK. General quantitative financial indicators alone (e.g., operational capability or profitability) cannot comprehensively evaluate the probability of company bankruptcy in the KIS sector. This new model combines quantitative financial indicators with macroeconomic variables, industrial factors and company non-financial criteria for robust and balanced risk analysis. It is based on the theory of enterprise risk management (ERM) and can be used to analyze company failure possibility as an important aspect of risk management. This study provides new insight into the selection of macro and industry factors based on statistical analysis. Another innovation is related to how marginal utility functions of variables are constructed and imperfect data can be handled in a distributed assessment framework. It is the first study to convert observed data into probability distributions using the likelihood analysis method instead of subjective judgement for data-driven risk analysis of company bankruptcy in the KIS sector within the ER framework, which makes the model more interpretable and informative. The model can be used to provide an early warning mechanism to assist stakeholders to make investment and other decisions. Full article
(This article belongs to the Special Issue Corporate Finance)
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22 pages, 1559 KiB  
Article
The Determinants of Outward Foreign Direct Investment from Latin America and the Caribbean: An Integrated Entropy-Based TOPSIS Multiple Regression Analysis Framework
by Henrique Correa da Cunha, Vikkram Singh and Shengkun Xie
J. Risk Financial Manag. 2022, 15(3), 130; https://doi.org/10.3390/jrfm15030130 - 09 Mar 2022
Cited by 6 | Viewed by 2804
Abstract
Given that home country factors play a major role in the internationalization of emerging market firms, there is an ever-growing debate on how they influence the intensity of outward foreign direct investment (OFDI) from these regions. This study investigates how home country factors [...] Read more.
Given that home country factors play a major role in the internationalization of emerging market firms, there is an ever-growing debate on how they influence the intensity of outward foreign direct investment (OFDI) from these regions. This study investigates how home country factors affect the OFDI intensity in Latin America and Caribbean (LAC) countries. We use the entropy weight method, which uses the Technique for Order of Preference by Similarity to Ideal Solution (TOPSIS) method and a balanced panel data consisting of 19 countries from 2007 to 2016. The results show a positive association between macroeconomic performance, formal institutions, infrastructure, technology and the OFDI intensity. Furthermore, we find that robust formal institutions, along with the quality of infrastructure and technology, positively moderate the relationship between macroeconomic performance and the OFDI intensity. These findings show that the internationalization of LAC firms is highly dependent on the contextual conditions in their markets. Full article
(This article belongs to the Special Issue Foreign Direct Investment and International Trade)
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17 pages, 1928 KiB  
Article
Application of Social Network Analysis to Visualization and Description of Industrial Clusters: A Case of the Textile Industry
by Marina Y. Sheresheva, Lilia A. Valitova, Elena R. Sharko and Ekaterina V. Buzulukova
J. Risk Financial Manag. 2022, 15(3), 129; https://doi.org/10.3390/jrfm15030129 - 08 Mar 2022
Cited by 2 | Viewed by 3745
Abstract
This paper discusses the issues of industrial cluster analysis. Initially, the authors explore theoretical approaches to understanding the clusters phenomenon and their identification and analysis. Looking at industrial clusters as network structures connected by various forms of interaction between members, such as ownership [...] Read more.
This paper discusses the issues of industrial cluster analysis. Initially, the authors explore theoretical approaches to understanding the clusters phenomenon and their identification and analysis. Looking at industrial clusters as network structures connected by various forms of interaction between members, such as ownership linkages, transactions, the presence of common counterparts, and participation in arbitration processes, the authors propose visualizing clusters using social network analysis metrics. This approach helps to address one of the main difficulties when contacting the members of industrial clusters for a subsequent survey or in-depth interviewing. The analysis concludes with a discussion of the proposed method as a way to identify cluster members and determine the most significant ones that are the primary nodes of the network. These key members usually possess enough relevant information about the structure, coordination mechanisms, general strategy, and cluster management system. Therefore, it is possible to limit the list of interviewed respondents without a substantial loss in empirical data quality. The case of the textile industry cluster presented in this paper confirms the applicability of social network analysis to the visualization and description of industrial clusters. Full article
(This article belongs to the Special Issue Trends in Information Technology)
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7 pages, 292 KiB  
Communication
Outliers and Time-Varying Jumps in the Cryptocurrency Markets
by Anupam Dutta and Elie Bouri
J. Risk Financial Manag. 2022, 15(3), 128; https://doi.org/10.3390/jrfm15030128 - 08 Mar 2022
Cited by 15 | Viewed by 2506
Abstract
We examine the presence of outliers and time-varying jumps in the returns of four major cryptocurrencies (Bitcoin, Ethereum, Ripple, Dogecoin, Litecoin), and a broad cryptocurrency index (CCI30). The results indicate that only Bitcoin returns are contaminated with outliers. Time-varying jumps are present in [...] Read more.
We examine the presence of outliers and time-varying jumps in the returns of four major cryptocurrencies (Bitcoin, Ethereum, Ripple, Dogecoin, Litecoin), and a broad cryptocurrency index (CCI30). The results indicate that only Bitcoin returns are contaminated with outliers. Time-varying jumps are present in Bitcoin, Litecoin, Ripple, and the cryptocurrency index. Notably, the presence of jumps in Bitcoin is significant after correcting for outliers. The main findings point to a price instability in some major cryptocurrencies and thereby the importance of accounting for large shocks and time-varying jumps in modelling volatility in the debatable cryptocurrency markets. Full article
(This article belongs to the Special Issue Frontiers of Asset Pricing)
11 pages, 301 KiB  
Article
Responses of the International Bond Markets to COVID-19 Containment Measures
by Bao Cong Nguyen To, Tam Van Thien Nguyen, Nham Thi Hong Nguyen and Hoai Thu Ho
J. Risk Financial Manag. 2022, 15(3), 127; https://doi.org/10.3390/jrfm15030127 - 08 Mar 2022
Cited by 4 | Viewed by 2778
Abstract
Using an international sample during the COVID-19 outbreak, our study gives evidence that COVID-19 containment measures impact volatility in the international bond markets in different ways. We found that the positive effect of increasing new COVID-19 vaccinations markedly mitigates bond market volatility, while [...] Read more.
Using an international sample during the COVID-19 outbreak, our study gives evidence that COVID-19 containment measures impact volatility in the international bond markets in different ways. We found that the positive effect of increasing new COVID-19 vaccinations markedly mitigates bond market volatility, while non-pharmaceutical government interventions resembling bad news increase volatility in bond markets. Besides this, changes in total COVID-19 cases and total deaths have co-movement and a significant relationship with this volatility. Our results imply that the investors’ responses to the trigger of increased uncertainty seem to differ in a way that depends on bad or good news as a reflection of the possibility of pandemic control and the health of the economy. The mass vaccinations not only signal a lower probability of stringent government responses to the pandemic but also stabilize investors’ behavior and mitigate compliance fears to open a period of safe living with coronavirus. Our findings are still robust when using alternative measures of independent variables and different forecasting models of conditional volatility. Full article
(This article belongs to the Special Issue Financial Markets, Financial Volatility and Beyond)
25 pages, 2361 KiB  
Article
The Impact of the U.S. Macroeconomic Variables on the CBOE VIX Index
by Akhilesh Prasad, Priti Bakhshi and Arumugam Seetharaman
J. Risk Financial Manag. 2022, 15(3), 126; https://doi.org/10.3390/jrfm15030126 - 07 Mar 2022
Cited by 8 | Viewed by 5358
Abstract
The purpose of this study is to find the influence of various macroeconomic factors on the volatility index, as macroeconomic factors affect stock market volatility, resulting in an impact on the VIX Index, representing the risk in the stock market. To estimate the [...] Read more.
The purpose of this study is to find the influence of various macroeconomic factors on the volatility index, as macroeconomic factors affect stock market volatility, resulting in an impact on the VIX Index, representing the risk in the stock market. To estimate the significance and importance of the U.S. macroeconomic variables on stock market volatility and risk, classification problems from machine learning are constructed to predict the daily and weekly trends of the VIX Index. Data from May 2007 to December 2021 is considered for analysis. The selected models are trained with twenty-four daily features and twenty-four plus nine weekly features. The outcomes suggest that the decisions made by the Light GBM and XG Boost on ranking features can be significantly accepted over logistic regression. It is found from the results that economic policy uncertainty indices, gold price, the USD Index, and crude oil are signified as strong predictors. The Financial Stress Index, initial claims, M2, TED spread, Fed rate, and credit spread are also strong predictors, while various yields on fixed income securities make a little less impact on the VIX Index. The TED spread, Financial Stress Index, and Equity Market Volatility (Infectious Disease Tracker) are positively associated with the VIX. Full article
(This article belongs to the Section Business and Entrepreneurship)
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19 pages, 1196 KiB  
Article
Fintech and Financial Health in Vietnam during the COVID-19 Pandemic: In-Depth Descriptive Analysis
by Robert Jeyakumar Nathan, Budi Setiawan and Mac Nhu Quynh
J. Risk Financial Manag. 2022, 15(3), 125; https://doi.org/10.3390/jrfm15030125 - 06 Mar 2022
Cited by 28 | Viewed by 8380
Abstract
The growing popularity of smartphones and the proliferation of technology have accelerated the development of the digital payment industry. Fintech enables customers to access financial services more efficiently and faster than traditional business, especially during the COVID-19 pandemic due to health protocols, including [...] Read more.
The growing popularity of smartphones and the proliferation of technology have accelerated the development of the digital payment industry. Fintech enables customers to access financial services more efficiently and faster than traditional business, especially during the COVID-19 pandemic due to health protocols, including restrictions on physical contact. This study investigates financial literacy, fintech adoption, and the impact of the COVID-19 crisis on the financial health of consumers in Vietnam. The relatively higher level of the unbanked population in Vietnam and the lower level of adult financial literacy compared with the ASEAN region motivated this study. Based on judgment sampling, participants were approached using the mall intercept technique, and those familiar with fintech were selected for the research interview. Thirty participants were interviewed and were given a survey form to be filled online using their mobile phones. Data analysis was conducted using IBM SPSS software version 23. Perceived ease of use, perceived usefulness, trust, brand image, government support, user innovativeness, and attitude are found to be significantly correlated with fintech adoption in Vietnam, while financial literacy was found to be not significantly correlated with fintech adoption. Furthermore, further analysis using multiple linear regression revealed user innovativeness and attitude have a positive impact towards fintech adoption, and in contrast, financial literacy showed significant negative impact on fintech. This inverse relationship could indicate that in Vietnam, fintech may play a role of bringing financial inclusion where people with lower financial literacy are able to use technology for financial transactions, which was previously inaccessible to them. This could also mean that Vietnamese with higher financial literacy do not see fintech as an important tool for their financial transactions, as they may already have strong access to traditional financial facilities. This research contributes to knowledge in the field of Fintech adoption in Vietnam at the time of the COVID-19 outbreak. To foster greater financial inclusivity and access for the Vietnamese consumers, policy makers could promote the development of fintech business infrastructure and regulatory sandboxes to foster fintech startups. Full article
(This article belongs to the Special Issue The Impact of COVID-19 Outbreak on Business Sustainability & Financial Risk Analysis)
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14 pages, 292 KiB  
Review
Metatheoretical Issues of the Evolution of the International Political Economy
by Aleksy Kwilinski, Nataliya Dalevska and Vyacheslav V. Dementyev
J. Risk Financial Manag. 2022, 15(3), 124; https://doi.org/10.3390/jrfm15030124 - 05 Mar 2022
Cited by 59 | Viewed by 3243
Abstract
The topicality of the international political economy is determined by the complexity and dynamism of transformation processes in the world economic system, which are developing through information networks and financial technologies. The purpose of the article is to reveal the meta-theory elements of [...] Read more.
The topicality of the international political economy is determined by the complexity and dynamism of transformation processes in the world economic system, which are developing through information networks and financial technologies. The purpose of the article is to reveal the meta-theory elements of the international political economy in the context of their renewal in the context of the world economic system development in the wave of “information society”. To obtain scientifically sound results, the article uses the historical–logical method, the dialectical method of proceeding from the abstract to the concrete, institutional and evolutionary approaches. The article develops theoretical and methodological foundations for developing the international political economy. It is substantiated that the research agenda of the international political economy is characterized by socio-integrative trends of economic development in the global dimension. The interaction among actors of international relations is analyzed, and the structural components of their functional transformation under the conditions of integration processes advance within the world political and economic space are determined. It is concluded that the international political economy serves as a theoretical foundation, an integral general theoretical basis for establishing adaptive conceptual frameworks for building trust and solidarity among the subjects of the world economic system. Theoretical and methodological principles of the international political economy should be based on analyzing systemic and structural transformations of the world economic system; determining the criteria of social legitimacy of international authorities, based on the norms and values of social and environmental justice; and developing conditions for fulfilling the individual’s creative potential the field of world social capital. Full article
(This article belongs to the Special Issue Trends in Information Technology)
11 pages, 309 KiB  
Article
The COVID-19 Health Crisis and Its Impact on China’s International Relations
by Jean-Pierre Cabestan
J. Risk Financial Manag. 2022, 15(3), 123; https://doi.org/10.3390/jrfm15030123 - 04 Mar 2022
Cited by 9 | Viewed by 5458
Abstract
Using qualitative methods, this article focuses on the relationship between the COVID-19 health crisis and China’s foreign policy and foreign relations. My main argument is that since its outbreak in late 2019, the COVID-19 health crisis has deepened the tensions already existing between [...] Read more.
Using qualitative methods, this article focuses on the relationship between the COVID-19 health crisis and China’s foreign policy and foreign relations. My main argument is that since its outbreak in late 2019, the COVID-19 health crisis has deepened the tensions already existing between China and the United States, as well as China and the West in general. Other factors that appeared before the pandemic have also contributed to intensifying the Sino-US rivalry as well as Sino-European frictions. Nonetheless, Beijing’s proactive mask and vaccine diplomacy, its strict lockdown policy as well as its more aggressive nationalist and anti-western narrative have fed rather than alleviated these tensions. While China’s image in the Global South has remained largely positive, in the Global North, it has rapidly deteriorated. All in all, this paper demonstrates that the pandemic has been an aggravating factor contributing to the downward spiral of China’s relations with the outside world as well as its own isolation. Full article
(This article belongs to the Special Issue Transnational and Transdisciplinary Lessons of COVID 19 From the Perspective of Risk and Management)
20 pages, 391 KiB  
Article
The Effect of Financial Inclusion and Competitiveness on Financial Stability: Why Financial Regulation Matters in Developing Countries?
by João Jungo, Mara Madaleno and Anabela Botelho
J. Risk Financial Manag. 2022, 15(3), 122; https://doi.org/10.3390/jrfm15030122 - 04 Mar 2022
Cited by 22 | Viewed by 5555
Abstract
This study aims to assess the effect of financial inclusion and competitiveness on banks’ financial stability, considering the moderating role of financial regulation. To do so, we compare the effects of these variables in Sub-Saharan African (SSA) and Latin American and Caribbean (LAC) [...] Read more.
This study aims to assess the effect of financial inclusion and competitiveness on banks’ financial stability, considering the moderating role of financial regulation. To do so, we compare the effects of these variables in Sub-Saharan African (SSA) and Latin American and Caribbean (LAC) countries. Our results suggest that inclusion enhances bank stability in SSA and LAC countries, and financial regulation contributes to increasing financial stability in LAC countries, while we find no statistical significance in the effect of financial regulation on financial stability in SSA countries. Moreover, competitiveness negatively impacts financial stability, and financial regulation moderates the negative effect of competitiveness on financial stability in SSA and LAC countries. We also find that financial inclusion reduces credit risk in SSA countries, and for LAC countries financial inclusion increases credit risk and reduces bank profitability. Regarding the practical implications, this study shows that fostering financial inclusion in the countries under study contributes significantly to improving the welfare of households and especially to the stability of the financial system. The present study allows expanding of the scarce literature by examining the effect of financial inclusion and market structure on financial stability in two different samples, consisting of 41 countries in the SSA region and 31 countries in the LAC region, throughout 2005–2018. Full article
(This article belongs to the Section Economics and Finance)
3 pages, 186 KiB  
Editorial
Housing Real Estate Economics and Finance
by Rita Yi Man Li
J. Risk Financial Manag. 2022, 15(3), 121; https://doi.org/10.3390/jrfm15030121 - 04 Mar 2022
Cited by 1 | Viewed by 2672
Abstract
Housing research is one of the hot topics in many countries. This paper provides a quick review of the housing economics research in the US, Sweden, Latvia, China, Corsica, and Italy published in this special issue. Bao and Shah studied the effects of [...] Read more.
Housing research is one of the hot topics in many countries. This paper provides a quick review of the housing economics research in the US, Sweden, Latvia, China, Corsica, and Italy published in this special issue. Bao and Shah studied the effects of home-sharing platforms in general and the effects of the US’ Airbnb on neighbourhood rent. Wilhelmsson’s results showed that interest rates directly affected house prices and indirectly affected bank loans in Sweden. Caudill and Mixon threw light on the relative negotiating power of the buyer and seller as a key element of real estate price models. Čirjevskis presented a real application of “step-by-step” valuation options for real estate development projects as a managerial risk management tool for similar real estate development projects in the EU to make investment decisions during COVID-19 and in the post-COVID-19 era. Pelizza and Schenk-Hoppé used an exponential Ornstein–Uhlenbeck process to model price dynamics provincially and regionally to estimate the liquidation value. Full article
(This article belongs to the Special Issue Real Estate Economics and Finance)
13 pages, 558 KiB  
Article
Do Post-Corona European Economic Policies Lift Growth Prospects? Exploring an ML-Methodology
by Bodo Herzog
J. Risk Financial Manag. 2022, 15(3), 120; https://doi.org/10.3390/jrfm15030120 - 04 Mar 2022
Cited by 1 | Viewed by 1854
Abstract
This article explores the determinants of people’s growth prospects in survey data as well as the impact of the European recovery fund to future growth. The focus is on the aftermath of the Corona pandemic, which is a natural limit to the sample [...] Read more.
This article explores the determinants of people’s growth prospects in survey data as well as the impact of the European recovery fund to future growth. The focus is on the aftermath of the Corona pandemic, which is a natural limit to the sample size. We use Eurobarometer survey data and macroeconomic variables, such as GDP, unemployment, public deficit, inflation, bond yields, and fiscal spending data. We estimate a variety of panel regression models and develop a new simulation-regression methodology due to limitation of the sample size. We find the major determinant of people’s growth prospect is domestic GDP per capita, while European fiscal aid does not significantly matter. In addition, we exhibit with the simulation-regression method novel scientific insights, significant outcomes, and a policy conclusion alike. Full article
(This article belongs to the Section Applied Economics and Finance)
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12 pages, 306 KiB  
Article
Financial Institution Type and Firm-Related Attributes as Determinants of Loan Amounts
by Edmund Mallinguh and Zeman Zoltan
J. Risk Financial Manag. 2022, 15(3), 119; https://doi.org/10.3390/jrfm15030119 - 04 Mar 2022
Cited by 1 | Viewed by 2861
Abstract
Access to formal credit remains critical for business operations, particularly for firms unable to generate sufficient funds internally. Using the World Bank’s Enterprise Survey dataset, 2018, we analyzed 230 Kenyan firms that applied for loans. These loans are sourced from banks (private, commercial, [...] Read more.
Access to formal credit remains critical for business operations, particularly for firms unable to generate sufficient funds internally. Using the World Bank’s Enterprise Survey dataset, 2018, we analyzed 230 Kenyan firms that applied for loans. These loans are sourced from banks (private, commercial, or state-owned) or non-banking financial institutions. Specifically, the paper explores the effect of financial institution type and firm-related characteristics on loan amounts advanced. The results show that the preferred credit provider matters, with the sensitivity level varying among the three institutional types. Additionally, the collateralization value, the owner’s equity proportion of fixed assets, and any existing credit facility correlate positively with the outcome variable. There is an inverse relationship between the largest shareholder’s ownership and the loan amount. The study uses the new product (service) launches to measure innovation. The findings suggest that firms in the innovation process access higher loan amounts than their non-innovative peers. Be that as it may, the difference in amount effect size between the two groups is small based on Cohen’s d rule. The paper highlights the theoretical and practical implications of these findings. Full article
(This article belongs to the Special Issue Corporate Finance)
18 pages, 587 KiB  
Article
The Elephant in the Dark: A New Framework for Cryptocurrency Taxation and Exchange Platform Regulation in the US
by Koray Caliskan
J. Risk Financial Manag. 2022, 15(3), 118; https://doi.org/10.3390/jrfm15030118 - 04 Mar 2022
Cited by 4 | Viewed by 4691
Abstract
The proliferation of cryptocurrencies and the remarkable expansion of novel economic practices associated with them pose an unprecedented challenge to established norms of taxation and market regulation. Drawing on two years of fieldwork, surveys, as well as big data analysis of the most [...] Read more.
The proliferation of cryptocurrencies and the remarkable expansion of novel economic practices associated with them pose an unprecedented challenge to established norms of taxation and market regulation. Drawing on two years of fieldwork, surveys, as well as big data analysis of the most valuable 100 cryptocurrencies’ white papers and the terms of service agreements of all cryptocurrency exchange platforms, this paper proposes an evidence-based framework to design a novel regulation and taxation approach to cryptocurrencies and their markets by using the US as case study. This new framework calls for approaching cryptocurrencies as data money. Drawing on the material political economy of new digital financial practices, the paper locates the universe of taxable events and invisible/vague regulation areas by approaching exchange platforms as stacked economization processes. We need to make sense of these new economic spaces in order to imagine more effective regulative instruments addressing questions of economic actor protection and efficiency. The paper concludes by proposing a new instrument of taxation (Data Money Tax) and a dynamic regulative approach to cryptocurrency exchange platforms (Stack Regulation). Full article
(This article belongs to the Special Issue Recent Developments in Cryptocurrency Markets)
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18 pages, 508 KiB  
Article
The Effect of Monetary Policy and Private Investment on Green Finance: Evidence from Hungary
by Goshu Desalegn, Maria Fekete-Farkas and Anita Tangl
J. Risk Financial Manag. 2022, 15(3), 117; https://doi.org/10.3390/jrfm15030117 - 03 Mar 2022
Cited by 16 | Viewed by 4274
Abstract
The objective of this study was to examine the effect of monetary policy and private investment on green finance in the case of Hungary. The study used an explanatory research design and a quantitative research approach. Quarterly secondary time series data over 8 [...] Read more.
The objective of this study was to examine the effect of monetary policy and private investment on green finance in the case of Hungary. The study used an explanatory research design and a quantitative research approach. Quarterly secondary time series data over 8 years (2013–2020) were utilized. More specifically, the study used Johnson co-integration test and vector error correction model to investigate the long and short-run relationship among variables. The study’s findings imply that monetary policy, as measured by interest rates and the broad money supply, has a mixed effect on the level of green financing. Interest rates, in particular, have a negative and significant relationship with green finance in both the long and short run. However, a broad money supply has a positive but insignificant relationship with green finance in the long run. Private investment has a positive and significant relationship with green financing in both the long and short run. The study also used inward and outward foreign direct investment, and greenhouse gas as a control variable of the study. The study finding implies that inward foreign direct investment has a positive and significant relationship with green financing in both the long and short run. On the other hand, outward foreign direct investment and the level of greenhouse gas have a negative and significant relationship with green finance in both the long and short run. The study also discovered that over time series, disturbance in domestic private investment was the most determinant factor in forecast error variance of green financing. In addition, the result of document analysis shows that the majority of Hungarian credit institutions are dealing with their corporate strategy rather than their sustainability strategy. Hence, progressive approaches are needed from the credit institution to frame their strategy under the concept of sustainable development goals. The finding of this study will contribute to the existing literature on the study area, provide suggestions on green finance and green monetary policy approaches, provide implications on key stakeholders of green financing, as well as the experience of different economies. The study advises central banks, credit institutions, and regulatory authorities to consider both neoliberal and reformist approaches of green finance and green monetary policies in aid to increase green investment. Full article
(This article belongs to the Section Sustainability and Finance)
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9 pages, 715 KiB  
Article
A Study of the Machine Learning Approach and the MGARCH-BEKK Model in Volatility Transmission
by Prashant Joshi, Jinghua Wang and Michael Busler
J. Risk Financial Manag. 2022, 15(3), 116; https://doi.org/10.3390/jrfm15030116 - 02 Mar 2022
Cited by 4 | Viewed by 2942
Abstract
This study analyzes the volatility spillover effects in the US stock market (S&P500) and cryptocurrency market (BGCI) using intraday data during the COVID-19 pandemic. As the potential drivers of portfolio diversification, we measure the asymmetric volatility transmission on both markets. We apply MGARCH-BEKK [...] Read more.
This study analyzes the volatility spillover effects in the US stock market (S&P500) and cryptocurrency market (BGCI) using intraday data during the COVID-19 pandemic. As the potential drivers of portfolio diversification, we measure the asymmetric volatility transmission on both markets. We apply MGARCH-BEKK and the algorithm-based GA2M machine learning model. The negative shocks to returns impact the S&P500 and the cryptocurrency market more than the positive shocks on both markets. This study also indicates evidence of unidirectional cross-market asymmetric volatility transmission from the cryptocurrency market to the S&P500 during the COVID-19 pandemic. The research findings show the potential benefit of portfolio diversification between the S&P500 and BGCI. Full article
(This article belongs to the Special Issue Machine Learning Applications in Finance)
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