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Int. J. Financial Stud., Volume 11, Issue 4 (December 2023) – 36 articles

Cover Story (view full-size image): The figure plots represent the months between 2020 and 2023 when there was a statistically significant relationship between the returns of 53 assets and their betas concerning Bauer and Swanson’s monetary policy measure. The coefficients show how investors’ responses to monetary policy affected assets with an average exposure to contractionary monetary policy. The figure also shows that investors in 2020 anticipated more flexible monetary policies. Although inflation soared in 2021, investors did not foresee a tighter policy. As inflation increased in 2022, investors factored in the likelihood of contractionary monetary policy changes. It is striking how investors’ perceptions of monetary policy changed from month to month in 2022. View this paper
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19 pages, 2213 KiB  
Article
Impact of Motivational Workshop on Financial Inclusion of Rural People in Bangladesh: Evidence from Randomized Controlled Trial
by Md Monzur Morshed and Keshav Lall Maharjan
Int. J. Financial Stud. 2023, 11(4), 151; https://doi.org/10.3390/ijfs11040151 - 15 Dec 2023
Viewed by 1560
Abstract
Despite the expansion of financial institutions and the proliferation of mobile financial services, reaching the unbanked and bringing them under formal financial services has become a policy concern in many developing countries. Due to the lack of financial accounts, unbanked people prefer informal, [...] Read more.
Despite the expansion of financial institutions and the proliferation of mobile financial services, reaching the unbanked and bringing them under formal financial services has become a policy concern in many developing countries. Due to the lack of financial accounts, unbanked people prefer informal, risky, and inconvenient mechanisms for receiving, sending, and transferring money. Previous studies rely much on common interventions like no account maintenance and opening fees, easy documentation processes, and money subsidies for opening financial accounts. This study aims to examine the impact of the motivational workshop on opening savings accounts through causality among the unbanked people in a setting where the respondents are unbanked despite having all the requirements and many institutional offers to open savings accounts. We encouraged the unbanked people through a one-hour-long motivational workshop to open savings accounts. Based on our cross-sectional data and randomized controlled trial experiment among the 505 unbanked rural people at Dhubil union under Sirajganj in Bangladesh, we have evidence that motivational workshop positively impacts opening accounts by 32.33 percent. However, the account opening rate differs in terms of respondent’s preference for financial institutions. Our study also finds that unbanked people have the highest preference for mobile financial services for opening accounts resulting in 15.33 percent. The result of this study has some policy implications for adopting effective strategies for universal financial access in many developing countries. Full article
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14 pages, 317 KiB  
Article
Climate Change Risks Disclosure: Do Business Strategy and Management Characteristics Matter?
by Mahfod M. Aldoseri and Maged M. Albaz
Int. J. Financial Stud. 2023, 11(4), 150; https://doi.org/10.3390/ijfs11040150 - 14 Dec 2023
Viewed by 2343
Abstract
This research aims to broaden the understanding of the determinants of climate change disclosure, where the study analyzes the impact of corporate business strategy and Chief Executive Officer (CEO) overconfidence on the level of climate change disclosure. The study followed a mixed-methods approach [...] Read more.
This research aims to broaden the understanding of the determinants of climate change disclosure, where the study analyzes the impact of corporate business strategy and Chief Executive Officer (CEO) overconfidence on the level of climate change disclosure. The study followed a mixed-methods approach that combines quantitative and qualitative techniques to comprehensively examine the relationships used by the content analysis method to analyze the annual reports of a sample of Saudi companies for the period from 2019 to 2022 to measure the level of disclosure of practices related to climate change. The results of the study show that the companies that tend to adopt the initiative strategy provide more information about climate change than the defending companies do, while the CEO’s overconfidence does not affect the level of climate change disclosure. The results of the study indicate that the nature of the strategic direction adopted by the company is more important in determining the motives for disclosing climate change information than the personal characteristics of management. Full article
15 pages, 768 KiB  
Article
Dynamic Stability of Public Debt: Evidence from the Eurozone Countries
by Epameinondas Katsikas, Nikiforos T. Laopodis and Konstantinos Spanos
Int. J. Financial Stud. 2023, 11(4), 149; https://doi.org/10.3390/ijfs11040149 - 13 Dec 2023
Viewed by 1507
Abstract
This paper investigates the dynamic stability of public debt and its solvency condition in the face of crisis periods (1980–2021) in a sample of 11 euro-area countries. The focus is on the feedback loop between the dynamic stability of public debt and interest [...] Read more.
This paper investigates the dynamic stability of public debt and its solvency condition in the face of crisis periods (1980–2021) in a sample of 11 euro-area countries. The focus is on the feedback loop between the dynamic stability of public debt and interest rates, discounted by economic growth, in conjunction with budget deficits during tranquil and turbulent periods. Using the GMM panel dynamic model, the results show that dynamic stability was the case before the global financial crisis (GFC), while from GFC to the pandemic, dynamic instability prevailed and persisted in the evolution of public debt. Furthermore, panel threshold estimates show that dynamic instability of debt starts to violate the solvency condition when the borrowing cost is above 3.29%, becomes even stronger when it is above 4.39%, and exerts even more pressure when the level of debt is greater than 91%. However, the debt sustainability condition reverses course when economic growth is higher than 3.4%. The main policy implication drawn from the results is that low interest rates can create a self-reinforcing loop of high debt, which itself is a serious matter for public authorities when designing economic policies. Full article
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21 pages, 1978 KiB  
Article
Unveiling the Dynamics of Financial Institutions and Markets in Shaping Economic Prosperity in MENA
by Ali Shaddady
Int. J. Financial Stud. 2023, 11(4), 148; https://doi.org/10.3390/ijfs11040148 - 13 Dec 2023
Viewed by 1354
Abstract
This research explored the relationship between financial development and economic growth in the MENA region from 1996 to 2022. Using panel data, it assessed whether financial institutions and financial markets had differing impacts on economic growth. Various statistical methods, including OLS, GMM, quantile, [...] Read more.
This research explored the relationship between financial development and economic growth in the MENA region from 1996 to 2022. Using panel data, it assessed whether financial institutions and financial markets had differing impacts on economic growth. Various statistical methods, including OLS, GMM, quantile, and U-tests, were employed to analyze this correlation. Our findings revealed a nonlinear relationship between financial development (institutions and markets) and economic growth, characterized by an inverted U-shaped curve. This relationship was influenced by the MENA region’s limited financial regulations and the “vanishing effect”. Financial institutions were found to have an insignificant impact on economic growth but played a role in constraining it. Conversely, financial markets significantly contributed to growth initially, but this effect diminished over time, eventually turning negative. Additionally, this research highlighted the positive influences of liquidity and exports on economic growth, while noting that the rule of law and political stability had adverse effects. Full article
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25 pages, 960 KiB  
Article
Do MD&A Risk Disclosures Reduce Stock Price Crash Risk? Evidence from China
by Fei Su, Lili Zhai and Jianmei Liu
Int. J. Financial Stud. 2023, 11(4), 147; https://doi.org/10.3390/ijfs11040147 - 12 Dec 2023
Viewed by 1462
Abstract
This study examines whether and how risk disclosures in Management Discussion and Analysis (MD&A) affected the stock price crash risk of China’s publicly listed firms over the period of 2017–2021. The empirical results show that risk disclosures within the MD&A section are significantly [...] Read more.
This study examines whether and how risk disclosures in Management Discussion and Analysis (MD&A) affected the stock price crash risk of China’s publicly listed firms over the period of 2017–2021. The empirical results show that risk disclosures within the MD&A section are significantly and negatively associated with the future stock price crash risk, even after controlling for a broad set of well-known factors of crash risk. Additional tests revealed that the impact of MD&A risk disclosures on the stock price crash risk is accentuated when the MD&A disclosure contains more incremental information. The negative association between MD&A risk disclosures and stock price crash risk is also more pronounced for firms with poorer information environments, for firms with weaker external monitoring, and for firms with more investor attention. Our findings are robust to alternative measures of the stock price crash risk, controlling for firm-fixed effects and endogeneity issues, and excluding certain samples. The results indicate that MD&A risk disclosures could help alleviate information asymmetry and mitigate stock price crash risk. Full article
14 pages, 3261 KiB  
Article
A Component Expected Shortfall Approach to Systemic Risk: An Application in the South African Financial Industry
by Mathias Mandla Manguzvane and Sibusiso Blessing Ngobese
Int. J. Financial Stud. 2023, 11(4), 146; https://doi.org/10.3390/ijfs11040146 - 11 Dec 2023
Viewed by 1392
Abstract
The accelerated growth and interconnectedness of financial institutions and movement towards products and activities outside the regulatory purview have been met with huge concerns. South Africa is one of the emerging economies that this conundrum has beset. Any potential instability in the financial [...] Read more.
The accelerated growth and interconnectedness of financial institutions and movement towards products and activities outside the regulatory purview have been met with huge concerns. South Africa is one of the emerging economies that this conundrum has beset. Any potential instability in the financial sector likely poses insurmountable consequences and unprecedented government intervention, especially given that the country currently has no deposit insurance scheme. Although it is easy to justify the channels through which banks contribute to destabilising financial markets, it remains a controversial issue for insurers and other non-banking institutions. This study aims to empirically quantify the contribution of banks and insurers to aggregate the systemic risk of their respective industries by employing the component expected shortfall (CES). The CES is a robust quantitative systemic risk measure that allows for a comprehensive assessment of systemic risk by considering the contributions of individual financial components. Our findings demonstrate that the rankings from the CES framework are closely aligned with the regulatory D-SIB surcharges of the banking entities included in the study. The close alignment of both approaches is primarily due to the consideration of the size of an institution, amongst other factors. Full article
(This article belongs to the Special Issue Macroeconomic and Financial Markets)
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27 pages, 7298 KiB  
Article
Research on Pricing Methods of Convertible Bonds Based on Deep Learning GAN Models
by Gui Ren and Tao Meng
Int. J. Financial Stud. 2023, 11(4), 145; https://doi.org/10.3390/ijfs11040145 - 11 Dec 2023
Cited by 1 | Viewed by 1441
Abstract
This paper proposes two data-driven models (including LSTM pricing model, WGAN pricing model) and an improved model of LSM based on GAN to analyze the pricing of convertible bonds. In addition, the LSM model with higher precision in traditional pricing model is selected [...] Read more.
This paper proposes two data-driven models (including LSTM pricing model, WGAN pricing model) and an improved model of LSM based on GAN to analyze the pricing of convertible bonds. In addition, the LSM model with higher precision in traditional pricing model is selected for comparative study with other pricing models. It is found that the traditional LSM pricing model has a large error in the first-day pricing, and the pricing function needs to be further improved. Among the four pricing models, LSTM pricing model and WGAN pricing model have the best pricing effect. The WGAN pricing model is better than the LSTM pricing model (0.21%), and the LSM improved model (1.17%) is better than the traditional LSM model (2.26%). Applying the generative deep learning model GAN to the pricing of convertible bonds can circumvent the harsh preconditions of assumptions, and significantly improve the pricing effect of the traditional model. The scope of application of each model is different. Therefore, this paper proves the feasibility of the GAN model applied to the pricing of convertible bonds, and enriches the pricing function of derivatives in the financial field. Full article
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31 pages, 2929 KiB  
Article
Factor Sufficiency in Asset Pricing: An Application for the Brazilian Market
by Rafaela Dezidério dos Santos Rocha and Márcio Laurini
Int. J. Financial Stud. 2023, 11(4), 144; https://doi.org/10.3390/ijfs11040144 - 08 Dec 2023
Viewed by 1287
Abstract
The multifactor asset pricing model derived from the Fama–French approach is extensively used in asset risk premium estimation procedures. Even including a considerable number of factors, it is still possible that omitted factors affect the estimation of this model. In this work, we [...] Read more.
The multifactor asset pricing model derived from the Fama–French approach is extensively used in asset risk premium estimation procedures. Even including a considerable number of factors, it is still possible that omitted factors affect the estimation of this model. In this work, we compare estimators robust to the presence of omitted factors in estimating the risk premium in the Brazilian market. Initially, we analyze the panel of asset returns using the mean group and common correlated effect estimators to detect the presence of omitted factors. We then compare the results with those obtained by a estimator robust to omitted variables, which uses a principal components approach to correct the estimation in the case of the omission of latent factors. We conclude that there is evidence of omitted factors, and the best predictor for the expect returns is the common correlated effects estimator. Full article
(This article belongs to the Special Issue Financial Econometrics and Machine Learning)
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10 pages, 425 KiB  
Article
Causal Relationships between Oil Prices and Key Macroeconomic Variables in India
by Kamal P. Upadhyaya, Raja Nag and Franklin G. Mixon, Jr.
Int. J. Financial Stud. 2023, 11(4), 143; https://doi.org/10.3390/ijfs11040143 - 06 Dec 2023
Viewed by 1333
Abstract
India is among the largest and fastest-growing economies in the world. To continue its growth, energy is and will continue to be one of its most important considerations. With a population of over one billion, India is the third largest consumer of petroleum [...] Read more.
India is among the largest and fastest-growing economies in the world. To continue its growth, energy is and will continue to be one of its most important considerations. With a population of over one billion, India is the third largest consumer of petroleum on the globe. To maintain this ranking, India imports a large percentage of its total oil consumption. Given India’s current position as a large importer of oil, how does oil price volatility affect the Indian economy? This paper examines the effect of oil price volatility on inflation, economic growth, and the stock market in India. Statistical tests suggest that the overall price level, the real effective exchange rate, and oil prices are negatively related to aggregate output in the long run. Granger causality test results derived from a vector error correction model support bidirectional causality between oil prices and aggregate output, indicating that a change in oil prices also affects aggregate output in the short run. Full article
(This article belongs to the Special Issue Macroeconomic and Financial Markets)
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16 pages, 1054 KiB  
Article
Influence of Transparency and Disclosures on the Dividend Distribution Decisions in the Firms: Do Profitability and Efficiency of Firms Matter?
by Shailesh Rastogi, Geetanjali Pinto, Amit Kumar Pathak, Satyendra Pratap Singh, Arpita Sharma, Souvik Banerjee, Jagjeevan Kanoujiya and Pracheta Tejasmayee
Int. J. Financial Stud. 2023, 11(4), 142; https://doi.org/10.3390/ijfs11040142 - 05 Dec 2023
Viewed by 1430
Abstract
The purpose of this study is to determine if the impact of transparency and disclosure (TD) levels on shareholders’ current income (dividends) is moderated by technical efficiency (te) and profitability. The study employs econometrics on panel data from 78 BSE-listed enterprises across the [...] Read more.
The purpose of this study is to determine if the impact of transparency and disclosure (TD) levels on shareholders’ current income (dividends) is moderated by technical efficiency (te) and profitability. The study employs econometrics on panel data from 78 BSE-listed enterprises across the 2016–2020 sample period. This conclusion suggests that when TD grows, dividends tend to drop initially, but above a certain threshold level, growing TD levels lead to increased payouts. Furthermore, dividends are adversely associated with the moderating variable “te” in terms of both constant and variable return to scale. On the other hand, moderation by profitability was shown to have a substantially favourable effect on dividends. According to this study, a company’s dividend policy is influenced by its TD levels, which are controlled by its efficiency and profitability. Developing a TD index provides more information on the efficacy of the corporate governance (CG) system. The study’s distinctiveness lies in examining the relationships between transparency, disclosures, and these aspects as they relate to profitability, efficiency, and dividend distribution choices to ascertain whether the companies’ operating effectiveness and financial success matter in this circumstance. The study’s practical and policy implications relate to societal repercussions, which include encouraging more openness and responsibility in business practices, thereby increasing confidence and accountability in decisions about dividend distribution, regardless of efficiency and profitability. The study’s originality is in examining how profitability, efficiency, and dividend distribution decisions relate to transparency and disclosures to determine if companies’ operating efficiency and financial success matter in this situation. Full article
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23 pages, 1144 KiB  
Article
The Impact of Professionalism Theory Constructs on the Applicability of Forensic Accounting Services: Evidence from Jordan
by Razan Nayef Almashaqbeh, Hashem Alshurafat and Hamzeh Al Amosh
Int. J. Financial Stud. 2023, 11(4), 141; https://doi.org/10.3390/ijfs11040141 - 04 Dec 2023
Viewed by 1714
Abstract
This study aims to provide an understanding of the impact of professionalism theory constructs on the applicability of forensic accounting services, as well as reviewing the obstacles to implementing the profession of forensic accounting through a literature review. The accounting side of the [...] Read more.
This study aims to provide an understanding of the impact of professionalism theory constructs on the applicability of forensic accounting services, as well as reviewing the obstacles to implementing the profession of forensic accounting through a literature review. The accounting side of the study explores the profession of forensic accounting and the sociological side of the study will focus on professionalism theory, more specifically Pavalko’s 1988 model. A quantitative method was used in this study; 154 questionnaires from Certified Public Accountants (CPAs) were validated and used in the data analysis. Data analysis was conducted using SmartPLS, which was used for testing the study’s hypotheses. The results demonstrated that the professionalism theory constructs have a significant impact on the applicability of forensic accounting services. There was an indication that six out of eight constructs had a positive impact, which are, code of ethics, commitment, intellectual technique, motivation, training, and relevance to social values, leaving only autonomy and sense of community with no impact shown. This study recommends that forensic accountants and practitioners contribute to developing the profession of forensic accounting and to provide services with high quality. The study’s significant constructs can inform the development of training programs for aspiring forensic accountants in Jordan, emphasizing ethics, commitment, technical expertise, motivation, training, and social values. These findings may also apply to other countries. Full article
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22 pages, 3671 KiB  
Article
Studying Differing Impacts of Various Monetary Aggregates on the Real Economy
by Romeo Victor Ionescu, Costinela Fortea, Monica Laura Zlati and Valentin Marian Antohi
Int. J. Financial Stud. 2023, 11(4), 140; https://doi.org/10.3390/ijfs11040140 - 01 Dec 2023
Viewed by 1449
Abstract
Since we are living in a time of multiple crises and geopolitical unrest, it is important to look at how monetary aggregates affect the real economy. This will help us figure out how uncertainty affects the economy and come up with more stable [...] Read more.
Since we are living in a time of multiple crises and geopolitical unrest, it is important to look at how monetary aggregates affect the real economy. This will help us figure out how uncertainty affects the economy and come up with more stable financial and monetary policy measures, especially for EU member states that are not in the euro area. This study aims to determine a dynamic structured monetary policy model, using information from the literature and the study of the evolution of financial elements of macroeconomic aggregates in a non-euro area Member State (Romania). The methods consist of an empirical study of causality in the monetary aggregates in the literature and an analytical approach to the consolidation of dynamic databases over a period of 16 years (2007–2022) and its statistical modeling. This research will examine the impact of uncertainty on Romania’s monetary policy over the period and how this uncertainty alters the dependence relationships between monetary policy indicators and derivatives of the GDP deflator. The results of the two-step modeling, respectively, for the periods 2007–2019 and 2007–2022, will highlight via a comparison the vulnerabilities induced by periods of uncertainty and pandemics on the evolution of monetary policy indicators and will be useful to financial decision makers in correcting monetary policy elements based on the vulnerability picture instrumented as a result of analysis and modeling. The novelty of this study lies in the multidisciplinary and dynamic approach to the evolution of monetary policy indicators and the construction of the dynamic structured model, which is a useful tool for assessing the vulnerability status of a EU Member State economy outside the euro area under uncertainty. Full article
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15 pages, 731 KiB  
Article
Entrepreneurship Dynamics: Assessing the Role of Macroeconomic Variables on New Business Density in Euro Area
by Lenka Vyrostková and Jaroslava Kádárová
Int. J. Financial Stud. 2023, 11(4), 139; https://doi.org/10.3390/ijfs11040139 - 01 Dec 2023
Viewed by 1326
Abstract
This article examines the impact of the macroenvironment on enterprises in euro-area countries over the period 2006–2020. Our study builds on important works and theories in the field of business, including the work of Kar and Özsahin. We employ the Panel Least Squares [...] Read more.
This article examines the impact of the macroenvironment on enterprises in euro-area countries over the period 2006–2020. Our study builds on important works and theories in the field of business, including the work of Kar and Özsahin. We employ the Panel Least Squares method to estimate the coefficient of selected variables. We identify political, institutional (government effectiveness index, regulatory quality index, rule of law, market capitalization of company, control of corruption, political stability and absence of violence) and financial (financial development index, gross domestic product, inflation rate, unemployment rate, public debt) determinants that can have an effect on entrepreneurship. The article aims to fill a gap in the existing literature by providing new insights from the Eurozone and updated data that were not included in previous literature reviews and studies. In this way, we contribute to expanding knowledge about the relationship between macroeconomic factors and entrepreneurial activities in this specific geographical area, considering the lack of current analyses. According to our results, there is a positive statistically significant relationship between entrepreneurship and gross domestic product per capita, regulatory quality index, and market capitalization of the company and a negative statistically significant relationship between entrepreneurship and rule of law, and public debt. Full article
(This article belongs to the Special Issue Macroeconomic and Financial Markets)
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22 pages, 349 KiB  
Article
Audit Expectation Gap in the External Audit of Banks in Mozambique
by Osvaldo Massicame, Helena Coelho Inácio and Maria Anunciação Bastos
Int. J. Financial Stud. 2023, 11(4), 138; https://doi.org/10.3390/ijfs11040138 - 15 Nov 2023
Viewed by 1470
Abstract
The function of the external audit, largely as a result of the scandals and financial crises that have occurred, has been the subject of debate and criticism. This aspect has fostered discussions around the Audit Expectation Gap, which, in short, is understood as [...] Read more.
The function of the external audit, largely as a result of the scandals and financial crises that have occurred, has been the subject of debate and criticism. This aspect has fostered discussions around the Audit Expectation Gap, which, in short, is understood as the differences in expectations between the audit’s results and what is expected from it. In this context, the present study aimed to evaluate the existence of the Audit Expectation Gap in the external audit of banks in Mozambique. For this purpose, auditors, regulators/supervisors, managers and financial staff from banks and companies were surveyed. The results showed statistically significant differences in the opinions of respondents regarding matters related to the scope and objective of the audit, materiality and risk, and different aspects of responsibility. Thus, evidence was obtained that, in addition to reviewing audit regulations for Mozambican credit institutions and financial companies, there is a need for clarification of matters such as the level of security in external audits (which cannot be absolute); the responsibilities of management and auditors in areas such as assessing and reporting compliance with the ratios and prudential limits imposed by the Bank of Mozambique; assessing the suitability of risk management at the bank; and the prevention, detection and reporting of fraud. Full article
(This article belongs to the Special Issue Accounting and Financial/Non-financial Reporting Developments)
18 pages, 294 KiB  
Article
Corporate Digital Transformation and M&A Efficiency: Evidence Based on Chinese Listed Companies
by Gui Ren, Zhenxian Huo, Jingjing Wang and Xihe Liu
Int. J. Financial Stud. 2023, 11(4), 137; https://doi.org/10.3390/ijfs11040137 - 14 Nov 2023
Viewed by 1465
Abstract
In order to help enterprises to achieve high-quality development and improve the capital market regulatory policies by supporting with more factual basis from China, this paper conducts research on clarifying impact mechanism of digital transformation on M&A efficiency of listed companies. Taking the [...] Read more.
In order to help enterprises to achieve high-quality development and improve the capital market regulatory policies by supporting with more factual basis from China, this paper conducts research on clarifying impact mechanism of digital transformation on M&A efficiency of listed companies. Taking the mergers and acquisitions of listed companies from 2007 to 2021 as a research sample, the influence mechanism of the digital transformation degree of companies on their M&A efficiency was studied. The research results show that the digital transformation of listed companies will improve their M&A efficiency. Digital transformation will reduce the degree of mispricing stocks of M&A companies, curb conflicts between managers and agents of M&A companies, and improve their M&A efficiency. Further research finds that the promotion effect of digital transformation on M&A efficiency is more significant in non-state-owned companies, with a higher degree of financing constraint and high analyst attention. In the future, regulatory authorities should actively promote the digital transformation of listed companies, curb mispricing and management agency problems in the capital market with digital governance, and improve the efficiency of mergers and acquisitions in the capital market. This paper not only provides a more factual basis on concrete case from China but also enriches the related empirical analysis on corporate digital transformation and M&A efficiency. Full article
17 pages, 501 KiB  
Article
Assessing the Performance and Risk-Adjusted Returns of Financial Mutual Funds
by Davinder K. Malhotra, Tim Mooney, Raymond Poteau and Philip Russel
Int. J. Financial Stud. 2023, 11(4), 136; https://doi.org/10.3390/ijfs11040136 - 09 Nov 2023
Cited by 1 | Viewed by 1951
Abstract
In this study, we provide a comprehensive examination of the performance of financial (specialty sector financial) mutual funds over a 23-year period, a much longer time frame than what has been analyzed in previous literature. To fully understand the performance of these mutual [...] Read more.
In this study, we provide a comprehensive examination of the performance of financial (specialty sector financial) mutual funds over a 23-year period, a much longer time frame than what has been analyzed in previous literature. To fully understand the performance of these mutual funds, we consider multiple factors, including risk-adjusted performance, both unconditional and conditional multifactor analysis, and market timing and selectivity. Financial mutual funds have higher risk-adjusted performance than the overall market and financial sector benchmarks. However, fund alphas are not different from zero, and managers do not exhibit market timing or security selection abilities. Our analysis not only includes the overall performance of these mutual funds, but we also delve into sub-samples before and after the 2008 financial crisis and during the recent Coronavirus pandemic. Full article
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23 pages, 551 KiB  
Article
Implementing Toll Road Infrastructure Financing in Indonesia: Critical Success Factors from the Perspective of Toll Road Companies
by Muhammad Fauzan, Heri Kuswanto and Christiono Utomo
Int. J. Financial Stud. 2023, 11(4), 135; https://doi.org/10.3390/ijfs11040135 - 09 Nov 2023
Viewed by 1688
Abstract
Having effective and efficient financing is one of the most critical steps in accelerating public infrastructure development, including toll roads. This study aims to identify critical success factors (CSFs) for implementing toll infrastructure financing in Indonesia. Thirty-three CSFs have been identified from the [...] Read more.
Having effective and efficient financing is one of the most critical steps in accelerating public infrastructure development, including toll roads. This study aims to identify critical success factors (CSFs) for implementing toll infrastructure financing in Indonesia. Thirty-three CSFs have been identified from the literature review. A Delphi survey was conducted involving a panel of experts in the infrastructure industry. Based on the survey, it is known that the internal rate of return, affordability, investment decisions, commercial banks, financing costs, interest rate risk, control of cash flow, contract scope, and principles of risk transfer are important factors for implementing toll infrastructure financing in Indonesia. This study fills research gaps by developing a CSF model for successful toll road infrastructure financing in Indonesian PPPs, considering private perspectives and aiming to provide insights for investors and enhance understanding of country profiles in developing countries. The focus on toll road implementation in Indonesia contributes to a comprehensive understanding of CSFs for PPPs in the country. Full article
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15 pages, 1088 KiB  
Article
The Impact of Monetary Policy on the U.S. Stock Market since the COVID-19 Pandemic
by Willem Thorbecke
Int. J. Financial Stud. 2023, 11(4), 134; https://doi.org/10.3390/ijfs11040134 - 08 Nov 2023
Viewed by 2782
Abstract
Inflation in 2021 and 2022 grew much faster than the Federal Reserve expected. The Fed downplayed inflation in 2021 and then increased the federal funds rate by 500 basis points between March 2022 and May 2023. This paper investigates how this unprecedented tightening [...] Read more.
Inflation in 2021 and 2022 grew much faster than the Federal Reserve expected. The Fed downplayed inflation in 2021 and then increased the federal funds rate by 500 basis points between March 2022 and May 2023. This paper investigates how this unprecedented tightening has impacted the stock market. To do so, it estimates a fully specified multi-factor model that measures the exposure of 53 assets to monetary policy surprises over the 1994 to 2019 period. It then uses the monetary policy betas to gauge investors’ beliefs about monetary policy between 2020 and 2023. The results indicate that changing perceptions about monetary policy multiplied uncertainty and stock market volatility. Full article
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18 pages, 1241 KiB  
Article
Machine Learning to Forecast Financial Bubbles in Stock Markets: Evidence from Vietnam
by Kim Long Tran, Hoang Anh Le, Cap Phu Lieu and Duc Trung Nguyen
Int. J. Financial Stud. 2023, 11(4), 133; https://doi.org/10.3390/ijfs11040133 - 08 Nov 2023
Cited by 1 | Viewed by 2023
Abstract
Financial bubble prediction has been a significant area of interest in empirical finance, garnering substantial attention in the literature. This study aims to detect and forecast financial bubbles in the Vietnamese stock market from 2001 to 2021. The PSY procedure, which involves a [...] Read more.
Financial bubble prediction has been a significant area of interest in empirical finance, garnering substantial attention in the literature. This study aims to detect and forecast financial bubbles in the Vietnamese stock market from 2001 to 2021. The PSY procedure, which involves a right-tailed unit root test to identify the existence of financial bubbles, was employed to achieve this goal. Machine learning algorithms were then utilized to predict real-time financial bubble events. The results revealed the presence of financial bubbles in the Vietnamese stock market during 2006–2007 and 2017–2018. Additionally, the empirical evidence supported the superior performance of the random forest and artificial neural network algorithms over traditional statistical methods in predicting financial bubbles in the Vietnamese stock market. Full article
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20 pages, 1780 KiB  
Article
Cultural Influence on Corporate Sustainability: A Board of Directors Perspective
by Diana Escandon-Barbosa, Jairo Salas-Paramo and José Luis Duque
Int. J. Financial Stud. 2023, 11(4), 132; https://doi.org/10.3390/ijfs11040132 - 06 Nov 2023
Viewed by 1451
Abstract
This research aims to analyze the triple moderating effect of the board of directors in the country culture of a firm and its influence on the relationship between organizational innovation and organizational learning in corporate sustainability. A survey of 400 exporting companies of [...] Read more.
This research aims to analyze the triple moderating effect of the board of directors in the country culture of a firm and its influence on the relationship between organizational innovation and organizational learning in corporate sustainability. A survey of 400 exporting companies of different commercial products from Colombia, Peru, Ecuador, and Bolivia was used to carry out this research. We used the structural equations model to explore the analysis of the causal and moderation relationships between the variables under study. As a result, it was found that the influence of the board of directors of a firm is essential for innovation processes because they drive their results to corporate sustainability. This last approach is due to the strategic approach adopted by large companies. In the case of SMEs, it was not possible to demonstrate that the board of directors has such a degree of influence. In the case of the moderating effect of the board of directors on the country’s culture, it was possible to observe that the board of directors becomes a factor in the firm’s performance despite its geographical location, which determines the influence of culture on its operation in corporations such as SMEs. Full article
(This article belongs to the Special Issue Making Green from Green: The Truth about Sustainable Finance)
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10 pages, 269 KiB  
Article
The Differential Effects of Internal Control Teams on Investment Decision Making Based on Industry Competition
by Hyunjung Choi
Int. J. Financial Stud. 2023, 11(4), 131; https://doi.org/10.3390/ijfs11040131 - 03 Nov 2023
Viewed by 1049
Abstract
This study investigates how a company’s internal control team affects their investment decision making, considering the level of industry competition within the South Korean capital market. A model obtained from the literature was employed to test the hypothesis. When industry competition is low, [...] Read more.
This study investigates how a company’s internal control team affects their investment decision making, considering the level of industry competition within the South Korean capital market. A model obtained from the literature was employed to test the hypothesis. When industry competition is low, the quantitative adequacy of internal control staff increases the likelihood of investment when the risk of underinvestment is high, and it decreases the likelihood of investment when the risk of overinvestment is high. However, this is not the case when industry competition is fierce. Qualitative adequacy of internal control staff—expertise—has a significant effect on investment decision making when industry competition is high, but has no significant effect when industry competition is low. These results suggest that investors should consider the quantitative and qualitative adequacy of internal control staff along with the level of industry competition when evaluating the investment efficiency of a company. Full article
(This article belongs to the Special Issue Accounting and Financial/Non-financial Reporting Developments)
27 pages, 570 KiB  
Article
Extreme Value Theory Modelling of the Behaviour of Johannesburg Stock Exchange Financial Market Data
by Maashele Kholofelo Metwane and Daniel Maposa
Int. J. Financial Stud. 2023, 11(4), 130; https://doi.org/10.3390/ijfs11040130 - 03 Nov 2023
Viewed by 1498
Abstract
Financial market data are abundant with outliers, and the search for an appropriate extreme value theory (EVT) approach to apply is an endless debate in the statistics of extremes research. This paper uses EVT methods to model the five-year daily all-share total return [...] Read more.
Financial market data are abundant with outliers, and the search for an appropriate extreme value theory (EVT) approach to apply is an endless debate in the statistics of extremes research. This paper uses EVT methods to model the five-year daily all-share total return index (ALSTRI) and the daily United States dollar (USD) against the South African rand (ZAR) exchange rate of the Johannesburg stock exchange (JSE). The study compares the block maxima approach and the peaks-over-threshold (POT) approach in terms of their ability to model financial market data. The 100-year return levels for the block maxima approach were found to be almost equal to the maximum observations of the financial markets of 10,860 and R18.99 for the ALSTRI and the USD–ZAR, respectively. For the peaks-over-threshold (POT) approach, the results show that the ALSTRI and the USD–ZAR exchange rate will surpass 17,501.63 and R23.72, respectively, at least once in 100 years. The findings in this study reveal a clear distinction between block maxima and POT return level estimates. The POT approach return level estimates were comparably higher than the block maxima estimates. The study further revealed that the blended generalised extreme value (bGEVD) is more suitable for relatively short-term forecasting, since it cuts off at the 50-year return level. Therefore, this study will add value to the literature and knowledge of statistics and econometrics. In the future, more studies on bGEVD, vine copulas, and the r-largest-order bGEVD can be conducted in the financial markets. Full article
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15 pages, 2207 KiB  
Article
Evaluation of Factors Contributing to the Effectiveness of Internal Audit Quality in Pakistani Commercial Banks
by Madiha Afzal
Int. J. Financial Stud. 2023, 11(4), 129; https://doi.org/10.3390/ijfs11040129 - 02 Nov 2023
Viewed by 2046
Abstract
The Pakistani banking sectors facing numerous challenges because of poor internal audit quality. Internal audit quality has long been a source of contention. The current study examines the factors that affect internal audit quality in Pakistani commercial banks. Internal audit quality evaluated through [...] Read more.
The Pakistani banking sectors facing numerous challenges because of poor internal audit quality. Internal audit quality has long been a source of contention. The current study examines the factors that affect internal audit quality in Pakistani commercial banks. Internal audit quality evaluated through potential factors such as competence, objectivity, performance, board audit committee support, and independence. Along with these factors, a questionnaire designed to determine the nature of the problems confronting Pakistani commercial banks. 102 questionnaires disseminated among the chief internal auditor, chief financial officer, board audit committee, and managers of 26 listed commercial banks. The impact of the factors on internal audit quality investigated using a binary logit regression model and multiple correspondence analyses. Findings show that performance, competence, and objectivity factors are statistically positively significant that influenced internal audit quality to improve it. This research helps improve the internal audit quality in Pakistani commercial banks. Full article
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22 pages, 408 KiB  
Article
Does Economic Policy Uncertainty Explain Exchange Rate Movements in the Economic Community of West African States (ECOWAS): A Panel ARDL Approach
by Maud Korley and Evangelos Giouvris
Int. J. Financial Stud. 2023, 11(4), 128; https://doi.org/10.3390/ijfs11040128 - 01 Nov 2023
Viewed by 1574
Abstract
Research proposes that economic policy uncertainty (EPU) leads to exchange rate fluctuations. Given that African countries experience higher levels of uncertainty in developed/emerging markets, we examine the extent to which domestic and foreign EPU affect exchange rates for a panel of 12 ECOWAS [...] Read more.
Research proposes that economic policy uncertainty (EPU) leads to exchange rate fluctuations. Given that African countries experience higher levels of uncertainty in developed/emerging markets, we examine the extent to which domestic and foreign EPU affect exchange rates for a panel of 12 ECOWAS countries covering the period 1996–2018. In order to account for non-stationarity, cross-sectional dependence, and heterogeneity, the paper employs the dynamic heterogeneous panel approach. The ECOWAS has a dual currency arrangement ranging from a common currency union (CFA) to floating exchange rates (Non-CFA). To account for this, this study splits the sample data into CFA and Non-CFA areas. In addition, this study considers the role of the global financial crisis in the exchange rate-EPU nexus. Our results show that domestic EPU has a positive effect on exchange rates in the long run for Non-CFA areas. Different from the existing literature, our results suggest that domestic EPU does not explain exchange rate fluctuations in the short run. For all countries, foreign EPU leads to appreciation in the long run and depreciation in the short run. Interestingly, foreign EPU has a more dominant effect on exchange rate fluctuations in the selected countries than domestic EPU. This may reflect the weak institutional framework in these countries, which allows external fluctuations to have a greater impact. Moreover, this could be attributed to the increase in foreign capital flows during the sample period. Thus, these countries must develop effective policies to effectively absorb these external shocks. Results are robust to different proxies of EPU. Full article
21 pages, 1984 KiB  
Article
An Empirical Analysis of the Dynamics Influencing Bank Capital Structure in Africa
by Ayodeji Michael Obadire, Vusani Moyo and Ntungufhadzeni Freddy Munzhelele
Int. J. Financial Stud. 2023, 11(4), 127; https://doi.org/10.3390/ijfs11040127 - 01 Nov 2023
Viewed by 1469
Abstract
Financial institutions, particularly banks, have long grappled with the dilemma of structuring their capital optimally. This process, commonly referred to as capital structure decision-making, is of paramount importance, especially within the financial services sector, where strict regulations are imposed by reserve and central [...] Read more.
Financial institutions, particularly banks, have long grappled with the dilemma of structuring their capital optimally. This process, commonly referred to as capital structure decision-making, is of paramount importance, especially within the financial services sector, where strict regulations are imposed by reserve and central banks in alignment with global Basel guidelines. This study unveils the key factors that determine the capital structure choices of African banks, using panel data encompassing 45 listed banks across six nations that had embraced the Basel III Accord spanning the years 2010 to 2019. The study used the system-generalised moment methods (sys-GMM) estimator to fit the formulated panel data regression model. The study findings showed positive associations between ZSCORE, an indicator of bank financial stability, and net interest margin ratio (NIMR) with bank leverage (TCTE). In addition, the results revealed positive correlations between earnings volatility (EV), profitability (P), and risk (R) with bank leverage (TDCE). This suggests that profitable banks are inclined to favour debt financing, a phenomenon driven by their ability to comfortably service debt obligations with free cash flows. This study’s overarching conclusion underscores the dominant influence of the Liquidity Coverage Ratio (LCR) on African bank capital structures. Whether assessing traditional or Basel III-prescribed measures of bank leverage, LCR consistently emerged as the primary determinant. This finding is of significant relevance to bank executives and regulators, offering them essential insights for informed decision-making by considering striking a balance between equity and debt financing based on financial stability, profitability, and risk profiles. Full article
19 pages, 332 KiB  
Article
Bond Issuance as Reputational Signal: Debunking the Negative Perception of Additional Liability
by Dachen Sheng and Heather A. Montgomery
Int. J. Financial Stud. 2023, 11(4), 126; https://doi.org/10.3390/ijfs11040126 - 30 Oct 2023
Viewed by 1199
Abstract
This paper examines the determinants of bond issuance in the Chinese market and the influence of capital structure—in particular direct debt finance—on firm performance and the cost of debt. The results reveal that institutional factors in the Chinese market, in particular the involvement [...] Read more.
This paper examines the determinants of bond issuance in the Chinese market and the influence of capital structure—in particular direct debt finance—on firm performance and the cost of debt. The results reveal that institutional factors in the Chinese market, in particular the involvement of the financial authority permission process during bond issuance, enhance the credibility of firms that are able to successfully issue bonds. Empirical analysis of Chinese listed manufacturing firms over the period from 2010 to 2021 demonstrates that firms with higher outstanding levels of bonds perform better and face lower costs of both bond and nonbond direct finance. We interpret this as bond issuance approval serving as a signal to markets of an implicit government guarantee on firms that are approved to issue bonds. The agency problem is analyzed using propensity-score matching and Logit analysis, revealing a trade-off between the principal–agent conflict and conflicts of interest among different shareholders when power is very concentrated through CEO duality: the CEO simultaneously serves as the chairman of the board. In large firms, as measured by total assets, the cost-reducing effect of the principal–agent problem being mitigated by CEO duality outweighs the agency costs arising from conflicts of interest between large and small shareholders, leading to an increased likelihood of successful bond issuance. However, in large firms, as measured by market capitalization, where share ownership is likely more diversified, this effect diminishes. In conclusion, this paper posits that policymakers ought to investigate strategies for granting preferential treatment to high-growth, small to mid-sized enterprises, enabling them to secure funding through direct debt financing. Full article
16 pages, 400 KiB  
Article
Large-Scale Portfolio Optimization Using Biogeography-Based Optimization
by Wendy Wijaya and Kuntjoro Adji Sidarto
Int. J. Financial Stud. 2023, 11(4), 125; https://doi.org/10.3390/ijfs11040125 - 26 Oct 2023
Viewed by 1092
Abstract
Portfolio optimization is a mathematical formulation whose objective is to maximize returns while minimizing risks. A great deal of improvement in portfolio optimization models has been made, including the addition of practical constraints. As the number of shares traded grows, the problem becomes [...] Read more.
Portfolio optimization is a mathematical formulation whose objective is to maximize returns while minimizing risks. A great deal of improvement in portfolio optimization models has been made, including the addition of practical constraints. As the number of shares traded grows, the problem becomes dimensionally very large. In this paper, we propose the usage of modified biogeography-based optimization to solve the large-scale constrained portfolio optimization. The results indicate the effectiveness of the method used. Full article
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12 pages, 298 KiB  
Article
Digital Credit and Its Determinants: A Global Perspective
by Tu D. Q. Le, Thanh Ngo and Dat T. Nguyen
Int. J. Financial Stud. 2023, 11(4), 124; https://doi.org/10.3390/ijfs11040124 - 25 Oct 2023
Viewed by 1544
Abstract
Digital credit has gained much attention from academic researchers, practitioners, and policymakers worldwide. This study empirically evaluates the determinants of digital credit using cross-country data from 2013 to 2019. The conventional ordinary least square regression with fixed effects estimator is used to investigate [...] Read more.
Digital credit has gained much attention from academic researchers, practitioners, and policymakers worldwide. This study empirically evaluates the determinants of digital credit using cross-country data from 2013 to 2019. The conventional ordinary least square regression with fixed effects estimator is used to investigate the factors affecting the growth of digital credit. Our study highlights that the regulatory frameworks of anti-money laundering and terrorist financing, the economy’s innovative capacity, and financial development are significant factors affecting the development of digital credit, especially fintech credit. However, the findings indicate that only the innovation capacity is more critical to the expansion of bigtech credit. Nonetheless, our results provide some important implications for market participants and the authorities in promoting digital credit. Accordingly, this study contributes to the literature on the growth of digital credit when considering the critical roles of money laundering and terrorist financing frameworks and innovation capacity. Full article
32 pages, 5076 KiB  
Article
A Bibliometric Analysis of the FinTech Agility Literature: Evolution and Review
by Abdelkebir Sahid, Yassine Maleh, Shahram Atashi Asemanjerdi and Pedro Antonio Martín-Cervantes
Int. J. Financial Stud. 2023, 11(4), 123; https://doi.org/10.3390/ijfs11040123 - 20 Oct 2023
Cited by 1 | Viewed by 1746
Abstract
Bibliometric analysis is crucial in understanding the evolution of research trends and knowledge in various fields. This study applies bibliometric analysis to explore the growth of the research paradigm on agility in the FinTech literature, using co-citation analysis and bibliographic coupling of selected [...] Read more.
Bibliometric analysis is crucial in understanding the evolution of research trends and knowledge in various fields. This study applies bibliometric analysis to explore the growth of the research paradigm on agility in the FinTech literature, using co-citation analysis and bibliographic coupling of selected articles. Based on this bibliometric analysis, the evolution of research on agility in the FinTech domain has been prepared, focusing on the literature related to FinTech agility between 1984 and 2022. In this study, we also address the limitations of individual analyses from Scopus and Web of Science (WOS) and propose a comprehensive approach by merging the two research databases. The results reveal significant disparities between authors, publication influences, and keyword occurrences between the WOS and merged databases. Our research highlights the importance of combining a database approach in bibliometric studies, providing valuable insights for scholars, researchers, and stakeholders. Finally, the in-depth bibliometric analysis demonstrates the significance of “FinTech agility” in the rapidly evolving FinTech sector. Financial technology companies’ agility, or ability to adapt quickly, is the foundation of their success and innovation. Full article
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13 pages, 285 KiB  
Article
Blockholdings, Dividend Policy, Stock Returns and Return Volatility: Evidence from the UAE
by Umar Butt and Trevor William Chamberlain
Int. J. Financial Stud. 2023, 11(4), 122; https://doi.org/10.3390/ijfs11040122 - 16 Oct 2023
Viewed by 1253
Abstract
This paper examines the relationship between the presence of blockholdings and stock returns and return volatility in the United Arab Emirates. Earlier studies report mixed results for the direction of the relationships across both developed and emerging markets. This study focuses specifically on [...] Read more.
This paper examines the relationship between the presence of blockholdings and stock returns and return volatility in the United Arab Emirates. Earlier studies report mixed results for the direction of the relationships across both developed and emerging markets. This study focuses specifically on these relationships in a dividend policy framework. This study further investigates the role of blockholder type by distinguishing between government, individual and corporate blockholders. Our results indicate that blockholder ownership reduces stock return volatility for both non-dividend-paying and dividend-paying stocks, does not impact returns and is not perceived as expropriating the wealth of other investors. We also conclude that the blockholders do not exhibit rent-seeking behavior through the extraction of dividends and investors in UAE firms embrace the role of blockholders and the reinvestment of profits. Full article
(This article belongs to the Special Issue Cross-Cultural Corporate Governance, Firm Performance and Firm Value)
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