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Macroeconomic and Financial Markets
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Macroeconomic and Financial Markets

A special issue of International Journal of Financial Studies (ISSN 2227-7072).

Deadline for manuscript submissions: closed (11 August 2023) | Viewed by 11111

Special Issue Editor

Dr. Hachmi Ben Ameur

E-Mail Website
Guest Editor
INSEEC Grande Ecole, Rue de Vellefaux, 75010 Paris, France
Interests: operations research; financial markets; portfolio management; behavioral finance; wine prices; financial econometrics

Special Issue Information

Dear Colleagues,

The field of macroeconomics and financial markets is incredibly complex and ever-changing. The global macroeconomic environment is characterized by both macroeconomic instability and rapid technological change. This has led to increased volatility in terms of the financial markets and in economic growth. The financial markets have become increasingly interconnected with greater numbers of participants, and they have become increasingly complex. This has led to increased levels of risk and complexity for investors. The traditional macroeconomic models of growth, inflation, and employment have been challenged by new economic theories such as the new Keynesian economics, fiscal stimulus, and the role of central banks within monetary policy. The global financial system is undergoing a rapid transformation with the emergence of new technologies such as blockchain. Additionally, the development of new digital currencies and assets has enabled retail investors to gain exposure to assets that were previously only available to institutional investors.

We invite submissions of original, empirical, and theoretical papers in the subject areas of macroeconomics and financial markets. We especially encourage contributions that apply new methods and techniques to existing problems as well as those that address new research topics. Submissions should follow the guidelines for authors as outlined in the International Journal of Financial Studies.

Dr. Hachmi Ben Ameur
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. International Journal of Financial Studies is an international peer-reviewed open access quarterly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1800 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • fiscal and monetary policies
  • macroeconomic news
  • minancial market volatility
  • macroeconomic uncertainty
  • macroeconomic factors
  • credit and banking markets

Published Papers (5 papers)

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Research

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 1444
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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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 1376
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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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 1395
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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21 pages, 5441 KiB  
Article
Unveiling Market Connectedness: Dynamic Returns Spillovers in Asian Emerging Stock Markets
by Maaz Khan, Mrestyal Khan, Umar Nawaz Kayani, Khurrum Shahzad Mughal and Roohi Mumtaz
Int. J. Financial Stud. 2023, 11(3), 112; https://doi.org/10.3390/ijfs11030112 - 12 Sep 2023
Cited by 6 | Viewed by 1545
Abstract
This study investigates the returns spillovers across the equity markets of Asian emerging economies (China, India, Indonesia, Malaysia, Pakistan, Philippines, South Korea, Taiwan, and Thailand). To achieve this objective, we used two different spillover methodologies (DY 2012 and BK 2018). Moreover, this study [...] Read more.
This study investigates the returns spillovers across the equity markets of Asian emerging economies (China, India, Indonesia, Malaysia, Pakistan, Philippines, South Korea, Taiwan, and Thailand). To achieve this objective, we used two different spillover methodologies (DY 2012 and BK 2018). Moreover, this study used the daily closing prices of equity indices ranging from 5 January 2005 to 13 November 2021. The empirical findings revealed that the total spillover index using DY 2012, and the short-term frequency index using BK 2018, are close to each other, with values of 46.92% and 43.04%, respectively. However, the spillover index value is high, with a value of 56.25% in the long run. Furthermore, the results showed that the stock markets of South Korea and Taiwan are the major spillover transmitters in the Asian emerging markets. Also, the financial association among all emerging Asian equities is at its peak, subject to the mobility of cash flows across the global economies. The results of this study provide meaningful insight for policymakers and investors to implement an effective strategy to overcome the possible influence of any financial crisis in the future. Our paper provides a potential contribution to the financial literature by examining the transmission of spillovers across the Asian emerging stock markets. Furthermore, it provides in-depth information regarding stock market interdependence. Full article
(This article belongs to the Special Issue Macroeconomic and Financial Markets)
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25 pages, 1284 KiB  
Article
Uncovering the Effect of News Signals on Daily Stock Market Performance: An Econometric Analysis
by Shahid Raza, Sun Baiqing, Pwint Kay-Khine and Muhammad Ali Kemal
Int. J. Financial Stud. 2023, 11(3), 99; https://doi.org/10.3390/ijfs11030099 - 04 Aug 2023
Cited by 3 | Viewed by 4696
Abstract
The stock markets in developing countries are highly responsive to breaking news and events. Our research explores the impact of economic conditions, financial policies, and politics on the KSE-100 index through daily market news signals. Utilizing simple OLS regression and ARCH/GARCH regression methods, [...] Read more.
The stock markets in developing countries are highly responsive to breaking news and events. Our research explores the impact of economic conditions, financial policies, and politics on the KSE-100 index through daily market news signals. Utilizing simple OLS regression and ARCH/GARCH regression methods, we determine the best model for analysis. The results reveal that political and global news has a significant impact on KSE-100 index. Blue chip stocks are considered safer investments, while short-term panic responses often overshadow rational decision-making in the stock market. Investors tend to quickly react to negative news, making them risk-averse. Our findings suggest that the ARCH/GARCH models are better at predicting stock market fluctuations compared to the simple OLS method. Full article
(This article belongs to the Special Issue Macroeconomic and Financial Markets)
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