Article
Business, Finance
Jan Jakub Szczygielski, Ailie Charteris, Princess Rutendo Bwanya, Janusz Brzeszczynski
Summary: This study investigates the narrative reflected by Google search trends (GST) and constructs a neutral and general stock market-related GST index. The index is found to peak around significant events that impact global financial markets and is closely correlated with established measures of market uncertainty. It performs well in approximating and predicting systematic stock market drivers and factor dispersion underlying return volatility both in-sample and out-of-sample. The study contributes to the understanding of the information reflected by GST and their relationship with stock markets and suggests the potential for further applications using internet search data.
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
(2024)
Article
Business, Finance
Wael Rouatbi, Ender Demir, Renatas Kizys, Adam Zaremba
Summary: Vaccination programs have helped stabilize global equity markets, with a relatively stronger impact seen in developed markets.
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
(2021)
Article
Business, Finance
Yaojie Zhang, Jiaxin He, Mengxi He, Shaofang Li
Summary: This paper explores the relationship between geopolitical risk (GPR) and stock market volatility from a global perspective. Using dynamic panel data and the bias-corrected LSDV estimator, the empirical results show that GPR has a significant positive impact on stock market volatility, unaffected by control variables. Additionally, the effect of GPR on stock market volatility is more pronounced for emerging economies, crude oil exporters, and peaceful countries. This study provides new evidence on the relationship between GPR and stock market volatility.
FINANCE RESEARCH LETTERS
(2023)
Article
Business, Finance
Haijun Yang, Feng Xue
Summary: A novel VPIN model, named Adjusted VPIN, is proposed in the study to directly analyze and better predict the information asymmetry of individual stocks by optimizing the algorithm and using high-frequency data. The empirical results show a 37.86% higher relevance with logarithm stock yield compared to the traditional VPIN model.
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
(2021)
Article
Business, Finance
Kanghyock Koh, Hyojin Han
Summary: Using data from South Korea between 2000 and 2019, this study examines the impact of stock market returns and volatility on suicide rates. The findings show that a one standard deviation increase in stock market volatility leads to a 3.5% increase in the suicide rate. Unlike previous research on the relationship between stock market returns and other health indicators, this study only finds nonlinear effects of stock market returns on suicide rates. It contributes to the literature by providing new evidence on the effects of household investment risks on investors' health.
PACIFIC-BASIN FINANCE JOURNAL
(2023)
Article
Mathematics
Maria Nieves Lopez-Garcia, Miguel Angel Sanchez-Granero, Juan Evangelista Trinidad-Segovia, Antonio Manuel Puertas, Francisco Javier De las Nieves
Summary: By studying the co-movement functions among stocks in a given market, it was found that stocks with similar volatility tend to have greater co-movement, while stocks with dissimilar volatility have smaller co-movement. Additionally, during crisis periods, the volatility and log-price co-movement are much higher compared to calmer periods.
Article
Business, Finance
Lili Zhao, Wenhua Liu, Min Zhou, Fenghua Wen
Summary: This study uses the time-varying parameter vector autoregression approach to investigate the dynamic volatility interactions among the stock, commodity, and carbon markets in China, with a specific focus on the impact of extreme event shocks on market interactions. The results reveal a bidirectional Granger causality between stock and commodity market volatility, while these markets unidirectionally Granger cause carbon market volatility. Additionally, the effects of the carbon market on stock and commodity market volatility fluctuate significantly, whereas the interactions between the stock and commodity markets remain relatively smooth. Sudden extreme events have a significant impact on market volatility interactions.
FINANCE RESEARCH LETTERS
(2022)
Article
Economics
Xinjie Lu, Feng Ma, Jiqian Wang, Bo Zhu
Summary: This study examines the impact of oil shocks on U.S. stock market volatility using a hybrid model of LASSO and MS-LASSO, finding that NPI2 is an effective oil shock indicator while LPI has little influence. The results also highlight the importance of considering regime switching for oil shocks that exhibit time-varying performance.
Article
Environmental Studies
Guangqiang Liu, Xiaozhu Guo
Summary: This paper finds that incorporating commodity futures volatility information with model shrinkage methods is an effective way to predict US stock market volatility, with clearer predictability during high volatility periods. The robust results of the study have practical implications.
Article
Business, Finance
Jihong Xiao, Yudong Wang
Summary: This paper investigates the predictability of good and bad volatilities of oil prices for stock returns and finds that bad volatility of oil prices has a better predictive effect. Bad oil volatility negatively affects economic activity and financial market uncertainty, and funding constraints and financial regulation policy uncertainty in the post-financialization period enhance the predictability of bad oil volatility for stock returns. Retail investor attention also strengthens this predictability.
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
(2022)
Article
Mathematics, Interdisciplinary Applications
Haiyao Wang, Jianxuan Wang, Lihui Cao, Yifan Li, Qiuhong Sun, Jingyang Wang
Summary: This paper proposes a composite model CNN-BiSLSTM to predict the closing price of the stock, which improves prediction accuracy and shows optimal performance in experiments.
Article
Business, Finance
Nektarios Aslanidis, Aurelio F. Bariviera, Oscar G. Lopez
Summary: This paper examines the relationship between cryptocurrencies and public preferences, as represented by online searches. The study finds that cryptocurrencies are associated with Google Trends attention specific to this market, rather than a general uncertainty index. The research reveals a bidirectional flow of information between Google Trends attention and cryptocurrency returns, with cryptocurrency volatility having a larger impact on Google Trends attention. Additionally, there is a significant tail dependence between cryptocurrency returns and Google Trends.
FINANCE RESEARCH LETTERS
(2022)
Article
Computer Science, Cybernetics
Yining Wang, Wenbin Shi, Yuxuan Sun, Chien-Hung Yeh
Summary: The global outbreak of COVID-19 has led to severe health and socioeconomic consequences. Previous studies suggest that Google Trends search volumes can be used to predict the dynamics of epidemics. In this study, a Wiener model was used to predict the weekly COVID-19 incidence in Washington, DC, USA, using epidemic-related search queries from Google Trends and climate variables. The results showed that the predicted COVID-19 trends correlated significantly with the actual data and outperformed other prediction models.
IEEE TRANSACTIONS ON COMPUTATIONAL SOCIAL SYSTEMS
(2023)
Article
Business, Finance
Miao Yu
Summary: This study finds that the World Uncertainty Index (WUI) has a strong predictive ability for sector-level stock market volatility in the Shanghai Stock Exchange, especially in the materials, industrials, and health care sectors. Furthermore, the WUI performs better in predicting high volatility states.
FINANCE RESEARCH LETTERS
(2023)
Article
Agricultural Economics & Policy
Mulubrhan Amare, Kibrom A. Abay, Luca Tiberti, Jordan Chamberlin
Summary: The study shows that households exposed to higher COVID-19 case rates or mobility lockdowns experience a significant increase in measures of food insecurity. Additionally, the spread of the pandemic is associated with significant reductions in labor market participation. Lockdown measures are linked to an increase of 6-15 percentage points in households' experience of food insecurity and a 12 percentage points reduction in the probability of participation in non-farm business activities.
Article
Mathematics, Interdisciplinary Applications
Ndolane Sene, Babacar Sene, Seydou Nourou Ndiaye, Awa Traore
DISCRETE DYNAMICS IN NATURE AND SOCIETY
(2020)
Article
Business, Finance
Dhafer Saidane, Babacar Sene, Kouame Desire Kanga
Summary: This study examines the potential systemic risk in the banking sector of the West African Economic and Monetary Union (WAEMU) using bank-level data from all member countries from 2000 to 2017. It finds that while most banks have low individual probabilities of default, there is a high joint probability of default for most pairs of banks, indicating seeds of systemic risk in WAEMU. The use of quantile estimation helps identify bank characteristics that may explain systemic risk.
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY
(2021)
Article
Business, Finance
Gaye-Del Lo, Isaac Marcelin, Theophile Bassene, Babacar Sene
Summary: This study examines the influence of the Russo-Ukrainian war on financial markets, revealing significant reactions and effects on asset prices and volatility. It also found that dependence on Russian commodities intensifies instability and reduces stock returns. The research has implications for diversification strategies in international exchanges.
FINANCE RESEARCH LETTERS
(2022)
Article
Business, Finance
Babacar Sene, Mohamed Lamine Mbengue, Mouhamad M. Allaya
Summary: This paper explores the overshooting yields on eurobonds issued by emerging and developing countries in the context of COVID-19. The results show that increases in confirmed cases lead to higher yields, while announcements of international creditor assistance calm investor concerns.
FINANCE RESEARCH LETTERS
(2021)
Article
Business, Finance
Xiaoning Sui, Shuaipeng Jiao, Yongming Wang, Haijun Wang
Summary: This paper investigates the impact of digital transformation on the competitiveness of companies, particularly manufacturing companies, and explores the underlying mechanisms driving this impact. The findings reveal that digital transformation has a positive effect on the competitiveness of manufacturing companies, enhancing their overall competitiveness through improved productivity, research and development intensity, and human capital. These findings contribute to the existing research on the influence of digital transformation on manufacturing companies and offer important policy implications for enhancing competitiveness through digital empowerment.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Fabio Lucas Takahashi, Marcos Roberto Vasconcelos
Summary: This study analyzes the impact of non-performing loans on the technical efficiency of banks in the Brazilian banking sector and identifies determinants of bank efficiency. The results show that non-performing loans have a negative impact on efficiency, with foreign banks being more efficient on average than domestic public and private banks. During COVID-19, federal public banks were the most efficient. The study also highlights the association between the low efficiency of domestic public banks and the lower technical quality of state public banks.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Changlun Jin, Xiujuan Tian
Summary: This study evaluates the safe-haven property of Bitcoin using the CEEMDAN method, and the results confirm its role as a safe-haven asset amidst the uncertainty in the US banking market. Compared to other market indices, Bitcoin exhibits superior short-term performance and higher stability in returns and volatility in the medium term, outperforming gold. Importantly, Bitcoin maintains its safe-haven attribute over a span of 50 days even during periods of relatively diminished market uncertainty.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Baoqiang Zhan, Chong Wu
Summary: This study investigates the impact of analyst status on recommendation performance and finds that when analysts are promoted to star status, the stocks they recommend exhibit improved performance, particularly for analysts working in small brokerage firms. This star effect persists even during economic shocks.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Marcos Escobar-Anel, Ben Spies, Rudi Zagst
Summary: This study extends the application of Affine GARCH models in the field of portfolio optimization, allowing for a richer class of objective functions. Numerical experiments based on S&P 500 market data reveal that the GARCH model outperforms a homoscedastic variant in terms of the efficient frontier.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Weihui Han, Lv Han, Qingqing Yang
Summary: This paper examines the impact of capital market liberalization on firms' performance in overseas direct investment (OFDI). The study finds that capital market liberalization significantly promotes firms' OFDI in terms of probability and scale. The mechanisms behind this positive effect are increased total factor productivity, eased financing constraints, and improved information disclosure quality. Additionally, the positive effect is more prominent for international firms with overseas businesses and labor-intensive firms. Overall, this study reveals the real effects of capital market liberalization on OFDI and has meaningful implications for emerging economies.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Thanh Cong Nguyen, Vitor Castro, Justine Wood
Summary: This paper assesses the impact of different types of financial crises on social protection spending. The findings suggest that social protection spending increases when financial crises occur, particularly in the aftermath of banking crises. However, currency and debt crises have a detrimental effect on social protection spending, posing a threat to social wellbeing.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Yongqian Tu, Aihua Zhang, Limiao He, Jiangyong Qi
Summary: This research examines the relationship between firms' perceptions of uncertainty and financial misallocation. They find that a heightened sense of uncertainty significantly reduces financial misallocation. Interestingly, private firms, those operating in highly competitive arenas, and those with minimal financing barriers are more attuned to economic uncertainty, and the moderating effect of uncertainty perception on financial misallocation is particularly pronounced for these firms.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Yuan Sun, Xiaowei Sun, Zehao Wang
Summary: This study reveals that climate risk has a positive impact on the geographical distribution of firms' business activities. Companies with more cash holdings, closer geographical proximity between parent and subsidiaries, and non-state-owned enterprises are more likely to engage in cross-regional investment in response to climate risk. Furthermore, cross-regional investment significantly improves investment efficiency for firms facing higher levels of climate risk.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Eping Liu, Haoyuan Qin
Summary: This study adopts a cognitive dissonance theory viewpoint to investigate the impact of managers' facial emotion on market performance and risk in Chinese listed companies. The findings suggest that more positive facial expressions of managers in earnings conference call predict better market performance and lower risk. The study provides investors with a new analytical method and offers reference for market regulators in policy formulation.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Chaeyoon Baek, Seungho Baek, Mina Glambosky
Summary: This study finds that small, low-credit quality, and financially distressed companies are more vulnerable to labor market changes, resulting in a deterioration in equity value.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Yuanyue Deng, Sijing Li
Summary: Using panel data from 60 countries, this study investigates the impact of economic policy uncertainties (EPUs) on systemic risk and distinguishes the effects of global and local EPU shocks. The results show that increased global shocks lead to higher systemic linkages, while domestic uncertainties significantly contribute to individual risks. Cross-border bank loans and non-performing loans are the channels through which EPUs induce cascading effects. Heterogeneity analysis further reveals the role of financial openness and financial development in shaping the nexus between EPUs and systemic risk.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Yaozhong Wang, Pinzhen He
Summary: This paper analyzes the impact of digital transformation on innovation efficiency using data from 2114 listed enterprises in Shanghai and Shenzhen A-share markets from 2010 to 2022. The findings indicate that digital transformation effectively promotes the growth of innovation efficiency, with financial information disclosure playing a crucial intermediary role. Furthermore, the positive effect of digital transformation on innovation efficiency becomes more significant in highly competitive industries and regions with low levels of marketization.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Jin Boon Wong, Qin Zhang
Summary: This paper examines the financial implications of ESG reputational risks and finds that investors penalize firms with excessive cash holdings when these risks intensify. However, cash distributions can mitigate shareholders' antipathy towards excessive cash holdings.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Nir Chemaya, Dingyue Liu
Summary: The popularity of decentralized exchanges is increasing, with liquidity pools being widely used for trading. Comparing a simple V2 model's theoretical predictions with Uniswap V3 data, it was surprisingly found that the V2 model accurately predicted the V3 data in 97.1% of transactions, with a deviation of less than 0.1%. Higher accuracy was observed in active pools with substantial transaction volume and liquidity, while inactive pools performed less effectively. This approach assists researchers in assessing the suitability of the V2 model for analyzing Uniswap V3 data.
FINANCE RESEARCH LETTERS
(2024)