| 1. |
- Bandick, Roger, et al.
(författare)
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Employment effects of foreign acquisition
- 2011
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Ingår i: International Review of Economics and Finance. - : Elsevier. - 1059-0560 .- 1873-8036. ; 20:2, s. 211-224
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Tidskriftsartikel (refereegranskat)abstract
- This paper investigates the employment effects of. foreign acquisitions in acquired firms in Swedish manufacturing during the 1990s; a period characterized by a dramatic increase in foreign ownership. We find some evidence of positive employment effects in acquired firms and it seems that the employment of skilled labor increases more than that of less-skilled labor. Our results indicate that the positive employment effects are more pronounced in acquired non-MNEs than in Swedish MNEs. Furthermore, we observe shifts in skill intensities toward higher shares of skilled labor in non-MNEs taken over by foreign MNEs, but not in acquired Swedish MNEs.
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| 2. |
- Fan, Yi, et al.
(författare)
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Short selling, informational efficiency, and extreme stock price adjustment
- 2024
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Ingår i: International Review of Economics & Finance. - : Elsevier. - 1873-8036 .- 1059-0560. ; 89, s. 1009-1028
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Tidskriftsartikel (refereegranskat)abstract
- Using Chinese equity data from April 2009 to August 2020, we contribute to the literature by exploring the impact of short selling on stock prices in three aspects. First, we find that as short sellers become more active, stock price adjustments accelerate, and prices respond more swiftly to public information. Second, we investigate the trading behavior of short sellers during periods of extreme stock price fluctuations and reversals. Our empirical findings suggest that short sellers behave like contrarian traders during these periods and consequently, short sales reduce the stock price crash risk. Last, we find that in emerging markets dominated by individual investors, sentiment seems a key factor for short sellers to moderate market crashes. When the market experiences unexpected sudden plunges, short sellers become “support buyers” and reverse the previously bullish investor-dominated market sentiment, thus correcting mispricing and mitigating irrationality.
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| 3. |
- Hacker, R. Scott, et al.
(författare)
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An investigation of the causal relations between exchange rates and interest rate differentials using wavelets
- 2014
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Ingår i: International Review of Economics and Finance. - : Elsevier BV. - 1059-0560 .- 1873-8036. ; 29, s. 321-329
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Tidskriftsartikel (refereegranskat)abstract
- This paper uses wavelet analysis to investigate causality between the spot exchange rate and the nominal interest rate differential for seven country pairs, which includes Sweden. Impulse response functions are also utilized to examine the signs of how one of these variables affects the other over time. One key empirical finding from the causality tests is that there is strengthening evidence of the nominal interest rate differential Granger causing the exchange rate as the wavelet time scale increases. When considering impulse responses on how the interest rate differential affects the exchange rate, there appears to be some evidence of more negative relationships at the shorter time scales (i.e. an increase in the Swedish interest rate compared to that of another country is associated with a lower Swedish krona price of the other country's currency) and more positive relationships at the longer time scales.
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| 4. |
- Lin, Xiang, 1962-, et al.
(författare)
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Performance of negatively screened sustainable investments during crisis
- 2024
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Ingår i: International Review of Economics and Finance. - : Elsevier. - 1059-0560 .- 1873-8036. ; 93, s. 1226-1247
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Tidskriftsartikel (refereegranskat)abstract
- We investigate the market performance of negatively screened environment social and governance (ESG) portfolio or sustainable investments prior to and during crisis. A general and simple method is developed under the ESG Capital Asset Pricing Model (CAPM) framework for the assessment. The novelty is that this method can be employed when the parent portfolio is not a market portfolio. In this situation, both coefficients, alpha and beta, in the reduced form of regression have special interpretations and are informative. This paper examines 24 negatively screened ESG indices from the S&P, DJSI and MSCI data across various regions, firm sizes, and criteria of screening, for 2017 to 2021. Markov Switching Autoregressive (MSAR) model is adopted to identify the crisis regime. Our results show that the negatively screened ESG indices provide positive investors’ surpluses for ESG-motivated investors during the crisis, when the corresponding parent indices are the market portfolios. For ESG investments where market portfolios are not their parent indices, half of ESG indices under consideration still provide positive surplus with similar systematic risks as their parent indices during the crisis. The remaining ESG indices under-performs but has relatively lower systematic risks, implying resilience as compared to the corresponding parent indices during the crisis. Furthermore, we demonstrate the sensitivity analysis of treating a parent index as a market portfolio.
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| 5. |
- Poursoleyman, Ehsan, et al.
(författare)
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Corporate social responsibility and investment efficiency: The roles of national stakeholder orientation and legal origins
- 2024
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Ingår i: International Review of Economics and Finance. - : Elsevier. - 1059-0560 .- 1873-8036. ; 93, s. 889-911
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Tidskriftsartikel (refereegranskat)abstract
- Utilizing an international setting consisting of 21,039 observations from 43 countries during the years from 2010 to 2019, spanning the period between the global financial and health crises, we first reveal that the two broad legal traditions of the country shape the positive connection between CSR performance and investment efficiency. We find a stronger positive linkage for companies operating under a civil law regime. Our findings also imply that U.S. firms buck the trend among English common law firms and have probably shifted their orientation to a more balanced consideration of stakeholders. Plus, we discover that legal origins are a stronger predictor of CSR perception by showing that stakeholders of the Scandinavian civil law system are more responsive to CSR activities than those in the German, French, and socialist civil law countries. Results are robust to a battery of sensitivity tests.
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| 6. |
- Reboredo, Juan C., et al.
(författare)
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Do financial stress and policy uncertainty have an impact on the energy and metals markets? : A quantile regression approach
- 2016
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Ingår i: International Review of Economics and Finance. - : Elsevier. - 1059-0560 .- 1873-8036. ; 43, s. 284-298
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Tidskriftsartikel (refereegranskat)abstract
- Abstract This paper examines the impact of financial stress and policy uncertainty on the price dynamics of energy (crude oil, heating oil and gas) and metal (gold, silver, copper, platinum and palladium) commodity futures in the USA. Using a quantile regression approach for the period 1994–2015, our empirical results show that, after controlling for the effect of general stock market returns and interest rates, there is neither co-movement nor Granger causality between commodity futures prices and financial uncertainty as measured by the VIX or between commodity prices and policy uncertainty. However, we find evidence that financial stress had Granger causality effects in intermediate and upper commodity return quantiles, but no evidence of co-movement. We also show that the impact of the global financial crisis on commodity returns differed across quantiles, only having a negative impact in upper quantiles. Our results indicate that general stock market uncertainty conditions are not so crucial in determining commodity futures prices.
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| 7. |
- Schäfer, Dorothea, et al.
(författare)
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Crisis stress for the diversity of financial portfolios : evidence from European households
- 2023
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Ingår i: International Review of Economics and Finance. - : Elsevier. - 1059-0560 .- 1873-8036. ; 83, s. 330-347
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Tidskriftsartikel (refereegranskat)abstract
- In this paper, we investigate how European households changed the diversity of their financial portfolios in response to the Great Financial and the subsequent European Debt Crisis. For this purpose we apply a Difference-in-Differences (DiD) approach estimated as a correlated random effects (CRE) model to six waves of the Survey of Health, Ageing and Retirement in Europe (SHARE). We find that households holding risky assets responded to the twin European financial crises with lower levels of diversity in their financial portfolios. We also reveal their flight to liquid and safe bank accounts at the expense of mutual funds and stocks. The downward trend peaked in 2015. Only after 2015, when the Eurozone debt crisis was definitely over, those households’ financial portfolios became more diverse again. The findings are highly robust across gender, income, and wealth quartiles, as well as across most countries. Such behavior is most likely a mistake with negative wealth consequences for the households and for the society. Programs to increase portfolio diversity literacy could support households in avoiding such behavior in the next crisis.
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| 8. |
- Siddique, Md. Abubakar, et al.
(författare)
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Is investing in green assets costlier? Green vs. non-green financial assets
- 2024
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Ingår i: International Review of Economics and Finance. - : ELSEVIER. - 1059-0560 .- 1873-8036. ; 92, s. 1460-1481
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Tidskriftsartikel (refereegranskat)abstract
- The urgent shift towards a zero- or low-carbon economy to combat climate change has heightened interest in green financial instruments among investors. Although green financial assets have grown significantly in a decade, investing in green assets is speculated to be costlier than traditional assets. Against this backdrop, we analyse whether investing in green financial assets is costlier than investing in traditional assets. We employ a comprehensive methodology, encompassing risk-adjusted returns, tail risks, time-varying correlations, novel quantile volatility connectedness, and portfolio implication techniques to show that most green assets outperform non-green assets in terms of risk-adjusted returns. Likewise, the potential loss likelihood of investing in green assets is lower. Our time-varying correlation outcomes reveal a strong positive association between green assets and their traditional counterparts, with limited hedging opportunities. Further, quantile vector autoregression results suggest that total connectedness between the green assets and their non-green pairs is lower in the normal market than in the extreme markets. Green and non-green asset pairs are also reciprocal in spreading and absorbing volatility shocks across most market states. Finally, the portfolio implications reveal that most asset pairs have a higher hedging cost; however, allocating more than 90% of funds to green assets can provide significant hedging effectiveness. Overall, investing in green assets is not costlier than investing in non-green assets, but they may be marginally rewarded. Our empirical findings have crucial implications for investors, policymakers, and regulatory bodies.
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| 9. |
- Uddin, Gazi Salah, 1979-, et al.
(författare)
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Bond market spillover networks of ASEAN-4 markets: Is the global pandemic different?
- 2024
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Ingår i: International Review of Economics and Finance. - : ELSEVIER. - 1059-0560 .- 1873-8036. ; 92, s. 1028-1044
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Tidskriftsartikel (refereegranskat)abstract
- This study explores the interconnectedness of bond markets in the Association of Southeast Asian Nations (ASEAN-4: Indonesia, Malaysia, the Philippines, and Thailand) with significant regional and global markets, focusing on transmitting global shocks to these markets. The analysis is based on the forecast error variance decomposition (FEVD) of a vector autoregression (VAR) model and wavelet-based longer horizon approaches, enabling us to identify the net transmitter and receiver of return and volatility shocks among the underlying markets at various investment horizons. In addition, we evaluate the primary drivers of ASEAN-4 bond markets, employing global and ASEAN-4 macroeconomic indicators and uncertainty measures to explain variations in the spillover dynamics. Empirical findings reveal strong inter-country connectedness among bond markets, with the U.S. market having the most significant links for 7- and 10-year bond maturities. However, there is limited connectedness within ASEAN-4 and other developing countries, indicating strong diversification potential. Furthermore, our findings indicate increased interconnectedness during COVID-19 and that macroeconomic fundamentals significantly influence the ASEAN-4 markets, rationalizing the heterogeneous cross-border transmission of uncertainty shocks. The findings contribute to the literature on bond market spillovers, offering valuable insights for policymakers, regulators, and investors seeking portfolio diversification, risk management, and sustainable growth in the ASEAN-4 markets.
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| 10. |
- Uddin, Gazi Salah, 1979-, et al.
(författare)
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Stock market contagion during the COVID-19 pandemic in emerging economies
- 2022
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Ingår i: International Review of Economics and Finance. - Amsterdam, Netherlands : Elsevier. - 1059-0560 .- 1873-8036. ; 79, s. 302-309
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Tidskriftsartikel (refereegranskat)abstract
- The purpose of this paper is to examine the connected dynamics of the affected Asian financial markets and global financial market in relation to the outbreak of the coronavirus (COVID-19) pandemic. We particularly examine the temporal dependence and connectedness of the affected markets with the global financial market by using the time-varying dependence approach in a time-frequency space under COVID-19. Our findings indicate a strong, positive dependence among the investigated markets’ due to the outbreak of COVID-19. In addition, we report an increased tendency of co-movements over the higher horizon which is documented by COVID-19. These findings are of significant interest for market participants, policymakers, and international investors.
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