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Expert briefing
Publication date: 26 January 2024

It cited investor capital shortfalls amid the Gaza conflict, also highlighting another USD4mn allocated to early-stage Palestinian businesses. Israel’s government in December 2023…

Details

DOI: 10.1108/OXAN-DB284819

ISSN: 2633-304X

Keywords

Geographic
Topical

Abstract

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Compliance and Financial Crime Risk in Banks
Type: Book
ISBN: 978-1-83549-042-6

Article
Publication date: 23 May 2023

Panagiotis Tzouvanas

This paper sheds light on the impact of market risk measures on systemic risk. Market risk, which is captured by the volatility of stock market returns, is also decomposed into…

Abstract

Purpose

This paper sheds light on the impact of market risk measures on systemic risk. Market risk, which is captured by the volatility of stock market returns, is also decomposed into systematic and idiosyncratic risks.

Design/methodology/approach

The author uses the five-factor asset pricing model and systemic risk methodologies to derive market and systemic risk measures, respectively. Using a sample of 2,667 US banks for over 30 years and employing panel data estimation techniques, the author tests the said relationship.

Findings

It is shown that idiosyncratic risk can surge systemic risk, while systematic risk plays a less important role. Results survive a battery of tests, including different systemic risk measures, controlling causality and interacting with bank size, market fear and crisis periods.

Practical implications

These findings call for regulatory intervention, especially for large banks with high idiosyncratic risk.

Originality/value

This is the first paper that provides a more granular picture of the relationship between market and systemic risk from the US banking industry for more than 30 years.

Details

Journal of Economic Studies, vol. 51 no. 1
Type: Research Article
ISSN: 0144-3585

Keywords

Article
Publication date: 15 February 2024

Wenbo Ma, Kai Li, Wei-Fong Pan and Xinjie Wang

The purpose of this paper is to construct an index for systemic risk in China.

Abstract

Purpose

The purpose of this paper is to construct an index for systemic risk in China.

Design/methodology/approach

This paper develops a systemic risk index for China (SRIC) using textual information from 26 leading newspapers in China. Our index measures the systematic risk from 21 topics relating to China’s economy and provides narratives of the sources of systemic risk.

Findings

SRIC effectively predicts changes in GDP, aggregate financing to the real economy and the purchasing managers’ index. Moreover, SRIC explains several other commonly used macroeconomic indicators. Our risk measure provides a helpful monitoring tool for policymakers to manage systemic risk.

Originality/value

The paper construct an index of systemic risk based on the information extracted from newspaper articles. This approach is new to the literature.

Details

China Finance Review International, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 2044-1398

Keywords

Article
Publication date: 19 July 2023

Gaurav Kumar, Molla Ramizur Rahman, Abhinav Rajverma and Arun Kumar Misra

This study aims to analyse the systemic risk emitted by all publicly listed commercial banks in a key emerging economy, India.

Abstract

Purpose

This study aims to analyse the systemic risk emitted by all publicly listed commercial banks in a key emerging economy, India.

Design/methodology/approach

The study makes use of the Tobias and Brunnermeier (2016) estimator to quantify the systemic risk (ΔCoVaR) that banks contribute to the system. The methodology addresses a classification problem based on the probability that a particular bank will emit high systemic risk or moderate systemic risk. The study applies machine learning models such as logistic regression, random forest (RF), neural networks and gradient boosting machine (GBM) and addresses the issue of imbalanced data sets to investigate bank’s balance sheet features and bank’s stock features which may potentially determine the factors of systemic risk emission.

Findings

The study reports that across various performance matrices, the authors find that two specifications are preferred: RF and GBM. The study identifies lag of the estimator of systemic risk, stock beta, stock volatility and return on equity as important features to explain emission of systemic risk.

Practical implications

The findings will help banks and regulators with the key features that can be used to formulate the policy decisions.

Originality/value

This study contributes to the existing literature by suggesting classification algorithms that can be used to model the probability of systemic risk emission in a classification problem setting. Further, the study identifies the features responsible for the likelihood of systemic risk.

Details

Journal of Modelling in Management, vol. 19 no. 2
Type: Research Article
ISSN: 1746-5664

Keywords

Article
Publication date: 5 March 2024

Robert Owusu Boakye, Lord Mensah, Sanghoon Kang and Kofi Osei

The study measures the total systemic risks and connectedness across commodities, stocks, exchange rates and bond markets in Africa during the Covid-19 pandemic.

Abstract

Purpose

The study measures the total systemic risks and connectedness across commodities, stocks, exchange rates and bond markets in Africa during the Covid-19 pandemic.

Design/methodology/approach

The study uses the Diebold-Yilmaz spillover and connectedness measures in a generalized VAR framework. The author calculates the net transmitters or receivers of shocks between two assets and visualizes their strength using a network analysis tool.

Findings

The study found low systemic risks across all assets and countries. However, we found higher systemic risks in the forex market than in the stock and bond markets, and in South Africa than in other countries. The dynamic analysis found time-varying connectedness return shocks, which increased during the peak periods of the first and second waves of the pandemic. We found both gold and oil as net receivers of shocks. Overall, over half of all assets were net receivers, and others were net transmitters of return shocks. The network connectedness plot shows high net pairwise connectedness from Morocco to South Africa stock market.

Practical implications

The study has implications for policymakers to develop the capacities of local investors and markets to limit portfolio outflows during a crisis.

Originality/value

Previous studies have analyzed spillovers across asset classes in a single country or a single asset across countries. This paper contributes to the literature on network connectedness across assets and countries.

Details

International Journal of Emerging Markets, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1746-8809

Keywords

Article
Publication date: 5 December 2023

Nimesha Sahani Jayasena, Daniel W.M. Chan and Mohan Kumaraswamy

The widespread lockdown restrictions brought by the global COVID-19 epidemic inculcated a culture of “work-from-home”. However, most rural areas lack reliable and effective…

Abstract

Purpose

The widespread lockdown restrictions brought by the global COVID-19 epidemic inculcated a culture of “work-from-home”. However, most rural areas lack reliable and effective community amenities including transportation, health and education, thereby impeding healthy living and productive employment. Therefore, the underlying goal of this research is to investigate the development of smart infrastructure (SI) in non-urban areas. However, governments' resource limitations must be addressed to develop SI, which urges the research on the potential for public-private partnerships (PPP) to supplement public sector resources when necessary.

Design/methodology/approach

This paper examined and evaluated the “benefits and enablers” and “barriers” to deploying PPPs to create SI in non-urban areas, using a thorough literature review, five expert interviews and analytic hierarchy process (AHP)-based questionnaire responses. The AHP technique and content analysis were used to analyse the results and generate the conclusions.

Findings

The availability of a favourable investment climate and legal framework were identified as the significant factors among the “benefits and enablers” of adopting PPP in SI developments in non-urban areas, while low community acceptance of the private sector involvement, and community culture and values were identified as the significant factors among the “barriers”. These highlight the significance of removing barriers connected to community culture and “values”.

Originality/value

The findings and conclusions of this study provide a strong foundation to support the growth of SI in non-urban settings, facilitating more sustainable development that is more evenly distributed in the post-COVID-19 future.

Details

Built Environment Project and Asset Management, vol. 14 no. 1
Type: Research Article
ISSN: 2044-124X

Keywords

Open Access
Article
Publication date: 5 September 2023

Jorge Alcaraz, Julio Martinez-Suarez and Miguel A. Montoya

This paper aims to determine whether policy uncertainty caused by institutional decay in countries with populist rulers influences the internationalization decision of emerging…

Abstract

Purpose

This paper aims to determine whether policy uncertainty caused by institutional decay in countries with populist rulers influences the internationalization decision of emerging market firms (EMFs).

Design/methodology/approach

The study used binary logit analysis on firms from Latin American countries undertaking cross-border greenfield investment projects.

Findings

The results suggest that internationalization decision is demotivated by policy uncertainty generated by populist chief executives and promoted by that of political parties.

Originality/value

This study uses populist rhetoric to describe policy uncertainty due to chief executives and ruling parties, which influences internationalization decision by increasing anticipated transaction costs. This inquiry identifies populism as a variable that influences EMFs to internationalize, while empirically testing the claim of theoretical scholarship that populism reconfigured the sociopolitical and institutional forces that shape the world’s business. This study further advances institutional theory by offering a fresh perspective on the influence of home instead of host-country institutions on the internationalization motivation of firms due to institutional decay caused by populist regimes.

Details

European Business Review, vol. 36 no. 1
Type: Research Article
ISSN: 0955-534X

Keywords

Article
Publication date: 20 October 2023

Resul Aydemir, Huzeyfe Zahit Atan and Bulent Guloglu

The purpose of this paper is to investigate how bank-specific factors affect the riskiness of conventional and Islamic banks in response to shocks in major financial indices as…

Abstract

Purpose

The purpose of this paper is to investigate how bank-specific factors affect the riskiness of conventional and Islamic banks in response to shocks in major financial indices as market conditions change.

Design/methodology/approach

The authors use a multivariate quantile model using daily equity returns data to analyze financial risk spillovers in the values at risk that may occur between major financial indices and the equity prices of conventional and Islamic banks worldwide. Then, using both quantile and quantile-on-quantile models, the authors examine the effects of bank-specific variables such as leverage ratio, bank size, return on equity and capital adequacy ratio on the initial impact of shocks in major global financial indices on bank equity price returns at different quantiles of shocks and bank-specific variables.

Findings

The findings reveal that major financial indices can predict bank stock returns. Moreover, the authors find that the effect of bank-specific factors on the riskiness of banks is heterogeneous in that it depends on the bank type (Islamic vs conventional), the level of banking variable (high vs low) and, more importantly, market conditions.

Originality/value

To the best of the authors’ knowledge, this is the first study that compares the dual banking system with stock market performance while considering bank-specific variables as market conditions change. The results of this study reveal that the effect of bank-specific variables on bank performance varies according to different quantiles of shocks and bank-specific variables. Islamic banks may echo or differ from conventional banks depending on the specific factor under investigation.

Details

International Journal of Islamic and Middle Eastern Finance and Management, vol. 17 no. 1
Type: Research Article
ISSN: 1753-8394

Keywords

Article
Publication date: 25 January 2024

Adnan Ullah Khan and Athar Iqbal

This study aims to investigate the effect of political turmoil on the firm financial performance, particularly in presence of politically affiliated board of directors.

Abstract

Purpose

This study aims to investigate the effect of political turmoil on the firm financial performance, particularly in presence of politically affiliated board of directors.

Design/methodology/approach

The study applied panel regression analyses on a data set of Pakistan’s listed companies ranged over 14 years, spanning from 2007 to 2021. Political turmoil was first gauged through three determinants, i.e. political protest, government election and constitutional reform, and thereafter, economic uncertainty index was used as a proxy for political turmoil. For the purpose of political connection, the study used political affiliation of the board of directors.

Findings

The study finds that political turmoil has deleterious effect on the return on assets and Tobin’s Q. The study further unveils that politically affiliated firms are relatively insulated from the volatility posed by the political uncertainty and exhibit significantly better financial outcomes.

Practical implications

Findings of the study suggest that appropriate composition of the board is imperative in offsetting the risk posed by the political turmoil. Hence, the results are useful for investors, policymakers and regulators to ensure financial soundness of firms in the wake of political turmoil.

Originality/value

To the best of the authors’ knowledge, this is the first study that investigates the moderating impact of political connection on the performance of companies in presence of political turmoil.

Details

Corporate Governance: The International Journal of Business in Society, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1472-0701

Keywords

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