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Article
Publication date: 6 June 2018

Christophe Schinckus and Cinla Akdere

How a micro-founded discipline such as economics could deal with the increasing global economic reality? This question has been asked frequently since the last economic…

Abstract

Purpose

How a micro-founded discipline such as economics could deal with the increasing global economic reality? This question has been asked frequently since the last economic crisis that appeared in 2008. In this challenging context, some commentators have turned their attention to a new area of knowledge coming from physics: econophysics which mainly focuses on a macro-analysis of economic systems. By showing that concepts used by econophysicists are consistent with an existing economic knowledge (developed by J.S. Mill), the purpose of this paper is to claim that an interdisciplinary perspective is possible between these two communities.

Design/methodology/approach

The authors propose a historical and conceptual analysis of the key concept of emergence to emphasize the potential bridge between econophysics and economics.

Findings

Six methodological arguments will be developed in order to show the existence of conceptual bridges as a necessary condition for the elaboration of a common language between economists and econophysics which would not be superfluous, in this challenging context, to clarify the growing complexity of economic phenomena.

Originality/value

Although the economics and econophysics study same the complex economic phenomena, very few collaborations exist between them. This paper paves a conceptual/methodological path for more collaboration between the two fields.

Details

Journal of Asian Business and Economic Studies, vol. 25 no. 1
Type: Research Article
ISSN: 2515-964X

Keywords

Content available
Article
Publication date: 15 June 2021

Nguyen Phuc Canh, Christophe Schinckus, Thanh Dinh Su and Felicia Hui Ling Chong

This paper aims to offer an empirical study of the impact of institutional quality on the banking system risk and credit risk.

Abstract

Purpose

This paper aims to offer an empirical study of the impact of institutional quality on the banking system risk and credit risk.

Design/methodology/approach

Applying cross-sectional dependent tests and stationary tests to check the property of our sample, the panel corrected standard errors model is recruited as the main estimator, while feasible generalized least squares, pool ordinary least squares (OLS), robust pool OLS and other estimators are used as a robustness check for an unbalanced panel data for 56 economies divided into three subsamples between 2002 and 2015.

Findings

The empirical results show several significant contributions. First, an improvement in institutional quality is an important factor to reduce the banking system risk. This effect of the institutions is less important in well-capitalized, highly profitable and in high-economic growth countries. This effect is also stronger in highly liquid banking systems. Notably, a better institutional quality helps to reduce the banking system risk in the highly concentrated banking system. Second, institutional quality has a significant negative relationship with the banking credit risk, especially in highly concentrated banking systems and in high-growth countries. This influence is weaker in highly liquid and well-capitalized banking systems. Finally, better institutions reduce the positive effect of trade openness, but it induces a higher credit risk for the banking system from the trade openness. Notably, a better institutional quality enhances the negative effect of foreign direct investment (FDI) inflow on both banking system risk and credit risk. These findings are documented for a global sample and three subsamples: low and lower-middle-income economies, upper-middle-income economies and high-income economies.

Originality/value

This study provides some recommendations, for policymakers, on the roles of institutions in the banking system and financial stability.

Details

Journal of Economics, Finance and Administrative Science, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 2077-1886

Keywords

Content available
Article
Publication date: 26 June 2019

Christophe Schinckus

The term “agent-based modelling” (ABM) is a buzzword which is widely used in the scientific literature even though it refers to a variety of methodologies implemented in…

Abstract

Purpose

The term “agent-based modelling” (ABM) is a buzzword which is widely used in the scientific literature even though it refers to a variety of methodologies implemented in different disciplinary contexts. The numerous works dealing with ABM require a clarification to better understand the lines of thinking paved by this approach in economics. All modelling tasks are a means and a source of knowledge, and this epistemic function can vary depending on the methodology. this paper is to present four major ways (deductive, abductive, metaphorical and phenomenological) of implementing an agent-based framework to describe economic systems. ABM generates numerous debates in economics and opens the room for epistemological questions about the micro-foundations of macroeconomics; before dealing with this issue, the purpose of this paper is to identify the kind of ABM the author can find in economics.

Design/methodology/approach

The profusion of works dealing with ABM requires a clarification to understand better the lines of thinking paved by this approach in economics. This paper offers a conceptual classification outlining the major trends of ABM in economics.

Findings

There are four categories of ABM in economics.

Originality/value

This paper suggests a methodological categorization of ABM works in economics.

Details

Journal of Asian Business and Economic Studies, vol. 26 no. 2
Type: Research Article
ISSN: 2515-964X

Keywords

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Article
Publication date: 18 June 2020

Canh Phuc Nguyen, Thanh Dinh Su, Udomsak Wongchoti and Christophe Schinckus

This study aims to examine the spillover effects of trans-Atlantic macroeconomic uncertainties on the local stock market returns in the USA and eight selected European…

Abstract

Purpose

This study aims to examine the spillover effects of trans-Atlantic macroeconomic uncertainties on the local stock market returns in the USA and eight selected European countries, namely, Germany, France, Spain, Italy, Greece, Ireland, Sweden and the UK, during the 2000-2019 period.

Design/methodology/approach

This paper applies the dynamic conditional correlation multivariate GARCH model (i.e. multivariate generalized autoregressive conditional heteroskedasticity model or DCC MGARCH) to examine the potential existence of the spillover from the uncertainty of the USA to EU stock markets and vice versa. To capture different dynamic relationships between multiple time-series variables following different regimes, this paper applies the Markov switching model to the stock returns of both the USA and the eight major stock markets.

Findings

The increases in US uncertainty have significant negative impacts on all EU stock returns, whereas only the increases in the uncertainties of Spain, Ireland, Sweden and the UK have significant negative impacts on US stock returns. Notably, the economic policy uncertainty (EPU) in the USA has a dynamic effect on the European stock markets. In a bear market (State 1), the increases in the EPU of the USA and EU have significant negative impacts on EU stock returns in most cases. However, only the increase in US EPU has significant negative impacts on EU stock returns in bull markets (State 2). Reciprocally, the increases in the EU EPUs of Germany, Spain and the UK have significant impacts on US stock returns in bear market.

Originality/value

The observations challenge the conventional wisdom according to which only larger economies can lead the smaller counterparts. The findings also highlight the stronger dependence of the US stock market on international macroeconomic uncertainty.

Details

Studies in Economics and Finance, vol. 37 no. 3
Type: Research Article
ISSN: 1086-7376

Keywords

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Article
Publication date: 23 December 2020

Khakan Najaf, Christophe Schinckus and Liew Chee Yoong

This study aims at determining the portfolio value at risk (VAR) and market value of Fintech firms and compare it with their counterparts.

Abstract

Purpose

This study aims at determining the portfolio value at risk (VAR) and market value of Fintech firms and compare it with their counterparts.

Design/methodology/approach

By using on a dataset from 46 countries between 2009 and 2018, the authors use five measures of VaR to investigate their empirical dynamics in relation with the market value of Fintech and non-Fintech companies.

Findings

The empirical results indicate that Fintech firms' portfolios have a higher financial risk and a higher market value in comparison to non-fintech firms' portfolios. Furthermore, the authors also report that the Fintech firm portfolios experience more financial risk regardless of the holding period as long-term (one year) or short-term (quarter).

Research limitations/implications

There are some limitations in this research. This research does not segregate Fintech firms into their different types of services, such as direct financial investment services, loan provision services, insurance services (InsurTech), etc. The authors only aggregate the Fintech firms by country and region. Future research may consider analysing Fintech firms by differentiating the kind of financial services they offer

Practical implications

Given the importance of their market value, the results imply that Fintech companies might contribute significantly to financial fluctuations in case of large variations of the market. In terms of policy recommendation, this observation requires a particular attention from the regulatory bodies who need to find the best economic balance between promoting innovation/financial technology and regulating the Fintech companies.

Originality/value

This paper is the first study clarifying the relation of financial risk and market value for the Fintech firms, using the large enough database to obtain significant results. This article implies that Fintech companies require a robust risk management framework

Details

Managerial Finance, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 0307-4358

Keywords

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