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The purpose of this study is to discover the motivating factors for cryptocurrency investment during an economic crisis in the MENA region, with reference to the economic crisis of 2019–2022, in Lebanon.

The authors used t-test, and logistic regressions on a sample of 254 Lebanese investors to differentiate between cryptocurrency investors, and non-investors. Linear regressions of a subsample of cryptocurrency investors determined the factors that explained increasing cash investment in cryptocurrencies. Data were collected from investors in Lebanon, which could limit the generalization of the research results across the MENA region.

Investors differed from non-investors in that they were male, owned investments in the stock, bond and commodity markets, had prior investment experience in cryptocurrencies, were risk-takers and had expectations of high returns. Investors increased the dollar investment in cryptocurrencies, if they were male, as they invested more funds in securities, had previously invested in cryptocurrencies and had stronger risk-taking propensity. Expectations of high returns drove investors to cryptocurrencies, but such expectations do not stimulate further cryptocurrency investment.

This study is an initial attempt to comprehend the reactions of investors in the MENA region to a currency crisis that triggered investment in cryptocurrencies following the collapse of fiat currencies, central bank default and restrictions on bank withdrawals.

Might the impact of the financial stress on exchange markets be asymmetric and exposed to regime changes? Departing from the existing literature, highlighting that the domestic and foreign financial stress in terms of money market have substantial effects on exchange market, this paper aims to investigate the impacts of the bond yield spreads of three emerging countries (Mexico, Russia, and South Korea) on their exchange market pressure indices using monthly observations for the period 2010:01–2019:12. Additionally, the paper analyses the impact of bond yield spread of the US on the exchange market pressure indices of the three mentioned emerging countries. The authors hypothesized whether the negative and positive changes in the bond yield spreads have varying effects on exchange market pressure indices.

To address the research question, we measure the bond yield spread of the selected countries by using the interest rate spread between 10-year and 3-month treasury bills. At the same time, the exchange market pressure index is proxied by the index introduced by Desai et al. (2017). We base the empirical analysis on nonlinear vector autoregression (VAR) models and an asymmetric quantile-based approach.

The results of the impulse response functions indicate that increases/decreases in the bond yield spreads of Mexico, Russia and South Korea raise/lower their exchange market pressure, and the effects of shocks in the bond yield spreads of the US also lead to depreciation/appreciation pressures in the local currencies of the emerging countries. The quantile connectedness analysis, which allows for the role of regimes, reveals that the weights of the domestic and foreign bond yield spread in explaining variations of exchange market pressure indices are higher when exchange market pressure indices are not in a normal regime, indicating the role of extreme development conditions in the exchange market. The quantile regression model underlines that an increase in the domestic bond yield spread leads to a rise in its exchange market pressure index during all exchange market pressure periods in Mexico, and the relevant effects are valid during periods of high exchange market pressure in Russia. Our results also show that Russia differs from Mexico and South Korea in terms of the factors influencing the demand for domestic currency, and we have demonstrated the role of domestic macroeconomic and financial conditions in surpassing the effects of US financial stress. More specifically, the impacts of the domestic and foreign financial stress vary across regimes and are asymmetric.

This study enriches the literature on factors affecting the exchange market pressure of emerging countries. The results have significant economic implications for policymakers, indicating that the exchange market pressure index may trigger a financial crisis and economic recession.

This paper assesses the co-movement between Pax gold and six fiat currencies. It also investigates the optimal time-varying hedge ratios in order to examine the properties of Pax gold as a diversifier and hedge asset.

This paper examines the volatility spillover between Pax gold and fiat currencies using the framework of wavelet analysis, BEKK-GARCH models and Range DCC-GARCH. Moreover, this paper proposes to use the covariance and variance structure obtained from the new range DCC-GARCH framework to estimate the time-varying optimal hedge ratios, the optimal weighs and the hedging effectiveness.

Wavelet coherence method reveals that, at low frequency, large zone of co-movements appears for the pairs Pax gold/EUR, Pax gold/JPY and Pax gold/RUB. Further, the BEKK results show unidirectional (bidirectional) transmission effects between Pax gold and EUR, GBP, JPY and CNY (INR, RUB) fiat currencies. Moreover, the Range DCC results show that the Pax gold and the fiat currency returns are weakly correlated with low coefficients close to zero. Thus, Pax gold seems to serve as a safe haven asset against the systematic risk of fiat currency markets. In addition, the results of optimal weights show that rational investor should invest more in Pax gold and less in fiat currencies. Concerning the hedge ratios results, the findings reveal that the INR (JPY) fiat currency appears to be the most expensive (cheapest) hedge for the Pax-gold market. However, the JPY’s fiat currency appears to be the cheapest one. As for hedging effectiveness results, the authors found that hedging strategies including fiat currencies–Pax gold pairs are most likely to sharply decrease the portfolio’s risk.

A comprehensive understanding of the relationship between Pax Gold and fiat currencies is crucial for refining portfolio strategies involving cryptocurrencies. This research underscores the significance of grasping volatility transmissions between these currencies, providing valuable insights to guide investors in their decision-making processes. Moreover, it encourages further exploration into the interdependencies of digital currencies. Additionally, this study sheds light on effective contagion risk management, particularly during crises such as Covid-19 and the Russia–Ukraine conflict. It underscores the role of Pax Gold as a safe-haven asset and offers practical guidance for adjusting portfolios across various economic conditions. Ultimately, this research advances our comprehension of Pax Gold’s risk-return profile, positioning it as a potential hedge during periods of uncertainty, thereby contributing to the evolving literature on cryptocurrencies.

This study’s primary value lies in its pioneering empirical examination of the time-varying correlations and scale dependence between Pax Gold and fiat currencies. It goes beyond by determining optimal time-varying hedge ratios through the innovative Range-DCC-GARCH model, originally introduced by Molnár (2016) and distinguished by its incorporation of both low and high prices. Significantly, this analysis unfolds within the unique context of the Covid-19 pandemic and the Russian–Ukrainian conflict, marking a novel contribution to the field.

This paper aims to attempt to examine some of the unique features of cryptocurrency and the reasons for its growing market acceptability. Given the expanding size of cryptocurrency markets, the present study strives to identify whether it can be used as an alternative financial asset in place of traditional financial assets to meet firms' financial constraints. It also provides issues for future research in the area of cryptocurrency markets.

This paper analysed 94 research papers from databases such as ScienceDirect, Proquest, EBSCO, Emerald Insight and Web of Science. Articles connected to cryptocurrency, financial assets and corporate financial constraints research were explored. VOSviewer software has been used to visualise the specified body of literature and identify eight clusters in previous literature using keyword and abstract analysis.

Studies reveal that cryptocurrency markets are independent of traditional financial markets and cryptocurrency returns have less correlation with traditional financial asset classes. This can be an advantage to firms, especially during times of crisis when traditional financial assets are impacted by significantly lower returns, while cryptocurrencies can serve as an alternative. Realtime data reveals that during the pandemic, cryptocurrencies had the maximum growth in returns which also happened to be a time when firms faced severe cash constraints. While accepting cryptocurrency as a means of exchange is still under review by regulatory authorities, it can be considered an alternative asset for investment purposes. Firms can take advantage of it to overcome financial constraints and thus reap the gains from holding crypto assets for precautionary reasons.

The present study investigates using cryptocurrency as an alternative financial asset to solve the financial constraint problem in corporates. The issues regarding volatility, cyber securities, gold returns, long-term and short-term returns have been some of the most prominent studies in the area of cryptocurrency. The present study uses eight theme-based clusters to identify the role of cryptocurrency as an alternative investment class and examines evidence-based research regarding the financial returns from holding cryptocurrency over certain traditional asset classes such as gold, currency or stocks. In recent years, it has been found that investors' growing interest in holding cryptocurrency as part of their financial portfolio has led to the substantial appreciation of cryptocurrency prices. To the best of the authors’ knowledge, the study will be a novel attempt to identify the role of cryptocurrency as an antidote to the companies’ financial constraints and liquidity issues.

This study investigates whether the disclosure of derivatives is value relevant in emerging markets and evaluates the effects of the 2008/2009 global financial crisis on the value relevance of derivative disclosures.

Panel regression models using sub-samples and a crisis interaction term were applied to a sample of the 200 largest non-financial firms by market capitalization listed on the Johannesburg Stock Exchange (JSE) from 2005 to 2017 to assess the consequences of the financial crisis.

The results suggest that the disclosure of derivatives is value relevant in the hitherto understudied context of emerging markets. The 2008/2009 financial crisis had a significant impact on derivatives use and the value relevance of derivatives disclosure by JSE-listed companies.

Companies should reconsider both how they employ derivatives as part of their risk management practices and how they communicate derivatives use to stakeholders in the financial statements. The findings facilitate a comparative analysis across various market contexts by researchers and assist investors in better decision-making. The findings can influence regulatory practices and can help standard setters to review disclosure requirements.

The benefits of corporate hedging were studied from an emerging market perspective, using an original dataset and approach to investigate the effects of international financial volatility on emerging markets. The authors tested whether companies are valued differently, based on their disclosure of the use of derivatives in the financial statements, and the effect of the financial crisis on the value relevance derivatives disclosures.

This study is designed to examine the dynamic interrelationships between four cryptocurrencies (Bitcoin, Ethereum, Dogecoin and Cardano) and the Indian equity market. Additionally, the study seeks to investigate the potential safe haven, hedge and diversification uses of these digital currencies within the Indian equity market.

This study employs the wavelet approach to examine the time-varying volatility of the studied assets and the lead-lag relationship between stocks and cryptocurrencies. The authors execute the entire analysis using daily data from 1st October 2017 to 30th September 2023.

The result of the study shows that financial distress due to the pandemic and the Russian invasion of Ukraine have a negative effect on the Indian equities and cryptocurrency markets, escalating their price volatility. Also, the connectedness between the returns of stock and digital currency exhibits a strong positive relationship during periods of financial distress. Additionally, cryptocurrencies serve as a tool of diversification or hedging in the Indian equities markets during normal financial circumstances, but they do not serve as a diversifier or safe haven during periods of financial turmoil.

This study contributes to understanding the relationship between the Indian equity market and four cryptocurrencies using wavelet techniques in the time and frequency domains, considering both normal and crisis times. This can offer valuable insights into the potential of cryptocurrencies inside the Indian equities markets, mainly with respect to varying financial conditions and investment horizons.

The purpose of this study is to empirically investigate the asymmetric effects of financial risk on Sukuk market development for a sample of Malaysian countries over the period of 2010–2021.

This study refers to the International Country Risk Guide (ICRG) in determining the financial risk factors to be studied in addition to the Malaysia financial stress index (FSI) to capture changes in financial risk level. The authors use the nonlinear autoregressive distributed lag (NARDL) model to tackle the nonlinear relationships between identified financial risk variables and Sukuk market development.

The results suggest the existence of a long-run relationship between foreign debt service stability, international liquidity stability (ILS), exchange rate stability (ERS) and financial stress level with the Sukuk market development in Malaysia. Indeed, higher ILS and ERS will boost Sukuk market size, whereas higher foreign debt services and financial stress are negatively related to Sukuk market development. Findings also indicate that the long-run positive and negative impacts of identified financial risk components on Sukuk market development are statistically different. Taking into account the role of the Sukuk market in facilitating Malaysia’s economic growth, the country should aim to keep the foreign debt-to-GDP ratio at a sustainable level.

This study points to three possible directions for future research. The first is the differential impact of financial risk components on Sukuk issuance for different Sukuk structures. As more data becomes available in the future, this area could be further explored by conducting the above analysis for different combinations of Sukuk structures and currency denominations. In addition, future researchers could also consider exploring the variability of financial risk impacts through comparative studies of the leading Sukuk-issuing countries to account for differences in regulatory frameworks and supporting infrastructure.

This study provides valuable practical and policy implications for strengthening the growth of the Sukuk market. While benefiting from the diversification benefits of funding sources to finance private or government projects and developments, Malaysia should remain vigilant to global economic conditions, foreign exchange markets and financial stress levels, as all of these factors may significantly influence investor sentiment and the rate of return offered by Sukuk issuance.

The use of the NARDL approach, which investigates the long-run effects of financial risk factors on Sukuk market development in Malaysia, makes this study a valuable addition to the literature, as there has been little research into the asymmetric effects of those variables on Sukuk market development using samples from emerging Asian markets.

This study investigates the asymmetric effects of exchange rate and investors' sentiments simultaneously on stock market performance in the United States context. In addition, we have also considered the potential effect of the global financial crisis of 2008 on this nexus.

We have employed the NARDL (nonlinear autoregressive distributed lag) model on monthly data ranging from January-1999 to December-2018 to investigate the asymmetric (short- and long-run) effects of exchange rate and investors' sentiments on stock market performance. We have also broken down the data into two segments, pre and post-crisis periods to capture the effect of the global financial crisis of 2008.

The findings of the study reveal that exchange rate and investors' sentiments simultaneously affect stock market performance and omitting any of these variables can produce misleading results. Results also show that the effect of sentiments is stronger than the exchange rate. There is significant evidence of asymmetric short-run and long-run effects of both explanatory variables. Moreover, we have found different outcomes for pre and post-crisis periods. Specifically, the impact of macroeconomic variables on the stock market has been substantiated in the post-crisis period.

Several studies are available which separately evidence the effects of investors' sentiments and exchange rate on performance of the stock market but they can suffer from the problem of omitted variable bias. This study is conducted to test the said effect simultaneously in a single model. Moreover, this study is considering short-run and long-run asymmetry in analyzing the effects of explanatory variables along with the inclusion of the global financial crisis of 2008.

This paper analyzes the connectedness with network among the major cryptocurrencies, the G7 stock indexes and the gold price over the coronavirus disease 2019 (COVID-19) pandemic period, in 2020.

This study used a multivariate approach proposed by Diebold and Yilmaz (2009, 2012 and 2014).

For a stock index portfolio, the results of static connectedness showed a higher independence between the stock markets during the COVID-19 crisis. It is worth noting that in general, cryptocurrencies are diversifiers for a stock index portfolio, which enable to reduce volatility especially in the crisis period. Dynamic connectedness results do not significantly differ from those of the static connectedness, the authors just mention that the Bitcoin Gold becomes a net receiver. The scope of connectedness was maintained after the shock for most of the cryptocurrencies, except for the Dash and the Bitcoin Gold, which joined a previous level. In fact, the Bitcoin has always been the biggest net transmitter of volatility connectedness or spillovers during the crisis period. Maker is the biggest net-receiver of volatility from the global system. As for gold, the authors notice that it has remained a net receiver with a significant increase in the network reception during the crisis period, which confirms its safe haven.

Overall, the authors conclude that connectedness is shown to be conditional on the extent of economic and financial uncertainties marked by the propagation of the coronavirus while the Bitcoin Gold and Litecoin are the least receivers, leading to the conclusion that they can be diversifiers.

本文分析於2020年2019冠狀病毒病肆虐期間、主要的加密貨幣、七國集團 (G7) 股價指數與黃金價格三者之間在網絡上的連通性。

分析使用迪博爾德和耶爾馬茲 (Diebold and Yilmaz (2009, 2012, 2014)) 提出的多變量分析法。

就一個股票指數投資組合而言,靜態連結的結果顯示、在2019冠狀病毒病肆虐期間,股票市場之間有更高的獨立性。值得我們注意的是:一般來說,加密貨幣在股票指數投資組合起著多元化投資作用,這可減低不穩定性,尤其是在危機時期。動態連結的結果與靜態連結的結果沒有顯著的分別。我們剛提到、比特幣黃金已成為純接收者。除了處於先前水平的達世幣和比特幣黃金外,就大部分的加密貨幣而言,連通的範圍在衝擊後都得以維持。事實上,在這危機時期,比特幣一直是波動性連結或溢出的最大淨傳播者。掛單者 (Maker) 是從全球系統中出現的最大波動淨接收者。至於黃金,我們注意到在危機時期、它仍然是在網絡接收方面擁有顯著增長的淨接收者,這確認其為安全的避難所。

總的來說,我們的結論是:連通性被確認為取決於標誌著受廣泛傳播的冠狀病毒影響下的經濟和金融欠缺穩定的程度,而比特幣黃金和萊特幣則是最小的接收者,這帶出一個結論、就是:比特幣黃金和萊特幣、可以成為多元化投資項目。

This paper aims to obtain a recent estimate of the cost of precautionary foreign reserve accumulation that emerging market and developing economies (EMDEs) had to endure to protect themselves against the risks of financial globalization. In addition, the study estimates the cost of excess reserves in emerging market economies (EMEs) using various reserve adequacy indicators that reflect potential sources of foreign exchange drains and vulnerability in EMEs' balance of payments.

This paper begins by explaining the accumulation of foreign reserves in EMDEs as a self-protection strategy against the risks of financial globalization. Next, it sheds light on the different types of economic costs of foreign reserve accumulation. Finally, it estimates the cost of foreign reserve accumulation in EMEs during the period (1990–2018) and in EMDEs during the period (1990–2015) due to data availability.

Results indicate that the cost of accumulating foreign reserves as a self-protection strategy in EMDEs and EMEs' was huge compared to their development financing needs. Applying various reserve adequacy measures demonstrates that many of the EMEs were holding inadequate precautionary reserves in 2018. Actually, this reflects the significant increase in external short term debt that many of the EMEs have witnessed since the eruption of the global financial crisis (2008). Thus increasing reserves in EMEs with weak reserve buffers and higher external debt is critical as they are more vulnerable to external shocks and capital flow reversals. Also given the estimated huge costs of accumulating foreign reserves, EMDEs should accompany it by other complementary self-protection policies and liquidity management policies to free up resources for productive investment.

The study contributes to the literature by estimating the cost of precautionary foreign reserve accumulation imposed on EMDEs during an extended period of time that covers a decade after the onset of the global financial crisis. Also to the authors' knowledge, this is the first study that estimates the cost of excess reserves in EMEs using various reserve adequacy indicators including the International Monetary Fund (IMF) assessing reserve adequacy (ARA) approach.