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Considering the frequency of extreme events, enhancing the global financial system's stability has become crucial. This study aims to investigate the contagion effects of extreme risk events in the international commodity market on China's financial industry. It highlights the significance of comprehending the origins, severity and potential impacts of extreme risks within China's financial market.

This study uses the tail-event driven network risk (TENET) model to construct a tail risk spillover network between China's financial market and the international commodity market. Combining with the characteristics of the network, this study employs an autoregressive distributed lag (ARDL) model to examine the factors influencing systemic risks in China's financial market and to explore the early identification of indicators for systemic risks in China's financial market.

The research reveals a strong tail risk contagion effect between China's financial market and the international commodity market, with a more pronounced impact from the latter to the former. Industrial raw materials, food, metals, oils, livestock and textiles notably influence China's currency market. The systemic risk in China's financial market is driven by systemic risks in the international commodity market and network centrality and can be accurately predicted with the ARDL-error correction model (ECM) model. Based on these, Chinese regulatory authorities can establish a monitoring and early warning mechanism to promptly identify contagion signs, issue timely warnings and adjust regulatory measures.

This study provides new insights into predicting systemic risk in China's financial market by revealing the tail risk spillover network structure between China's financial and international commodity markets.

This study provides a comprehensive analysis of the potential contagion of Bitcoin on financial markets and sheds light on the complex interplay between technological advancements, accounting regulatory and financial market stability.

The study employs a multi-faceted approach to analyze the impact of BTC systemic risk, technological factors and regulatory variables on Asia–Pacific financial markets. Initially, a single-index model is used to estimate the systematic risk of BTC to financial markets. The study then uses ordinary least squares (OLS) to assess the potential impact of systemic risk, technological factors and regulatory variables on financial markets. To further control for time-varying factors common to all countries, a fixed effect (FE) panel data analysis is implemented. Additionally, a multinomial logistic regression model is utilized to evaluate the presence of contagion.

Results indicate that Bitcoin's systemic risk to the Asia–Pacific financial markets is relatively weak. Furthermore, technological advancements and international accounting standard adoption appear to indirectly stabilize these markets. The degree of contagion is also found to be stronger in foreign currencies (FX) than in stock index (INDEX) markets.

This study has several limitations that should be considered when interpreting the study findings. First, the definition of financial contagion is not universally accepted, and the study results are based on the specific definition and methodology. Second, the matching of daily financial market and BTC data with annual technological and regulatory variable data may have limited the strength of the study findings. However, the authors’ use of both parametric and nonparametric methods provides insights that may inspire further research into cryptocurrency markets and financial contagions.

Based on the authors analysis, they suggest that financial market regulators prioritize the development and adoption of new technologies and international accounting standard practices, rather than focusing solely on the potential risks associated with cryptocurrencies. While a cryptocurrency crash could harm individual investors, it is unlikely to pose a significant threat to the overall financial system.

To the best of the authors knowledge, they have not found an asset pricing approach to assess a possible contagion. The authors have developed a new method to evaluate whether there is a contagion from BTC to financial markets. A simple but intuitive asset pricing method to evaluate a systematic risk from a factor is a single index model. The single index model has been extensively used in stock markets but has not been used to evaluate the systemic risk potentials of cryptocurrencies. The authors followed Morck et al. (2000) and Durnev et al. (2004) to assess whether there is a systemic risk from BTC to financial markets. If the BTC possesses a systematic risk, the explanatory power of the BTC index model should be high. Therefore, the first implied contribution is to re-evaluate the findings from Aslanidis et al. (2019), Dahir et al. (2019) and Handika et al. (2019), using a different method.

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 aims to investigate the relationship between stock liquidity, future investment, future investment efficiency and the moderating effect of financial constraints.

To serve the purpose of the study, the data of 178 companies listed on the Tehran Stock Exchange in 2012–2017 were examined. In this research, two Amihud liquidity and stock trading turnover measures were taken for the liquidity. Due to variance heterogeneity, the FGLS test was used. Moreover, a modified multiple regression analysis was used to investigate the moderating role of financial constraints.

The results showed a significant positive relationship between the firm stock liquidity in the current year and the next year investment; the firm stock liquidity (based on the stock trading turnover) in the current year and the next two years’ investment; the firm stock liquidity (based on the trading turnover index) in the current year and the next year investment efficiency; and the firm stock liquidity (based on the stock trading turnover) in the current year and the next two years’ investment efficiency. Moreover, financial constraints negatively moderated the relationship of firm stock liquidity (based on trading turnover index) in the current year and investment in the next year; investment in the next two years; investment efficiency in the next year; and investment efficiency in the next two years.

Given the importance of investment and investment efficiency in emerging markets especially in Asian emerging markets, and because the predicted impacts through financing constraints are usually unclear, this paper attempted to fill the existing gap and be innovative in this regard.

This study comprehensively aims to review the key influential and intellectual aspects of spillovers between Islamic and conventional financial markets.

The study uses the bibliometric and content analysis methods using the VOSviewer software to analyse 52 academic documents derived from the Web of Sciences (WoS) between 2015 and June 2022.

The results demonstrate the influential aspects of spillovers between Islamic and conventional financial markets, including the leading authors, journals, countries and institutions and the intellectual aspects of literature. These aspects are synthesised into four main streams: research between stock indexes; studies between stock indexes, oil and precious metal; works between Sukuk, bond and indexes; and empirical studies review. The authors also propose future research directions in spillovers between Islamic and conventional financial markets.

Our study is subject to several limitations. Firstly, the authors only used the WoS database. Secondly, the study only includes papers and reviews written in English from the WoS. This study assists academic scholars, practitioners and regulatory bodies in further exploring the suggested issues in future studies and improving and predicting economic and financial stability.

To the best of the authors’ knowledge, no extant empirical studies have been conducted in this area of research interest.

This paper investigates the global financial integration of the Gulf Cooperation Council markets, which is important for financial economists, global investors and policymakers.

The first step is to estimate a benchmark one-factor model and multifactor models over the entire sample period to obtain the time-invariant global integration estimates for the Gulf Cooperation Council markets. Because the global integration of the Gulf Cooperation Council markets may be time varying, the second step is to use 24-month rolling regressions to estimate the time-varying integration estimates. To explicitly test for structural breaks in global integration, this study applies a supremum Wald test to endogenously search for structural breaks.

Empirically, consistent evidence suggests that the Gulf Cooperation Council markets are increasingly integrated with international equity markets at different levels of financial development and from different regions. However, compared to other emerging and frontier markets, the global integration of the Gulf Cooperation Council markets is still relatively low, suggesting that these markets still offer significant diversification benefits for global investors.

This study contributes to the literature by systematically investigating the global integration of the Gulf Cooperation Council markets with monthly data (to account for the gradual information diffusion in international equity markets) and a longer sample period (to more robustly identify the trend in the global integration).

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.

It has been argued in the literature that structural changes in the financial markets, such as integration, have the potential to cause herding behavior or correlated behavioral patterns in traders. The purpose of this study is to investigate whether there is any financial herding behavior in the Latin American Integrated Market (MILA), a transnational stock market composed of Chile, Peru, Colombia and Mexico stock exchanges and whether there is any ARCH or GARCH effect in the herding behavior models.

This study uses the modified return dispersion approach on daily index return data. The sample period is from January 03, 2002 to May 07, 2019. The data are obtained from the MILA database. To count time-varying volatilities in herding models, the authors run ARCH family regression with GARCH (1,1) settings. Hwang and Salmon (2004) model is used as a robustness test.

The authors found strong herding behavior under the general market conditions and moderate and partial herding behavior under some specified markets circumstances, such as bull and bear markets and high-low volatility states. Moreover, the pre-MILA period exhibits more herding behavior than the post-MILA period. The empirical results show that most of the ARCH and GARCH effects are statistically significant, implying that the past information of stock returns and market volatility significantly affect the volatility of following periods, which can also explain the formation of herding tendency among investors. Finally, the results of the robustness tests (Hwang and Salmon, 2004) confirm herding in all periods, except full sample period for Mexico and post-MILA period for Mexico and Colombia.

This study investigates the herding behavior in the MILA market in terms of market return, volatility and timing. A limitation of the paper is that the authors have not included other factors on the formation of herding behavior, such as macroeconomic factors, effects of regional or international markets and policy influences. The authors will explore the issue in the extension of the paper.

As MILA is the first virtual integration of stock exchanges without merging, the study provides useful findings and draws good inferences of herding behavior in the MILA market in terms of market return, volatility and timing which are useful for academics, investors and policymakers in their investment and decision makings.

The paper provides useful findings and draws good inferences of herding behavior in the MILA market in terms of market return, volatility and timing which are not only useful in practical implications, but also in social implications.

This study contributes to the herding literature by examining four different hypotheses in respect of the unique case of transnational stock exchange without fusions or corporate mergers, where each market maintains its independence and regulatory autonomy. The authors also contribute to the literature by including both ARCH and GARCH effects in the herding behavioral models along the Hwang and Salmon (2004) approach.

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.

The purpose of this paper is to explore the dynamic interdependence structure and risk spillover effect between the Chinese stock market and the US stock market.

This paper mainly uses the multivariate R-vine copula-complex network analysis and the multivariate R-vine copula-CoVaR model and selects stock price indices and their subsector indices as samples.

The empirical results indicate that the Energy, Materials and Financials sectors have leading roles in the interdependent structure of the Chinese and US stock markets, while the Utilities and Real Estate sectors have the least important positions. The comprehensive influence of the Chinese stock market is similar to that of the US stock market but with smaller differences in the influence of different sectors of the US stock market on the overall interdependent structure system. Over time, the interdependent structure of both stock markets changed; the sector status gradually equalized; the contribution of the same sector in different countries to the interdependent structure converged; and the degree of interaction between the two stock markets was positively correlated with the degree of market volatility.

This paper employs the methods of nonlinear cointegration and the R-vine copula function to explore the interactive relationship and risk spillover effect between the Chinese stock market and the US stock market. This paper proposes the R-vine copula-complex network analysis method to creatively construct the interdependent network structure of the two stock markets. This paper combines the generalized CoVaR method with the R-vine copula function, introduces the stock market decline and rise risk and further discusses the risk spillover effect between the two stock markets.