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1 – 10 of over 4000Woon Weng Wong, Kwabena Mintah, Peng Yew Wong and Kingsley Baako
This study aims to examine the impact of lending liquidity on house prices especially during black swan events such as the Global Financial Crisis of 2007–08 and COVID-19…
Abstract
Purpose
This study aims to examine the impact of lending liquidity on house prices especially during black swan events such as the Global Financial Crisis of 2007–08 and COVID-19. Homeownership is an important goal for many, and house prices are a significant driver of household wealth and the wider economy. This study argues that excessive liquidity from central banks may be driving house price increases, despite negative changes to fundamental drivers. This study contributes to the literature by examining lending liquidity as a driver of house prices and evaluating the efficacy of fiscal policies aimed at boosting liquidity during black swan events.
Design/methodology/approach
This study aims to examine the impact of quantitative easing on Australian house prices during back swan events using data from 2004 to 2021. All macroeconomic and financial data are freely available from official sources such as the Australian Bureau of Statistics and the nation's Central Bank. Methodology wise, given the problematic nature of the data such as a mixed order of integration and the possibility of cointegration among some of the I(1) variables, the auto-regressive distributed lag model was selected given its flexibility and relative lack of assumptions.
Findings
The Australian housing market continued to perform well during the COVID-19 pandemic, with the house price index reaching an unprecedented high towards the end of 2021. Research using data from 2004 to 2021 found a consistent positive relationship between house prices and housing finance, as well as population growth and the value of work commenced on residential properties. Other traditional drivers such as the unemployment rate, economic activity, stock prices and income levels were found to be less significant. This study suggests that quantitative easing implemented during the pandemic played a significant role in the housing market's performance.
Originality/value
Given the severity of COVID-19, policymakers have responded with fiscal and monetary measures that are unprecedented in scale and scope. The full implications of these responses are yet to be completely understood. In Australia, the policy interest rate was reduced to a historic low of 0.1%. In the following periods house prices appreciated by over 20%. The efficacy of quantitative easing and associated fiscal policies aimed at boosting liquidity to mitigate the impact of black swan events such as the pandemic has yet to be tested empirically. This study aims to address that paucity in literature by providing such evidence.
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Navendu Prakash, Shveta Singh and Seema Sharma
This paper aims to investigate the short- and long-run influence of core banking solutions (CBSs) on productive efficiency and identify the presence of potential network…
Abstract
Purpose
This paper aims to investigate the short- and long-run influence of core banking solutions (CBSs) on productive efficiency and identify the presence of potential network externalities arising from CBS adoption. This paper further examines the differential behaviour of long-term effects across the banking structure.
Design/methodology/approach
This study uses a panel data set of Indian commercial banks from 2005 to 2021. Economic efficiency is quantified using VRS-based DEA programming algorithms. Productivity changes are measured through an input-oriented, DEA-based Malmquist productivity index. Short- and long-run effects are examined through a finite autoregressive distributed lag model, estimated through a pooled mean-group estimator.
Findings
Findings suggest that CBS adoption negatively correlates with cost structure until the first year of adoption. Nevertheless, significant benefits are visible from the third year. Furthermore, such associations are highly susceptible to the industry structure. CBS results in higher incremental benefits for private banks vis-à-vis state-owned banks. Large banks receive significant and quicker productivity improvements from CBS vis-à-vis small banks. Bank age guides CBS–performance associations, highlighting that mature banks may face the issue of legacy infrastructure in CBS adoption. The resultant networking externalities are significant as they enhance the attractiveness of the network, which subsequently augments inter-branch and inter-bank communications.
Originality/value
To the best of the authors’ knowledge, this study is the first to recognise the stickiness of one of the most homogeneously adopted technological innovations in the Indian banking sector. The presence of a conjoint technological network has the potential to enhance the service delivery process and ensure superior returns for Indian banks.
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Yousra Trichilli and Mouna Boujelbène Abbes
This article unveils first the lead–lag structure between the confirmed cases of COVID-19 and financial markets, including the stock (DJI), cryptocurrency (Bitcoin) and…
Abstract
Purpose
This article unveils first the lead–lag structure between the confirmed cases of COVID-19 and financial markets, including the stock (DJI), cryptocurrency (Bitcoin) and commodities (crude oil, gold, copper and brent oil) compared to the financial stress index. Second, this paper assesses the role of Bitcoin as a hedge or diversifier by determining the efficient frontier with and without including Bitcoin before and during the COVID-19 pandemic.
Design/methodology/approach
The authors examine the lead–lag relationship between COVID-19 and financial market returns compared to the financial stress index and between all markets returns using the thermal optimal path model. Moreover, the authors estimate the efficient frontier of the portfolio with and without Bitcoin using the Bayesian approach.
Findings
Employing thermal optimal path model, the authors find that COVID-19 confirmed cases are leading returns prices of DJI, Bitcoin and crude oil, gold, copper and brent oil. Moreover, the authors find a strong lead–lag relationship between all financial market returns. By relying on the Bayesian approach, findings show when Bitcoin was included in the portfolio optimization before or during COVID-19 period; the Bayesian efficient frontier shifts to the left giving the investor a better risk return trade-off. Consequently, Bitcoin serves as a safe haven asset for the two sub-periods: pre-COVID-19 period and COVID-19 period.
Practical implications
Based on the above research conclusions, investors can use the number of COVID-19 confirmed cases to predict financial market dynamics. Similarly, the work is helpful for decision-makers who search for portfolio diversification opportunities, especially during health crisis. In addition, the results support the fact that Bitcoin is a safe haven asset that should be combined with commodities and stocks for better performance in portfolio optimization and hedging before and during COVID-19 periods.
Originality/value
This research thus adds value to the existing literature along four directions. First, the novelty of this study lies in the analysis of several financial markets (stock, cryptocurrencies and commodities)’ response to different pandemics and epidemics events, financial crises and natural disasters (Correia et al., 2020; Ma et al., 2020). Second, to the best of the authors' knowledge, this is the first study that examine the lead–lag relationship between COVID-19 and financial markets compared to financial stress index by employing the Thermal Optimal Path method. Third, it is a first endeavor to analyze the lead–lag interplay between the financial markets within a thermal optimal path method that can provide useful insights for the spillover effect studies in all countries and regions around the world. To check the robustness of our findings, the authors have employed financial stress index compared to COVID-19 confirmed cases. Fourth, this study tests whether Bitcoin is a hedge or diversifier given this current pandemic situation using the Bayesian approach.
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Michael O'Neill and Gulasekaran Rajaguru
The authors analyse six actively traded VIX Exchange Traded Products (ETPs) including 1x long, −1x inverse and 2x leveraged products. The authors assess their impact on the VIX…
Abstract
Purpose
The authors analyse six actively traded VIX Exchange Traded Products (ETPs) including 1x long, −1x inverse and 2x leveraged products. The authors assess their impact on the VIX Futures index benchmark.
Design/methodology/approach
Long-run causal relations between daily price movements in ETPs and futures are established, and the impact of rebalancing activity of leveraged and inverse ETPs evidenced through causal relations in the last 30 min of daily trading.
Findings
High frequency lead lag relations are observed, demonstrating opportunities for arbitrage, although these tend to be short-lived and only material in times of market dislocation.
Originality/value
The causal relations between VXX and VIX Futures are well established with leads and lags generally found to be short-lived and arbitrage relations holding. The authors go further to capture 1x long, −1x inverse as well as 2x leveraged ETNs and the corresponding ETFs, to give a broad representation across the ETP market. The authors establish causal relations between inverse and leveraged products where causal relations are not yet documented.
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Abhishek Poddar, Sangita Choudhary, Aviral Kumar Tiwari and Arun Kumar Misra
The current study aims to analyze the linkage among bank competition, liquidity and loan price in an interconnected bank network system.
Abstract
Purpose
The current study aims to analyze the linkage among bank competition, liquidity and loan price in an interconnected bank network system.
Design/methodology/approach
The study employs the Lerner index to estimate bank power; Granger non-causality for estimating competition, liquidity and loan price network structure; principal component for developing competition network index, liquidity network index and price network index; and panel VAR and LASSO-VAR for analyzing the dynamics of interactive network effect. Current work considers 33 Indian banks, and the duration of the study is from 2010 to 2020.
Findings
Network structures are concentrated during the economic upcycle and dispersed during the economic downcycle. A significant interaction among bank competition, liquidity and loan price networks exists in the Indian banking system.
Practical implications
The study meaningfully contributes to the existing literature by adding new insights concerning the interrelationship between bank competition, loan price and bank liquidity networks. While enhancing competition in the banking system, the regulator should also pay attention toward making liquidity provisions. The interactive network framework provides direction to the regulator to formulate appropriate policies for managing competition and liquidity while ensuring the solvency and stability of the banking system.
Originality/value
The study contributes to the limited literature concerning interactive relationship among bank competition, liquidity and loan price in the Indian banks.
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Md. Atiqur Rahman, Tanjila Hossain and Kanon Kumar Sen
This study aims to measure impact of several firm-specific factors on alternative measures of leverage. The authors also aim to study impact of the subprime crisis on such…
Abstract
Purpose
This study aims to measure impact of several firm-specific factors on alternative measures of leverage. The authors also aim to study impact of the subprime crisis on such associations.
Design/methodology/approach
The authors utilized an unbalanced panel data of 973 firm-year observations on 47 UK listed non-financial firms for the years 1990–2019. Book-based and market-based long-term and total leverage measures have been used as explained variables. The explanatory variables are profitability, size, two measures of growth, asset tangibility, non-debt tax shields, firm age and product uniqueness. Fixed effect and random effect models with clustered robust standard errors have been utilized for data analysis. To find the effect of subprime crisis, original dataset was split to create pre-crisis and post-crisis datasets.
Findings
The authors find that profitability significantly reduces leverage while firms having more tangible assets use significantly more debt in capital structure. Firm size and non-debt tax shield have statistically insignificant positive impact on leverage. Having more unique products reduces use of external debt, albeit insignificantly. Growth, when measured as market-to-book ratio, has inconsistent impact, whereas capital expenditure insignificantly reduces leverage. Age is found to be an insignificant predictor of leverage. After the subprime crisis, firms started relying more on internal fund instead of external debt, more particularly short-term debt. Having more collateral is gradually becoming more important for availing external debt.
Research limitations/implications
Data limitations restrict generalization of the findings.
Originality/value
This is one of the pioneering attempts to show how subprime crisis altered the theoretical domain of capital structure research in the UK.
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Tiesheng Zhang, Ying Wang and Xiangfei Zeng
This paper takes Chinese A-share listed companies from 2007 to 2021 as research samples to investigate the influence of supplier concentration on debt maturity structure and its…
Abstract
Purpose
This paper takes Chinese A-share listed companies from 2007 to 2021 as research samples to investigate the influence of supplier concentration on debt maturity structure and its mechanism. It further analyzes whether the relationship between the two is different in the case of different monetary policies, collateral assets, and total debt. The research conclusion is of practical significance for enterprises to construct a balanced debt maturity structure and prevent financial risks.
Design/methodology/approach
This paper adopts the empirical research method. The data came from the CSMAR database, which eliminated ST and *ST and companies with missing data, resulting in a sample of 20,328. Stata16 was used for statistical analysis.
Findings
There is an inverted U-shaped relationship between supplier concentration and debt maturity structure, and market position and trade credit play an intermediary role. In the case of tight monetary policy, fewer collateral assets, and higher total debt, the inverse U-shaped relationship is more significant.
Originality/value
This paper examines the relationship between supplier concentration and debt maturity structure from a non-linear perspective for the first time, providing theoretical support for enterprises to form a reasonable debt structure, and deepening the theoretical cognition of the relationship between supplier concentration and corporate debt maturity structure.
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In this paper we examine the validity of the J-curve hypothesis in four Southeast Asian economies (Indonesia, Malaysia, the Philippines and Thailand) over the 1980–2017 period.
Abstract
Purpose
In this paper we examine the validity of the J-curve hypothesis in four Southeast Asian economies (Indonesia, Malaysia, the Philippines and Thailand) over the 1980–2017 period.
Design/methodology/approach
We employ the linear autoregressive distributed lags (ARDL) model that captures the dynamic relationships between the variables and additionally use the nonlinear ARDL model that considers the asymmetric effects of the real exchange rate changes.
Findings
The estimated models were diagnostically sound, and the variables were found to be cointegrated. However, with the exception of Malaysia, the short- and long-run relationships did not attest to the presence of the J-curve effect. The trade flows were affected asymmetrically in Malaysia and the Philippines, suggesting the appropriateness of nonlinear ARDL in these countries.
Originality/value
The previous research tended to examine the effects of the real exchange rate changes on the agricultural trade balance and specifically the J-curve effect (deterioration of the trade balance followed by its improvement) in the developed economies and rarely in the developing ones. In this paper, we address this omission.
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Mondher Bouattour and Anthony Miloudi
The purpose of this paper is to bridge the gap between the existing theoretical and empirical studies by examining the asymmetric return–volume relationship. Indeed, the authors…
Abstract
Purpose
The purpose of this paper is to bridge the gap between the existing theoretical and empirical studies by examining the asymmetric return–volume relationship. Indeed, the authors aim to shed light on the return–volume linkages for French-listed small and medium-sized enterprises (SMEs) compared to blue chips across different market regimes.
Design/methodology/approach
This study includes both large capitalizations included in the CAC 40 index and listed SMEs included in the Euronext Growth All Share index. The Markov-switching (MS) approach is applied to understand the asymmetric relationship between trading volume and stock returns. The study investigates also the causal impact between stock returns and trading volume using regime-dependent Granger causality tests.
Findings
Asymmetric contemporaneous and lagged relationships between stock returns and trading volume are found for both large capitalizations and listed SMEs. However, the causality investigation reveals some differences between large capitalizations and SMEs. Indeed, causal relationships depend on market conditions and the size of the market.
Research limitations/implications
This paper explains the asymmetric return–volume relationship for both large capitalizations and listed SMEs by incorporating several psychological biases, such as the disposition effect, investor overconfidence and self-attribution bias. Future research needs to deepen the analysis especially for SMEs as most of the literature focuses on large capitalizations.
Practical implications
This empirical study has fundamental implications for portfolio management. The findings provide a deeper understanding of how trading activity impact current returns and vice versa. The authors’ results constitute an important input to build and control trading strategies.
Originality/value
This paper fills the literature gap on the asymmetric return–volume relationship across different regimes. To the best of the authors’ knowledge, the present study is the first empirical attempt to test the asymmetric return–volume relationship for listed SMEs by using an accurate MS framework.
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This paper aims to measure the trade price impact of a recent regulatory disclosure intervention in municipal securities secondary markets, which required broker-dealers to…
Abstract
Purpose
This paper aims to measure the trade price impact of a recent regulatory disclosure intervention in municipal securities secondary markets, which required broker-dealers to disclose securities trading information on a near-real-time and continuing basis.
Design/methodology/approach
The author analyzes trade price outcomes in the preintervention and postintervention regimes using a suite of time series estimations that give heteroskedasticity-robust standard errors (Prais–Winsten and Cochrain–Orcutt), accommodate higher-order lag structure in the error term (autoregressive integrated moving average) and account for volatility clustering in the time series (generalized autoregressive conditional heteroskedasticity).
Findings
Results show that regulatory disclosure intervention significantly improved trade price efficiency in municipal securities secondary markets as daily trade price differential and volatility both declined market-wide after the disclosure intervention.
Research limitations/implications
The sample consists of trades in State of California general obligation bonds; therefore, empirical findings may not be generalizable to other states, local governments and different types of bonds.
Practical implications
The findings highlight voluntary information disclosure as a practical and effective mechanism in disclosure regulation of municipal securities secondary markets.
Originality/value
Only a small body of work exists that examines information disclosure regulation in municipal securities secondary markets; therefore, this paper expands knowledge on the topic and should provide renewed impetus for regulatory efforts aimed at improving the efficiency of municipal capital markets.
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