Journal of Risk and Financial Management

Research

17 pages, 496 KiB

Open AccessArticle

The Nexus between Corporate Performance and State Ownership in Vietnam: Evidence of State Ownership’s Inverted U-Shape and Provincial Business Environment Influences

by Tran Thai Ha Nguyen, Susilo Nur Aji Cokro Darsono, Gia Quyen Phan, Thi Hong Van Pham, Huyen Bach Thi and Sobar M. Johari

J. Risk Financial Manag. 2023, 16(12), 499; https://doi.org/10.3390/jrfm16120499 - 2 Dec 2023

Viewed by 1748

Abstract

The level of state ownership in corporations is still a controversial topic because of its duality: on the one hand, it brings resource advantages, and on the other hand, it causes agency problems. Thus, our study aims to investigate the relationship between state [...] Read more.

The level of state ownership in corporations is still a controversial topic because of its duality: on the one hand, it brings resource advantages, and on the other hand, it causes agency problems. Thus, our study aims to investigate the relationship between state ownership and corporate performance within the Vietnamese context, unraveling the impacts of state ownership’s non-linear and provincial business environment. Analyzing financial data spanning over a decade from 359 listed corporations on the Vietnamese stock markets (2010–2021), our empirical findings derived through the General Method of Moments (GMM) reveal that state ownership emerges as a potent “strategic asset” with a positive influence on corporate performance. However, a critical point is identified when state ownership surpasses the threshold of 32 percent and a decline in corporate performance ensues—a confirmation of an inverted U-shaped impact. These results substantiate the necessity of the equitization process and underscore the imperative of judiciously managing state ownership in Vietnam. Notably, our study unveils a more critical dimension: the enhanced provincial business environment bolsters corporate performance and amplifies the positive impact of state ownership. Thus, a strategic dual approach is suggested to improve corporate performance: improving the business environment and recalibrating the percentage of state shareholders. Our study serves as empirical evidence, referencing Vietnam and other transitional economies, toward mannerly policy decision-making related to state ownership and the business environment to boost corporate performance. Full article

(This article belongs to the Special Issue Emerging Markets II)

► Show Figures

Figure 1

27 pages, 495 KiB

Open AccessArticle

Global Financial Market Integration: A Literature Survey

by Sama Haddad

J. Risk Financial Manag. 2023, 16(12), 495; https://doi.org/10.3390/jrfm16120495 - 27 Nov 2023

Viewed by 3376

Abstract

This article undertakes a literature review on the topic of market integration, covering over 380 articles from the 1980s to 2024. The review consists of a qualitative analysis for context and a quantitative analysis for content, identifying key research streams and proposing directions [...] Read more.

This article undertakes a literature review on the topic of market integration, covering over 380 articles from the 1980s to 2024. The review consists of a qualitative analysis for context and a quantitative analysis for content, identifying key research streams and proposing directions for future research. I have identified six research groups: (1) market segmentation, (2) portfolio diversification, (3) market integration evidence from developed and emerging markets, (4) spillovers and linkages, (5) economic market integration, and (6) financial market integration and volatility. The literature focuses on market integration; it aims to answer the following questions: (1) What is the scope of market integration research? (2) What are the direct influences of market integration looking at top journals and authors and characteristics of most studied and cited topics? (3) What are the past and recent topics studied within the area of market integration? (4) What are the potential future research questions to explore in market integration? The topic of market integration has been controversial in many studies, as seen in policy decision-making, investments, and other related areas; this literature will provide great benefit for such an audience. Full article

(This article belongs to the Special Issue Emerging Markets II)

23 pages, 1471 KiB

Open AccessArticle

Dynamics of Venture Capital and Private Equity Investments in India: An Empirical Analysis

by James Dominic and Anto Joseph

J. Risk Financial Manag. 2023, 16(11), 475; https://doi.org/10.3390/jrfm16110475 - 3 Nov 2023

Viewed by 2467

Abstract

In this study, we explore the inter-dynamics among holding periods, return multiples, fund types, and exit routes of different VC and PE investments in the emerging economy context of India. We employ data spanning from January 2004 to March 2021, and our results [...] Read more.

In this study, we explore the inter-dynamics among holding periods, return multiples, fund types, and exit routes of different VC and PE investments in the emerging economy context of India. We employ data spanning from January 2004 to March 2021, and our results indicate that there is a negative association between the holding period and return. The results also indicate that the average holding periods for India-dedicated and foreign funds are not significantly different. Furthermore, the results show that India-dedicated funds outperform foreign funds significantly in generating returns. Finally, the findings suggest that all exit routes can potentially yield similar results, contrary to the prevailing belief that certain exit routes guarantee superior returns. These findings provide useful insights for a spectrum of stakeholders, including entrepreneurs, practitioners, investors, financial analysts, and policymakers. Full article

(This article belongs to the Special Issue Emerging Markets II)

► Show Figures

Figure 1

19 pages, 368 KiB

Open AccessArticle

Role of Bank Credit and External Commercial Borrowings in Working Capital Financing: Evidence from Indian Manufacturing Firms

by Daitri Tiwary and Samit Paul

J. Risk Financial Manag. 2023, 16(11), 468; https://doi.org/10.3390/jrfm16110468 - 31 Oct 2023

Viewed by 1936

Abstract

Determinants and levels of working capital financing (WCF) in the manufacturing sector have been empirically proven to impact firm profitability across emerging as well as developed nations. With time, firms adjust toward financing their working capital requirement (WCR), although the speed of adjustment, [...] Read more.

Determinants and levels of working capital financing (WCF) in the manufacturing sector have been empirically proven to impact firm profitability across emerging as well as developed nations. With time, firms adjust toward financing their working capital requirement (WCR), although the speed of adjustment, financing constraints, and bargaining power are subject to variations. In this study, we estimate the effect of bank credit and firm foreign currency borrowing on working capital financing with three distinct models for manufacturing firms in India. We examine the relationship between short-term foreign currency borrowings and WCF. Further, we investigate if the internal capital market affects WCF in the form of business group affiliation; lastly, we assess the impact of bank dependency and financial distress on WCF. We conclude that the debt–equity ratio becomes relevant, whereas firm characteristics such as age, size, and asset tangibility become irrelevant. Our original contribution to the literature is the finding that even smaller emerging market firms with well-managed, low debt exposure have improved access to WCF. Our results support that financial distress negatively impacts WCF but deviates from macroeconomic fundamentals, such as the GDP growth rate. This indicates deterioration in the health of Indian manufacturing, as a capital-intensive sector. Bank dependency remains significant, wherein smaller firms and those without a dividend pay-out continue to have longer cash conversion cycles and less efficient WCR. As a unique finding, we note foreign currency borrowings significantly contribute to WCF in the case of less developed credit markets in emerging economies such as India. Full article

(This article belongs to the Special Issue Emerging Markets II)

17 pages, 708 KiB

Open AccessArticle

Lightweight Scheme to Capture Stock Market Sentiment on Social Media Using Sparse Attention Mechanism: A Case Study on Twitter

by Sihan Wu and Fuyu Gu

J. Risk Financial Manag. 2023, 16(10), 440; https://doi.org/10.3390/jrfm16100440 - 10 Oct 2023

Viewed by 1383

Abstract

Over through the years, people have invested in stock markets in order to maximize their profit from the money they possess. Financial sentiment analysis is an important topic in stock market businesses since it helps investors to understand the overall sentiment towards a [...] Read more.

Over through the years, people have invested in stock markets in order to maximize their profit from the money they possess. Financial sentiment analysis is an important topic in stock market businesses since it helps investors to understand the overall sentiment towards a company and the stock market, which helps them make better investment decisions. Recent studies show that stock sentiment has strong correlations with the stock market, and we can effectively monitor public sentiment towards the stock market by leveraging social media data. Consequently, it is crucial to develop a model capable of reliably and quickly capturing the sentiment of the stock market. In this paper, we propose a novel and effective sequence-to-sequence transformer model, optimized using a sparse attention mechanism, for financial sentiment analysis. This approach enables investors to understand the overall sentiment towards a company and the stock market, thereby aiding in better investment decisions. Our model is trained on a corpus of financial news items to predict sentiment scores for financial companies. When benchmarked against other models like CNN, LSTM, and BERT, our model is “lightweight” and achieves a competitive latency of 10.3 ms and a reduced computational complexity of 3.2 GFLOPS—which is faster than BERT’s 12.5 ms while maintaining higher computational complexity. This research has the potential to significantly inform decision making in the financial sector. Full article

(This article belongs to the Special Issue Emerging Markets II)

► Show Figures

Figure 1

17 pages, 1715 KiB

Open AccessArticle

Proposing Credit- and Sensitivity-Risk-Based Methodology to Address Corporate Bond Illiquidity Problem

by Ruchi Arora and Rishi Mehra

J. Risk Financial Manag. 2023, 16(9), 388; https://doi.org/10.3390/jrfm16090388 - 30 Aug 2023

Viewed by 1343

Abstract

The current study explores the problem of illiquidity in the corporate bond market globally and proposes a solution to enhance liquidity by studying various dimensions of liquidity. Purpose: The purpose of this paper is to propose a solution to the global issue of [...] Read more.

The current study explores the problem of illiquidity in the corporate bond market globally and proposes a solution to enhance liquidity by studying various dimensions of liquidity. Purpose: The purpose of this paper is to propose a solution to the global issue of illiquidity in the corporate bond market. The problem has been identified by many researchers and this paper attempts to find a viable solution in the “fungibility route” as an alternative to the “liquidity route”. Design/Methodology: An analysis of a sample size of 234,772 trade data of corporate bonds and a sample size of 2,00,607 trade data of G-securities is performed to identify the problem. Findings/Solution proposed: A mathematical model based on the credit risk differential and sensitivity differential is proposed to find out the fair value at which an illiquid bond can be exchanged with a liquid bond. To arrive at the fair value of the illiquid bond, we have calculated the risk-adjusted yield (RAY) using the modified duration and a credit risk differential. Originality: This research is a pioneering effort in addressing the worldwide issue of corporate bond illiquidity by proposing a novel solution. The proposed strategy aims to improve the liquidity of the bond indirectly, by utilizing the fungibility route. Full article

(This article belongs to the Special Issue Emerging Markets II)

► Show Figures

Figure 1

18 pages, 345 KiB

Open AccessArticle

Aggregate News Sentiment and Stock Market Returns in India

by Sushant Chari, Purva Hegde Desai, Nilesh Borde and Babu George

J. Risk Financial Manag. 2023, 16(8), 376; https://doi.org/10.3390/jrfm16080376 - 16 Aug 2023

Viewed by 1937

Abstract

This paper contributes to the advancement of noise trader theory by examining the connection between aggregate news sentiment and stock market returns during days of significant stock market movement. In contrast to previous studies that solely focused on company-specific news sentiment, this research [...] Read more.

This paper contributes to the advancement of noise trader theory by examining the connection between aggregate news sentiment and stock market returns during days of significant stock market movement. In contrast to previous studies that solely focused on company-specific news sentiment, this research explores the impact of aggregate news sentiment. To draw conclusions, GARCH modeling, regression analysis, and dictionary-based sentiment analysis are employed. The findings, based on data from India, reveal that aggregate news sentiment has a short-lived influence, with notable effects stemming from the business and politics categories. Full article

(This article belongs to the Special Issue Emerging Markets II)

30 pages, 4902 KiB

Open AccessArticle

Using Carbon Tax to Reach the U.S.’s 2050 NDCs Goals—A CGE Model of Firms, Government, and Households

by Kejia Yan, Rakesh Gupta and Suneel Maheshwari

J. Risk Financial Manag. 2023, 16(7), 317; https://doi.org/10.3390/jrfm16070317 - 30 Jun 2023

Cited by 1 | Viewed by 1331

Abstract

Our study shows how the United States government can achieve its goal of Nationally Determined Contribution (NDC) in 2025, 2030, and 2050 by reducing energy consumption through a pure carbon tax. To achieve its emissions reduction goals, it is necessary for the U.S. [...] Read more.

Our study shows how the United States government can achieve its goal of Nationally Determined Contribution (NDC) in 2025, 2030, and 2050 by reducing energy consumption through a pure carbon tax. To achieve its emissions reduction goals, it is necessary for the U.S. to impose a long-term carbon tax that balances taxes on labour, capital, energy, and carbon. Therefore, in this study, through the two-layer CGE Cobb–Douglas model, the carbon tax rate is set while balancing the production and profit functions of government, businesses, and households. This study concludes that the carbon price will increase from USD 0.4391/kg CO₂ in 2020 to USD 2.5671/kg CO₂ in 2050, when the CO₂ emissions reduction target is increased from 17% reduction in 2020 to 83% reduction in 2050 for the U.S. Full article

(This article belongs to the Special Issue Emerging Markets II)

► Show Figures

Figure 1

25 pages, 402 KiB

Open AccessArticle

CO₂ Emissions in G20 Nations through the Three-Sector Model

by Kejia Yan, Rakesh Gupta and Victor Wong

J. Risk Financial Manag. 2022, 15(9), 394; https://doi.org/10.3390/jrfm15090394 - 5 Sep 2022

Cited by 2 | Viewed by 1939

Abstract

This paper examines the relationship between CO₂ emissions in three economic sectors of G20 member countries using the environmental IPAT model and STIRPAT model and validates the EKC hypothesis by comparing the results for developing and developed countries. The results confirm that [...] Read more.

This paper examines the relationship between CO₂ emissions in three economic sectors of G20 member countries using the environmental IPAT model and STIRPAT model and validates the EKC hypothesis by comparing the results for developing and developed countries. The results confirm that there is a significant long-run equilibrium relationship between the three sectors (primary, secondary, and tertiary) and CO₂ emissions across the panel. Furthermore, the long-run elasticities suggest that the primary sector (agriculture) positively and negatively affects the CO₂ emissions of developing and developed economies, respectively. This finding proves that the development of agriculture is in line with the EKC hypothesis that a more developed economy will instead improve environmental degradation. Based on the findings, for each sector, we provide policymakers with suggestions to potentially curb CO₂ emissions without significantly compromising economic growth. Full article

(This article belongs to the Special Issue Emerging Markets II)

15 pages, 779 KiB

Open AccessArticle

Volatility Spillover Effects during Pre-and-Post COVID-19 Outbreak on Indian Market from the USA, China, Japan, Germany, and Australia

by Mohanasundaram Thangamuthu, Suneel Maheshwari and Deepak Raghava Naik

J. Risk Financial Manag. 2022, 15(9), 378; https://doi.org/10.3390/jrfm15090378 - 25 Aug 2022

Cited by 2 | Viewed by 2640

Abstract

We examined volatility spillover effects from five prominent global stock markets to India’s stock market during the pre-and-post COVID-19 outbreak using daily adjusted closing prices between January 2019 and September 2021 from six capital markets. The structural breakpoint was identified as 23 March [...] Read more.

We examined volatility spillover effects from five prominent global stock markets to India’s stock market during the pre-and-post COVID-19 outbreak using daily adjusted closing prices between January 2019 and September 2021 from six capital markets. The structural breakpoint was identified as 23 March 2020, as per the breakpoint unit root test, to examine and compare the results pre-and-post COVID-19. Results show that previous period news and volatility feeds the next period’s volatility significantly and the volatility is found to be persistent. The analysis also shows that during the pre-COVID period there is a negative significant volatility spillover from four of the five selected stock markets (Australia, China, Japan, and Germany) to the Indian stock market, and that spillover continues in the post-COVID period. There is a positive significant return and volatility spillover from the US market to the Indian stock market in the post-COVID-19 period. The results of our study will be useful for retail investors and portfolio managers in understanding the portfolio allocation methods in case of volatility spillover arising due to the crisis caused by the COVID-19 outbreak. Full article

(This article belongs to the Special Issue Emerging Markets II)

► Show Figures

Figure 1

Journal Menu

Journal Browser

Emerging Markets II

Share This Special Issue

Special Issue Editor

Special Issue Information

Published Papers (10 papers)

Research

Further Information

Guidelines

MDPI Initiatives

Follow MDPI