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Applied Financial Econometrics
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Special Issue "Applied Financial Econometrics"

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Applied Economics and Finance".

Deadline for manuscript submissions: closed (30 November 2022) | Viewed by 30109

Special Issue Editor

Prof. Dr. Aviral Kumar Tiwari

E-Mail Website
Guest Editor
Rajagiri Business School, Rajagiri Valley Campus, Kochi 682039, Kerala, India
Interests: energy economics and finance; applied econometrics; applied financial econometrics; time series analysis; energy pricing; carbon pricing
Special Issues, Collections and Topics in MDPI journals

Special Issue Information

Dear Colleagues,

JRFM is currently accepting submissions to a Special Issue on “Applied Financial Econometrics” on all areas of applied financial econometrics, with special emphasis on emerging markets, energy and environmental finance, and behavioral finance.

The foremost objective of this Special Issue of JRFM is to embolden comparative studies that deepen our knowledge of applied financial econometric by focusing on emerging markers, energy and environmental finance, and behavioral finance. Over the past two decades, emerging economies have assumed a significant role in global markets, and areas of energy and environmental finance are also gaining a significant amount of attention from policymakers and academicians. Linking of behavioral finance in the area of energy and the environment is still new, and I encourage researchers to come forward with appropriate econometric models to achieve it.

Related Conferences:

Contemporary Issues in Emerging Markets Conference (CIEMC 2022)
https://iimbg.ac.in/ciemc-2022/

International Conference on Sustainable Goals (ICSG 2022)
https://iimbg.ac.in/icsg-2022/

Prof. Dr. Aviral Kumar Tiwari
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • Portfolio optimization including energy/commodities derivatives
  • Non-linear time-series analysis
  • (volatility) forecasting models
  • Multivariate models
  • Non-parametric models
  • Hedging
  • Financial market efficiency and behavioral inefficiencies
  • Econometrics and energy markets
  • Financial risk management

Published Papers (15 papers)

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Article
When Institutional Plates Collide: The Dynamic Impact of Informal Institutions on Capital Market Development
by
Robert Lindorfer
,
Anne d’Arcy
and
Igor Filatotchev
J. Risk Financial Manag. 2023, 16(3), 178; https://doi.org/10.3390/jrfm16030178 - 07 Mar 2023
Viewed by 820
Abstract
We provide an institutional theory perspective to examine societal legitimacy in the context of capital market development. While prior research has focused on the importance of formal institutions, firms are embedded within broader socio-economic structures associated with informal institutions. Using content analysis and [...] Read more.
We provide an institutional theory perspective to examine societal legitimacy in the context of capital market development. While prior research has focused on the importance of formal institutions, firms are embedded within broader socio-economic structures associated with informal institutions. Using content analysis and a unique dataset of 3244 newspaper articles between 2004 and 2013, we develop a dynamic measure capturing the public perception of capital markets as a proxy of informal institutions. We run a Prais–Winsten regression with panel-corrected standard errors to explore the dynamic relationship between public perception of capital markets and equity market size in Austria and Poland. We further theoretically and empirically explore how formal and informal institutions mutually reinforce each other in the context of capital market development. Our results suggest that informal institutions matter differently in developed and emerging economies. Full article
(This article belongs to the Special Issue Applied Financial Econometrics)
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Article
Forecastability of Agricultural Commodity Futures Realised Volatility with Daily Infectious Disease-Related Uncertainty
by
Sisa Shiba
,
Goodness C. Aye
,
Rangan Gupta
and
Samrat Goswami
J. Risk Financial Manag. 2022, 15(11), 525; https://doi.org/10.3390/jrfm15110525 - 10 Nov 2022
Cited by 1 | Viewed by 1182
Abstract
Given the food supply chain disruption from COVID-19 lockdowns around the world, we examine the predictive power of daily infectious diseases-related uncertainty (EMVID) on commodity traded futures within the agricultural bracket, sometimes known as the softs, using the heterogeneous autoregressive realised variance (HAR-RV) [...] Read more.
Given the food supply chain disruption from COVID-19 lockdowns around the world, we examine the predictive power of daily infectious diseases-related uncertainty (EMVID) on commodity traded futures within the agricultural bracket, sometimes known as the softs, using the heterogeneous autoregressive realised variance (HAR-RV) model. Considering the short-, medium-, and long-run recursive out-of-sample estimation approach, we estimate daily realised volatility by using intraday data within the 5 min interval for 15 agricultural commodity futures. During the COVID-19 episode, our results indicated that EMVID plays an important role in predicting the future path of agricultural commodity traded futures in the short, medium, and long run, i.e., h = 1, 5, and 22, respectively. According to the MSE-F test, these results are statistically significant. These results contain important implications for investors, portfolio managers, and speculators when faced with investment risk management and strategic asset allocation during infectious disease-related uncertainty. Full article
(This article belongs to the Special Issue Applied Financial Econometrics)
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Article
The Worst Case GARCH-Copula CVaR Approach for Portfolio Optimisation: Evidence from Financial Markets
by
Tahani S. Alotaibi
,
Luciana Dalla Valle
and
Matthew J. Craven
J. Risk Financial Manag. 2022, 15(10), 482; https://doi.org/10.3390/jrfm15100482 - 21 Oct 2022
Cited by 1 | Viewed by 1353
Abstract
Portfolio optimisation aims to efficiently find optimal proportions of portfolio assets, given certain constraints, and has been well-studied. While portfolio optimisation ascertains asset combinations most suited to investor requirements, numerous real-world problems impact its simplicity, e.g., investor preferences. Trading restrictions are also commonly [...] Read more.
Portfolio optimisation aims to efficiently find optimal proportions of portfolio assets, given certain constraints, and has been well-studied. While portfolio optimisation ascertains asset combinations most suited to investor requirements, numerous real-world problems impact its simplicity, e.g., investor preferences. Trading restrictions are also commonly faced and must be met. However, in adding constraints to Markowitz’s basic mean-variance model, problem complexity increases, causing difficulties for exact optimisation approaches to find large problem solutions inside reasonable timeframes. This paper addresses portfolio optimisation complexities by applying the Worst Case GARCH-Copula Conditional Value at Risk (CVaR) approach. In particular, the GARCH-copula methodology is used to model the portfolio dependence structure, and the Worst Case CVaR (WCVaR) is considered as an alternative risk measure that is able to provide a more accurate evaluation of financial risk compared to traditional approaches. Copulas model the marginal of each asset separately (which may be any distribution) and also the interdependencies between assets This allows an accurate risk to investment assessment to be applied in order to compare it with traditional methods. In this paper, we present two case studies to evaluate the performance of the WCVaR and compare it against the VaR measure. The first case study focuses on the time series of the closing prices of six major market indexes, while the second case study considers a large dataset of share prices of the Gulf Cooperation Council’s (GCC) oil-based companies. Results show that the values of WCVaR are always higher than those of VaR, demonstrating that the WCVaR approach provides a more accurate assessment of financial risk. Full article
(This article belongs to the Special Issue Applied Financial Econometrics)
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Article
Extreme Connectedness between Green Bonds, Government Bonds, Corporate Bonds and Other Asset Classes: Insights for Portfolio Investors
by
Emmanuel Joel Aikins Abakah
,
Aviral Kumar Tiwari
,
Aarzoo Sharma
and
Dorika Jeremiah Mwamtambulo
J. Risk Financial Manag. 2022, 15(10), 477; https://doi.org/10.3390/jrfm15100477 - 18 Oct 2022
Cited by 5 | Viewed by 1698
Abstract
This paper aims to examine the connectedness between green and conventional assets, particularly during the period of economic downturn. Specifically, we examine quantile-based time-varying connectedness between the green bond market and other financial assets using quantile vector autoregression (QVAR) from 9 March 2018 [...] Read more.
This paper aims to examine the connectedness between green and conventional assets, particularly during the period of economic downturn. Specifically, we examine quantile-based time-varying connectedness between the green bond market and other financial assets using quantile vector autoregression (QVAR) from 9 March 2018 to 10 March 2021. We use daily prices of S&P U.S. Treasury Bond Index, S&P US Aggregate Bond Index, S&P US Treasury Bond Current 10Y Index, S&P 500 Bond Index, S&P 500 Financials index, S&P 500 Energy Bond Index and S&P 500, giving a total of 784 observations, and using Composite Index as a representative of conventional assets classes and S&P Green Bond Index to denote the green bond market. Results shows the connectedness between green bonds and the conventional asset classes intensified during the outbreak of the Coronavirus pandemic (COVID-19) as investors shifted their investment towards fixed income assets due to the plunge in the prices of stocks and commodities. The results also shows that green bonds are strongly connected with treasury bonds, aggregate bonds and bond index, as they share similarities with respect to issuance, risk and governance. Connectedness is weak in the case of composite index and energy bond index, as their prices do not have substantial influence on the green bond market. The study highlights the hedging and diversification benefits of green bonds. We have several implications for portfolio managers, policy makers and researchers. Full article
(This article belongs to the Special Issue Applied Financial Econometrics)
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Article
Inflation Forecasts and European Asset Returns: A Regime-Switching Approach
by
Nicolas Pesci
,
Jean-Philippe Aguilar
,
Victor James
and
Fabien Rouillé
J. Risk Financial Manag. 2022, 15(10), 475; https://doi.org/10.3390/jrfm15100475 - 18 Oct 2022
Viewed by 1360
Abstract
Considering market-based inflation expectations, we show that investors’ forecasts are non-linear. We capture this non-linear behavior with a Markov-switching model that allows us to identify a regime of high uncertainty, and a regime of low uncertainty and low concern about inflation. Using a [...] Read more.
Considering market-based inflation expectations, we show that investors’ forecasts are non-linear. We capture this non-linear behavior with a Markov-switching model that allows us to identify a regime of high uncertainty, and a regime of low uncertainty and low concern about inflation. Using a complete cross-asset panel of equity sectors, bonds, and commodities, we perform regressions in both regimes including several control variables, and show that the exposure of European assets returns to implied inflation is regime-dependent. We show that inflation-indexed government bonds and oil are the best way to get exposure to slow upward revisions of future inflation that correspond to periods of rallying inflation. We thus identify alternatives to hedge oneself against revisions in inflation forecasts when inflation is considered as a variable of interest by market participants, which, in fact, corresponds to periods of breaks in the trend of realized inflation. In particular, we provide empirical evidence that some equity sectors exhibit good inflation-hedging properties. Full article
(This article belongs to the Special Issue Applied Financial Econometrics)
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Article
Household Portfolio Allocations: Evidence on Risk Preferences from the Household, Income, and Labour Dynamics in Australia (HILDA) Survey Using Tobit Models
by
Safdar Ullah Khan
,
Satyanarayana Ramella
,
Habib Ur Rahman
and
Zulfiqar Hyder
J. Risk Financial Manag. 2022, 15(4), 161; https://doi.org/10.3390/jrfm15040161 - 01 Apr 2022
Cited by 2 | Viewed by 1782
Abstract
This study investigates intrahousehold risk preferences in household portfolio decision-making. Most household finance data are collected at the household level, and it is challenging to come up with an explanation of risk-taking decisions and have a direction on the within-household bargaining mechanisms. We [...] Read more.
This study investigates intrahousehold risk preferences in household portfolio decision-making. Most household finance data are collected at the household level, and it is challenging to come up with an explanation of risk-taking decisions and have a direction on the within-household bargaining mechanisms. We provide these challenging pieces of evidence by applying a Tobit model on panel data taken from waves 2 to 6 of HILDA surveys. Overall, the results indicate that the risk-taking attitude of partners matters in household portfolio allocations. Risk-averse males and their female counterparts invest less in risky assets. Compared with the no-conflict (identical risk preferences) group, male partners with risk-loving behaviour tend to invest more in risky assets. Further, individual risk preferences are sensitive to fluctuations in equity and housing markets in Australia. Taken together, one of the crucial implications of our findings for future research is that household-bargaining models should, perhaps, give more bargaining power to risk-loving males, offering an additional explanation for the determinants of risk-taking behaviour of households. Understanding the risk-taking attitudes of households is important for future work to understand the fraction of households that end up with a negative net worth in recessions or crisis conditions, such as financial crises, pandemics, and wars. Full article
(This article belongs to the Special Issue Applied Financial Econometrics)
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Article
Children and Life-Cycle Consumption
by
Charles Grant
J. Risk Financial Manag. 2022, 15(2), 42; https://doi.org/10.3390/jrfm15020042 - 19 Jan 2022
Viewed by 1496
Abstract
This paper investigates the role of children in explaining the life-cycle pattern of consumption (which is hump-shaped since it is higher in the middle of life and lower at the beginning and end of life). Unlike previous studies, a true panel of U.K. [...] Read more.
This paper investigates the role of children in explaining the life-cycle pattern of consumption (which is hump-shaped since it is higher in the middle of life and lower at the beginning and end of life). Unlike previous studies, a true panel of U.K. households was exploited to investigate whether currently childless households that anticipate having children behave differently from similar households that do not anticipate children. Spending for each group at different ages was estimated using a simple kernel regression. The paper finds that those households that anticipate children, when compared to households that do not anticipate children, do not seem to significantly reduce total spending before having children, nor do they significantly increase total spending after children arrive. Hence, children do not seem to fully explain the hump shape of consumption over the life-cycle. Full article
(This article belongs to the Special Issue Applied Financial Econometrics)
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Article
Trading Activities and the Volatility of Return on Malaysian Crude Palm Oil Futures
by
Xiu Wei Yeap
and
Hooi Hooi Lean
J. Risk Financial Manag. 2022, 15(1), 34; https://doi.org/10.3390/jrfm15010034 - 13 Jan 2022
Cited by 1 | Viewed by 2033
Abstract
Trading activities represent the flow of market information to the investors. This paper examines the effect of trading activities, i.e., trading volume and open interest, on the volatility of return for Malaysian Crude Palm Oil Futures. The GARCH model is applied by adding [...] Read more.
Trading activities represent the flow of market information to the investors. This paper examines the effect of trading activities, i.e., trading volume and open interest, on the volatility of return for Malaysian Crude Palm Oil Futures. The GARCH model is applied by adding the expected and unexpected elements of trading activities (trading volume and open interest) as the independent variables. The results show that there is a negative contemporaneous relationship between the expected volume and volatility, but that a positive relationship exists between unexpected volume and volatility. On the contrary, the expected and unexpected open interest mitigate the volatility. Therefore, both trading volume and open interest should be considered together when information flows into the market. Full article
(This article belongs to the Special Issue Applied Financial Econometrics)
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Article
Inflation Co-Movement Dynamics: A Cross-Country Investigation Using a Continuous Wavelet Approach
by
Aviral Kumar Tiwari
,
Emmanuel Joel Aikins Abakah
,
Luis A. Gil-Alana
and
Moses Kenneth Abakah
J. Risk Financial Manag. 2021, 14(12), 613; https://doi.org/10.3390/jrfm14120613 - 18 Dec 2021
Cited by 3 | Viewed by 1753
Abstract
The economic literature provides evidence that inflation rates can co-move across nations because of a host of reasons, ranging from low frequency changes in monetary policy to similar high frequency shocks. Hence, this paper investigates inflation rate co-movements between nine (9) African countries [...] Read more.
The economic literature provides evidence that inflation rates can co-move across nations because of a host of reasons, ranging from low frequency changes in monetary policy to similar high frequency shocks. Hence, this paper investigates inflation rate co-movements between nine (9) African countries and their bilateral linkages with five (5) developed economies using continuous wavelets at different time scales or frequencies. Specifically, we examine the coherency and the phase relationship in time-frequency space in inflation rates of the selected countries. Several findings are documented. First, inflation rates co-movements in the nine African countries are time varying, multi-scale, and characterized by structural breaks. In addition, we find that inflation co-movements across countries in the Africa sub-region is weak at low frequencies. Furthermore, we find evidence of inflation co-movement between Africa and developed economies, suggesting that central banks and policy-makers in Africa need to monitor international price developments, and analyze their implications for their domestic economies. Second, we find that inflation rates in the selected African countries explain, on average, almost 80% of their own inflation variance over the whole sample period. Spillover analysis reveals that China and Canada account for a greater percentage of inflation variation in Africa. Full article
(This article belongs to the Special Issue Applied Financial Econometrics)
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Article
Volatility Spillover Dynamics between Large-, Mid-, and Small-Cap Stocks in the Time-Frequency Domain: Implications for Portfolio Management
by
Sangram Keshari Jena
,
Aviral Kumar Tiwari
,
Ashutosh Dash
and
Emmanuel Joel Aikins Abakah
J. Risk Financial Manag. 2021, 14(11), 531; https://doi.org/10.3390/jrfm14110531 - 08 Nov 2021
Cited by 3 | Viewed by 2228
Abstract
The connectedness dynamics between large-, mid-, and small-cap stocks is investigated using the forecasted error variance decomposition (FEVD) spillover framework of Diebold and Yilmaz in the time-frequency domain. Total volatility spillover (i.e., connectedness) is elevated between large-, mid-, and small-cap stocks during the [...] Read more.
The connectedness dynamics between large-, mid-, and small-cap stocks is investigated using the forecasted error variance decomposition (FEVD) spillover framework of Diebold and Yilmaz in the time-frequency domain. Total volatility spillover (i.e., connectedness) is elevated between large-, mid-, and small-cap stocks during the study period. This high level of spillover exists in the short run only, and declines gradually in the medium to long run, thus providing opportunities for portfolio diversification (hedging) in multi-cap investing during the medium-to-long run (short run) only. Like total connectedness, a similar pattern of bilateral connectedness is observed between either of the two indices, thus providing a similar opportunity in the short and long runs. The mid-cap index emerges as the major contributor to total volatility in the system, followed by the small- and large-cap indices, during the analyzed period. The volatility spillover is time-varying in both the time and frequency domains. Full article
(This article belongs to the Special Issue Applied Financial Econometrics)
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Article
An Investigation into the Sources of Depreciations in Mongolian Tugrik Exchange Rate: A Structural VAR Approach
by
Gunbileg Ganbayar
J. Risk Financial Manag. 2021, 14(11), 529; https://doi.org/10.3390/jrfm14110529 - 06 Nov 2021
Viewed by 1987
Abstract
This paper empirically investigates the sources of fluctuations in real and nominal Mongolian Tugrik (MNT) exchange rates by estimating the structural vector autoregressive (SVAR) model over the period January 1994–May 2021 and decomposing the exchange rate series into stochastic components induced by real [...] Read more.
This paper empirically investigates the sources of fluctuations in real and nominal Mongolian Tugrik (MNT) exchange rates by estimating the structural vector autoregressive (SVAR) model over the period January 1994–May 2021 and decomposing the exchange rate series into stochastic components induced by real and nominal shocks under the assumption of the long-run neutrality of nominal shocks on the real exchange rate level. The empirical results show that the real MNT exchange rate movements are primarily due to the real shocks, while the nominal shocks have a major role in explaining nominal exchange rate movements in the short and long run. The nominal exchange rate shows a delayed over-shooting occurring between one and three years after a nominal shock hits the economy. The long-run effect of a monthly one standard deviation nominal shock on nominal MNT exchange rate is 2.5%, which results in a permanent divergence between real and nominal MNT exchange rate and causes non-cointegrated relation between real and nominal MNT exchange rates. The historical decomposition of forecast error indicates that the nominal shock plays a significant role in explaining the depreciation in nominal MNT exchange rate over the last three decades. Our recommendation is to stop “cash handling” policy, minimize monetary shock, and coordinate fiscal and monetary policies to avoid large nominal depreciation. Full article
(This article belongs to the Special Issue Applied Financial Econometrics)
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Article
The Spillover of Inflation among the G7 Countries
by
Khandokar Istiak
,
Aviral Kumar Tiwari
,
Humaira Husain
and
Kazi Sohag
J. Risk Financial Manag. 2021, 14(8), 392; https://doi.org/10.3390/jrfm14080392 - 21 Aug 2021
Cited by 7 | Viewed by 2872
Abstract
Many global shocks, including the renegotiation of NAFTA, the United States–China trade war, the Brexit, and the COVID-19 pandemic, may have recently influenced the inflation spillover in the G7 countries. The current literature overlooks the influence of these important events on the inflation [...] Read more.
Many global shocks, including the renegotiation of NAFTA, the United States–China trade war, the Brexit, and the COVID-19 pandemic, may have recently influenced the inflation spillover in the G7 countries. The current literature overlooks the influence of these important events on the inflation spillover of the G7 countries. This study fulfills this gap and investigates the nature of inflation spillover in the short, medium, and long term. Using the monthly data from 1956:6 to 2020:12, the study finds that Japan and the United States are the main transmitters of inflation. International trade, purchasing power parity, low-cost technology, and the Abenomics policy were found to be responsible for the inflation spillover. We suggest that the central banks of these countries collaborate to achieve the targeted inflation rate. Full article
(This article belongs to the Special Issue Applied Financial Econometrics)
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Article
Capital Structure, Working Capital, and Governance Quality Affect the Financial Performance of Small and Medium Enterprises in Taiwan
by
Anh-Huyen Vu Thi
and
The-Dong Phung
J. Risk Financial Manag. 2021, 14(8), 381; https://doi.org/10.3390/jrfm14080381 - 17 Aug 2021
Cited by 8 | Viewed by 3358
Abstract
This study examines the impact of capital structure, working capital, and governance quality on the financial performance of small- and medium-sized enterprises in Taiwan using a sample of more than 2000 firms from the Taiwan Economic Journal (TEJ) during the 24-year period of [...] Read more.
This study examines the impact of capital structure, working capital, and governance quality on the financial performance of small- and medium-sized enterprises in Taiwan using a sample of more than 2000 firms from the Taiwan Economic Journal (TEJ) during the 24-year period of 1995–2018. Panel data are used to create statistics for the regression model. The result shows that a firm’s capital structure, represented by the debt ratio, has a significantly negative impact on the firm’s financial measures (return on assets (ROA) and return on equity (ROE)), where the working capital, represented by the cash conversion cycle (CCC), has a negative impact and governance quality, represented by the board size, cash dividend distribution, and the percentage of directors, has different impacts. Full article
(This article belongs to the Special Issue Applied Financial Econometrics)
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Article
The Role of Board Independence and Ownership Structure in Improving the Efficacy of Corporate Financial Distress Prediction Model: Evidence from India
by
Shilpa H. Shetty
and
Theresa Nithila Vincent
J. Risk Financial Manag. 2021, 14(7), 333; https://doi.org/10.3390/jrfm14070333 - 19 Jul 2021
Cited by 5 | Viewed by 2061
Abstract
The study aimed to investigate the role of non-financial measures in predicting corporate financial distress in the Indian industrial sector. The proportion of independent directors on the board and the proportion of the promoters’ share in the ownership structure of the business were [...] Read more.
The study aimed to investigate the role of non-financial measures in predicting corporate financial distress in the Indian industrial sector. The proportion of independent directors on the board and the proportion of the promoters’ share in the ownership structure of the business were the non-financial measures that were analysed, along with ten financial measures. For this, sample data consisted of 82 companies that had filed for bankruptcy under the Insolvency and Bankruptcy Code (IBC). An equal number of matching financially sound companies also constituted the sample. Therefore, the total sample size was 164 companies. Data for five years immediately preceding the bankruptcy filing was collected for the sample companies. The data of 120 companies evenly drawn from the two groups of companies were used for developing the model and the remaining data were used for validating the developed model. Two binary logistic regression models were developed, M1 and M2, where M1 was formulated with both financial and non-financial variables, and M2 only had financial variables as predictors. The diagnostic ability of the model was tested with the aid of the receiver operating curve (ROC), area under the curve (AUC), sensitivity, specificity and annual accuracy. The results of the study show that inclusion of the two non-financial variables improved the efficacy of the financial distress prediction model. This study made a unique attempt to provide empirical evidence on the role played by non-financial variables in improving the efficiency of corporate distress prediction models. Full article
(This article belongs to the Special Issue Applied Financial Econometrics)
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Article
Dynamic Responses of Standard and Poor’s Regional Bank Index to the U.S. Fear Index, VIX
by
Bahram Adrangi
,
Arjun Chatrath
,
Madhuparna Kolay
and
Kambiz Raffiee
J. Risk Financial Manag. 2021, 14(3), 114; https://doi.org/10.3390/jrfm14030114 - 10 Mar 2021
Cited by 2 | Viewed by 1422
Abstract
This study examines the reaction of the Standard and Poor’s Regional Bank Index (SPRB) to the U.S. equity market fear index (i.e., the Chicago Board of Trade Volatility Index [VIX]). The VIX is designed to perform as a leading indicator of the volatility [...] Read more.
This study examines the reaction of the Standard and Poor’s Regional Bank Index (SPRB) to the U.S. equity market fear index (i.e., the Chicago Board of Trade Volatility Index [VIX]). The VIX is designed to perform as a leading indicator of the volatility in equity markets. However, practitioners observe many periods of divergence between the VIX and S&P 500. Our paper examines the daily data for the period of 2009 through 2019. We show that once the effects of consumer confidence and capacity utilization are accounted for, there is a negative association between the VIX and regional bank performance. Full article
(This article belongs to the Special Issue Applied Financial Econometrics)
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