Topical Collection "Feature Papers on Financial Markets"

Editor

Prof. Dr. Xuezhong (Tony) He
E-Mail Website
Collection Editor
UTS Business School, University of Technology Sydney, Broadway, NSW, Australia
Interests: asset pricing with heterogeneous beliefs, learning, and social interactions; nonlinear economic dynamics and financial market modelling; heterogeneous expectations and empirical testing in equity CDS, commodity, and foreign exchange markets; profitability, return predictability, and market sentiment; high frequency trading and learning in limit order markets

Topical Collection Information

Dear Colleagues,

This Topical Collection “Feature Papers on Financial Markets” collects leading research (original research articles or comprehensive review papers) on all aspects of financial markets. Waivers or discounts on article processing charges (APC) will be granted to high-quality papers submitted to this collection.

Highly experienced practitioners from various fields on financial markets are welcome to contribute papers, highlighting the latest developments in their research area, or a detailed summary of their own work to date.

Potential topics include but are not limited to portfolio optimization, asset management, asset pricing and trading, investment, market microstructure, and their contributions to the stability and operation of securities markets and financial intermediation.

Prof. Dr. Xuezhong (Tony) He
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 papers will be peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the collection 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 1200 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.

Published Papers (3 papers)

2021

Jump to: 2020

Article
The Effect of Industry Restructuring on Peer Firms
J. Risk Financial Manag. 2021, 14(5), 205; https://doi.org/10.3390/jrfm14050205 - 03 May 2021
Viewed by 384
Abstract
We study the bond price reaction of a merged firms peers, in order to better understand how the market responds to a restructuring. We argue that a merger announcement may signal the possibility of a merger wave to the industry, and in doing [...] Read more.
We study the bond price reaction of a merged firms peers, in order to better understand how the market responds to a restructuring. We argue that a merger announcement may signal the possibility of a merger wave to the industry, and in doing so, increase the conditional probability that peer firms might themselves be acquired in the future. However, while peer firm equity holders expect a direct benefit from a potential acquisition—in the form of a price premium—peer firm bond holders can only expect an indirect benefit—in the form of a risk reduction. Consistent with these hypotheses, we show that price reactions are stronger for firms that have a higher unconditional probability of being acquired ex-ante. In addition, we document that, cross-sectionally, the abnormal returns we observe from peer bondholders are concentrated among firms that have the highest expected risk reduction benefit from a potential acquisition. In order to distinguish a potential reduction in risk as the explicit return driver, we show that abnormal bond returns within firm (between different bond issues) are also concentrated among issues that have the highest expected risk reduction benefit. Full article

2020

Jump to: 2021

Article
COVID-19 Outbreak and CO2 Emissions: Macro-Financial Linkages
J. Risk Financial Manag. 2021, 14(1), 12; https://doi.org/10.3390/jrfm14010012 - 29 Dec 2020
Cited by 3 | Viewed by 893
Abstract
In the Dynamic Conditional Correlation with Mixed Data Sampling (DCC-MIDAS) framework, we scrutinize the correlations between the macro-financial environment and CO2 emissions in the aftermath of the COVID-19 diffusion. The main original idea is that the economy’s lock-down will alleviate part of the greenhouse gases’ burden that human activity induces on the environment. We capture the time-varying correlations between U.S. COVID-19 confirmed cases, deaths, and recovered cases that were recorded by the Johns Hopkins Coronavirus Center, on the one hand; U.S. Total Industrial Production Index and Total Fossil Fuels CO2 emissions from the U.S. Energy Information Administration on the other hand. High-frequency data for U.S. stock markets are included with five-minute realized volatility from the Oxford-Man Institute of Quantitative Finance. The DCC-MIDAS approach indicates that COVID-19 confirmed cases and deaths negatively influence the macro-financial variables and CO2 emissions. We quantify the time-varying correlations of CO2 emissions with either COVID-19 confirmed cases or COVID-19 deaths to sharply decrease by −15% to −30%. The main takeaway is that we track correlations and reveal a recessionary outlook against the background of the pandemic. Full article
Show Figures

Figure 1

Article
Performance Dynamics of International Exchange-Traded Funds
J. Risk Financial Manag. 2020, 13(8), 169; https://doi.org/10.3390/jrfm13080169 - 01 Aug 2020
Viewed by 799
Abstract
Asynchronous trading hours between the markets of Exchange-Traded Funds (ETFs) and their benchmarks not only make it difficult to apply a full replication strategy but also make the creation/redemption process ineffective and consequently distress the performance of international ETFs. Despite the exponential growth [...] Read more.
Asynchronous trading hours between the markets of Exchange-Traded Funds (ETFs) and their benchmarks not only make it difficult to apply a full replication strategy but also make the creation/redemption process ineffective and consequently distress the performance of international ETFs. Despite the exponential growth of the ETF industry in general and international ETFs in particular, the performance of international ETFs is under-researched. Therefore, this study evaluates the performance of US-listed international ETFs by analyzing the returns, volatilities, tracking ability and pricing efficiency. The study findings are useful for investors interested in understanding the performance dynamics of international ETFs. Full article
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