Search Results (17)

This study investigates the causal impact of stock price crash risk on the cost of equity (COE) in China’s segmented A- and B-share markets with an emphasis on ownership structures and market regimes. Employing a bootstrap panel Granger causality framework, Markov-switching dynamic regression, and panel threshold regression models, the analysis reveals that heightened crash risk significantly increases COE, with the effects being more pronounced for A-shares because of domestic investors’ heightened risk sensitivity. This relationship further intensifies in bull markets, where investor optimism amplifies downside risk perceptions. Ownership segmentation plays a critical role, as foreign investors in B-shares exhibit weaker reliance on firm-level valuation metrics, favoring broader risk-diversification strategies. These findings offer actionable insights into corporate risk management, investor decision making, and policy formulation in segmented and emerging equity markets. Full article

This paper revisits the effects of financial market openness and stock market returns on economic development in the Gulf Cooperation Council countries over the period 1993–2022. We performed the panel stationarity test advanced that accommodates the presence of multiple structural breaks and exploits the cross-section variations. Empirical results from several panel tests provide strong support for the long-run positive effect of financial market openness on economic growth and a long-run negative association between stock market returns and growth. Findings of the robustness checks reveal that the effect of both financial market openness and stock market returns on economic growth differs across countries. Full article

Conventionally, the unknown parameters in Merton’s model are set using a calibration method that estimates the current asset value and volatility from observable stock prices. This paper describes a completely different approach for estimating these asset parameters. The proposed approach uses Levy’s moment matching method to derive an equation for the asset value based on the sum of equity and debt on the balance sheet, with the current debt value treated as an unknown and estimated from stock prices. Empirical analysis reveals that this method results in simpler calculations than the calibration method and can estimate the asset parameters and default probability to the same degree of accuracy. An additional advantage of the proposed method is that it estimates the asset correlation if the current debt value is known, allowing Merton’s model to be extended to multiple companies. The asset correlation obtained by the proposed method is estimated from multiple parameters related to equity, debt, and the evaluation period, which is useful when the influence of equity volatility, leverage, and time must be considered in estimating asset correlations based on equity correlations. Full article

The Chinese mitten crab, Eriocheir sinensis (H. Milne Edwards, 1853), is an economically important aquaculture species in China. It is a significantly desirable species by Chinese consumers that causes a high demand for environmentally friendly culture farming. In aiming to break through bottlenecks, i.e., “pond moss” and cyanobacteria, we investigated the microbial community and plankton composition of ponds with filamentous algae and cyanobacterial blooms. As results, we found Actinobacteria, Proteobacteria, and Bacteroidetes were dominant bacterial phyla, while Chlorophyta and Bacillariophyta were dominant phytoplankton phyla in E. sinensis ponds. Nitrospira sp., Flectobacillus sp. BAB-3569, Staphylococcus warneri, Fusarium oxysporum, Gromochytrium mamkaevae, and Rhizophydium sp. JEL317 were screened as bioindicators for harmful algal blooms. We found a close relationship between water quality parameters and the species composition of bacteria and zooplankton in the present study. Specifically, total nitrogen and total ammonia nitrogen significantly affected the bacterial community composition, while total phosphorus contributed to the phytoplankton community composition. We further indicated the potential competitive inhibition of Chlamydomonadales on the direct regulation of the control of harmful algal blooms. Finally, we suggested a combination of probiotics and microalgae, e.g., C. vulgaris, to prevent and control potential risks in the culture of E. sinensis. In conclusion, the present study deepened our understanding of harmful algal blooms in aquaculture ponds and suggested the baseline indications for the prevention and control of algal blooms. Full article

The objective of this paper is to empirically examine the moderating effect of ownership structure on the relationship between systemic risk and corporate governance. It complements prior research by studying the relationship between the proportion of capital held by state institutions and systemic risk. It also examines the internal governance mechanisms that mitigate systemic risk. For this purpose, this research used a dataset consisting of 22 banks from Gulf Cooperation Council (GCC) countries (10 Islamic banks and 12 conventional banks) over the period 2004–2018. We used a three-stage least squares (3SLS) regression to test our research hypotheses. The findings revealed that the structure of the board of directors (BOD) reduced systemic risk in the banking sector. In particular, we provide evidence that board composition and board meetings negatively affect systematic risk. In addition, we provide empirical evidence that the state plays a key role in moderating the relationship between governance mechanisms and systemic risk. As such, our paper provides significant contributions to the governance and corporate finance literature. Full article

The COVID-19 pandemic has shown how important it is to prepare one’s own financial budget for the unexpected loss of income. In this dimension, the financial education of the society plays an invaluable role. It allows us to account for events that may adversely affect personal finances in our budget management decisions. Therefore, the aim of the article is to check whether households with a higher level of financial and debt literacy have better management skills from the perspective of a household’s budget, which in the face of a crisis reduces the risk of individuals not paying their liabilities. Thus, at the turn of June and July 2020, we conducted surveys among 1300 Polish citizens. Using the multinomial logistic regression, we show that people with a higher financial and debt literacy are less affected by overindebtedness. During the crisis, people who have a higher debt literacy are better prepared to manage credit liabilities; in this situation, financial literacy is less important. In addition, the type of credit experience turned out to be significant. Respondents who have experience with consumer loans (potentially high-margin products) are more likely to have debt repayment problems than those with mortgage loans experiences. Full article

The presence of risk premium is an issue that weakens the rational expectation hypothesis. This paper investigates changing behavior of time varying risk premium for holding 10 year maturity bond using a bivariate VARMA-DBEKK-AGARCH-M model. The model allows for asymmetric risk premia, causality and co-volatility spillovers jointly in the global bond markets. Empirical results show significant asymmetric partial co-volatility spillovers and risk premium exist in the bond markets. The estimates of the bivariate risk premia show bi-directional causality exist between the Australia and France Bond markets. Overall results suggest nonexistence of pure rational expectation theory in the risk premium model. This information is useful for the agents’ strategic policy decision making in global bond markets. Full article

Oil, also called black gold, is considered as the commodity which has the greatest impact on the world’s economy, and it has been studied in terms of its relationship and effects on macroeconomic variables such as Gross Domestic Product (GDP), inflation, trade balance, exchange rate and some others. Likewise, the relationship of oil with the financial market has been deepened and is very interesting in the case of emergent economies such as Brazil, Russia, India and China (BRIC) countries. There are many studies and approaches to this topic, but few of them focus on seeking investment opportunities through the diversification of these variables and therefore creating efficient portfolios using other distribution from the norm. This research proposes the construction of diversified portfolios with the returns of the indexes and oil mixes of the BRIC countries modeled under a Normal Inverse Gaussian (NIG) distribution, which is a notable member of the Generalized Hyperbolic (GH) family, and analyzing the effect on investment, by the inclusion of each variable into the portfolio. An important property of the GH family is that the correlations matrix of the returns is obtained from estimation of the parameters of empirical distribution through maximum likelihood. The results show in an optimal configuration, that each instrument of India, China and Brazil, contributes to the portfolio efficiency, in contrast to the index and oil mix of Russia, that do not contribute significantly. Full article

A large body of literature has shown that the burden of healthcare can push individuals and households into the burden of medical care and income loss. This makes it difficult for rural or low-income households to obtain and use safe and affordable formal credit services. In 2003, China’s government implemented a new rural public health insurance, which was called the New Rural Cooperative Medical Scheme (NRCMS). This study provides evidence of the impact of NRCMS on household credit availability using the China Family Panel Studies (CFPS) for 2010. The tobit regression approach and mediator model are used. The results show that, as a public health insurance system sustained by the participation of government investment, the NRCMS provides good “collateral” and significantly enhances rural households’ formal credit availability level. Furthermore, this positive effect is mainly reflected in the economic effect of NRCMS. Our results are robust to alternative statistical methods. Our findings suggest that expanding access, fulfilling the NRCMS mortgage function, and providing more financial services for rural households would have big benefits with regard to easing credit constraints for rural residents. Full article

Marketing communication is a concise part of modern museum management. Museums operate in a competitive environment; therefore, it is important to pay sustained attention to every component of a given museum’s marketing communication. Changes, international trends, and visitor preferences have an influence on marketing communication. Museum management must devote expert deliberation towards determining which components of their marketing communication are significant for museum visitors. Moreover, the effectiveness of the use of expenses plays an important role in museum management; it is also essential to combine effectively the individual components of marketing communication. The present research aims to find a correlation between the components of museum marketing communication, which is not being addressed in detail in the contemporary research. The aim of the research is therefore to determine the dependence amongst elements of the marketing communication of museums on questioning the visitors. The aim was achieved by implementing the modern audit approach and empirical research into marketing communication: the Paper Aided Personal Interview (PAPI) method with a Likert scale, a reliability check with Cronbach’s alpha, and dependency determination with Pearson’s correlation. All results were investigated through the use of a questionnaire on the international EU 27 sample of museum visitors. These conclusions allow museum management to build their marketing communication on the principles of Economy, Efficiency, and Effectiveness (the 3E principles). Full article

The motivation of this paper is to identify the effect of treatment charge (TC) on LME (London Metal Exchange) copper prices. It is a fundamental variable as a supply side factor, because it is related to the smelting process and reflects the level of concentrates market tightness. To examine this question carefully, the regression model is applied. This paper finds a statistically significant negative link between TC and LME copper prices. It is found that a 10% increase in TC of copper decreases in copper return by 1.8%. Subsequently, the vector autoregression (VAR) model is introduced to consider the impact of TC to copper prices as a permanent effect. It is found that the negative impact of the TC to copper returns dies out quickly. The statistical estimation in this article will provide a good reference for future study. Full article

This study examines the market for green bonds, which have been in the spotlight as an eco-friendly investment product. We analyze the volatility dynamics and spillovers between the equity and green bond markets. As the return dynamics of financial products typically exhibit asymmetric volatility, we check whether green bonds also share this property. Our analyses confirm that although green bonds do exhibit the asymmetric volatility phenomenon, their volatility, unlike that of equity, is also sensitive to positive return shocks. An analysis of the association between the green bond and equity markets confirms that although the two markets have some volatility spillover effects, neither responds significantly to negative shocks in the other market. Full article

This study examines herding behavior in four sectors of the Gulf Islamic stock markets. Based on the methodology of Chiang and Zheng (2010), results showed evidence of herding among investors in major sectors for the Gulf Cooperation Council (hereinafter GCC) Islamic stock market during falling periods. In addition, we found that conventional return dispersions have a dominant influence during both falling and rising market periods. We also found evidence of herding around the conventional sectors during down market periods only in banking, hotel and restaurant sectors. There is evidence of herding around the conventional sectors during up market periods for insurance and industrial sectors. Full article

The Turn of the month effect is one of the better-known calendar anomalies. If a stock market is affected by the Turn of the month effect, it records significantly higher returns during a relatively short time period around the end of the old month and the beginning of the new one, than during the remainder of the month. This paper investigates the presence of the Turn of the month effect in the stock markets of 11 Central and Eastern European (CEE) countries. We focused not only on the anomaly in returns, but also on the anomaly in price volatility. The results show that, during a 20-year period (1999–2018), a statistically significant Turn of the month effect was present in the stock markets of seven out of 11 investigated countries. However, the anomaly affected only the stock market returns, not price volatility. Full article

We employ bivariate and multivariate nonlinear causality tests to document causality from equity return dispersion to stock market volatility and excess returns, even after controlling for the state of the economy. Expansionary (contractionary) market states are associated with a low (high) level of equity return dispersion, indicating asymmetries in the relationship between return dispersion and economic conditions. Our findings indicate that both return dispersion and business conditions are valid joint forecasters of stock market volatility and excess returns and that return dispersion possesses incremental information regarding future stock return dynamics beyond that which can be explained by the state of the economy. Full article