JournalTOCs

International Journal of Economics and Finance
Number of Followers: 12

This is an Open Access Journal

Open Access journal
ISSN (Print) 1916-971X - ISSN (Online) 1916-9728
Published by CCSE

[43 journals]

Reviewer Acknowledgements for International Journal of Economics and
Finance, Vol. 13, No. 4
- Abstract: Reviewer Acknowledgements for International Journal of Economics and Finance, Vol. 13, No. 4
  PubDate: Mon, 18 Apr 2022 22:50:24 +000
Borrower Level Models for Stress Testing Corporate Probability of Default
and the Quantification of Model Risk
- Abstract: This paper addresses the building of obligor level hazard rate corporate probability-of-default (“PD”) models for stress testing, departing from the predominant practice in wholesale credit modeling of constructing segment level models for this purpose. We build models based upon varied of financial, credit rating, equity market and macroeconomic factors with an extensive history of large corporate firms sourced from Moody’s. We develop distance-to-default (“DTD”) risk factors and design hybrid structural/Merton-reduced form models as challengers to versions of the models containing only the other variables. We measure the model risk attributed to various modeling assumptions according to the principle of relative entropy and observe that the omitted variable bias with respect to the DTD risk factor, neglect of interaction effects and incorrect link function specification has the greatest, intermediate and least impacts, respectively. Our conclusion is that validation methods chosen in the stress testing context should be capable of testing model assumptions, given the sensitive regulatory uses of these models and concerns raised in the industry about the effect of model misspecification on capital and reserves. Our research is accretive to the literature by offering state of the art techniques as viable options in the arsenal of model validators, developers and supervisors seeking to manage model risk.
  PubDate: Mon, 28 Mar 2022 12:23:32 +000
Socially Responsible Investment During the COVID-19 Pandemic: Evidence
from Morocco, Egypt and Turkey
- Abstract: Socially responsible investing (SRI) seeks to combine financial returns with social and environmental performance. In the context of the Covid-19 pandemic, SRI is seen as an alternative way to maintain sustainable returns. This article attempts to assess the impact of COVID-19 on the performance of socially responsible stocks. In other words, we test the resilience of ESG (Environmental, Social and Governance) oriented companies’ stock prices to the global crisis, and compare it with the performance of selected non-ESG stocks. To do so, we focus on companies listed on the Moroccan, the Egyptian and the Turkish stock exchanges. We use the event study methodology, which relies mainly on calculating the daily abnormal returns of each company and aggregating them over an event window to test their statistical significance. The results reveal that all the companies listed on these three stock exchanges suffered from the COVID-19 crisis, posting negative abnormal returns. However, the ESG oriented companies listed on the Turkish stock exchange were more resilient compared to non-ESG companies. Sustainable investing underperformed non-ESG investing in Morocco and Egypt, as ESG oriented companies posted more pronounced negative abnormal returns, compare to non-ESG companies. So, unlike Turkey, ESG oriented companies were less portfolio protective alternative during the crisis in Morocco and Egypt.
  PubDate: Sat, 26 Mar 2022 00:24:14 +000
Evaluation of the Future Price of Brazilian Commodities as a Predictor of
the Price of the Spot Market
- Abstract: The present work seeks to bring empirical evidence on the efficiency of futures prices as predictors of spot market prices. For this, future and spot prices of live cattle, coffee, corn, soybeans, ethanol, gold and dollars traded in Brazil are considered. To compare the probability of occurrence with the event that actually happened, the score proposed by Brier in 1950 is used. It was observed that the spot and future price curves have the same trajectory and, considering the same date, have similar values. Despite this behavior, when calculating the scores, we found that the lowest was found for live cattle, 0.47, the highest for the dollar, with a value close to 1, and the other assets varied between 0.6 and 0.8. Scores of 1 denote worse predictive powers, it was noted that future prices are not good predictors for the assets considered. These results contribute to filling the gap in the financial literature that seeks to assess the efficiency of futures markets by bringing empirical evidence to Brazilian commodities and using the Brier Score. The findings are also useful for financial market agents who use these assets in their portfolios, producers and principals in the supply chain and policy makers who make decisions involving these commodities.
  PubDate: Sat, 26 Mar 2022 00:21:35 +000
Evaluating the Trend of Trade between the Same Categories in the Human
Development Index (HDI)
- Abstract: The first report of the human development index was at 1990, it is an important tool to evaluate the progress in the countries by GDP growth and social issues. Is the classification of HDII enough to explain the international relation between the categories of the countries that belongs to the same level of HDI' Giving evidences to grow the trend of trade between the nearest GDP countries, it is a formula of HDI and trade, the paper divided into three sections, First: The distribution of the human development index in the global and the areas that appeared; Second: Evaluate the distribution of the human development index in the top ten world; Third: Export between the top 10 HDI countries. Is really the full assessment of human development need a much broader set of indicators than the HDI alone' Can add the export rate to discuss the impact on the economic growth and the increasing on the income at the top ten countries at HDI' (Ranis, Stewart, & Samman, 2006).
  PubDate: Mon, 14 Mar 2022 23:06:09 +000
Capital Structure and Share Liquidity in Latin America: A Panel Data
Approach
- Abstract: The objective of this study was to analyze the existence of a relationship between stock liquidity and capital structure of publicly traded companies in Latin America, specifically Argentina, Brazil, Chile, Colombia, Mexico, and Peru, between 2011 and 2018. For data analysis, the panel data methodology was used, selected from the pooled data models, fixed effects and random effects. The Presence, Trading Volume, and Liquidity Index on the stock exchange were used as dependent variables. Indebtedness Index, Size, Tangibility, Market to Book, and ROA were the independent variables used. The results indicate a positive relationship between size and future expectation of the firms, measured through the Market to Book, and all liquidity indicators on the stock exchange. Regarding the presence on the stock exchange, there was a negative relationship with indebtedness, tangibility, and level of profitability of the analyzed companies.
  PubDate: Mon, 14 Mar 2022 23:04:35 +000
Regional Economic Environment, Compensation Marketization and Financing
Platform Performance—An Empirical Analysis Based on Data of China
- Abstract: Based on the basic theory of labor market and compensation incentive, this paper deduces the impact of compensation marketization on the performance of financing platform, discusses the differential effect of compensation marketization on the performance of financing platforms under different regional conditions, and puts forward the research hypothesis. This paper collected the financial data of 115 financing platforms in Jiangsu and Anhui provinces of China from 2005 to 2020 for empirical analysis. Our research finds that compensation marketization can improve the performance of financing platforms, and this effect will be larger if the financing platform is in a more developed region than in a less developed region. After further research we find that compensation marketization promotes performance by increasing capital turnover and reducing cost stickiness. Also executives’ political background may lead to a higher effect of compensation marketization on financing platform performance.
  PubDate: Wed, 09 Mar 2022 15:47:41 +000
Economic Growth Analysis and Total Factor Productivity: A Case Study of
Morocco, 1999-2019
- Abstract: There is no doubt about the importance of economic growth for raising individuals’ income and country’s wealth. But, this becomes problematic when it does not depend on inputs and depends on something else. This paper aims to address total factor productivity and its interactions with sources of growth with an application to the Moroccan economy.
  PubDate: Wed, 09 Mar 2022 15:44:59 +000