JournalTOCs

About Help News

International Journal of Banking, Accounting and Finance
Journal Prestige (SJR): 0.137

Number of Followers: 16

Hybrid journal (It can contain Open Access articles)
ISSN (Print) 1755-3830 - ISSN (Online) 1755-3849
Published by Inderscience Publishers

[450 journals]

Corporate bonds, exchange rates and business strategy
- Authors: Konstantina Vartholomatou, Konstantina Pendaraki, Athanasios Tsagkanos
  Pages: 97 - 117
  Abstract: We examine the relationship between corporate bonds and exchange rates in the USA and Greece highlighting asymmetries and volatility among markets. A theoretical framework is constructed to treat the issue of corporate bonds. The employed methodology concerns the QARDL-ECM that is applied to non-stationary regressors. In Greece, our key findings point that changes in corporate bonds are mainly driven by changes in exchange rates. The quantile estimates show that the strength of long-run relationship increases as the risk of default for the country diminishes. In the USA, both long-run and short-run relationships between variables are defined. The changes in exchange rates are mainly driven by changes in corporate bonds. The quantile estimates exhibit a non-symmetrical pattern of the relationship which is a clear evidence of possible financing problems in enterprises. A key contribution concerns the suggestion of a sound policy for the enterprises for attaining stable growth in an environment of financial stress and asymmetry.
  Keywords: corporate bonds; exchange rates; asymmetry; QARDL-ECM
  Citation: International Journal of Banking, Accounting and Finance, Vol. 12, No. 2 (2021) pp. 97 - 117
  PubDate: 2021-04-23T23:20:50-05:00
  DOI: 10.1504/IJBAAF.2021.114473
  Issue No: Vol. 12, No. 2 (2021)
Is the era of the day-of-the-week anomaly over?
- Authors: Ngan Duong Cao, Vu Quang Trinh, Thanh Quoc Nguyen
  Pages: 118 - 140
  Abstract: While an extensive body of literature has investigated the existence of the day-of-the-week anomaly in different stock markets globally, their findings can only provide implications for potential arbitrage opportunities for domestic investors in the investigated markets. We, therefore, add to these studies by investigating the possibility of <i>international</i> arbitrage activities using such an anomaly, after accounting for currency risk. Initially, we re-confirm the disappearance of the effect in the US market (S&P500), implying that US domestic investors can no longer exploit the day-of-the-week trading strategy in their home market. Further, we test whether investors who use the US dollar as the main trading currency (including US investors) can exploit the anomaly in foreign markets. We employ the daily values of representative indices and the national currencies of the three ASEAN countries (Singapore, Thailand and Malaysia) from 1995 to 2014. We find that the anomaly is evident in all three markets and can be exploited by foreign investors. Furthermore, the Thai exchange is the best investment destination for foreign investors with the highest returns and lowest currency risk. The profitability of this trading strategy is independent of economic activities and significantly dependent on the performance and conditions of the financial markets.
  Keywords: stock exchange; anomaly; ASEAN markets; arbitrage; international investment; recession; financial crisis
  Citation: International Journal of Banking, Accounting and Finance, Vol. 12, No. 2 (2021) pp. 118 - 140
  PubDate: 2021-04-23T23:20:50-05:00
  DOI: 10.1504/IJBAAF.2021.114474
  Issue No: Vol. 12, No. 2 (2021)
Bank risk and charter value: the role of opacity
- Authors: Chris Brune, Kevin Lee, Scott Miller
  Pages: 141 - 157
  Abstract: In this paper, we explore the linkage between bank opacity and bank charter value. We find that opacity contaminates charter value and therefore reduces the ability of charter value to restrain risk-taking in banking. As bank assets become more complex and opaque with the increased use of derivative assets like mortgage backed securities, asset backed securities, and collateralised debt obligations, etc., it becomes more difficult to gauge the true value of banks and the true risk of the bank activities.
  Keywords: banks; opacity; charter value; market discipline; financial crisis
  Citation: International Journal of Banking, Accounting and Finance, Vol. 12, No. 2 (2021) pp. 141 - 157
  PubDate: 2021-04-23T23:20:50-05:00
  DOI: 10.1504/IJBAAF.2021.114476
  Issue No: Vol. 12, No. 2 (2021)
The CEO identity of sovereign wealth funds and target firms'
performance
- Authors: Alfonso Del Giudice, Giovanni Petrella
  Pages: 158 - 176
  Abstract: The impact of sovereign wealth funds (SWFs) on target firms' performance is unclear. Previous empirical studies find conflicting evidence, with some documenting a positive impact and others finding a negative impact on target firms' performance. In contrast to previous researchers, we include in the sample both listed and unlisted targets and reconsider the classification of political influence on SWF managerial decisions, observing the identity of the CEO rather than using the Truman score. We identify a 'political CEO' as such if s/he is a political officer or a former political officer or if s/he belongs to the same family as a political officer. Using a sample of 226 deals, we find evidence of an impact of SWF investments on target firms' performance. The presence of a political CEO has a positive impact on target firms' profitability, showing that closer ties to political power play an important role.
  Keywords: sovereign wealth fund; SWF; political connection; target firm performance
  Citation: International Journal of Banking, Accounting and Finance, Vol. 12, No. 2 (2021) pp. 158 - 176
  PubDate: 2021-04-23T23:20:50-05:00
  DOI: 10.1504/IJBAAF.2021.114477
  Issue No: Vol. 12, No. 2 (2021)
Forecasting the yield curve with macroeconomic information - evidence
from European markets
- Authors: Isabel Maldonado, Carlos Pinho, Francisco RodrÃguez De Prado, Carla Azevedo Lobo
  Pages: 177 - 200
  Abstract: In this paper we analyse the predictive content of the introduction of macroeconomic variables in term structure dynamic models. We tested the dynamic models using data from the public debt, inflation rate and annual variation of the industrial production index for four European countries: Portugal, Spain, the UK and Germany. Results obtained for the period from January 1990 to December 2012 indicate that considering macroeconomic factors makes a positive contribution to the improvement of forecasts for different countries and maturities. However, the paper presents evidence of time-varying forecast accuracy, not only across yield maturities and forecast horizons, but also over data sub-periods.
  Keywords: yield curve; dynamic factor models; forecasting; out-of-sample forecasting evaluations
  Citation: International Journal of Banking, Accounting and Finance, Vol. 12, No. 2 (2021) pp. 177 - 200
  PubDate: 2021-04-23T23:20:50-05:00
  DOI: 10.1504/IJBAAF.2021.114478
  Issue No: Vol. 12, No. 2 (2021)

JournalTOCs
School of Mathematical and Computer Sciences
Heriot-Watt University
Edinburgh, EH14 4AS, UK
Email: journaltocs@hw.ac.uk
Tel: +00 44 (0)131 4513762

Your IP address: 3.237.48.165

Home (Search)
API
About JournalTOCs
News (blog, publications)