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1.
The Journal of Risk Finance ; 23(5):605-618, 2022.
Article in English | ProQuest Central | ID: covidwho-2088005

ABSTRACT

Purpose>The purpose of this paper is to analyze the hedging capacity of Bitcoin in relation to the S&P 500 index during the COVID-19 pandemic.Design/methodology/approach>In order to investigate the hedging features of Bitcoin in relation to the S&P 500 index during the COVID-19 pandemic, the authors use the Granger causality applied on a daily sample of observations ranging from January 1st, 2019 to December 31st, 2020. As robustness checks, the authors use autoregressive models to test the validity of the findings.Findings>Using time series of daily data from 1st January 2019 to 31st December 2020, the results show that Bitcoin is not considered as a safe haven because it moves at the same pace as the S&P 500. As a robustness check, the authors use the exponential GARCH model and confirm our previous findings. Overall, the study contributes to the debate on both COVID-19's impact on financial systems and the hypothesis of Bitcoin being a safe haven during extreme global crises.Originality/value>The study contributes to the debate on both COVID-19's impact on financial systems and the hypothesis of Bitcoin being a safe haven during extreme global crises.

2.
Banks and Bank Systems ; 17(4):12-24, 2022.
Article in English | ProQuest Central | ID: covidwho-2067487

ABSTRACT

Banking plays an important role in business and economic growth. However, since a couple decades ago, there have been issues with efficiency and performance. This paper aims to examine Indonesia’s Islamic banking performance through non-parametric production efficiency analysis before and after the COVID-19 pandemic, 2010–2021. This study differentiated between different dimensions of Indonesia’s Islamic banks (IIB) finance and non-finance aspects, as well as investigated the relationships between these dimensions of finance, including assets, deposits, equity, financing, and income, and non-financial variables, namely employees and offices. Non-parametric analysis, with the input-oriented variable constant return to scale (CRS) and returns to scale (VRS) models as a framework, data envelopment analysis (DEA) is used to calculate the IIB of overall, pure, and scale efficiency. However, the resources of technology IIB management are lacking, as well as macroeconomic and environmental effects. This study found that IIB operational needs to enhance investment in technology beyond the office. This means that the number of offices has a smaller impact on enhancing deposits and revenue. Technology investment has a crucial role in enhancing IIB equity, income, and innovation service. As a result, IIB managers and policymakers must improve their efficiency scores in order to increase competition and innovation. Furthermore, IIB needs to increase and spend their assets and experience to enhance technology, which significantly affects efficiency.

3.
Fordham Journal of Corporate & Financial Law ; 27(2):619-671, 2022.
Article in English | ProQuest Central | ID: covidwho-2058177

ABSTRACT

Reminiscent of the warning signs of a tsunami, bankruptcy and insolvency courts across the globe have been eerily calm despite unprecedented conditions during the COVID-19 pandemic. The full extent of the pandemic's effect, including a tidal wave of wide-spread corporate and financial sector harm and wide-spread economic distress, remains to be seen. Much like victims of natural disasters, unsuspecting and increasingly delayed courts will find themselves totally overwhelmed. The inconvenience felt by the courts is distinct, however, from potential harm to financial investors. Although investors could also be harmed by these judicial conditions, they knowingly assumed certain financial risk when they invested. As global economies continue to react to the aftermath of the pandemic, a tsunami of bankruptcy and insolvency cases is also approaching. This, too, sets the stage for potential mass harm if courts become plagued by delay. Across the globe, governments have issued controversial initial responses to this impending tsunami of cases. For example, from March 2020 to March 2021, the Indian government suspended new corporate insolvency resolution proceedings under the country's recently reformed bankruptcy regime. It is worth noting that such judicial delay can impose serious risks on insolvent entities and their stakeholders. Asset, going concern, and recovery values may rapidly and significantly decline while debtors and creditors await resolution, undermining opportunities to emerge from the process with something of worth intact. Of course, the situation is ripe to harm American domestic companies and creditors and U.S. investors in foreign markets are at substantial risk. Specifically, U.S. investors in companies subject to India's suspension of new corporate insolvency resolution proceedings find themselves particularly at risk. This suspension of claims subjected investors to a year-long delay, in which a judicially-blessed resolution was largely unavailable. Making matters worse, their claims could be further delayed by the oncoming swell of insolvency cases or prohibited altogether. This Note focuses on what recourse foreign investors in Indian companies may have against the controversial governmental measure under bilateral investment treaties. Primarily, it explores how foreign investors could challenge the relevant Ordinance by alleging the law treated them unfairly or inequitably as compared to domestic investors and creditors. A meritorious claim might demonstrate severely diminished recovery value while pointing to unique limitations on foreign investors' ability to propose reorganization plans and out-ofcourt resolutions. However, notwithstanding the legitimacy of investors' claims and demonstrable impairment of recovery value, the measure will likely be upheld as treating foreign and domestic investors fairly and equitably, especially in light of the government's purposes for the suspension: to protect the economic health of the country, shield enterprises of all sizes from unnecessary liquidation, and preserve jobs provided by businesses of all varieties.

4.
IUP Journal of Applied Finance ; 28(3):43-53, 2022.
Article in English | ProQuest Central | ID: covidwho-2047006

ABSTRACT

The present study examines the evidence of herd behavior of investors in the Indian stock market during extreme volatility, i.e., bulí and bear phases. It also investigates the herd behavior during the first and second waves of the Covid-19 pandemic. A sample of 50 companies listed on NSE during January 2019 to December 2021 is considered for the study, employing the methods developed by Christie and Huang (1995) and Chang et al. (2000). The findings present evidence of herd behavior during the first wave of the pandemic, while there is no evidence of such behavior during the second wave. Further, the study concludes that investors mimic the investment behavior of others in an extreme high return period only. There is no indication of herd behavior in extreme low return period and in the whole sample period.

5.
International Journal of Managerial Finance ; 18(5):785-811, 2022.
Article in English | ProQuest Central | ID: covidwho-2037683

ABSTRACT

Purpose>This paper aims to investigate how the relation between stock returns of US firms and West Texas Intermediate (WTI) oil prices is affected by leverage from 1990 to 2020.Design/methodology/approach>This paper examines how the relationship between stock returns of US firms and WTI oil prices is affected by leverage from 1990 to 2020 using a fixed-effect model estimation framework.Findings>Results from the fixed-effect regression models suggest that leverage effects on stock returns are pervasive both in aggregate and cross-industry levels, while the mining industry is more sensitive. In addition to the positive oil price effects attenuated by leverage at the aggregate level, the authors observe stronger marginal effects of leverage only for the mining sector. Being more exposed to commodity prices, the positive effects of oil prices on stock returns in the mining sector are offset by large debt ratios. Asymmetries, effects of debt maturity structure and implications are also discussed.Research limitations/implications>This study is grounded on the contemporary cash flow claim of leverage NOT on the long-run effect of leverage considering cash flow constraints. The oil price increase is assumed to represent an advancement of the overall economy. This study does not capture the oil prices response to some other economic forces and vice-versa.Practical implications>Mining companies should therefore reduce the stock of debt with respect to their assets to make possible the “pass-through” from oil prices to the stock market.Originality/value>Previously undocumented and the authors show that leverage reduces the total effect of oil prices on stock returns, consistent with the hypothesis. Asymmetric and debt maturity structures effects are also discussed.

6.
Journal of Financial and Quantitative Analysis ; 57(6):2251, 2022.
Article in English | ProQuest Central | ID: covidwho-2036718

ABSTRACT

Using detailed data on company visits by Chinese mutual funds, we provide direct evidence of mutual fund information acquisition activities and the consequent informational advantages mutual funds establish in local firms. Mutual funds are more likely to visit local and nearby firms both in and outside of their portfolios, but the ease of travel between fund and firm locations can substantially alleviate geographic distance constraints. Company visits by mutual funds are strongly associated with both fund trading activities and fund trading performance. Our results show that geographic constraints and costly information acquisition amplify information asymmetry in financial markets.

7.
Review of Behavioral Finance ; 14(4):545-562, 2022.
Article in English | ProQuest Central | ID: covidwho-2018571

ABSTRACT

Purpose>The present study sets out to examine the empirical literature on the behavioural aspects of cryptocurrencies, showing the findings of related studies and discussing the various results. A systematic literature review of cryptocurrencies in behavioural finance seems to be timely and particularly important in terms of providing a guide for future research. Key topics include an extent review on the issue of herding behaviour amongst cryptocurrencies, momentum effects and overreaction, contagion effect, sentiment and uncertainty, along with studies related to investment decision-making, optimism bias, disposition, lottery and size effects.Design/methodology/approach>Systematic literature review.Findings>A systematic literature review of cryptocurrencies in behavioural finance seems to be timely and particularly important in terms of providing a guide for future research. Key topics include an extent review on the issue of herding behaviour amongst cryptocurrencies, momentum effects and overreaction, contagion effect, sentiment (investor's, market's) and uncertainty, along with studies related to investment decision-making, optimism bias, disposition, lottery and size effect.Originality/value>The authors' survey paper complements recent papers in the area by offering a systematic account on the influence of behavioural factors on cryptocurrencies. Further, this study's purpose is not just to index the relevant literature, but rather to showcase and pinpoint several research areas that have emerged in the field of behavioural cryptocurrency research. For all these reasons, a systematic literature review of cryptocurrencies in behavioural finance seems to be timely and particularly important.

8.
Review of Behavioral Finance ; 14(4):491-507, 2022.
Article in English | ProQuest Central | ID: covidwho-2018570

ABSTRACT

Purpose>Cryptocurrencies lack fundamental values and are often subject to behavioral bias leading to market bubbles. This study aims to investigate the contribution of the coronavirus pandemic to the creation of market bubbles.Design/methodology/approach>This study identifies four major cryptocurrency market bubbles by using the Phillips et al. (2016) (hereafter PSY) test. Subsequently, the co-movements of the coronavirus proxies with PSY measurement using the wavelet approach were studied.Findings>Short-lived bubbles are detected at the beginning of the studied period, and more extended bubble periods are identified at the end. Besides, the empirical results show evidence of significant negative co-movement between each pandemic proxy and each cryptocurrency bubble measurement.Research limitations/implications>Given the complex financial dynamics of the cryptocurrency markets due to some behavioral biases in some circumstances, investors can benefit from the date stamping of the bubbles bursting to make the best trading positions. In the same way, governments could support the healthy development of cryptocurrencies by preventing bubbles during such pandemics.Originality/value>The financial bubble is commonly attributed to a change in investor behavior. Because traders and investors think they can resell the asset at a higher price in the future. This study explored the contribution of the COVID-19 pandemic in the creation of these bubbles by date stamping their occurrence and explosive periods. To the best of the authors’ knowledge, this study is the first attempt that explores the contribution of the COVID-19 pandemic to the creation of bubbles caused by a change in the investors’ behavior.

9.
Review of Behavioral Finance ; 14(4):465-490, 2022.
Article in English | ProQuest Central | ID: covidwho-2018569

ABSTRACT

Purpose>The paper provides new evidence for Bitcoin’s safe-haven property by examining the relationship between currency price, return and Bitcoin trading volume.Design/methodology/approach>A unique dataset from a person-to-person (p2p) exchange is used to investigate association between Bitcoin trading volume and currency prices. Currency returns are used to identify local economic crises, the 8 crisis affected currencies are Venezuela Bolivar (VES), Iranian Rial (IRR), Ukrainian Hryvnia (UAH), Argentine Peso (ARS), Egyptian Pound (EGP), Nigerian Naira (NGN), Turkish Lira (TRY) and Kazakhstani Tenge (KZT).Findings>The paper demonstrates that local economic crises are positively associated with increased Bitcoin trading. There is a negative association between trading volume and currency value (and return), suggesting low currency price and currency depreciation are accompanied with increased Bitcoin trading. The results not only hold for the crisis affected currencies but also currencies of advanced economies. Granger causality test also reinforces the negative association results.Originality/value>The finding indicates some forms of flight-to-safety have occurred during local market crises when capital flight from domestic markets to Bitcoin, strengthening Bitcoin’s hedging asset status. However, total global trading volume declines after the start of the COVID pandemic, suggesting that Bitcoin is still regarded as a speculative asset. Overall, the findings show that Bitcoin is a hedging asset to protect against local currency depreciation, but not a safe-haven asset for the global crisis.

10.
Banks and Bank Systems ; 17(3):27-37, 2022.
Article in English | ProQuest Central | ID: covidwho-1994767

ABSTRACT

The unprecedented Lebanese economic crisis and the global COVID-19 pandemic have taken their toll on the Lebanese banking sector. This led to the need to investigate this sector in times of dire uncertainty by highlighting six digital banking channels offered by Lebanese banks. This study reveals how the banking industry has adapted to this novel situation by embracing dynamic technological changes to attain higher levels of customer satisfaction with digital banking channels (DBCs). Consequently, the study investigates the extent of DBC adoption, their usage benefits, the resulting service quality, and their aggregate impact on overall customer satisfaction with DBCs. The study measures customer satisfaction with digital technologies implemented in Lebanese banks during the most unstable period of Lebanese history. This study supported the deductive approach generating significantly interesting results by analyzing Spearman’s correlations regarding DBC adoption and investigating customer satisfaction levels with DBCs showing satisfactory results such as high correlation for mobile banking adoption (0.544), internet banking (0.533), transactional call center (0.528) followed by ATM (0.455). A multiple linear regression study found a positive relationship between DBC adoption in Lebanese banks and overall customer satisfaction with DBCs with an adjusted R-squared value of 0.454 for DBC benefits and an adjusted R-squared value of 0.802 for DBC service quality in Lebanese banks on their customer satisfaction. The final conclusion is that banks should invest in DBCs and develop them as they are the major determinants leading to improved customer satisfaction through higher adoption/diversification rates, improved service quality levels and greater benefits.

11.
Asian Journal of Economics and Banking (AJEB) ; 6(2):236-254, 2022.
Article in English | ProQuest Central | ID: covidwho-1973367

ABSTRACT

Purpose>The study aims to analyze and compare the influence of country-specific fundamentals and global conditions on sovereign risk of Sri Lanka within the sample period of 2006–2019 while employing Treasury bond rates as proxy for sovereign risk.Design/methodology/approach>The determinant powers of the variables are assessed using the auto regressive distributed lag (ARDL) model to verify both short- and long-run effects on sovereign spreads.Findings>The study finds that Sri Lanka's sovereign spreads are shaped by both country fundamentals and global factors, though local determinants tend to have greater influence when the directions of coefficients are ignored. While the impact of most variables was in line with the researchers' expectations, fiscal deficit was found to have an unconventional negative coefficient which may be explained by investors' optimistic take on Government's involvement in post-war economic development drive during the sample period, enabling Sri Lanka to attract low-cost funding.Research limitations/implications>The study excludes of impact of the ongoing coronavirus disease-2019 ( COVID-19) health crisis which may unduly distort the data. Further, the research does not capture the impact of change in sentiment owing to market information, debt dynamics and policy changes in Sri Lanka.Practical implications>The study reveals that a sound monetary policy directed at preserving both the internal and external value of currency as well as a disciplined fiscal policy are imperative to manage Sri Lanka's sovereign risk, particularly in the face of global uncertainties.Originality/value>The study adds to the literature by investigating the timely importance of a country's internal fundamentals against the global events. Furthermore, the research would complement the scarcity of research regarding that subject focused on the Sri Lankan economy, capturing the rapid variations in the fundamentals that the country has undergone since the end of the civil war while recognizing the growing influence of globalization over the recent years.

12.
Asian Journal of Economics and Banking (AJEB) ; 6(2):255-269, 2022.
Article in English | ProQuest Central | ID: covidwho-1973366

ABSTRACT

Purpose>This study contributes to existing literature by investigating bank capital structure dynamics during the Covid-19 pandemic. The role of contemporary bank-specific determinants of capital structure during this period is analyzed.Design/methodology/approach>An independent t-test is carried out to check the response of bank leverage to the crisis. Using fixed effect estimation and difference general method of moments (GMM), the impact of the shock is examined. An unbalanced quarterly data set from 2016q1 to 2020q3 of all commercial banks in Pakistan is used.Findings>The study finds that due to procyclicality of capital, during the Covid-19 crisis, the banks preempted a fall in capital and improved their capital positions. The role of bank specific variables in determining capital structure like profitability, size and competition weakened during this period. Evidence suggests that policy rate intervention by the central bank was a significant factor in capital structure decisions during the Covid-19 period. The study finds that macroeconomic shocks have significant impact on capital structure decision-making of banks which goes beyond the bank-specific factors.Originality/value>It finds evidence of a moderating role of monetary policy in capital structure decision-making which has not been previously highlighted in literature. Monetary policy is found to become an important factor deciding the capital structure of banks during the Covid-19 first 3 quarters. This study also explores the impact of Covid-19 on the bank-specific determinants of capital structure of banks.

13.
Journal of Investment Management : JOIM ; 20(2), 2022.
Article in English | ProQuest Central | ID: covidwho-1970983

ABSTRACT

Recent outbreaks of infectious pathogens such as Zika, Ebola, and COVID-19 have underscored the need for the dependable availability of vaccines against emerging infectious diseases (EIDs). Prior to the COVID-19 pandemic, the cost and risk of R&D programs and uniquely unpredictable demand for EID vaccines discouraged many potential vaccine developers, and government and nonprofit agencies have struggled to provide timely or sufficient incentives for their development and sustained supply. However, the economic climate has changed significantly post-pandemic. To explore this contrast, we analyze the pre-pandemic economic returns of a portfolio of EID vaccine assets, and find that, under realistic financing assumptions, the expected returns are significantly negative, implying that the private sector is unlikely to address this need without public-sector intervention. However, in a post-pandemic policy landscape, the financing deficit for this portfolio can be closed, and we analyze several potential solutions, including enhanced public–private partnerships and subscription models in which governments would pay annual fees to obtain access to a portfolio of stockpiled vaccines in the event of an outbreak.

14.
Vinimaya ; 43(1):20-26, 2022.
Article in English | ProQuest Central | ID: covidwho-1970663

ABSTRACT

The Reserve Bank of India (RBI) has allowed Scheduled Commercial Banks (SCBs) and Small Finance Banks (SFBs)to lend money to NonBanking Finance Companies (NBFCs) and Micro Finance Institutions (NBFC-MFIs) respectively for the purpose of on-lending to the priority sectors. As per the Master Directions of RBI on Priority Sector Lending the facility was allowed till March 31,2022. However, the circular issued by the RBI on May 13,2022 makes this facility to continue on an ongoing basis. The article gives a background for the facility, discusses few related questions and suggesting a way forward. The authors opine that there is synergy between banks and NBFCs and lending for on-lending creates a win-win for all the stakeholders. They also recommend that the banks shall engage NBFCs and NBFC-MFIs as channel partners for reaching out to the priority sectors.

15.
Vinimaya ; 43(1):36-50, 2022.
Article in English | ProQuest Central | ID: covidwho-1970575

ABSTRACT

In this regard, the Local Circles Survey conducted in April 2020 suggests that, 47 per cent small borrowers had just one month of cash left to run their business1 Similarly, as per Money Outlook survey, almost 25 per cent of micro enterprises in rural areas faced a closure due to lack demand2 Also, the recent RBI publication states that, 65 per cent of loans were under moratorium as on April 30, 2020 and, borrowers including farmers, traders and micro enterprises engaged in food processing etc. experienced difficulties to repay bank dues subsequently3. [...]RBI announced a series of relief measures including moratorium on payment of loan installments, asset classification allowing to remain standstill, restructuring of loans etc., while helping rural cooperatives to continue to provide credit to agriculture and allied activities. [...]DCCBs were less dependent on borrowings due to higher share of deposits whose percentage to total liabilities was around 18.5 as against around 25.5 as in the case of St.CBs. [...]owned funds formed to be another major source to lend on long term basis whose percentage to total liabilities stood at 18 and 12 for St.CBs and DCCBs respectively. [...]St.CBs were relative more active in short term lending while DCCBs were known for long term credit. The amount of profit per St.CB, DCCB and PAC amounted to Rs. 52.24 crores, Rs.2.41 crores and Rs. 0.02 crore respectively. [...]among the Short Term Cooperatives, St.CBs were better placed in raising low cost of funds and using the same for lending to a larger extent which enabled them to maintain higher profits.

16.
Vinimaya ; 43(1):56-61, 2022.
Article in English | ProQuest Central | ID: covidwho-1970277

ABSTRACT

[...]the latest Master Circular chooses continuity over radical change in capital regulations. Even Indian banks which were brought under the Prompt Corrective Action (PCA) framework exhibited a chronic deficiency of Tier I capital. [...]the stated goal of the Basel III regulations was to increase bank reliance on Tier I Capital, under normal and stressed conditions. [...]the credit risk capital requirements in India are at least as high as the global benchmarks. Under this approach, Operational Risk Capital Charges are equal to 15 per cent of Average Gross Income over the last three years (provided gross income is positive each year). [...]for regulatory capital charge estimation, banks will continue to assume that the size of operational losses increases with the scale of business (i.e. gross income) and there are no diversification benefits across business lines.

17.
The Journal of Risk Finance ; 23(4):385-402, 2022.
Article in English | ProQuest Central | ID: covidwho-1948695

ABSTRACT

Purpose>The need to improve energy efficiency as an essential factor for achieving the Sustainable Development Goals (SDGs) through green financing is one of the most important issues worldwide. It is even more important for ASEAN (Association of Southeast Asian Nations) countries because of their potential for economic growth and the challenge of their environmental problems. This paper therefore addresses the question of whether and how green finance (with the proxy of issued green bonds [GBs]) promotes energy efficiency (with the proxy of energy intensity) in the ASEAN member countries.Design/methodology/approach>The paper runs a two-stage generalized method of moments (GMM) system model for the quarterly data over the period 2017–2020. It also uses a linear interaction model to explore how the pandemic may affect the relationship between green finance and energy efficiency in this region.Findings>The main results only demonstrate the short-term negative impact of GBs on energy intensity. Furthermore, per capita income, economic integration and renewable energy supply can be used as potential variables to reduce energy intensity, while modernization in ASEAN increases energy intensity. Establishment of digital green finance, long-term planning of a green finance market, trade liberalization and policies to mitigate the negative impacts of COVID-19 are recommended as golden policy implications.Research limitations/implications>The present study has several limitations. First, it accounts for explanatory variables by following a number of previous studies. This may lead to omissions or errors. Second, the empirical estimates were conducted for 160 observations due to the repositioning of GBs in ASEAN, which is not bad but not good for an empirical study.Originality/value>To the best of authors' knowledge, there has not been any in-depth study focusing on the relationship between energy efficiency and green financing for the case of ASEAN economies.

18.
The Journal of Risk Finance ; 23(4):418-436, 2022.
Article in English | ProQuest Central | ID: covidwho-1948694

ABSTRACT

Purpose>This research is designed to investigate the presence of market discipline in the banking sector, across Balkan states in Europe. Specifically, the effects of CAMEL variables on the cost of funds and deposit-switching have been assessed.Design/methodology/approach>The CAMEL method of bank evaluation has been applied as well as two measures for market discipline (costs of funds and deposit-switching behaviour). Data have been obtained for 10 Balkan states for the 2006–2019 period. For data analysis, ordinary least squares (OLS) and fixed effects models have been utilized. The generalized method of moments (GMM) method has been deployed as well as a dynamic panel model.Findings>Evidence of market discipline has been found, in the form of a higher cost of funds in the context of capital adequacy (but not for other CAMEL variables). Evidence of market discipline in the form of deposit-switching, however, has not been found. In addition, it has been discovered that bank size and gross domestic product (GDP) growth lower the costs of funds for banks.Originality/value>In the wake of the pandemic, banks need to prepare themselves for very difficult situations and relevant studies can provide help. Therefore, this research has contributed to the developing literature on this topic. In addition, the findings have important practical implications. Results show that banks should maintain adequate levels of capital if they want to control their costs of funds. Results also show that market discipline, in the form of higher costs of funds, can be imposed on banks to discourage excessive risk-taking. Findings highlight the value of appropriate policies and strong supervision of the financial industry. Findings also underline the importance of offering financial incentives to banks. For example, if banks know they will be able to avoid higher costs of funds by controlling their risk levels, they will avoid unrestrained risk-taking.

19.
The Journal of Risk Finance ; 23(4):368-384, 2022.
Article in English | ProQuest Central | ID: covidwho-1948693

ABSTRACT

Purpose>This study aims to investigate the time-frequency comovement between wheat futures traded on three US markets (Chicago Board of Trade (CBOT), Kansas City Board of Trade (KCBOT) and Minneapolis Grain Exchange (MGE)) at different maturities and a global equity index.Design/methodology/approach>As they allow to trace transitional shifts over time and across different frequency bands, this paper relies on continuous wavelet tools to investigate the time-frequency comovement among wheat and global stock markets.Findings>The results show an increase in wheat futures prices at all maturities and a weak integration level within each wheat market during the subprime crisis. Moreover, the wavelet power spectra maps show high wheat and equity price volatility at different time scales and for various subperiods. Furthermore, the continuous wavelet coherence highlights time-frequency-varying comovements between the markets considered, which become particularly high during times of crisis.Practical implications>The results provide market participants with a better understanding of the nature as well as the magnitude of the relationship between the global financial market and different wheat markets at different maturities and during tranquil and crisis periods. Indeed, from investors' perspective it is important to understand how markets are segmented or integrated during tranquil and crisis periods in order to better assess risks, diversify portfolios and implement more effective hedging strategies. As for regulators, a better understanding of the level of integration of different markets would further help refine macroprudential policies, and thus strengthen financial stability and resilience.Originality/value>This paper enriches the existing literature by investigating the time-frequency comovement between wheat and a global equity market. Indeed, the dynamics between stock and wheat markets across different nearest to maturities have not been widely explored by previous studies.

20.
China Finance Review International ; 12(3):496-518, 2022.
Article in English | ProQuest Central | ID: covidwho-1948666

ABSTRACT

Purpose>This research examines the effects of firm ownership and size on innovation capability using data from the World Bank China Enterprise Survey (WBCES), which provides directly measurable innovation-related variables. Key consideration is given to the role and innovation capability of state-owned enterprises (SOEs) compared with domestic and foreign private enterprises in the Chinese economy.Design/methodology/approach>In its quest for technological self-reliance and a new developmental path, China is focusing on its enterprise innovation capability.Findings>The findings suggest that SOEs and domestic private enterprises are similar in terms of innovation participation but differ in terms of innovation diversification, which implies ownership-specific innovative advantages. In general, the authors find that SOEs are more innovative with respect to processes innovation but less so with respect to product, management and promotion innovations. Foreign-owned enterprises are superior in all types of innovation except product innovation.Research limitations/implications>The authors also find that size is an important determinant of innovation capability, with the effect varying depending on location and industry. Moreover, the joint effect of firm ownership and size on innovation declines with increasing size. These findings provide new insights into the evaluation of China's major policies.Originality/value>This research examines the effects of ownership and size on enterprise innovation capability, using the WBCES (2013) data, which include direct measurable innovation related variables.

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