Enter your login details for Journal of International Financial Markets, Institutions & Money below. If you do not already have an account you will need to register here.
Check submitted paper
Track accepted paper
Once your article has been accepted you will receive an email from Author Services. This email contains a link to check the status of your article. Track your accepted paper
Most Cited Journal of International Financial Markets, Institutions & Money Articles
The most cited articles published since 2011, extracted from Scopus.
Volume 21, Issue 1, February 2011, Pages 92-106
Dimitris Kenourgios | Aristeidis Samitas | Nikos Paltalidis
This paper investigates financial contagion in a multivariate time-varying asymmetric framework, focusing on four emerging equity markets, namely Brazil, Russia, India, China (BRIC) and two developed markets (U.S. and U.K.), during five recent financial crises. Specifically, both a multivariate regime-switching Gaussian copula model and the asymmetric generalized dynamic conditional correlation (AG-DCC) approach are used to capture non-linear correlation dynamics during the period 1995-2006. The empirical evidence confirms a contagion effect from the crisis country to all others, for each of the examined financial crises. The results also suggest that emerging BRIC markets are more prone to financial contagion, while the industry-specific turmoil has a larger impact than country-specific crises. Our findings imply that policy responses to a crisis are unlikely to prevent the spread among countries, making fewer domestic risks internationally diversifiable when it is most desirable. © 2010 Elsevier B.V.
Volume 22, Issue 4, July 2012, Pages 658-677
Michael G. Arghyrou | Alexandros Kontonikas
We offer a detailed empirical investigation of the EMU sovereign-debt crisis. We find a marked shift in market pricing behaviour from a 'convergence-trade' model before August 2007 to one driven by macro-fundamentals and international risk thereafter. We find evidence of contagion effects, particularly among EMU periphery countries. The EMU debt crisis is divided into an early and current crisis period. Unlike the former where contagion was mainly originating from Greece, the latter involves multiple sources of contagion. Finally, the escalation of the Greek debt crisis since November 2009 is due to an unfavourable shift in country-specific market expectations. © 2012 Elsevier B.V.
Volume 21, Issue 3, July 2011, Pages 307-327
Andreas Dietrich | Gabrielle Wanzenried
Using the GMM estimator technique described by Arellano and Bover (1995), this paper analyzes the profitability of 372 commercial banks in Switzerland over the period from 1999 to 2009. To evaluate the impact of the recent financial crisis, we separately consider the pre-crisis period, 1999-2006, and the crisis years of 2007-2009. Our profitability determinants include bank-specific characteristics as well as industry-specific and macroeconomic factors, some of which have not been considered in previous studies. The inclusion of these additional factors as well as the separate consideration of the crisis years allow us to gain new insights into what determines the profitability of commercial banks. © 2010 Elsevier B.V.
Stock market interdependence, contagion, and the U.S. financial crisis: The case of emerging and frontier markets
Volume 21, Issue 5, December 2011, Pages 724-742
Lalith P. Samarakoon
This paper examines transmission of shocks between the U.S. and foreign markets to delineate interdependence from contagion of the U.S. financial crisis by constructing shock models for partially overlapping and non-overlapping markets. There exists important bi-directional, yet asymmetric, interdependence and contagion in emerging markets, with important regional variations. Interdependence is driven more by U.S. shocks, while contagion is driven more by emerging market shocks. Frontier markets also exhibit interdependence and contagion to U.S. shocks. Except for Latin America, there is no contagion from U.S. to emerging markets. But there is contagion from emerging markets to the U.S. © 2011 Elsevier B.V.
Volume 24, Issue 1, April 2013, Pages 42-65
Annastiina Silvennoinen | Susan Thorp
Stronger investor interest in commodities may create closer integration with conventional asset markets. We estimate sudden and gradual changes in correlation between stocks, bonds and commodity futures returns driven by observable financial variables and time, using double smooth transition conditional correlation (DSTCC-GARCH) models. Most correlations begin the 1990s near zero but closer integration emerges around the early 2000s and reaches peaks during the recent crisis. Diversification benefits to investors across equity, bond and stock markets were significantly reduced. Increases in VIX and financial traders' short open interest raise futures returns volatility for many commodities. Higher VIX also increases commodity returns correlation with equity returns for about half the pairs, indicating closer integration. © 2012 Elsevier B.V.
Volume 22, Issue 2, April 2012, Pages 395-422
Andrew Vivian | Mark E. Wohar
Volatility is a key determinant of derivative prices and optimal hedge ratios. This paper examines whether there are structural breaks in commodity spot return volatility using an iterative cumulative sum of squares procedure and then uses GARCH (1,1) to model volatility during each regime. The main empirical finding is the very limited evidence of commodity volatility breaks during the recent financial crisis. This suggests commodity return volatility was not exceptionally high during the recent financial crisis compared to the 1985-2010 sample period as a whole. For many commodities there are multiple idiosyncratic breaks in volatility; this suggests commodity specific supply or demand factors are important determinants of volatility. The empirical results overall are consistent with the view that commodities are too diverse to be considered as an asset class. Finally, we find commodity volatility persistence remains very high for many commodity returns even after structural breaks are accounted for. © 2012 Elsevier B.V.
Volume 21, Issue 3, July 2011, Pages 443-460
Fotini Economou | Alexandros Kostakis | Nikolaos Philippas
This study provides comprehensive evidence testing for the existence of herding effects in the Portuguese, Italian, Spanish and Greek market, constructing a survivor-bias-free dataset of daily stock returns during the period January 1998-December 2008. Moreover, it examines the potential asymmetries of herding effects with respect to the sign of the market return, trading activity and volatility. A novel feature of this study, with implications for financial stability in the Eurozone and international portfolio diversification, is to examine whether the cross-sectional dispersion of returns in one market is affected by the cross-sectional dispersion of returns in the rest three markets. Finally, it tests whether herding effects became more intense during the recent global financial crisis of 2007-2008. © 2011 Elsevier B.V.
Volume 22, Issue 4, July 2012, Pages 758-773
Cuong C. Nguyen | M. Ishaq Bhatti
The uncertainty of a country's economy, especially emerging economies, is partially due to the fluctuating of oil prices. There is also a growing concern about the relationship between oil price and stock markets in developing countries due to their heavy dependence on oil prices co-movements. This paper attempts to understand the relationship between China and Vietnam markets using nonparametric (chi- and K-plots) and parametric (copula) methods. We observe that the left tail dependency between international oil prices and Vietnam's stock market while Chinese market shows opposite results. These findings provide a new insight into the behavior between oil prices and stock markets, thus leading to meaningful implications for policy makers, investors and risk managers dealing with these two markets. © 2012 Elsevier B.V.
Volume 23, Issue 1, February 2013, Pages 295-321
Mehmet Balcilar | Riza Demirer | Shawkat Hammoudeh
This paper proposes a dynamic herding approach which takes into account herding under different market regimes, with concentration on the Gulf Arab stock markets - Abu Dhabi, Dubai, Kuwait, Qatar and Saudi Arabia. Our results support the presence of three market regimes (low, high and extreme or crash volatility) in those markets with the transition order 'low, crash and high volatility', suggesting that these frontier markets have a different structure than developed markets. The results also yield evidence of herding behavior under the crash regime for all of the markets except Qatar which herds under the high volatility regime. The findings of the cross-GCC herding model also demonstrate herding comovements and not spillovers and are also robust to the cross-GCC volatility shocks. The tests that underline the cross-volatility shocks suggest that the crash regime is a true regime and not a statistical artifact. Policy and portfolio diversification implications are discussed. © 2012 Elsevier B.V.
Volume 34, Issue , January 2015, Pages 245-262
Dinh Hoang Bach Phan | Susan Sunila Sharma | Paresh Kumar Narayan
© 2014 Elsevier B.V. In this paper we investigate how differently stock returns of oil producers and oil consumers are affected from oil price changes. We find that stock returns of oil producers are affected positively by oil price changes regardless of whether oil price is increasing or decreasing. For oil consumers, oil price changes do not affect all consumer sub-sectors and where it does, this effect is heterogeneous. We find that oil price returns have an asymmetric effect on stock returns for most sub-sectors. We devise simple trading strategies and find that while both consumers and producers of oil can make statistically significant profits, investors in oil producer sectors make relatively more profits than investors in oil consumer sectors.
The relationship between stock price index and exchange rate in Asian markets: A quantile regression approach
Volume 22, Issue 3, July 2012, Pages 609-621
I. Chun Tsai
This paper uses the data of six Asian countries to estimate the relationship between stock price index and exchange rate. According to the portfolio balance effect, these two variables should be negatively related. However, since the evidence from traditional ordinary least squares estimation is not favorable, the quantile regression model is adopted to observe the various relationships between stock and foreign exchange markets. The results show an interesting pattern in the relation of these two markets in Asia, which indicates that the negative relation between stock and foreign exchange markets is more obvious when exchange rates are extremely high or low. © 2012 Elsevier B.V.
Volume 22, Issue 5, December 2012, Pages 1091-1109
This paper examines return co-movements and volatility spillovers between major exchange rates before and after the introduction of euro. Dynamic correlations and VAR-based spillover index results suggest significant return co-movements and volatility spillovers, however, their extend is, on average, lower in the post-euro period. Co-movements and spillovers are positively associated with extreme episodes and US dollar appreciations. The euro (Deutsche mark) is the dominant net transmitter of volatility, while the British pound the dominant net receiver of volatility in both periods. Nevertheless, cross-market volatility spillovers are bidirectional, and the highest spillovers occur between European markets. © 2012 Elsevier B.V.
Volume 21, Issue 1, February 2011, Pages 75-91
Hirofumi Fukuyama | Roman Matousek
This study curries out a systematic analysis of the cost, technical and allocative efficiency of the Turkish banking system from 1991 to 2007, under the assumption of variable returns to scale. This unique dataset allows to analyse changes in bank efficiency before and after the financial crises. The applied estimation approach is based on a two-stage network model introduced by Fukuyama and Weber (2010), where in the first stage of production, banks use inputs to produce an intermediate output (deposits) that becomes an input to a second stage where final outputs are produced. We have found several interesting results. Our results show that bank efficiency reflected the state of the Turkish economy before and after crises in 1993-1994 and 2000-2001. Furthermore, there persists a gap between the best and worst performing banks. We could not confirm the hypothesis that foreign banks have higher efficiency scores as we saw in new EU countries. © 2010.
Diversification evidence from international equity markets using extreme values and stochastic copulas
Volume 22, Issue 3, July 2012, Pages 622-646
M. Ishaq Bhatti | Cuong C. Nguyen
Tail dependence plays an important role in financial risk management and determination of whether two markets crash or boom together. However, the linear correlation is unable to capture the dependence structure among financial data. Moreover, given the reality of fat-tail or skewed distribution of financial data, normality assumption for risk measure may be misleading in portfolio development. This paper proposes the use of conditional extreme value theory and time-varying copula to capture the tail dependence between the Australian financial market and other selected international stock markets. Conditional extreme value theory enables the model adequacy and the tail behavior of individual financial variable, while the time-varying copula can fully disclose the changes of dependence structure over time. The combination of both proved to be useful in determining the tail dependence. The empirical results show an outperformance of the model in the analysis of tail dependence, which has an important implication in cross-market diversification and asset pricing allocation. © 2012.
Volume 25, Issue 1, July 2013, Pages 18-32
Aristeidis Samitas | Ioannis Tsakalos
This study applies the asymmetric dynamic conditional correlation (A-DCC) model and employs copula functions to investigate the correlation dynamics among the Greek and European markets during the recent debt crisis. The Greek debt crisis occurred after the subprime mortgage crisis. Up to that point, the Greek stock market followed the larger stock markets, and Greek government debt should not have influenced other European markets. However, Greece is a member of the monetary union, and it is necessary to examine whether there exists a contagion effect on the other European Union (EU) member states. The findings support the existence of a contagion effect during crash periods but not during the Greek debt crisis. © 2013 Elsevier B.V.
Volume 22, Issue 4, July 2012, Pages 696-718
Mamiza Haq | Richard Heaney
We investigate bank capital, charter value, off-balance sheet activities, dividend payout ratio and size as determinants of bank equity risk (systematic risk, total risk, interest rate risk and idiosyncratic risk) and credit risk. Using information for 117 financial institutions across 15 European countries over the period 1996-2010, we find evidence of a convex (U-shaped) relation between bank capital and bank systematic risk and credit risk. We find mixed evidence on the relation between charter value and our measures of bank risk. The results also show a positive association between off-balance sheet activities and bank risk. It is also evident that dividend payout ratio is negatively related to all risk measures. We find large banks reflect higher total risk and lower credit risk. Following the creation of the Economic Monetary Union, we also observe an increase in bank risk sensitivity to both bank capital and off-balance sheet activities and a decrease in the sensitivity of bank risk to charter value. Finally, with regard to the impact of the recent global financial crisis, we find that the largest decline in the coefficient value is observed for bank capital relative to credit risk. These results are robust to various model specifications. © 2012 Elsevier B.V.
Volume 22, Issue 2, April 2012, Pages 278-304
Luís Oliveira | José Dias Curto | João Pedro Nunes
Using a database of Euro-denominated government bonds covering the period from January 2000 to December 2010, this paper provides an empirical analysis of the determinants of government credit spreads in the Euro-area. The analysis is divided into two sub-periods delimited by the global financial crisis that started in August 2007. We find evidence of a clear shift in the behavior of market participants from a convergence-trade expectation, based on market related factors, before August 2007, to one mainly driven by macroeconomic country-specific variables and an international common risk factor. There is no evidence of a significant role for the liquidity risk before or during the financial crisis period. Overall, our results give support to the Merton-type structural credit risk models and confirm that there are considerable similarities between the factors explaining the dynamics of the credit risk spreads and the factors driving the prices on the government bond markets. © 2011 Elsevier B.V.
Volume 21, Issue 2, April 2011, Pages 296-304
Although it has taken some 30 years to find, the solution to the forward-bias puzzle is straightforward. The standard test equation that produces the puzzle is missing two variables that covered interest parity implies should be included. For my data, those two missing variables explain the downward bias in the forward-bias puzzle. Covered interest parity also solves another closely related puzzle. The variance for changes in exchange rates is 100-200 times larger than the variance in forward premiums. © 2011 Elsevier B.V.
Volume 21, Issue 4, October 2011, Pages 550-559
This paper employs a new approach in order to investigate the underlying relationship between stock markets and exchange rates. Current approaches suggest that the relative equity market performance of two countries is linked to their exchange rate. In contrast, this study proposes an alternative approach where one global variable - global equity market returns - is believed to have an effect on exchange rates, with the relative interest rate level of a currency determining the sign of the relationship. Our empirical findings suggest that exchange rates and global stock market returns are strongly linked. The value of currencies with higher interest rates is positively related with global equity returns, whereas the value of currencies with lower interest rates is negatively related with global equity returns. © 2011 Elsevier B.V.
Volume 26, Issue 1, October 2013, Pages 100-112
Economic integration on the EU banking markets is expected to favor competition. However no study has been performed in the 2000s showing this trend. In this paper, we aim to fill this gap by measuring the evolution of bank competition in all EU countries during the 2000s with the Lerner index and the H-statistic. We do not observe a general improvement in bank competition in the EU. However, by applying β and σ convergence tests for panel data, we find that convergence in bank competition has taken place in EU countries. © 2013 Elsevier B.V.
Volume 25, Issue 1, July 2013, Pages 33-48
Faruk Balli | Syed Abul Basher | Rosmy Jean Louis
We examine the spillover effects of local and global shocks on Gulf Cooperation Council (GCC)-wide sector equity returns. We find the GCC-wide sector returns have asynchronous responses to global and regional shocks. Although the effects of these shocks differ in magnitude across individual GCC-wide sector returns, there is evidence that the GCC-wide sector equity markets are mostly driven by their own volatilities. For the basic materials, telecom and utility sectors, the effects of regional and global shocks are lower in magnitude in comparison to the rest of the GCC-wide sector indices. Applying a time-varying spillover model, we also indicate that the effect of global shocks on the volatility of GCC sector returns has been decreasing, whereas regional shocks have been affecting the sector indices with a positive and significant trend. We also document that portfolios diversified across GCC-wide sectors perform better than portfolios diversified across GCC national equity markets. To some extent, portfolios diversified with a mix of GCC-wide sector and national equities produce higher returns than portfolios made up of pure GCC national equity indices or GCC-wide sector indices. © 2013 .
The integration of the credit default swap markets during the US subprime crisis: Dynamic correlation analysis
Volume 22, Issue 1, February 2012, Pages 1-15
Ping Wang | Tomoe Moore
This paper investigates the integration of the credit default swap (CDS) markets of 38 developed and emerging countries with the US market during the subprime crisis period by utilising dynamic conditional correlation from the multivariate GARCH model. Evidence reveals that the Lehman shock seems to have strengthened the integration, in particular, for developed markets. For both developed and emerging markets, declining US interest rates are found to be the main driving factor behind the higher level of correlation, suggesting that the CDS markets were heavily driven by the world largest economy when the crisis reached its peak. © 2011 Elsevier B.V.
Volume 21, Issue 1, February 2011, Pages 144-155
Calin Vlad Demian
This study investigates the impact of EU accession on financial markets in the Czech Republic, Estonia, Hungary, Poland, Romania and Slovakia and what effect, if any, EU entry had on the cointegration relationships between these markets and developed ones. Using a VAR approach, we find an increase in the number of cointegration relationships over time. However, it appears that EU accession plays a minor direct role in the development of these links, cointegration being driven more by financial and economic factors as opposed to explicit political actions. © 2010 Elsevier B.V.
Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates
Volume 22, Issue 4, July 2012, Pages 738-757
Walid Chkili | Chaker Aloui | Duc Khuong Nguyen
We use univariate and multivariate GARCH-type models to investigate the properties of conditional volatilities of stock returns and exchange rates, as well as their empirical relationships. Taking three European stock markets and two popular US dollar exchange rates as case study, our results show strong evidence of asymmetry and long memory in the conditional variances of all the series considered. In multivariate settings we find that bilateral relationships between stock and foreign exchange markets are highly significant for France and Germany. Moreover, both the univariate FIAPARCH and bivariate CCC-FIAPARCH models provide more accurate in-sample estimates and out-of-sample forecasts than the other competing GARCH-based specifications in almost all cases. Finally, there is evidence to support the suitability of the FIAPARCH model in forecasting portfolio's market risk exposure and the existence of diversification benefits between stock and foreign exchange markets. © 2012 Elsevier B.V.
Volume 23, Issue 1, February 2013, Pages 1-11
This paper examines the relation between oil price changes and stock returns. By using recently developed frequency domain methods, the study shows that there is significant time variation in the linkage between oil and equities. Oil price shocks with less than 12-month persistency have a negative impact on stock returns, while shocks with persistency between 12 and 36 months are associated with positive stock returns. Hence, the analysis supports the view that not all oil price movements are alike and, and joint rises in oil and stock market can in fact be observed. The implications of the findings for participants in financial markets and policy makers are discussed. © 2012 Elsevier B.V.