Journal of Risk and Financial Management
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What Explains the Sovereign Credit Default Swap Spreads Changes in the GCC Region?
Journal of Risk and Financial Management - Tập 13 Số 10 - Trang 245
This paper aimed to investigate the drivers of sovereign credit risk spreads
changes in the case of four Gulf Cooperation Council (GCC) countries, namely
Kingdom of Saudi Arabia (KSA), the United Arab Emirates (UAE), Qatar, and
Bahrain. Specifically, we explained the changes in sovereign credit default swap
(hereafter SCDS) spreads at different locations of the spread distributions by
three catego...
Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions
Journal of Risk and Financial Management - Tập 13 Số 4 - Trang 84
In this study, we enhance the dynamic connectedness measures originally
introduced by Diebold and Yılmaz (2012, 2014) with a time-varying parameter
vector autoregressive model (TVP-VAR) which predicates upon a time-varying
variance-covariance structure. This framework allows to capture possible changes
in the underlying structure of the data in a more flexible and robust manner.
Specifically, ther...
The Impact of the COVID-19 Pandemic on the U.S. Economy: Evidence from the Stock Market
Journal of Risk and Financial Management - Tập 13 Số 10 - Trang 233
The coronavirus crisis has damaged the U.S. economy. This paper uses the stock
returns of 125 sectors to investigate its impact. It decomposes returns into
components driven by sector-specific factors and by macroeconomic factors.
Idiosyncratic factors harmed industries such as airlines, aerospace, real
estate, tourism, oil, brewers, retail apparel, and funerals. There are thus
large swaths of the...
A Systematic and Critical Review on the Research Landscape of Finance in Vietnam from 2008 to 2020
Journal of Risk and Financial Management - Tập 14 Số 5 - Trang 219 - 2021
This paper endeavors to understand the research landscape of finance research in
Vietnam during the period 2008 to 2020 and predict the key defining future
research directions. Using the comprehensive database of Vietnam’s international
publications in social sciences and humanities, we extract a dataset of 314
papers on finance topics in Vietnam from 2008 to 2020. Then, we apply a
systematic appr...
Dependency Relations among International Stock Market Indices
Journal of Risk and Financial Management - Tập 8 Số 2 - Trang 227-265
We develop networks of international stock market indices using information and
correlation based measures. We use 83 stock market indices of a diversity of
countries, as well as their single day lagged values, to probe the correlation
and the flow of information from one stock index to another taking into account
different operating hours. Additionally, we apply the formalism of partial
correlati...
Climate Transition Risk and the Impact on Green Bonds
Journal of Risk and Financial Management - Tập 14 Số 12 - Trang 597
The green bond market develops rapidly and aims to contribute to climate
mitigation and adaptation significantly. Green bonds as any asset are subject to
transition climate risk, namely, regulatory risk. This paper investigates the
impact of unexpected political events on the risk and returns of green bonds and
their correlation with other assets. We apply a traditional and regression-based
event ...
Mindsponge-Based Reasoning of Households’ Financial Resilience during the COVID-19 Crisis
Journal of Risk and Financial Management - Tập 15 Số 11 - Trang 542 - 2022
The COVID-19 crisis was remarkable because no global recession model could
predict or provide early notice of when the coronavirus pandemic would happen
and damage the global economy. Resilience to financial shocks is crucial for
households as future crises like COVID-19 are inevitable. Therefore, the current
study aims to examine the effects of financial literacy and accessibility to
financial in...
The Impact of COVID-19 on Stock Market Returns in Vietnam
Journal of Risk and Financial Management - Tập 14 Số 9 - Trang 441 - 2021
This paper studies the impacts of COVID-19 on the performance of the Vietnamese
Stock Market—a rapidly growing emerging market in a country that has to date
successfully controlled the disease outbreak. The study uses a random-effect
model (REM) on panel data of stock returns of 733 listed companies on both HOSE
(the Ho Chi Minh Stock Exchange) and HNX (the Hanoi Stock Exchange) from 2
January 202...
International Corporate Cash Holdings and Firm-Level Exposure to COVID-19: Do Cultural Dimensions Matter?
Journal of Risk and Financial Management - Tập 15 Số 6 - Trang 262 - 2022
This study investigates the impact of COVID-19 exposure on corporate cash
holdings using firm data across sixteen developing and developed economies. The
results show that firms reserve more cash when their exposure to COVID-19
increases. We also find a cash burn effect during the COVID-19 pandemic, meaning
that the cash holdings are drained when firm exposure to the pandemic exceeds a
tipping poi...
Models for Expected Returns with Statistical Factors
Journal of Risk and Financial Management - Tập 13 Số 12 - Trang 314
In this paper, we propose multifactor models for the pan-European Equity Market
using a block-bootstrap method and compare the results with those of traditional
inferential techniques. The new factors are built from statistical measurements
on stock prices—in particular, coefficient of variation, skewness, and kurtosis.
Data come from Reuters, correspond to nearly 2000 EU companies, and span from
...
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