Journal of Risk and Financial Management

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Dependency Relations among International Stock Market Indices
Journal of Risk and Financial Management - Tập 8 Số 2 - Trang 227-265
L.A. Teixeira Júnior, Asher Mullokandov, Dror Y. Kenett
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 c...... hiện toàn bộ
Climate Transition Risk and the Impact on Green Bonds
Journal of Risk and Financial Management - Tập 14 Số 12 - Trang 597
Yevheniia Antoniuk, Thomas Leirvik
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-base...... hiện toàn bộ
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
Nader Naifar
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 thre...... hiện toàn bộ
Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions
Journal of Risk and Financial Management - Tập 13 Số 4 - Trang 84
Nikolaos Antonakakis, Ioannis Chatziantoniou, David Gabauer
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. Specifical...... hiện toàn bộ
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
Willem Thorbecke
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 swath...... hiện toàn bộ
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
Ho, Manh-Tung, Le, Ngoc-Thang B., Tran, Hung-Long D., Nguyen, Quoc-Hung, Pham, Manh-Ha, Ly, Minh-Hoang, Ho, Manh-Toan, Nguyen, Minh-Hoang, Vuong, Quan-Hoang
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...... hiện toàn bộ
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
Nguyen, Minh-Hoang, Khuc, Quy Van, La, Viet-Phuong, Le, Tam-Tri, Nguyen, Quang-Loc, Jin, Ruining, Nguyen, Phuong-Tri, Vuong, Quan-Hoang
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...... hiện toàn bộ
The Impact of COVID-19 on Stock Market Returns in Vietnam
Journal of Risk and Financial Management - Tập 14 Số 9 - Trang 441 - 2021
Hung, Dao Van, Hue, Nguyen Thi Minh, Duong, Vu Thuy
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...... hiện toàn bộ
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
Hoang, Khanh, Nguyen, Cuong, Tran, Dung Viet, Phan, Anh
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...... hiện toàn bộ
Models for Expected Returns with Statistical Factors
Journal of Risk and Financial Management - Tập 13 Số 12 - Trang 314
José Manuel Cueto, Aurea Grané, Ignacio Cascos
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 sp...... hiện toàn bộ
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