Showing papers in "Finance Research Letters in 2016"

TL;DR: In this article, the authors explored the financial asset capabilities of bitcoin using GARCH models and found that bitcoin can be classified as something in between gold and the American dollar on a scale from pure medium of exchange advantages to pure store of value advantages.

TL;DR: In this article, the authors explore the hedging capabilities of Bitcoin by applying the asymmetric GARCH methodology used in investigation of gold and show that bitcoin can clearly be used as a hedge against stocks in the Financial Times Stock Exchange Index.

TL;DR: In this paper, the impact of economic policy uncertainty on stock markets in the United States over the period 1900-2014 was studied and it was shown that an increase in policy uncertainty reduces significantly stock returns and that this effect is stronger and persistent during extreme volatility periods.

TL;DR: In this paper, the main determinants of non-performing loans in the euro-area banking system for the period 1990Q1-2015Q2 using GMM estimations were identified.

TL;DR: This paper examined the influence of firms' political connections on external financing, corporate investment, and financial performance and found that political connections are negatively related to return on assets, and firms with stronger connections are financed with more long-term bank loans and are more likely to overinvest.

TL;DR: In this paper, a quantile predictive regression approach over the monthly period 1900:1-2014:2 was used to predict the US equity premium, especially when accounting for structural instabilities and omitted nonlinearities in their relationship.

TL;DR: In this article, the authors extend the framework of Diebold and Yilmaz (2009b) and construct volatility spillover indexes using a DCC-GARCH framework to model the multivariate relationships of volatility among assets.

TL;DR: This paper investigated volatility spillovers across China's stock, bond, commodity futures, and foreign exchange markets and their evolution during the period 2005-2015, and found that these four financial markets are weakly integrated.

TL;DR: This article analyzed the stock and CDS market reactions around the UK's EU membership referendum (Brexit) on June 23, 2016, and the Lehman Brothers bankruptcy filing on September 15, 2008.

TL;DR: In this paper, the authors examined the adaptive market hypothesis (AMH) in Japanese stock markets (TOPIX and TSE2) and measured the degree of market efficiency by using a time-varying model approach.

TL;DR: In this paper, the authors investigated the existence of gender differences in firms' access to finance and found that the gender gap in credit demand and financial constraints significantly depend on the way in which female participation in ownership and management is measured, thus supporting the hypothesis of gender-based discrimination in access to credit against women-led businesses.

TL;DR: In this article, the authors investigated the determinants of the UK oil and gas stock returns using multi factor asset pricing model and the existence of asymmetric effects in the Brent crude oil price.

TL;DR: In this paper, the authors explored the impact of the Paris terrorist attacks on the stock returns of the most important companies in the global defense industry and found that this terrorist attacks event supports an upward trend in cumulative abnormal returns across all companies over the post-attack period, implying a positive effect of the attacks on defensive companies' stock returns.

TL;DR: In this paper, the authors investigated herding behavior in the Athens stock exchange focusing on the recent crisis period and employed a survivor bias free dataset of all listed stocks from 2007 to May 2015.

TL;DR: In this article, the authors investigated the channels of volatility transmission across stock index futures in 6 major developed and emerging markets in Asia and found that the signal receiving markets are sensitive to both negative and positive volatility shocks.

TL;DR: In this article, the authors investigated the co-movement between investors' sentiment and the Islamic and conventional equity returns over diverse time-scales and frequencies in the US market.

TL;DR: In this article, the authors examined the effect of past indebtedness and investment opportunities on the distribution of dividends in six Latin American countries from 1995 to 2013 and found that the target dividend ratio is positively related to governance indicators at the country level.

TL;DR: In this article, the authors investigated the impact of foreign ownership on the corporate risk taking activity at the firm level in Vietnam and found that foreign investors help to reduce the risk taking activities.

TL;DR: In this article, the authors explored the impact of credit constraints on rural households' consumption expenditure in South China and found that 54.9% of the respondents are credit constrained, while 7.34% less than those who were not credit constrained.

TL;DR: The authors examined the adaptive market hypothesis using the Generalized Hurst exponent, derived using fixed and rolling windows, and found that the Indian stock market is moving towards efficiency and found a positive and significant link between the Indian market's efficiency gap and financial crises, other international shocks and major domestic policy and crisis related events.

TL;DR: This paper analyzed the dynamics of airline stock prices following terrorist attacks in Paris and Brussels and found that the adjustment of stock prices is consistent with the assumption of efficient capital markets, and that smaller, less geographically diversified, airlines are significantly less affected by the attacks than their global peers.

TL;DR: Using a three-regime Markov-switching framework, with time-varying transition probabilities and exogenous state variables, this paper found that overseas (US) market factors are more significant than domestic (Korean) factors in explaining VKOSPI dynamics.

TL;DR: In this paper, the authors investigated the quantile behavior of cointegration between silver and gold prices by employing quantile autoregressive distributed lag (QARDL) model and found that the existence of co-integration is mainly due to the tail quantiles outside the interquartile range.

TL;DR: In this paper, the impact of functional and geographic diversification on bank performance during 2008's financial and 2010's sovereign debt crises was investigated using bank-level data on 491 Italian banks over the period 2006-2012.

TL;DR: In this article, the effect of co-opted directors on R&D investments was explored and it was shown that board co-option leads to significantly higher R&DI investments.

TL;DR: In this article, the authors analyzed more than 200 internationally-investing sustainably screened funds and found that socially responsible, green, and faith-based investments have to be considered as different approaches within the broader field of sustainable investing.

TL;DR: In this article, the authors exploit a text-based definition for industry peers to show that the corporate social responsibility behavior of firms is positively affected by the CSR level of their competitors.

TL;DR: In this paper, a global sample of 263,461 deals in 47 countries, 3-day target cumulative abnormal returns (CARs) average 6.9% and bidder CARs average 1.4%.

TL;DR: The authors investigated the economic link between sport sentiment and US sectoral stock returns and found that sport sentiment affects only the financial sector and argued that this result might be explained by the high liquidity that makes financial sector more attractive to foreign investors who in turn are more prone to sport sentiment than local investors.

TL;DR: In this paper, the role of real oil prices on the directional predictability of stock market returns in the U.S. and 10 other countries using probit models was studied.