Remittance volatility and financial sector development in sub-Saharan African countries
نوسانات حواله و توسعه بخش مالی در کشورهای جنوب صحرای آفریقا-2019
In this study we examine the relationship between remittances, remittance volatility and financial sectordevelopment in sub-Saharan Africa using a two-step system GMM estimator over the period 2002–2014.Separately focussing on banking sector- and stock market development, our study distinguishes betweenthe effect of remittances and remittance volatility on financial sector depth and financial sector efficiency.The results indicate remittances act as a substitute for the formal banking system in sub-Saharan Africancountries. We further provide evidence that remittance volatility is detrimental to both banking sector depthand efficiency. No evidence is found that remittance volatility is related to stock market development. Apolicy implication from our study is that sub-Saharan African countries should have measures in place tomonitor the predictability of remittances while the cost of remittance transfer needs to be investigated.
Keywords: Remittance volatility | Financial development | Panel data
The role of stock market and banking sector development, and renewable energy consumption in carbon emissions: Insights from G-7 and N-11 countries
نقش توسعه بازار سهام و بخش بانکی و مصرف انرژی تجدید پذیر در انتشار کربن: بینش کشورهای G-7 و N-11-2019
This study probes the role of disaggregated financial development and renewable energy in carbon emissions by incorporating gross fixed capital formation and economic growth in the function of carbon emissions. The financial development is measured through the stock market and banking sector development. We also examine the validity of the EKC hypothesis, using the data of G-7 and N-11 countries spanning from 1990 to 2016. The integration properties of the considered variables are examined through second generation unit roots tests. The Lagrange Multiplier (LM) bootstrap panel cointegration method has confirmed the long-run equilibrium relationship among the variables for all the four models used. The long-run elasticity results suggest that renewable energy increases environmental quality by reducing carbon emission intensity for both groups of panel countries. Banking development index decreases carbon emissions in G-7 countries, while increases carbon emissions in N-11 countries. Similarly, stock market development index increases carbon emissions in G-7 countries, while decreases in N-11 countries. Overall, economic growth and fixed capital formation impede environmental quality by accelerating the intensity of carbon emissions. This study suggests policy implications based on the empirical results for both groups of countries.
Keywords: Carbon emissions | Stock market | Banking development | Renewable energy | Economic growth
Entrusted loans: A close look at China’s shadow banking system
وامهای واگذار شده: نگاهی دقیق به سیستم بانکی سایه چین-2019
We perform transaction-level analyses of entrusted loans, one of the largest components of shadow banking in China. Entrusted loans involve firms with privileged access to cheap capital channeling funds to less privileged firms, and the increase when credit is tight. Nonaffiliated loans have much higher interest rates than both affiliated loans and official bank loans, and they largely flow into real estate. The pricing of entrusted loans, especially of nonaffiliated loans, incorporates fundamental and informational risks. Stock market re- actions suggest that both affiliated and nonaffiliated loans are fairly compensated invest- ments
Keywords: Shadow banking | Entrusted loans | Credit shortage | Fundamental risk | Informational risk
Financial structure, bank competition and income inequality
ساختار مالی ، رقابت بانکی و نابرابری درآمدی-2019
This paper empirically investigates the contribution of finance to income inequality with particular emphasis on the role of financial structure (i.e., stock market orientation) and banking market structure (bank market power), an aspect that has been overlooked in the literature. It employs recently developed cointegration techniques that take into account cross-section correlation and simultaneity in non-stationary panels. The paper finds that income inequality increases with financial deepening but decreases with a more market-oriented financial system. It is also found that greater concentration, less competition in the banking sector strengthens income inequality. These effects are found stronger during the banking crisis period, for high-income countries or countries with better quality of political institutions. The data thus suggest that financial reform toward promoting stock market development, enhancing competition or lessening concentration in the banking sector is beneficial to income distribution.
Keywords: Income inequality | Financial development | Financial structure | Concentration | Competition
Four centuries of return predictability
چهار قرن قابل پیش بینی بودن بازگشت-2018
We combine annual stock market data for the most important equity markets of the last four centuries: the Netherlands and UK (1629–1812), UK (1813–1870), and US (1871–2015). We show that dividend yields are stationary and consistently forecast returns. The documented predictability holds for annual and multi-annual horizons and works both in- and out-of-sample, providing strong evidence that expected returns in stock markets are time-varying. In part, this variation is related to the business cycle, with expected returns increasing in recessions. We also find that, except for the period after 1945, dividend yields predict dividend growth rates.
keywords: Dividend-to-price ratio |Return predictability |Dividend growth predictability
A linearized model for academic staff assignment in a Brazilian university focusing on performance gain in quality indicators
یک مدل خطی سازی شده برای تخصیص ستاد علمی در یک دانشگاه برزیلی تمرکز کننده روی بهره عملکردی در شاخص های کیفیت-2018
Private Higher Education Institutions (HEI) often have shares in stock markets to attract investment. A key element for a good appreciation on the market is a good evaluation in performance indicators of academic quality. In Brazil a main component of such academic quality indicators is directly computed after the assignment of faculty members to courses. We develop mathematical models to support decision making in the assignment of faculty members to courses in a private HEI in Brazil. It turns out that the original problem is a nonlinear integer programming problem, and to deal with large instances found in practice we propose to use a linearized model instead. We conduct computational experiments with two main purposes: to evaluate the quality of the solutions obtained with the linear integer model when compared to the ones obtained with the original nonlinear integer model, and to evaluate the potential of gains with the linear integer model when compared to actual assignments. In the latter case numerical results on real instances from the HEI under study show the proposed approach effective to improve the indicators of the HEI due to a better assignment of faculty members to courses than observed in practice.
keywords: Academic staff assignment problem |Operations research in education |Mathematical modeling
Capital markets’ assessment of the economic impact of the Dodd–Frank Act on systemically important financial firms
بررسی تاثیر اقتصادی برنامه اقدامی دود - فرانک بازار سرمایه روی شرکتهای مالی مهم سیستماتیک-2018
We examine stock and bond market reactions to the key events leading to the passage of the Dodd–Frank Act to assess the markets’ expectations about the effectiveness of the Act on systemically important financial firms. Using small/medium sized domestic financial institutions as a control group, we find that large financial institutions overall had negative abnormal stock returns and positive abnormal bond returns, suggesting that the markets expect the Act to be effective in reducing these banks’ risk-taking. We further investigate the market reactions for (1) larger and more interconnected financial institutions; and (2) the Big 6 banks to evaluate the markets’ assessment about the effectiveness of the act in ending the too-big-to-fail policy. We document that larger and more interconnected financial institutions experienced more negative abnormal stock returns and more positive abnormal bond returns as compared to other banks in our sample, but these relations are not present during the final phase of the passage. Likewise, we find that both shareholders and bondholders of the Big 6 banks initially experienced significant negative returns, followed by insignificant returns during the final phase of the passage. These results appear to suggest the markets are doubtful about the effectiveness of the final version of the bill to end the too-big-to-fail status in particular for the Big 6 banks.
keywords: The Dodd–Frank Act| The too-big-to-fail policy| Stock market| Bond market
Limits of arbitrage and idiosyncratic volatility: Evidence from China stock market
حدود معامله و فراریت مزاجی: شواهدی از بازار بورس چین-2018
This study examines how limits of arbitrage can affect the pricing of idiosyncratic volatility. Using both unique trading constraints in the Chinese stock market and other commonly-used limits-of-arbitrage measures, we construct a comprehensive limits-of-arbitrage index. Based on this index, we find that the negative idiosyncratic volatility return premium is much stronger and more persistent in stocks with high limits of arbitrage. Furthermore, the existing explanations about the idiosyncratic volatility return premium cannot fully explain what we find about the role of limits of arbitrage in the pricing of idiosyncratic volatility in the Chinese stock market. Our study suggests that the trading constraints introduced in the name of protecting individual investors can actually hurt them, since these additional limits of arbitrage will increase the inefficiency of the security market.
keywords: Limits of arbitrage| Idiosyncratic volatility| China stock market
Allergy onset and local investor distraction
تهاجم آلگری و حواس پرتی سرمایه گذار بومی-2018
We posit that investor distraction can be exogenously triggered by allergy onsets degrading effects on local investors’ health and cognitive functioning. We document that allergy onset is related to lower trading activity. We use daily pollen counts to measure the severity of allergy onset at different locations and show that stocks of firms located in areas with severe allergy problems exhibit declines in trading volume and lower stock returns. Moreover, allergy onset is associated with both a decline in investor demand for firm information, as proxied by Google search volume, and stock underreaction to earnings news. Collectively our evidence supports the notion that the association of allergy onset and stock market outcomes may be emerging through a local investor distraction channel.
Hedge ratio on Markov regime-switching diagonal Bekk–Garch model
نرخ تامین روی مدل قطری تبدیل رژیم بک - گارچ-2018
Chinas stock market is known with quick change and violent fluctuation in recent years. This paper develops a Markov regime switching diagonal Bekk–Garch model, enabling parameters to be state dependent upon the regime of market. The empirical results show that different states exist. The high volatility regime has a lower state probability, while the low volatility regime has a higher state probability. The likelihood value show the regime-switching diagonal Bekk–Garch model fits the sample better. Both comparisons of hedge performance in and out-of-sample indicate that a regime-switching Bekk–Garch model is the optimal hedge strategy, followed by Bekk–Garch and OLS model.
keywords: Stock index futures| Hedge ratio| Regime-switching| Garch models