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"Batten, Jonathan"
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Advances in financial risk management : corporates, intermediaries and portfolios
\"Advances in Financial Risk Management: Corporates, Intermediaries and Portfolios is essential reading to those interested in better understanding developments in the post-Global Financial Crisis (GFC) environment. There are seventeen papers that provide the latest research on measuring, managing and pricing financial risk, allocated into three very broad perspectives: risk management in non-financial corporations; in financial intermediaries such as banks, which must comply with regulatory standards on measuring and managing risk; and finally within the context of a portfolio of securities of different credit quality and marketability. This unique compilation of papers provides an expansive view of the latest techniques available to academics and practitioners to measure and manage risk\"-- Provided by publisher.
Book
Volatility impacts on the European banking sector: GFC and COVID-19
This paper analyses the volatility transmission between European Global Systemically Important Banks (GSIBs) and implied stock market volatility. A Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity model is applied to determine the dynamic correlation between returns of Europe’s GSIBs and the world’s most prominent measure of market “fear”, the CBOE Volatility Index (VIX). The results identify a higher negative co-relationship between the VIX and GSIB returns during the COVID-19 period compared with the Global Financial Crisis (GFC), with one-day lagged changes in the VIX negatively Granger-causing bank returns. The asymmetric impact of changes in implied volatility is examined by quantile regressions, with the findings showing that in the lower quartile–where extreme negative bank returns are present–jumps in the VIX are highly significant. This effect is more pronounced during COVID-19 than during the GFC. Additional robustness analysis shows that these findings are consistent during the periods of the Swine Flu and Zika virus epidemics.
Journal Article
Determinants of Bank Profitability-Evidence from Vietnam
This article investigates the determinants of bank profitability in Vietnam covering the period from 2006 to 2014. Employing a number of econometric panel data methods with a unique dataset, the findings of the article indicate that bank size, capital adequacy, risk, expense, and productivity have strong impacts on profitability. We also find that bank industry characteristics and macroeconomic variables affect bank profitability. However, we find that the direction of causality is not uniform across profitability measures.
Journal Article
Why are you looking at me? It’s because I’m talking, but mostly because I’m staring or not doing much
Our attention is particularly driven toward faces, especially the eyes, and there is much debate over the factors that modulate this social attentional orienting. Most of the previous research has presented faces in isolation, and we tried to address this shortcoming by measuring people’s eye movements whilst they observe more naturalistic and varied social interactions. Participants’ eye movements were monitored whilst they watched three different types of social interactions (monologue, manual activity, active attentional misdirection), which were either accompanied by the corresponding audio as speech or by silence. Our results showed that (1) participants spent more time looking at the face when the person was giving a monologue, than when he/she was carrying out manual activities, and in the latter case they spent more time fixating on the person’s hands. (2) Hearing speech significantly increases the amount of time participants spent looking at the face (this effect was relatively small), although this was not accounted for by any increase in mouth-oriented gaze. (3) Participants spent significantly more time fixating on the face when direct eye contact was established, and this drive to establish eye contact was significantly stronger in the manual activities than during the monologue. These results highlight people’s strategic top-down control over when they attend to faces and the eyes, and support the view that we use our eyes to signal non-verbal information.
Journal Article
Bank risk shifting and diversification in an emerging market
This paper investigates risk shifting in commercial banks in the emerging market of Vietnam, where banks fund domestic asset portfolios almost exclusively from deposits and with limited issuance of securities. We investigate the relationship between these banks' income diversification strategies and their overall level of risk during the recent period of deregulation and global financial crisis. Our results show that those commercial banks that have shifted to non-interest income activities in fact face higher levels of risk. This finding is at odds with theories that argue that diversification is a strategy for risk reduction and has broader implications for domestic system stability. The analysis provides a framework for evaluating these issues in other emerging markets. Risk Management (2016) 18, 217–235. doi:10.1057/s41283-016-0008-2; published online 1 December 2016
Journal Article
Information Transfer between Stock Market Sectors: A Comparison between the USA and China
Information diffusion within financial markets plays a crucial role in the process of price formation and the propagation of sentiment and risk. We perform a comparative analysis of information transfer between industry sectors of the Chinese and the USA stock markets, using daily sector indices for the period from 2000 to 2017. The information flow from one sector to another is measured by the transfer entropy of the daily returns of the two sector indices. We find that the most active sector in information exchange (i.e., the largest total information inflow and outflow) is the non-bank financial sector in the Chinese market and the technology sector in the USA market. This is consistent with the role of the non-bank sector in corporate financing in China and the impact of technological innovation in the USA. In each market, the most active sector is also the largest information sink that has the largest information inflow (i.e., inflow minus outflow). In contrast, we identify that the main information source is the bank sector in the Chinese market and the energy sector in the USA market. In the case of China, this is due to the importance of net bank lending as a signal of corporate activity and the role of energy pricing in affecting corporate profitability. There are sectors such as the real estate sector that could be an information sink in one market but an information source in the other, showing the complex behavior of different markets. Overall, these findings show that stock markets are more synchronized, or ordered, during periods of turmoil than during periods of stability.
Journal Article
Liquidity and Return Relationships in an Emerging Market
In this paper, we investigate the relationship between liquidity and stock returns in the Vietnam stock market during the global financial crisis. Vietnam is one of a new group of frontier emerging markets referred to as CIVETS (Colombia, Indonesia, Vietnam, Egypt, Turkey, and South Africa). We use a rich and detailed data set of firm characteristics to identify a positive relationship between liquidity and stock returns. This contradicts the negative correlation typically found in stock returns in developed markets. Our results support the proposition that when a market is not fully integrated with the global economy, a lack of liquidity will be a less important risk factor. Our findings contribute to those studies that highlight the diversification benefits from including frontier markets, which have a lower degree of integration with the global economy, in international portfolios.
Journal Article
Applied Financial Modelling
Cover -- Construction of infrastructure index for Indonesia -- Understanding Indonesia's exchange rate behavior -- Non-core deposit of Indonesian banking -- Fiscal sustainability in India: evidence from Markov switching and threshold regression models -- Crude palm oil prices and default risk: an analysis of Indonesia's listed agricultural firms -- Digital trade facilitation and bilateral trade in selected Asian countries -- Does bank regulation and supervision impedes the efficiency of microfinance institutions to eradicate poverty? Evidence from ASEAN-5 countries -- Do foreign banks in India respond to global monetary policy shocks? A SVAR analysis -- Do surges in foreign direct investment inflows lead to surges in economic growth? Evidence from developing countries -- Global value chain embeddedness, labour productivity and employment in the Asia-Pacific countries -- Institutions, human capital and economic growth in developing countries -- Testing deviations from PPP and UIP: evidence from BRICS economies -- Do government expenditures and institutions drive growth? Evidence from developed and developing economies -- Stability versus fragility: new evidence from 84 banks -- COVID-19 pandemic and cryptocurrency markets: an empirical analysis from a linear and nonlinear causal relationship -- The nexus between the exchange rates and interest rates: evidence from BRIICS economies during the COVID-19 pandemic -- Do government expenditure reduce income inequality: evidence from developing and developed countries -- Impact of digital financial inclusion on ASEAN banking stability: implications for the post-Covid-19 era.
eBook
Stylized facts of intraday precious metals
This paper examines the stylized facts, correlation and interaction between volatility and returns at the 5-minute frequency for gold, silver, platinum and palladium from May 2000 to April 2015. We study the full sample period, as well as three subsamples to determine how high-frequency data of precious metals have developed over time. We find that over the full sample, the number of trades has increased substantially over time for each precious metal, while the bid-ask spread has narrowed over time, indicating an increase in liquidity and price efficiency. We also find strong evidence of periodicity in returns, volatility, volume and bid-ask spread. Returns and volume both experience strong intraday periodicity linked to the opening and closing of major markets around the world while the bid-ask spread is at its lowest when European markets are open. We also show a bilateral Granger causality between returns and volatility of each precious metal, which holds for the vast majority subsamples.
Journal Article